refactor: move everythig into folders and fix convergency tests

Author: ChronoInferna

cmake/README.md

@@ -1,34 +1,14 @@
 #pragma once
 
-#include "lfmc/types.hpp"
+#include "lfmc/core/types.hpp"
+#include "lfmc/estimator/estimator.hpp"
 
 #include <expected>
 #include <string>
 #include <vector>
 
 namespace lfmc {
 
-class Estimator {
-  public:
-    virtual std::expected<void, std::string> add_payoffs(const std::vector<Payoffs>& payoffs) = 0;
-    virtual bool converged() const = 0;
-    virtual std::expected<double, std::string> result() const = 0;
-    // virtual void merge(Estimator const& other) = 0;
-    virtual ~Estimator() = default;
-};
-
-class MonteCarloEstimator : public Estimator {
-  private:
-    double sum = 0.0;
-    std::size_t count = 0;
-
-  public:
-    std::expected<void, std::string> add_payoffs(const std::vector<Payoffs>& payoffs) override;
-    bool converged() const override;
-    std::expected<double, std::string> result() const override;
-    // void merge(Estimator const& other) override;
-};
-
 // TODO if control is analytically known, can put it at payoff level
 class ControlVariateEstimator : public Estimator {
   private:

include/lfmc/types.hpp include/lfmc/core/types.hppinclude/lfmc/types.hpp renamed to include/lfmc/core/types.hpp

@@ -0,0 +1,20 @@
+#pragma once
+
+#include "lfmc/core/types.hpp"
+
+#include <expected>
+#include <string>
+#include <vector>
+
+namespace lfmc {
+
+class Estimator {
+  public:
+    virtual std::expected<void, std::string> add_payoffs(const std::vector<Payoffs>& payoffs) = 0;
+    virtual bool converged() const = 0;
+    virtual std::expected<double, std::string> result() const = 0;
+    // virtual void merge(Estimator const& other) = 0;
+    virtual ~Estimator() = default;
+};
+
+} // namespace lfmc

include/lfmc/engine.hpp include/lfmc/engine/engine.hppinclude/lfmc/engine.hpp renamed to include/lfmc/engine/engine.hpp

@@ -0,0 +1,24 @@
+#pragma once
+
+#include "lfmc/core/types.hpp"
+#include "lfmc/estimator/estimator.hpp"
+
+#include <expected>
+#include <string>
+#include <vector>
+
+namespace lfmc {
+
+class MonteCarloEstimator : public Estimator {
+  private:
+    double sum = 0.0;
+    std::size_t count = 0;
+
+  public:
+    std::expected<void, std::string> add_payoffs(const std::vector<Payoffs>& payoffs) override;
+    bool converged() const override;
+    std::expected<double, std::string> result() const override;
+    // void merge(Estimator const& other) override;
+};
+
+} // namespace lfmc

include/lfmc/estimator.hpp …/estimator/control_variate_estimator.hppinclude/lfmc/estimator.hpp renamed to include/lfmc/estimator/control_variate_estimator.hpp include/lfmc/estimator.hpp renamed to include/lfmc/estimator/control_variate_estimator.hpp

@@ -0,0 +1,17 @@
+#pragma once
+
+#include "lfmc/stochastic_process/stochastic_process.hpp"
+
+#include <cmath>
+
+namespace lfmc {
+
+template <StochasticProcess P> class EulerMaruyama {
+  public:
+    double step(P const& process, double x, double t, double dt, double z) const noexcept {
+        double drift = process.drift(x, t);
+        double diffusion = process.diffusion(x, t);
+        return x + drift * dt + diffusion * std::sqrt(dt) * z;
+    }
+};
+} // namespace lfmc

include/lfmc/estimator/estimator.hpp

@@ -1,7 +1,5 @@
 #pragma once
 
-#include "lfmc/stochastic_process.hpp"
-
 #include <cmath>
 #include <concepts>
 
@@ -13,15 +11,6 @@ concept NumericalScheme =
         { s.step(p, x, t, dt, z) } -> std::convertible_to<double>;
     };
 
-template <StochasticProcess P> class EulerMaruyama {
-  public:
-    double step(P const& process, double x, double t, double dt, double z) const noexcept {
-        double drift = process.drift(x, t);
-        double diffusion = process.diffusion(x, t);
-        return x + drift * dt + diffusion * std::sqrt(dt) * z;
-    }
-};
-
 /**
  * @brief Exact simulation for Geometric Brownian Motion.
  *

include/lfmc/estimator/monte_carlo_estimator.hpp

@@ -1,8 +1,8 @@
 #pragma once
 
-#include "lfmc/numerical_scheme.hpp"
-#include "lfmc/stochastic_process.hpp"
-#include "lfmc/types.hpp"
+#include "lfmc/core/types.hpp"
+#include "lfmc/numerical_scheme/numerical_scheme.hpp"
+#include "lfmc/stochastic_process/stochastic_process.hpp"
 
 #include <expected>
 #include <string>

include/lfmc/numerical_scheme/euler_maruyama.hpp

@@ -0,0 +1,33 @@
+#pragma once
+
+#include "lfmc/core/types.hpp"
+#include "lfmc/payoff/payoff.hpp"
+
+#include <expected>
+#include <vector>
+
+namespace lfmc {
+
+class AsianCall : public Payoff {
+  private:
+    double strike_;
+
+  public:
+    explicit AsianCall(double strike);
+
+    std::expected<std::vector<Payoffs>, std::string>
+    generate_payoffs(const std::vector<Path>& paths) const override;
+};
+
+class AsianPut : public Payoff {
+  private:
+    double strike_;
+
+  public:
+    explicit AsianPut(double strike);
+
+    std::expected<std::vector<Payoffs>, std::string>
+    generate_payoffs(const std::vector<Path>& paths) const override;
+};
+
+} // namespace lfmc