digital.hpp

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#pragma once
 
namespace quant::digital {
 
enum class Type { CashOrNothing, AssetOrNothing };
 
struct Params {
    double spot;
    double strike;
    double rate;
    double dividend;
    double vol;
    double time;
    bool call; // true for call, false for put (pays if S_T > K for call, < K for put)
};
 
// Analytic Black–Scholes formulas for digitals
double price_bs(const Params& p, Type type);
 
} // namespace quant::digital