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
33 lines
812 B
C++
33 lines
812 B
C++
/**
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* @file StochasticProcess.hpp
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* @brief Interface for SDE drift, diffusion, and time stepping.
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*/
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#ifndef QUANTENGINE_STOCHASTICPROCESS_HPP
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#define QUANTENGINE_STOCHASTICPROCESS_HPP
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#include "MarketData.hpp"
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#include <memory>
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/**
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* @brief Stochastic model for the underlying, driven by @ref MarketData.
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*/
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class StochasticProcess {
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public:
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StochasticProcess() = delete;
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explicit StochasticProcess(MarketData data) : data_(std::move(data)){}
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virtual ~StochasticProcess() = default;
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virtual double drift(double t, double s) = 0;
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virtual double diffusion(double t, double s) = 0;
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virtual double step(double t, double s, double dt, double dW) = 0;
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const MarketData& data() const {return data_;}
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private:
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MarketData data_;
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};
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#endif //QUANTENGINE_STOCHASTICPROCESS_HPP
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