Restructure C++ core into cpp module and package bindings.

Move the pricing engine sources out of src/ into cpp/, add the closed-form engine and pybind wiring, and align tests/build targets with the new project layout.

Made-with: Cursor

cpp/BSWrapper.cpp

@@ -0,0 +1,49 @@
+//
+// Created by David Doebel  on 27.03.2026.
+//
+
+#include "BSWrapper.hpp"
+
+#include "BlackScholesClosedFormEngine.hpp"
+#include "BlackScholesProcess.hpp"
+#include "Instrument.hpp"
+#include "Option.hpp"
+#include "FlatVolatilitySurface.hpp"
+#include "FlatYieldCurve.hpp"
+#include <cassert>
+#include <iostream>
+
+class FlatYieldCurve;
+
+double BSWrapper::bs_price_wrapper(double S, double K, double T, double r, double sigma,
+    bool is_call) {
+    std::shared_ptr<FlatYieldCurve> flat_curve = std::make_shared<FlatYieldCurve>(r);
+    auto flat_vol_surface = std::make_shared<FlatVolatilitySurface>(sigma);
+    MarketData data(S,flat_curve, flat_vol_surface);
+    std::unique_ptr<BlackScholesProcess> process = std::make_unique<BlackScholesProcess>(data);
+    std::unique_ptr<BlackScholesClosedFormEngine> pricing_engine =
+        std::make_unique<BlackScholesClosedFormEngine>(std::move(process));
+    std::unique_ptr<Payoff> payoff;
+    if (is_call)
+        payoff = std::make_unique<CallPayoff>(K);
+    else payoff = std::make_unique<PutPayoff>(K);
+    EuropeanExercise exercise(T);
+    VanillaOption option(T,std::make_unique<EuropeanExercise>(exercise),
+        std::move(payoff),std::move(pricing_engine));
+    return option.price();
+}
+
+std::vector<double> BSWrapper::batch_bs_price_wrapper(const std::vector<double> &S, const std::vector<double> &K,
+    const std::vector<double> &T, const std::vector<double> &r, const std::vector<double> &sigma,
+    const std::vector<bool> &is_call) {
+    assert(K.size() == S.size() && K.size() == T.size() && K.size() == r.size() && K.size() ==
+        sigma.size() && K.size() == is_call.size());
+    std::size_t n = K.size();
+    std::vector<double> result(n);
+    for (std::size_t i = 0; i < n; ++i) {
+        result[i] = bs_price_wrapper(S[i], K[i], T[i], r[i], sigma[i], is_call[i]);
+        if (i % 100 == 0)
+            std::cout << "i = " << i << " result = " << result[i] << std::endl; // ( i % 1000 == 0)
+    }
+    return result;
+}