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basket_option_pricer

Price and calculate greeks for basket options.

https://github.com/bsdz/basket_option_pricer

Science Score: 44.0%

This score indicates how likely this project is to be science-related based on various indicators:

  • ✓
    CITATION.cff file
    Found CITATION.cff file
  • ✓
    codemeta.json file
    Found codemeta.json file
  • ✓
    .zenodo.json file
    Found .zenodo.json file
  • ○
    DOI references
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    Academic publication links
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    Academic email domains
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    Institutional organization owner
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    JOSS paper metadata
  • ○
    Scientific vocabulary similarity
    Low similarity (8.8%) to scientific vocabulary
Last synced: 6 months ago · JSON representation ·

Repository

Price and calculate greeks for basket options.

Basic Info
  • Host: GitHub
  • Owner: bsdz
  • License: other
  • Language: C++
  • Default Branch: main
  • Homepage:
  • Size: 18.6 KB
Statistics
  • Stars: 1
  • Watchers: 1
  • Forks: 1
  • Open Issues: 0
  • Releases: 0
Created over 1 year ago · Last pushed over 1 year ago
Metadata Files
Readme License Citation

README.md

basketoptionpricer - Basket Option Pricer - C++ Library with Python Binding

Price and calculate greeks for basket options.

Derivation and implementation notes available here.

Features

  • Python binding

License

This library is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International Public License and is intended for personal use only. It cannot be used in a Bank, Hedgefund, Commodity House etc without prior permission from author (Blair Azzopardi).

Set up

Use conan to build and prepare the dependencies (use clang profile for improved debugging).

bash conan install . --output-folder=build/Debug --build=missing --settings=build_type=Debug conan install . --output-folder=build/Release --build=missing --settings=build_type=Release

To specify a different conan profile use switch, e.g. "--profile=clang".

Make the make files, use Release,

bash pushd build/Debug cmake ../.. -DCMAKE_BUILD_TYPE=Debug popd pushd build/Release cmake ../.. -DCMAKE_BUILD_TYPE=Release popd

Once make files are made, one can build the code with (do this after code changes):

bash cmake --build .

To clean build

bash cmake --build . --target clean

Run the test suite:

bash cd ./src_test ctest

or directly to view logging:

bash ./bop_yabte | less

Usage

See accompanying scripts and tests.

Owner

  • Name: Blair Azzopardi
  • Login: bsdz
  • Kind: user
  • Location: London

Amateur mathematician. I enjoy researching different fields from applied maths to number theory. I like building RaspberryPi projects. Quant developer by day.

Citation (CITATION.cff) 

cff-version: 1.2.0
title: Basket Option Pricer
message: >-
  If you use this software, please cite it using the
  metadata from this file.
type: software
authors:
  - given-names: Blair
    family-names: Azzopardi
    email: blairuk@gmail.com
repository-code: 'https://github.com/bsdz/basket_option_pricer'
abstract: >-
  Price and calculate greeks for basket options.
date-released: 2024-08-16

GitHub Events

Total
  • Watch event: 2
  • Fork event: 1
Last Year
  • Watch event: 2
  • Fork event: 1