24 lines
729 B
C++
24 lines
729 B
C++
|
/**
|
|||
|
|
* @file BSWrapper.hpp
|
|||
|
|
* @brief Black–Scholes vanilla price (closed form; used from Python / implied vol).
|
|||
|
|
*/
|
|||
|
|
|
|||
|
|
#ifndef QUANTENGINE_BSWRAPPER_HPP
|
|||
|
|
#define QUANTENGINE_BSWRAPPER_HPP
|
|||
|
|
#include <vector>
|
|||
|
|
|
|||
|
|
/**
|
|||
|
|
* @brief Static helpers wrapping scalar and batch pricing.
|
|||
|
|
*/
|
|||
|
|
class BSWrapper {
|
|||
|
|
public:
|
|||
|
|
BSWrapper() = delete;
|
|||
|
|
static double bs_price_wrapper(double S, double K, double T, double r, double sigma, bool is_call);
|
|||
|
|
static std::vector<double> batch_bs_price_wrapper(const std::vector<double>& S, const std::vector<double>& K,
|
|||
|
|
const std::vector<double>& T, const std::vector<double>& r, const std::vector<double>& sigma,
|
|||
|
|
const std::vector<bool>& is_call);
|
|||
|
|
|
|||
|
|
};
|
|||
|
|
|
|||
|
|
|
|||
|
|
#endif //QUANTENGINE_BSWRAPPER_HPP
|