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
27 lines
696 B
C++
27 lines
696 B
C++
/**
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* @file BlackScholesProcess.hpp
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* @brief Geometric Brownian motion with yield and volatility surfaces.
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*/
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#ifndef QUANTENGINE_BLACKSCHOLESPROCESS_HPP
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#define QUANTENGINE_BLACKSCHOLESPROCESS_HPP
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#include "StochasticProcess.hpp"
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/**
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* @brief GBM: drift @f$r_t S@f$, diffusion @f$\sigma(S,t) S@f$, exact log-step.
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*/
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class BlackScholesProcess : public StochasticProcess{
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public:
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explicit BlackScholesProcess(MarketData data) : StochasticProcess(std::move(data)){}
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double drift(double t, double s) override;
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double diffusion(double t, double s) override;
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double step(double t, double s, double dt, double dW) override;
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};
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#endif //QUANTENGINE_BLACKSCHOLESPROCESS_HPP
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