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
2026-04-02 16:30:33 +02:00
parent 61df0b425d
commit 087a2f0d74
53 changed files with 803 additions and 195 deletions
--- a/cpp/CMakeLists.txt
+++ b/cpp/CMakeLists.txt
@@ -0,0 +1,65 @@
+add_library(qengine_core
+        Instrument.cpp
+        Instrument.hpp
+        Payoff.cpp
+        Payoff.hpp
+        Option.cpp
+        Option.hpp
+        PricingEngine.cpp
+        PricingEngine.hpp
+        MonteCarloEngine.cpp
+        MonteCarloEngine.hpp
+        StochasticProcess.cpp
+        StochasticProcess.hpp
+        Exercise.cpp
+        Exercise.hpp
+        MarketData.cpp
+        MarketData.hpp
+        YieldCurve.cpp
+        YieldCurve.hpp
+        VolatilitySurface.cpp
+        VolatilitySurface.hpp
+        RandomGenerator.cpp
+        RandomGenerator.hpp
+        Statistics.cpp
+        Statistics.hpp
+        BlackScholesClosedFormEngine.cpp
+        BlackScholesClosedFormEngine.hpp
+        BlackScholesProcess.cpp
+        BlackScholesProcess.hpp
+        DBIngest.cpp
+        DBIngest.hpp
+        BSWrapper.cpp
+        BSWrapper.hpp
+        NewtonSolver.cpp
+        NewtonSolver.hpp
+)
+
+target_include_directories(qengine_core PUBLIC ${CMAKE_CURRENT_SOURCE_DIR})
+target_include_directories(qengine_core PRIVATE
+        /opt/homebrew/include
+)
+
+find_library(PQXX_LIB pqxx PATHS /opt/homebrew/lib /usr/local/lib /usr/lib)
+find_library(PQ_LIB pq PATHS /opt/homebrew/opt/libpq/lib /opt/homebrew/lib /usr/local/lib /usr/lib)
+if(NOT PQXX_LIB OR NOT PQ_LIB)
+    message(FATAL_ERROR "Could not find libpqxx and/or libpq (install via Homebrew: brew install libpqxx libpq)")
+endif()
+
+target_link_libraries(qengine_core Eigen3::Eigen)
+target_link_libraries(qengine_core ${PQXX_LIB} ${PQ_LIB})
+
+# Python import path: package qengine, extension submodule qengine (file qengine/qengine*.so)
+pybind11_add_module(qengine_cpp MODULE ImpliedVolatility/Pybind.cpp)
+set_target_properties(qengine_cpp PROPERTIES OUTPUT_NAME qengine)
+target_link_libraries(qengine_cpp PRIVATE qengine_core)
+
+# Place the module next to qengine/__init__.py so `import qengine` works from the repo root
+set(_qengine_py_pkg "${CMAKE_SOURCE_DIR}/qengine")
+set_target_properties(qengine_cpp PROPERTIES
+        LIBRARY_OUTPUT_DIRECTORY "${_qengine_py_pkg}"
+        LIBRARY_OUTPUT_DIRECTORY_RELEASE "${_qengine_py_pkg}"
+        LIBRARY_OUTPUT_DIRECTORY_DEBUG "${_qengine_py_pkg}"
+        RUNTIME_OUTPUT_DIRECTORY "${_qengine_py_pkg}"
+        RUNTIME_OUTPUT_DIRECTORY_RELEASE "${_qengine_py_pkg}"
+        RUNTIME_OUTPUT_DIRECTORY_DEBUG "${_qengine_py_pkg}")