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| struct brownian : public processus<double>
{
brownian(int n, double T=1)
: processus<double>(pow(2.,n)+1.), n(n), T(T), //ligne 33
h(T/pow(2., n)), G(0,h) {}; //ligne 34
result_type operator()(); //ligne 35
result_type affine(); //ligne 36
friend struct black_scholes;
protected:
int n;
double h, T;
gaussian G ; //ligne 41
};
result_type brownian::operator()() //ligne 43
{
value.clear();
state val_k(0,0);
value.push_back(val_k);
do
{val_k.first += h;
val_k.second += G();
value.push_back(val_k);
}
while (val_k.first < T);
return value;
}
//Classe brownian, définition de la méthode affine
result_type brownian::affine() //ligne 57
{
n++; h *= 0.5;
G = gaussian(0, 0.5*h);
iter precedent = value.begin(), current = ++value.begin();
while (current != value.end())
{
value.insert(current,
state(0.5*((*current).first+(*precedent).first),
0.5*((*current).second+(*precedent).second)+G()));
precedent = current;
current++;
}
return value;
}; |
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