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
30 lines
721 B
C++
30 lines
721 B
C++
/**
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* @file PricingEngine.hpp
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* @brief Abstract pricer for @ref Instrument given a stochastic model.
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*/
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#ifndef QUANTENGINE_PRICINGENGINE_HPP
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#define QUANTENGINE_PRICINGENGINE_HPP
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#include <memory>
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#include "StochasticProcess.hpp"
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class Instrument;
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/**
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* @brief Computes model price of an instrument (e.g. Monte Carlo, PDE, closed form).
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*/
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class PricingEngine {
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public:
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PricingEngine() = default;
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PricingEngine(std::unique_ptr<StochasticProcess> process) : process_(std::move(process)){}
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virtual ~PricingEngine() = default;
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virtual double calculate(const Instrument& instrument) const = 0;
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protected:
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std::unique_ptr<StochasticProcess> process_;
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};
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#endif //QUANTENGINE_PRICINGENGINE_HPP
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