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
23 lines
559 B
C++
23 lines
559 B
C++
/**
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* @file FlatYieldCurve.hpp
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* @brief Constant zero rate yield curve.
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*/
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#ifndef QUANTENGINE_FLATYIELDCURVE_HPP
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#define QUANTENGINE_FLATYIELDCURVE_HPP
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#include "YieldCurve.hpp"
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#include <cmath>
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/**
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* @brief @f$P(t)=e^{-r t}@f$, @f$f(t)\equiv r@f$.
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*/
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class FlatYieldCurve : public YieldCurve{
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public:
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explicit FlatYieldCurve(double rate = 0.01) : rate_(rate) {}
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double discount(double t) const override {return std::exp(-rate_ * t); };
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double zeroRate(double t) const override {return rate_; }
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private:
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double rate_ = 0.01;
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};
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#endif
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