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
38 lines
973 B
C++
38 lines
973 B
C++
/**
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* @file MarketData.hpp
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* @brief Spot, discount curve, and volatility surface bundle.
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*/
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#ifndef QUANTENGINE_MARKETDATA_HPP
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#define QUANTENGINE_MARKETDATA_HPP
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#include "YieldCurve.hpp"
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#include "VolatilitySurface.hpp"
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#include <memory>
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/**
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* @brief Immutable snapshot of inputs needed to simulate or price.
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*/
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class MarketData {
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public:
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MarketData() = delete;
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MarketData(double spot, std::shared_ptr<const YieldCurve> yield_curve,
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std::shared_ptr<const VolatilitySurface> volatility_surface)
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: spot_(spot),
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yield_curve_(std::move(yield_curve)),
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volatility_surface_(std::move(volatility_surface)) {
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}
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double spot() const;
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const YieldCurve& yield_curve() const;
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const VolatilitySurface& volatility_surface() const;
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private:
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double spot_;
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std::shared_ptr<const YieldCurve> yield_curve_;
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std::shared_ptr<const VolatilitySurface> volatility_surface_;
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};
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#endif //QUANTENGINE_MARKETDATA_HPP
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