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

26
src/PricingEngine.hpp Normal file
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//
// Created by David Doebel on 05.03.2026.
//
#ifndef QUANTENGINE_PRICINGENGINE_HPP
#define QUANTENGINE_PRICINGENGINE_HPP
#include <memory>
#include "StochasticProcess.hpp"
class Instrument;
class PricingEngine {
public:
PricingEngine() = default;
PricingEngine(std::unique_ptr<StochasticProcess> process) : process_(std::move(process)){}
virtual ~PricingEngine() = default;
virtual double calculate(const Instrument& instrument) const = 0;
protected:
std::unique_ptr<StochasticProcess> process_;
};
#endif //QUANTENGINE_PRICINGENGINE_HPP