Create option pricing engine structure, test architecture.
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This commit is contained in:
David Doebel
2026-03-08 10:15:23 +01:00
parent 1c61e664b3
commit 08298439ea
47 changed files with 815 additions and 223 deletions

18
src/Payoff.cpp Normal file
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//
// Created by David Doebel on 05.03.2026.
//
#include "Payoff.hpp"
#include <algorithm>
double CallPayoff::operator()(double S) {
return std::max(0., S - strike_);
}
double PutPayoff::operator()(double S) {
return std::max(0., strike_ - S);
}
double DigitalPayoff::operator()(double S) {
return S > strike_ ? 1. : 0.;
}