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
26 lines
846 B
C++
26 lines
846 B
C++
/**
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* @file MonteCarloEngine.hpp
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* @brief Monte Carlo pricing using a @ref StochasticProcess and @ref RandomGenerator.
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*/
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#ifndef QUANTENGINE_MONTECARLOENGINE_HPP
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#define QUANTENGINE_MONTECARLOENGINE_HPP
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#include "PricingEngine.hpp"
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#include "RandomGenerator.hpp"
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/**
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* @brief Simple path simulation: one Euler/exact step to horizon, average discounted payoff.
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*/
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class MonteCarloEngine : public PricingEngine{
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public:
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MonteCarloEngine() = default;
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MonteCarloEngine(int numPaths, std::unique_ptr<StochasticProcess> process, std::shared_ptr<RandomGenerator> rng):
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numPaths_(numPaths), PricingEngine(std::move(process)), rng_(std::move(rng)) {}
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double calculate(const Instrument& instrument) const override;
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private:
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int numPaths_;
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std::shared_ptr<RandomGenerator> rng_;
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};
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#endif //QUANTENGINE_MONTECARLOENGINE_HPP
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