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
66 lines
2.3 KiB
CMake
66 lines
2.3 KiB
CMake
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}")
|