This repository contains implementations of various FX derivative pricing models written in C++. Each model is encapsulated in its own file for modularity and ease of use.
BlackScholes.cpp: Implementation of the Black-Scholes model for option pricing.FiniteDiffMethod.cpp: Utilizes the finite difference method to solve the Black-Scholes PDE for option pricing.MonteCarlo.cpp: A Monte Carlo simulation-based approach to pricing FX derivatives.QuadratureMethod.cpp: Prices FX derivatives using numerical integration techniques.SABRHagan.cpp: Stochastic Volatility model for pricing Vanilla FX Option
These instructions will get you a copy of the project up and running on your local machine for development and testing purposes.
What things you need to install the software and how to install them
g++ compiler with C++11 support or later
make (optional for building)
A step by step series of examples that tell you how to get a development environment running
Clone the repository to your local machine:
git clone https://github.com/yourusername/fx-derivative-pricing.git
cd fx-derivative-pricingTo compile a specific model, use the following command:
g++ -o BlackScholes BlackScholes.cppReplace BlackScholes.cpp with the name of the model file you wish to compile.
Explain how to run the automated tests for this system.
Provide examples on how to use the compiled programs. For example:
./BlackScholesPlease contact here: jha.8@iitj.ac.in , and the process for submitting pull requests to us.
- Amit Jha - Initial work - AIM-IT4
See also the list of contributors who participated in this project.
- Hat tip to anyone whose code was used
- Inspiration
- etc