Options Pricing and Analysis Toolkit

This project is a comprehensive toolkit for options pricing and analysis, providing various algorithms and methods for pricing American, European, and exotic options using Monte Carlo simulations, Black-Scholes model, and other approaches. It aims to support users in quantitative finance, risk management, and financial analysis.

Features

• Option Pricing Algorithms: Includes modules for pricing different types of options using various algorithms such as Black-Scholes, Monte Carlo simulations, and specialized methods for exotic options.

• Sensitivity Analysis: Calculates option Greeks (delta, gamma, theta, vega, rho) and assesses the sensitivity of option prices to changes in input parameters.

• Risk Management: Analyzes risk exposure of option portfolios by simulating market scenarios and evaluating potential losses or gains.

• Strategy Evaluation: Backtests option trading strategies and evaluates their performance metrics under different market conditions.

• Exotic Options Pricing: Supports pricing of complex or exotic options with non-standard features using specialized algorithms.

• Visualization: Provides visualization tools to plot option prices, payoffs, and sensitivities for better understanding and decision-making.

Directory Structure

options_pricing_toolkit/ ├── src/ │ ├── option_pricing/ │ │ ├── black_scholes.cpp │ │ ├── monte_carlo.cpp │ │ └── ... │ ├── sensitivity_analysis/ │ │ ├── greeks_calculator.cpp │ │ └── ... │ ├── risk_management/ │ │ ├── portfolio_simulation.cpp │ │ └── ... │ ├── strategy_evaluation/ │ │ ├── strategy_backtesting.cpp │ │ └── ... │ ├── visualization/ │ │ ├── plot_generator.cpp │ │ └── ... │ └── main.cpp ├── include/ │ ├── option_data.hpp │ ├── utilities/ │ │ ├── input_output.hpp │ │ ├── math_functions.hpp │ │ └── ... │ └── ... ├── docs/ │ ├── user_guide.md │ ├── examples/ │ │ ├── example1.cpp │ │ ├── example2.cpp │ │ └── ... │ └── ... ├── tests/ │ ├── option_pricing_tests.cpp │ ├── sensitivity_tests.cpp │ └── ... ├── LICENSE └── README.md

Usage

1. Clone the Repository: Clone the repository to your local machine.

2. Build the Project: Build the project using a C++ compiler.

3. Run Examples: Explore the examples provided in the docs/examples directory to understand how to use different features of the toolkit.

4. Read Documentation: Refer to the docs/user_guide.md for detailed documentation and usage instructions.

5. Contribute: Contributions to the project are welcome! Refer to the contribution guidelines in the documentation for more information.