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
41 lines
869 B
C++
41 lines
869 B
C++
/**
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* @file YieldCurve.hpp
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* @brief Abstract yield curve: discount factors and zero rates.
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*/
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#ifndef QUANTENGINE_YIELDCURVE_HPP
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#define QUANTENGINE_YIELDCURVE_HPP
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/**
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* @brief Risk-free rate term structure for discounting and risk-neutral drift.
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*/
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class YieldCurve {
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public:
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YieldCurve() = default;
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YieldCurve(const YieldCurve &other) {
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}
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YieldCurve(YieldCurve &&other) noexcept {
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}
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YieldCurve & operator=(const YieldCurve &other) {
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if (this == &other)
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return *this;
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return *this;
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}
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YieldCurve & operator=(YieldCurve &&other) noexcept {
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if (this == &other)
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return *this;
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return *this;
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}
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virtual ~YieldCurve() = default;
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virtual double discount(double t) const = 0;
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virtual double zeroRate(double t) const = 0;
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};
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#endif //QUANTENGINE_YIELDCURVE_HPP
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