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
42 lines
1.0 KiB
C++
42 lines
1.0 KiB
C++
/**
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* @file Instrument.hpp
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* @brief Generic derivative instrument: payoff plus pricing engine.
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*/
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#ifndef QUANTENGINE_INSTRUMENT_HPP
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#define QUANTENGINE_INSTRUMENT_HPP
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#include "Exercise.hpp"
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#include "Payoff.hpp"
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#include "PricingEngine.hpp"
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#include <memory>
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class PricingEngine;
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/**
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* @brief Represents a tradeable claim priced via a @ref PricingEngine.
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*/
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class Instrument {
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public:
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Instrument() = default;
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Instrument(double maturity, std::unique_ptr<Payoff> payoff, std::unique_ptr<PricingEngine> engine);
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double price() const;
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[[nodiscard]] double maturity() const {
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return maturity_;
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}
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[[nodiscard]] Payoff& payoff() const {
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return *payoff_;
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}
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/** @brief Base @ref Instrument is treated as European unless overridden by @ref Option. */
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[[nodiscard]] virtual Exercise::Type exerciseType() const { return Exercise::Type::European; }
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protected:
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double maturity_;
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std::unique_ptr<Payoff> payoff_;
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std::unique_ptr<PricingEngine> engine_;
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};
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#endif //QUANTENGINE_INSTRUMENT_HPP
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