sweemer

cmake_minimum_required(VERSION 3.20)
project(Chp2_Equity_CLionTest)
set(CMAKE_CXX_STANDARD 14)
set(BOOST_ROOT "C:/local/boost_1_65_0")
set(Boost_INCLUDE_DIR "C:/local/boost_1_65_0" )
set(Boost_LIBRARY_DIR "C:/local/boost_1_65_0/lib32-msvc-14.1" )
find_package(Boost 1.65.0 REQUIRED)
find_package(QuantLib CONFIG REQUIRED)
add_executable(Chp2_Equity_CLionTest main.cpp)
target_include_directories(Chp2_Equity_CLionTest PRIVATE ${Boost_INCLUDE_DIRS})

sweemer

# response to question asked on the Quantlib-users mailing list: https://sourceforge.net/p/quantlib/mailman/message/37391738/
# based off of http://gouthamanbalaraman.com/blog/american-option-pricing-quantlib-python.html

import QuantLib as ql
import scipy.optimize

maturity_date = ql.Date(15, 1, 2016)
spot_price = 127.62
strike_price = 130
volatility = 0.20

sweemer

{
  "version": 2,
  "configurePresets": [
    {
      "name": "linux-clang-debug",
      "binaryDir": "${sourceDir}/build",
      "generator": "Unix Makefiles",
      "cacheVariables": {
        "CMAKE_BUILD_TYPE": "Debug",
        "CMAKE_CXX_COMPILER": "clang++"