Welcome to the generated reference for the quant-pricer-cpp library. These pages are published automatically from the main branch and mirror the exact code that ships in the repository.

How to Navigate

Use the left-hand sidebar tree to jump between namespaces (quant::bs, quant::mc, quant::pde, etc.) and source files. The search box filters both symbols and pages in real time.
The Index tab lists every documented class/function; choose Modules for a higher-level entry point (pricing engines, stochastic volatility helpers, grids, RNG utilities).
Each engine page links back to the corresponding implementation file so you can inspect the exact algorithms compiled into the library.

Frequently Visited Areas

Black–Scholes analytics: quant::bs namespace – closed-form prices, Greeks, parity, and implied volatility solvers used across the project.
Monte Carlo engine: quant::mc namespace – deterministic counter-based RNG, Sobol/Brownian bridge drivers, variance-reduction estimators, and pathwise Greeks.
PDE stack: quant::pde namespace – Crank–Nicolson solver, grid utilities, boundary conditions, and Rannacher smoothing used in the finite-difference pipelines.
Exotic payoffs: quant::barrier, quant::asian, quant::lookback, quant::american, and quant::digital namespaces.
Stochastic volatility (Heston): quant::heston namespace – analytic characteristic-function pricing plus Andersen QE Monte Carlo.

Reproduce Locally

cmake -S . -B build -DCMAKE_BUILD_TYPE=Release
cmake --build build --target quant_cli --parallel
doxygen Doxyfile

The HTML bundle is emitted under docs/html/index.html. The GitHub Actions job (Docs Pages) runs the same steps and deploys the output to the project’s Pages site.