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
50 lines
1.9 KiB
C++
50 lines
1.9 KiB
C++
//
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// Created by David Doebel on 27.03.2026.
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//
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#include "BSWrapper.hpp"
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#include "BlackScholesClosedFormEngine.hpp"
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#include "BlackScholesProcess.hpp"
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#include "Instrument.hpp"
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#include "Option.hpp"
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#include "FlatVolatilitySurface.hpp"
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#include "FlatYieldCurve.hpp"
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#include <cassert>
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#include <iostream>
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class FlatYieldCurve;
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double BSWrapper::bs_price_wrapper(double S, double K, double T, double r, double sigma,
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bool is_call) {
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std::shared_ptr<FlatYieldCurve> flat_curve = std::make_shared<FlatYieldCurve>(r);
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auto flat_vol_surface = std::make_shared<FlatVolatilitySurface>(sigma);
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MarketData data(S,flat_curve, flat_vol_surface);
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std::unique_ptr<BlackScholesProcess> process = std::make_unique<BlackScholesProcess>(data);
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std::unique_ptr<BlackScholesClosedFormEngine> pricing_engine =
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std::make_unique<BlackScholesClosedFormEngine>(std::move(process));
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std::unique_ptr<Payoff> payoff;
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if (is_call)
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payoff = std::make_unique<CallPayoff>(K);
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else payoff = std::make_unique<PutPayoff>(K);
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EuropeanExercise exercise(T);
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VanillaOption option(T,std::make_unique<EuropeanExercise>(exercise),
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std::move(payoff),std::move(pricing_engine));
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return option.price();
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}
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std::vector<double> BSWrapper::batch_bs_price_wrapper(const std::vector<double> &S, const std::vector<double> &K,
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const std::vector<double> &T, const std::vector<double> &r, const std::vector<double> &sigma,
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const std::vector<bool> &is_call) {
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assert(K.size() == S.size() && K.size() == T.size() && K.size() == r.size() && K.size() ==
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sigma.size() && K.size() == is_call.size());
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std::size_t n = K.size();
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std::vector<double> result(n);
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for (std::size_t i = 0; i < n; ++i) {
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result[i] = bs_price_wrapper(S[i], K[i], T[i], r[i], sigma[i], is_call[i]);
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if (i % 100 == 0)
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std::cout << "i = " << i << " result = " << result[i] << std::endl; // ( i % 1000 == 0)
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}
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return result;
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}
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