087a2f0d74
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
24 lines
729 B
C++
24 lines
729 B
C++
/**
|
||
* @file BSWrapper.hpp
|
||
* @brief Black–Scholes vanilla price (closed form; used from Python / implied vol).
|
||
*/
|
||
|
||
#ifndef QUANTENGINE_BSWRAPPER_HPP
|
||
#define QUANTENGINE_BSWRAPPER_HPP
|
||
#include <vector>
|
||
|
||
/**
|
||
* @brief Static helpers wrapping scalar and batch pricing.
|
||
*/
|
||
class BSWrapper {
|
||
public:
|
||
BSWrapper() = delete;
|
||
static double bs_price_wrapper(double S, double K, double T, double r, double sigma, bool is_call);
|
||
static std::vector<double> 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);
|
||
|
||
};
|
||
|
||
|
||
#endif //QUANTENGINE_BSWRAPPER_HPP
|