Adapt Yield Curve and Volatility Surface and Market Data, to be better compatible with unit test.

src/BlackScholesProcess.hpp

@@ -9,8 +9,7 @@
 
 class BlackScholesProcess : public StochasticProcess{
 public:
-    BlackScholesProcess() = default;
-    BlackScholesProcess(std::unique_ptr<MarketData> data) : StochasticProcess(std::move(data)){}
+    explicit BlackScholesProcess(MarketData data) : StochasticProcess(std::move(data)){}
 
     double drift(double t, double s) override;
 
@@ -21,4 +20,4 @@ public:
 };
 
 
-#endif //QUANTENGINE_BLACKSCHOLESPROCESS_HPP
+#endif //QUANTENGINE_BLACKSCHOLESPROCESS_HPP

src/MarketData.cpp

@@ -5,5 +5,5 @@
 #include "MarketData.hpp"
 
 double MarketData::spot() const { return spot_; }
-YieldCurve& MarketData::yield_curve() { return *yield_curve_; }
-VolatilitySurface& MarketData::volatility_surface() { return *volatility_surface_; }
+const YieldCurve& MarketData::yield_curve() const { return *yield_curve_; }
+const VolatilitySurface& MarketData::volatility_surface() const { return *volatility_surface_; }

src/MarketData.hpp

@@ -10,24 +10,24 @@
 
 class MarketData {
 public:
-    MarketData() = default;
+    MarketData() = delete;
 
-    MarketData(double spot, std::unique_ptr<YieldCurve> yield_curve,
-         std::unique_ptr<VolatilitySurface> volatility_surface)
+    MarketData(double spot, std::shared_ptr<const YieldCurve> yield_curve,
+         std::shared_ptr<const VolatilitySurface> volatility_surface)
         : spot_(spot),
           yield_curve_(std::move(yield_curve)),
           volatility_surface_(std::move(volatility_surface)) {
     }
 
     double spot() const;
-    YieldCurve& yield_curve();
-    VolatilitySurface& volatility_surface();
+    const YieldCurve& yield_curve() const;
+    const VolatilitySurface& volatility_surface() const;
 
 private:
     double spot_;
-    std::unique_ptr<YieldCurve> yield_curve_;
-    std::unique_ptr<VolatilitySurface> volatility_surface_;
+    std::shared_ptr<const YieldCurve> yield_curve_;
+    std::shared_ptr<const VolatilitySurface> volatility_surface_;
 };
 
 
-#endif //QUANTENGINE_MARKETDATA_HPP
+#endif //QUANTENGINE_MARKETDATA_HPP

src/Statistics.hpp

@@ -9,7 +9,7 @@
 
 class Statistics {
 public:
-    Statistics() : moments_({0., 0., 0.}), max_(0.), min_(0.) {}
+    Statistics() : moments_({0., 0., 0.}), n(0), max_(0.), min_(0.) {}
     void dump(double value);
     void clear();
     double mean();
@@ -27,4 +27,4 @@ private:
 };
 
 
-#endif //QUANTENGINE_STATISTICS_HPP
+#endif //QUANTENGINE_STATISTICS_HPP

src/StochasticProcess.hpp

@@ -9,20 +9,20 @@
 
 class StochasticProcess {
 public:
-    StochasticProcess() = default;
-    StochasticProcess(std::unique_ptr<MarketData> data) : data_(std::move(data)){}
+    StochasticProcess() = delete;
+    explicit StochasticProcess(MarketData data) : data_(std::move(data)){}
 
     virtual ~StochasticProcess() = default;
     virtual double drift(double t, double s) = 0;
     virtual double diffusion(double t, double s) = 0;
     virtual double step(double t, double s, double dt, double dW) = 0;
-    MarketData& data() const {return *data_;}
+    const MarketData& data() const {return data_;}
 
 
 private:
-    std::shared_ptr<MarketData> data_;
+    MarketData data_;
 
 };
 
 
-#endif //QUANTENGINE_STOCHASTICPROCESS_HPP
+#endif //QUANTENGINE_STOCHASTICPROCESS_HPP

src/VolatilitySurface.hpp

@@ -9,10 +9,10 @@
 class VolatilitySurface {
 public:
     virtual ~VolatilitySurface() = default;
-    virtual double sigma(double K, double T) = 0;
+    virtual double sigma(double K, double T) const = 0;
 private:
 
 };
 
 
-#endif //QUANTENGINE_VOLATILITYSURFACE_HPP
+#endif //QUANTENGINE_VOLATILITYSURFACE_HPP

src/YieldCurve.hpp

@@ -28,10 +28,10 @@ public:
         return *this;
     }
     virtual ~YieldCurve() = default;
-    virtual double discount(double t) = 0;
-    virtual double zeroRate(double t) = 0;
+    virtual double discount(double t) const = 0;
+    virtual double zeroRate(double t) const = 0;
 
 };
 
 
-#endif //QUANTENGINE_YIELDCURVE_HPP
+#endif //QUANTENGINE_YIELDCURVE_HPP