BlackSholes.hpp

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#ifndef FTQUANT_BLACKSCHOLES_HPP
#define FTQUANT_BLACKSCHOLES_HPP
#include <vector>
#include <functional>
 
void thomas_algorithm(std::vector<double>& v, std::vector<double>& a,
                      std::vector<double>& b, std::vector<double>& c,
                      std::vector<double>& f);
 
class BlackScholes {
 private:
  double r;
  double sigma;
 
 public:
  BlackScholes() : r(0.), sigma(1.) {}
 
  BlackScholes(double r, double sigma) : r(r), sigma(sigma) {}
 
  std::vector<std::vector<double>> generate_paths(int n_paths, int steps,
                                                  double T, double spot,
                                                  bool antithetic = true);
  void calibrate(std::vector<double>& stock_prices);
  std::vector<std::vector<double>> pde_pricer(
      double r, double sigma, double T, std::function<double(double)> payoff,
      double S_max, double S_min, int M, int N);
};
 
#endif  //FTQUANT_BLACKSCHOLES_HPP