static void Drift_Computation(int generator, int step_number, double T, double x, double r, double divid, double sigma, NumFunc_2 *p, double K)
{
double S_t;
double h = T / step_number;
/* double sqrt_h = sqrt(h);*/
double trend= (r -divid)- 0.5 * SQR(sigma);
double ss_dt=sigma*sqrt(h);
double *xmin,*xmax,x_min,x_max,dot2;
int i;
double g;
t=T;ri=r;
S0=x;strike=K;
sig=sigma;
dvd=divid;
step_nb=step_number;
for(i=0;i<step_number;i++)
mu[i]=0.;
if((p->Compute) == &Call_OverSpot2)
{
x_min=2.5*t;x_max=5.0*t;
xmin=&x_min;xmax=&x_max;
/*trouve le bon intervalle [xmin,xmax]*/
zbrac(ghscall,xmin,xmax);
/*resoud l equation ghs(x)=0*/
g=rtbis(ghscall,(*xmin),(*xmax),1e-8);
mu[0]=ss_dt*(g+K)/g;
dot2=SQR(mu[0]);S_t=1.0;
for(i=1;i<step_number;i++)
{
mu[i]=mu[i-1]-ss_dt*S0*S_t/(step_number*g);
S_t=S_t*exp(trend*h+ss_dt*mu[i]);
dot2+=SQR(mu[i]);
}
}
else if((p->Compute) == &Put_OverSpot2)
{
x_min=-5.0;x_max=-0.1;
xmin=&x_min;xmax=&x_max;
/*trouve le bon intervalle [xmin,xmax]*/
zbrac(ghsput,xmin,xmax);
/*resoud l equation ghs(x)=0*/
g=rtbis(ghsput,(*xmin),(*xmax),1e-8);
mu[0]=ss_dt*(g-K)/g;
dot2=SQR(mu[0]);S_t=1.0;
for(i=1;i<step_number;i++)
{
mu[i]=mu[i-1]+ss_dt*S0*S_t/(step_number*g);
S_t=S_t*exp(trend*h+ss_dt*mu[i]);
dot2+=SQR(mu[i]);
}
}
return;
}
int main(void)
{
int i,nb=NBMAX;
float xacc,root,*xb1,*xb2;
xb1=vector(1,NBMAX);
xb2=vector(1,NBMAX);
zbrak(fx,X1,X2,N,xb1,xb2,&nb);
printf("\nRoots of bessj0:\n");
printf("%21s %15s\n","x","f(x)");
for (i=1;i<=nb;i++) {
xacc=(1.0e-6)*(xb1[i]+xb2[i])/2.0;
root=rtbis(fx,xb1[i],xb2[i],xacc);
printf("root %3d %14.6f %14.6f\n",i,root,fx(root));
}
free_vector(xb2,1,NBMAX);
free_vector(xb1,1,NBMAX);
return 0;
}
