aide pour un programme a compiler
slt j'essaie de compilier ca mais ca ne marche pas :(.. qu'un pour m'aider ? merci :) :cry:
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| /**********************************************************************************
buildBDT : constructs a BDT tree calibrated to the yield
[in] vector<double> yield_curve : vector of yield curve
int N : number of time steps
int T : time to maturity
double inityield : initial guess for Newton-Raphson method
[out] void
**********************************************************************************/
void BlackDermanToy::buildBDT(vector<double> yield_curve, double vol, int N, double
T, double inityield)
{
double U[20] = {0.0}; // median of the (lognormal) distribution for
// r at time t
double dt = 0.0; // time step
double P[20] = {0.0}; // bond prices
double R[20] = {0.0}; // discount factors
const double epsilon = 0.001; // error tolerance in numerical search
double error = 0.0; // error between model and target values
double sum1 = 0.0; // sum of first derivatives
double sum2 = 0.0; // sum of second derivatives
double alpha1 = 0.05; // parameter to calibrate U(i)
double alpha2 = 0.0; // updates alpha1 in numerical search
int i,j;
// precompute constants – assume 1 year time steps
dt = 1;
// initialize yield curve
for (i = 1; i <= N; i++)
{
R[i] = yield_curve[i-1];
P[i] = 1/(pow((1 + R[i]*dt),i*dt));
}
// initialize first node
Q[0][0] = 1;
P[0] = 1;
U[0] = yield_curve[0];
r[0][0] = yield_curve[0];
d[0][0] = 1/(1 + r[0][0]*dt)
// evolve the tree for the short rate
for (i = 1; i <= N; i++)
{
// update pure security prices at time i
Q[i][-i] = 0.5*Q[i-1][-i+1]*d[i-1][-i+1];
Q[i][i] = 0.5*Q[i-1][i-1]*d[i-1][i-1];
for (j = -i+2; j <= i-2; j += 2)
{
Q[i][j] = 0.5*Q[i-1][j-1]*d[i-1][j-1] + 0.5*Q[i-1][j+1]*d[i-1][j+1];
}
// use numerical search to solve for U[i]
// Newton-Raphson method
alpha1 = inityield;
do
{
sum1 = 0;
sum2 = 0;
for (j = -i; j <= i; j += 2)
{
sum1 += Q[i][j]*(1/(1 + alpha1*exp(vol*j*sqrt(dt))*dt));
sum2 += Q[i][j]*(pow((1+ alpha1*exp(vol*j*sqrt(dt))*dt),-
2)*exp(vol*j*sqrt(dt))*dt);
}
alpha2 = alpha1 – (sum1 – P[i+1])/(-sum2);
error = alpha2 – alpha1;
alpha1 = alpha2;
}
while (error > epsilon);
U[i] = alpha1;
// set r[.] and d[.]
for (j = -i; j <= i; j+= 2)
{
r[i][j] = U[i]*exp(vol*j*sqrt(dt));
d[i][j] = 1/(1 + r[i][j]*dt);
}
}
} |
Re: aide pour un programme a compiler
Citation:
Envoyé par letombeur
slt j'essaie de compilier ca mais ca ne marche pas :(.. qu'un pour m'aider ? merci :) :cry:
Qu'est ce qui ne marche pas? On est peut etre hot, mais on est pas devin ;)
Et oublie pas d'utiliser la balise code.
