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
This commit is contained in:
David Doebel
2026-04-02 16:30:33 +02:00
parent 61df0b425d
commit 087a2f0d74
53 changed files with 803 additions and 195 deletions

22
cpp/FlatYieldCurve.hpp Normal file
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/**
* @file FlatYieldCurve.hpp
* @brief Constant zero rate yield curve.
*/
#ifndef QUANTENGINE_FLATYIELDCURVE_HPP
#define QUANTENGINE_FLATYIELDCURVE_HPP
#include "YieldCurve.hpp"
#include <cmath>
/**
* @brief @f$P(t)=e^{-r t}@f$, @f$f(t)\equiv r@f$.
*/
class FlatYieldCurve : public YieldCurve{
public:
explicit FlatYieldCurve(double rate = 0.01) : rate_(rate) {}
double discount(double t) const override {return std::exp(-rate_ * t); };
double zeroRate(double t) const override {return rate_; }
private:
double rate_ = 0.01;
};
#endif