#include "euro_opt_diff_BDT.cpp"
#include "Point.cpp"
#include "Curve.cpp"
#include "SdeIntegrator.h"
#include <vector>
#include <iostream>
#include <fstream>
#include <string>
#include <math.h>

void main(){

	vector<double> time;
	time.push_back(0.);time.push_back(0.12);time.push_back(0.25);
	time.push_back(0.37); 
    vector<double>frwd;
	frwd.push_back(0.106);frwd.push_back(0.160);frwd.push_back(0.170);
	frwd.push_back(0.1835); 
	vector<double>vol;
	vol.push_back(0.26);vol.push_back(0.220);vol.push_back(0.170);
	vol.push_back(0.1835); 

    double S = 100.0;
    double K = 100.0;
    double B_maturity = 2.0;
    double O_maturity = 1.0;

    int points_curve = 100;
    int num_sim = 10;  
    
	Spline spline;
    double* t = spline.spline_time_array(points_curve,B_maturity);
    double* yield = spline.spline_array(time,frwd,points_curve,B_maturity);
    double* yield_prime = spline.spline_prime_array(time,frwd,points_curve,B_maturity);
    double* sigma = spline.spline_array(time,vol,points_curve,B_maturity);
    double* sigma_prime = spline.spline_prime_array(time,vol,points_curve,B_maturity);
    double r = yield[0];

    euro_option_diff_BDT option;
    //option only parameters
    option.set_O_maturity(O_maturity);
    option.set_strike(K);
    option.set_face(S);
    //bond parameters
    option.bond.set_B_maturity(B_maturity);
    option.bond.set_time(t);
    option.bond.set_yield(yield);
    option.bond.set_yield_prime(yield_prime);
    option.bond.set_sigma(sigma);
    option.bond.set_sigma_prime(sigma_prime);
    option.bond.set_r0(yield[0]);
    option.bond.set_r(option.bond.get_r0());
    option.bond.set_dt(B_maturity/points_curve);
    option.bond.sde.set_X0(option.bond.get_r0());
    option.bond.set_SDE();            

    int min=num_sim;
    TwoCurve curve;
    curve=option.bond.gen_AverBondandIRvsMaturity(num_sim,points_curve,S);

    double option_price=option.calculate_call_aver(num_sim,points_curve);

 }