23 lines
784 B
C++
23 lines
784 B
C++
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/**
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* @file BlackScholesClosedFormEngine.hpp
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* @brief Risk-neutral Black–Scholes formula for European payoffs under GBM (flat or surface inputs via @ref MarketData).
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*/
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#ifndef QUANTENGINE_BLACKSCHOLESCLOSEDFORMENGINE_HPP
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#define QUANTENGINE_BLACKSCHOLESCLOSEDFORMENGINE_HPP
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#include "PricingEngine.hpp"
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/**
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* @brief Analytic European vanilla / digital prices using @f$r@f$ and @f$\sigma(K,T)@f$ from the embedded process’s @ref MarketData.
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*/
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class BlackScholesClosedFormEngine : public PricingEngine {
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public:
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explicit BlackScholesClosedFormEngine(std::unique_ptr<StochasticProcess> process)
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: PricingEngine(std::move(process)) {}
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double calculate(const Instrument &instrument) const override;
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};
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#endif // QUANTENGINE_BLACKSCHOLESCLOSEDFORMENGINE_HPP
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