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
40 lines
950 B
C++
40 lines
950 B
C++
/**
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* @file Option.hpp
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* @brief Option instrument with exercise style (@ref Exercise).
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*/
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#ifndef QUANTENGINE_OPTION_HPP
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#define QUANTENGINE_OPTION_HPP
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#include "Instrument.hpp"
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#include "Exercise.hpp"
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/**
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* @brief Extends @ref Instrument with exercise schedule / style metadata.
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*/
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class Option : public Instrument{
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public:
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Option() = default;
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virtual ~Option() = default;
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Option(double maturity, std::unique_ptr<Exercise> exercise,
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std::unique_ptr<Payoff> payoff, std::unique_ptr<PricingEngine> engine);
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[[nodiscard]] Exercise& exercise() const {
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return *exercise_;
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}
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[[nodiscard]] Exercise::Type exerciseType() const override { return exercise_->type(); }
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protected:
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std::unique_ptr<Exercise> exercise_;
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};
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/** @brief Plain-vanilla option using the base @ref Option constructor. */
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class VanillaOption : public Option {
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public:
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using Option::Option;
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};
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#endif //QUANTENGINE_OPTION_HPP
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