Create option pricing engine structure, test architecture.
Some checks failed
C++ CI / build (push) Has been cancelled
Some checks failed
C++ CI / build (push) Has been cancelled
This commit is contained in:
26
src/PricingEngine.hpp
Normal file
26
src/PricingEngine.hpp
Normal file
@@ -0,0 +1,26 @@
|
||||
//
|
||||
// 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
|
||||
Reference in New Issue
Block a user