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

26
cpp/MonteCarloEngine.hpp Normal file
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/**
* @file MonteCarloEngine.hpp
* @brief Monte Carlo pricing using a @ref StochasticProcess and @ref RandomGenerator.
*/
#ifndef QUANTENGINE_MONTECARLOENGINE_HPP
#define QUANTENGINE_MONTECARLOENGINE_HPP
#include "PricingEngine.hpp"
#include "RandomGenerator.hpp"
/**
* @brief Simple path simulation: one Euler/exact step to horizon, average discounted payoff.
*/
class MonteCarloEngine : public PricingEngine{
public:
MonteCarloEngine() = default;
MonteCarloEngine(int numPaths, std::unique_ptr<StochasticProcess> process, std::shared_ptr<RandomGenerator> rng):
numPaths_(numPaths), PricingEngine(std::move(process)), rng_(std::move(rng)) {}
double calculate(const Instrument& instrument) const override;
private:
int numPaths_;
std::shared_ptr<RandomGenerator> rng_;
};
#endif //QUANTENGINE_MONTECARLOENGINE_HPP