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
20 lines
362 B
C++
20 lines
362 B
C++
/**
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* @file Payoff.cpp
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* @brief Payoff function implementations.
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*/
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#include "Payoff.hpp"
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#include <algorithm>
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double CallPayoff::operator()(double S) {
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return std::max(0., S - strike_);
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}
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double PutPayoff::operator()(double S) {
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return std::max(0., strike_ - S);
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}
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double DigitalPayoff::operator()(double S) {
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return S > strike_ ? 1. : 0.;
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}
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