1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
|
#include "rqmc.hpp"
double frac_part(double x);
double pos (double x);
struct asian_option : public std::unary_function<std::vector<double>, double>
{
asian_option(double r, double T, double S0, double V, int d, double K)
: r(r), T(T), S0(S0), V(V), d(d), K(K) {};
double operator()(std::vector<double> X) const {
std::vector<double> S(d);
S[0]= S0*exp((r-V*V/2)*(T/d)+V*sqrt(T/d)*X[0]);
for(int i=1;i<d;i++){
S[i]=S[i-1]*exp((r-V*V/2)*(T/d)+V*sqrt(T/d)*X[i]);
}
double temp = std::accumulate(S.begin(), S.end(), 0.)/d;
return exp(-r*T)*pos(temp-K);
};
private:
double r;
double T;
double S0;
double V;
int d;
double K;
};
template <typename Fct, typename LDS>
struct quasi_option : public generator<typename Fct::result_type>
{
quasi_option(int n, int d, Fct payoff) : n(n), d(d), payoff(payoff), G(d) {};
typename Fct::result_type operator()() {
double sum =0;
for(int i=0; i<n; i++){
sum += payoff(G());
}
return sum/n;
};
private:
int n, d;
Fct payoff;
quasi_gaussian<LDS> G;
};
|
