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
26 lines
782 B
C++
26 lines
782 B
C++
/**
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* @file MonteCarloEngine.cpp
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* @brief Monte Carlo mean estimator with discounting.
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*/
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#include "MonteCarloEngine.hpp"
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#include <iostream>
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#include "Instrument.hpp"
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#include "Statistics.hpp"
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double MonteCarloEngine::calculate(const Instrument &instrument) const {
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// parameters
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double T = instrument.maturity();
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double spot = process_->data().spot();
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Statistics stats;
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auto rNumbers = rng_->nextGaussianVector(numPaths_);
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std::vector<double> payoffs(numPaths_);
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for (std::size_t i = 0; i < numPaths_; ++i) {
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double terminalPrice = process_->step(0.0,spot,T,rNumbers[i]);
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double payoff = instrument.payoff()(terminalPrice);
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stats.dump(payoff);
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}
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return stats.mean() * process_->data().yield_curve().discount(T);
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}
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