{"repo":"andleb/derivatives","free":true,"listed":false,"github":"https://github.com/andleb/derivatives","clone":"git clone https://github.com/andleb/derivatives.git","description":"Derivatives pricing in modern C++.","language":"C++","stars":18,"topics":["derivatives","derivatives-pricing","quantitative-finance","monte-carlo","trees","finance","derivatives-and-financial-instruments","derivatives-pricing-models","options","options-pricing"],"license":"MIT","category":"trading","readme_excerpt":"derivatives Based on M. Joshi's C++ Design Patterns and Derivatives Pricing (a practical companion to his Concepts and Practice of Mathematical Finance), making use of updated paradigms wherever possible. C++17 strongly recommended. Dependencies & installation cmake repository for the historical CMake helper scripts; kept as a submodule . common repository for utility classes & functions. The project is built via CMake . Configure with the path to a local common checkout: If DERIVATIVES COMMON DIR is not set, the build will fall back to a sibling checkout at ../common when one exists. The documentation is to be built with Doxygen from the provided doxyfile . Overview The project roughly follows the second edition of the aforementioned book, which was published in 2008. While the numerics and mathematics haven't changed, C++ has gone through quite a bit of a revolution in the time since. Due to this fact, the original book includes some now archaic elements, such as a self-implemented smart pointer. All such were replaced with their modern equivalents. Some chapters do not correspond to a concrete problem and have been excluded; in others, the sub-problems have often been consolidated/handled in a more generic way. The code itself is separated into two directories: src : the library itself - this contains all the actual relevant code mains : auxiliary driver/playground code - this merely calls the above for some toy examples The mains correspond to each relevant chapter. Take ","default_branch":null,"files":null,"tree":[],"storefront":"/r/andleb","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/andleb/derivatives/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}