23 lines
669 B
C++
23 lines
669 B
C++
|
//
|
||
|
|
// Created by David Doebel on 05.03.2026.
|
||
|
|
//
|
||
|
|
|
||
|
|
#ifndef QUANTENGINE_MONTECARLOENGINE_HPP
|
||
|
|
#define QUANTENGINE_MONTECARLOENGINE_HPP
|
||
|
|
#include "PricingEngine.hpp"
|
||
|
|
#include "RandomGenerator.hpp"
|
||
|
|
|
||
|
|
|
||
|
|
class MonteCarloEngine : public PricingEngine{
|
||
|
|
public:
|
||
|
|
MonteCarloEngine() = default;
|
||
|
|
MonteCarloEngine(int numPaths, std::unique_ptr<StochasticProcess> process, std::shared_ptr<RandomGenerator> rng):
|
||
|
|
numPaths_(numPaths), PricingEngine(std::move(process)), rng_(std::move(rng)) {}
|
||
|
|
double calculate(const Instrument& instrument) const override;
|
||
|
|
private:
|
||
|
|
int numPaths_;
|
||
|
|
std::shared_ptr<RandomGenerator> rng_;
|
||
|
|
};
|
||
|
|
|
||
|
|
|
||
|
|
#endif //QUANTENGINE_MONTECARLOENGINE_HPP
|