option.cpp


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#include <vector>
#include <gsl/gsl_cdf.h>
#include "var_alea.hpp"
#include <algorithm>
#include <iostream>

struct option_param {
    double r;
    double T;
    double S0;
    double V;
    int d;
};

std::vector<double> path_gen(std::vector<double> X, option_param *p){
    std::vector<double> S(p->d);
    S[0]= p->S0;
    for(int i=1;i<p->d;i++){
        S[i]=S[i-1]*exp((p->r-p->V*p->V/2)*(p->T/p->d)+p->V*sqrt(p->T/p->d)*X[i]);
    }
    return S;
}

double mean_monte_carl(option_param* p, int N){
    double moyenne=0;
    gaussian G;
    std::vector<double> S(p->d);
    std::vector<double> X(p->d);
    for(int i=1; i<N; i++){
        for(int j=1;j<p->d;i++){
            X[i]=G();
        }
        S=path_gen(X, p);
        moyenne+=std::accumulate(S.begin(), S.end(), 0 );
    }
    return moyenne/N;
}

int main(){
    init_alea(0);
    option_param* p = {.r=0.05, .T=1.0, .S0=50.0, .V=0.1, .d=16};
    int N=1000000;
    
    double moyenne = mean_monte_carl(p, N);
    std::cout<<moyenne<<std::endl;

    
    return 0;
}