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Fix enum class/switch warning.

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This commit is contained in:
Matt Pulver
2019-07-06 08:42:33 -04:00
parent ee4a4181f0
commit cd9c723256
2 changed files with 9 additions and 2 deletions
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8
example/autodiff_black_scholes.cpp
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@@ -5,7 +5,9 @@
#include <boost/math/differentiation/autodiff.hpp>
#include <iostream>
#include <stdexcept>
using namespace boost::math::constants;
using namespace boost::math::differentiation;
// Equations and function/variable names are from
@@ -14,13 +16,13 @@ using namespace boost::math::differentiation;
// Standard normal probability density function
template <typename X>
X phi(X const& x) {
return boost::math::constants::one_div_root_two_pi<X>() * exp(-0.5 * x * x);
return one_div_root_two_pi<X>() * exp(-0.5 * x * x);
}
// Standard normal cumulative distribution function
template <typename X>
X Phi(X const& x) {
return 0.5 * erfc(-boost::math::constants::one_div_root_two<X>() * x);
return 0.5 * erfc(-one_div_root_two<X>() * x);
}
enum class CP { call, put };
@@ -41,6 +43,8 @@ promote<Price, Sigma, Tau, Rate> black_scholes_option_price(CP cp,
return S * Phi(d1) - exp(-r * tau) * K * Phi(d2);
case CP::put:
return exp(-r * tau) * K * Phi(-d2) - S * Phi(-d1);
default:
throw std::runtime_error("Invalid CP value.");
}
}

3
example/autodiff_black_scholes_brief.cpp
View File

@@ -5,6 +5,7 @@
#include <boost/math/differentiation/autodiff.hpp>
#include <iostream>
#include <stdexcept>
using namespace boost::math::constants;
using namespace boost::math::differentiation;
@@ -36,6 +37,8 @@ promote<Price, Sigma, Tau, Rate> black_scholes_option_price(CP cp,
return S * Phi(d1) - exp(-r * tau) * K * Phi(d2);
case CP::put:
return exp(-r * tau) * K * Phi(-d2) - S * Phi(-d1);
default:
throw std::runtime_error("Invalid CP value.");
}
}