Create core structure

CMakeLists.txt

@@ -0,0 +1,10 @@
+cmake_minimum_required(VERSION 3.16)
+project(QuantEngine)
+
+set(CMAKE_CXX_STANDARD 20)
+set(CMAKE_CXX_FLAGS "-O3 -march=native")
+
+find_package(Eigen3 REQUIRED)
+
+add_subdirectory(src)
+

Notes.md

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+### Coding Language 
+First we need to decide on the language that we will use. 
+As C++ is very efficient, the core engine will be written in C++, and 
+exposed to the Research layer via `pybind11`. 

README.md

@@ -1,3 +1,5 @@
 # pricing
 
-Monte Carlo pricing of European options under Black–Scholes
+Monte Carlo pricing of European options under Black–Scholes
+
+### Project structure

src/CMakeLists.txt

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+add_library(qengine
+        black_scholes.cpp
+        monte_carlo.cpp
+        payoff.cpp
+        main.cpp
+)
+
+target_include_directories(qengine PUBLIC ${CMAKE_CURRENT_SOURCE_DIR})
+target_link_libraries(qengine Eigen3::Eigen)

src/black_scholes.cpp

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+//
+// Created by David Doebel  on 03.03.2026.
+//
+
+#include "black_scholes.hpp"

src/black_scholes.hpp

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+//
+// Created by David Doebel  on 03.03.2026.
+//
+
+#ifndef OPTION_PRICING_BLACK_SCHOLES_HPP
+#define OPTION_PRICING_BLACK_SCHOLES_HPP
+
+#include <cmath>
+
+class BlackScholes {
+public:
+    BlackScholes(double S0, double r, double sigma, double T)
+        : S0_(S0), r_(r), sigma_(sigma), T_(T) {}
+
+    double terminal_price(double Z) const {
+        return S0_ * std::exp(
+            (r_ - 0.5 * sigma_ * sigma_) * T_
+            + sigma_ * std::sqrt(T_) * Z
+        );
+    }
+
+    double discount() const {
+        return std::exp(-r_ * T_);
+    }
+
+private:
+    double S0_, r_, sigma_, T_;
+};
+
+#endif //OPTION_PRICING_BLACK_SCHOLES_HPP

src/main.cpp

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+//
+// Created by David Doebel  on 03.03.2026.
+//
+
+#include "black_scholes.hpp"
+#include "monte_carlo.hpp"
+#include "payoff.hpp"
+#include <iostream>
+
+int main() {
+
+    BlackScholes model(100.0, 0.05, 0.2, 1.0);
+    CallPayoff payoff(100.0);
+
+    MonteCarloEngine mc;
+
+    double price = mc.price(model, payoff, 1000000);
+
+    std::cout << "MC Price: " << price << std::endl;
+
+    return 0;
+}

src/monte_carlo.cpp

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+//
+// Created by David Doebel  on 03.03.2026.
+//
+
+#include "monte_carlo.hpp"

src/monte_carlo.hpp

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+//
+// Created by David Doebel  on 03.03.2026.
+//
+
+#ifndef OPTION_PRICING_MONTE_CARLO_HPP
+#define OPTION_PRICING_MONTE_CARLO_HPP
+#pragma once
+#include <random>
+#include <vector>
+
+class MonteCarloEngine {
+public:
+    MonteCarloEngine(unsigned long seed = 42)
+        : gen_(seed), dist_(0.0, 1.0) {}
+
+    template<typename Model, typename Payoff>
+    double price(const Model& model,
+                 const Payoff& payoff,
+                 std::size_t N) {
+
+        double sum = 0.0;
+
+        for (std::size_t i = 0; i < N; ++i) {
+            double Z = dist_(gen_);
+            double ST = model.terminal_price(Z);
+            sum += payoff(ST);
+        }
+
+        return model.discount() * sum / N;
+    }
+
+private:
+    std::mt19937_64 gen_;
+    std::normal_distribution<> dist_;
+};
+#endif //OPTION_PRICING_MONTE_CARLO_HPP

src/payoff.cpp

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+//
+// Created by David Doebel  on 03.03.2026.
+//
+
+#include "payoff.hpp"
+
+#include <algorithm>
+
+double CallPayoff::operator()(double ST) const {
+    return std::max(ST - K_, 0.0);
+}

src/payoff.hpp

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+//
+// Created by David Doebel  on 03.03.2026.
+//
+
+#ifndef OPTION_PRICING_PAYOFF_HPP
+#define OPTION_PRICING_PAYOFF_HPP
+class Payoff {
+public:
+    virtual double operator()(double ST) const = 0;
+    virtual ~Payoff() = default;
+};
+
+class CallPayoff : public Payoff {
+public:
+    CallPayoff(double K) : K_(K) {}
+
+    double operator()(double ST) const override;
+private:
+    double K_;
+};
+#endif //OPTION_PRICING_PAYOFF_HPP