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
25 lines
679 B
C++
25 lines
679 B
C++
/**
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* @file BlackScholesProcess.cpp
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* @brief Black–Scholes GBM drift, diffusion, and step.
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*/
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#include "BlackScholesProcess.hpp"
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double BlackScholesProcess::drift(double t, double s) {
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double r = this->data().yield_curve().zeroRate(t);
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return r * s;
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}
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double BlackScholesProcess::diffusion(double t, double s) {
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double sigma = this->data().volatility_surface().sigma(s,t);
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return sigma*s;
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}
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double BlackScholesProcess::step(double t, double s, double dt, double dW) {
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double r = this->data().yield_curve().zeroRate(t);
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double sigma = this->data().volatility_surface().sigma(s,t);
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return s*exp((r-0.5*sigma*sigma)*dt + sigma*sqrt(dt)*dW);
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}
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