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
61 lines
1.4 KiB
C++
61 lines
1.4 KiB
C++
/**
|
|
* @file Exercise.hpp
|
|
* @brief Exercise style (European, American, Bermudan) and exercise times.
|
|
*/
|
|
|
|
#ifndef QUANTENGINE_EXERCISE_HPP
|
|
#define QUANTENGINE_EXERCISE_HPP
|
|
#include <vector>
|
|
|
|
/**
|
|
* @brief Describes when the holder may exercise (metadata for pricing engines).
|
|
*/
|
|
class Exercise {
|
|
public:
|
|
Exercise() = default;
|
|
virtual ~Exercise() = default;
|
|
enum class Type {
|
|
European,
|
|
American,
|
|
Bermudan
|
|
};
|
|
|
|
virtual Type type() const = 0;
|
|
protected:
|
|
std::vector<double> exercise_times_;
|
|
|
|
};
|
|
|
|
/** @brief Single exercise at maturity. */
|
|
class EuropeanExercise : public Exercise {
|
|
public:
|
|
EuropeanExercise() : type_(Type::European) {};
|
|
EuropeanExercise(double maturity) : type_(Type::European){
|
|
exercise_times_.push_back(maturity);
|
|
}
|
|
~EuropeanExercise() override = default;
|
|
[[nodiscard]] Type type() const override {
|
|
return type_;
|
|
}
|
|
private:
|
|
Type type_;
|
|
};
|
|
|
|
/** @brief Continuous American exercise from @f$t=0@f$ to maturity (placeholder grid). */
|
|
class AmericanExercise : public Exercise{
|
|
public:
|
|
AmericanExercise() : type_(Type::American) {};
|
|
AmericanExercise(double maturity) : type_(Type::American) {
|
|
exercise_times_.push_back(0);
|
|
exercise_times_.push_back(maturity);
|
|
}
|
|
[[nodiscard]] Type type() const override {
|
|
return type_;
|
|
}
|
|
|
|
private:
|
|
Type type_;
|
|
};
|
|
|
|
|
|
#endif //QUANTENGINE_EXERCISE_HPP
|