Voici le code :
#include "stdafx.h"
#include<iostream>
#include <stdio.h>
#include <stdlib.h>
#include <time.h>
#include <math.h>
using namespace std;
double monte_carlo(double , double , double, double, double );
int main()
{
double vol,d,prix,strike,nb_traj;
cout<<"Entrer la valeur du prix actuel"<<endl;
cin>>prix;
cout<<"Entrer la vol"<<endl;
cin>>vol;
cout<<"Entrer la date d'expiration"<<endl;
cin>>d;
cout<<"entrer le strike"<<endl;
cin>>strike;
cout<<"Entrer le nombre d'iterations souhaitees : "<<endl;
cin>>nb_traj;
cout<<monte_carlo(vol,d,prix,strike,nb_traj)<<endl;
return 0;
}
double monte_carlo(double vol, double date_expiration, double prix_actu,double strike,double nb_traj )
{
int compteur=0;
double date=date_expiration/365,call;
float moy;
long double Sum=0.0;
while(compteur<=nb_traj)
{
double u1,u2,z1,w1,s1;
u1=(rand() % 101)/100.0;
u2=(rand() % 101)/100.0;
z1=sqrt(-2*log(u1))*cos(2*3.1415926535897932384*u2);
w1=z1*sqrt(date);
s1=prix_actu*exp((-vol*vol*date*0.5)+vol*w1);
if(s1-strike>0)
{
call=s1-strike;
}
else
{
call=0.0;
}
Sum+=call;
compteur+=1;
}
return Sum/nb_traj;
}
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