felixkylo82 / options-pricingLinks
C++ implementation of options pricing models
☆76Updated 7 years ago
Alternatives and similar repositories for options-pricing
Users that are interested in options-pricing are comparing it to the libraries listed below
Sorting:
- C++ Trading Algorithm Backtest Environment☆90Updated 6 years ago
- Nasdaq Order Book Reconstructor☆255Updated 3 years ago
- C++ low-latency in-memory order book☆91Updated 11 years ago
- A collection of High-Frequency trading components☆295Updated 9 years ago
- Implementation of a orderbook data structure for LOB research capabilities.☆151Updated last year
- Financial Derivatives Calculator with 171+ Models (Options Calculator)☆230Updated 6 months ago
- A C++ Quantitative Trading System☆96Updated 9 years ago
- Improved TWS API POSIX C++ library for the Interactive Brokers (IB) TWS (same project as TwsApiC++ in Yahoo TWSAPI).☆116Updated 2 years ago
- C++ examples.☆163Updated last week
- Personal Project that implements a variety of HFT strategies in C++☆73Updated 4 years ago
- An event-driven backtester☆109Updated 5 years ago
- Coding exercise I did ages ago for a Jump Trading interview☆38Updated 12 years ago
- real high-frequency-trading system based on c++☆98Updated 6 years ago
- C++ 17 based library (with sample applications) for testing equities, futures, currencies, etfs & options based automated trading ideas u…☆589Updated this week
- ☆41Updated 10 years ago
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆241Updated 7 months ago
- My codes and notes for Joshi's book: c++ design patterns and derivatives pricing☆140Updated 11 years ago
- This is my github repository where I post trading strategies, tutorials and research on quantitative finance with R, C++ and Python. Some…☆129Updated 4 years ago
- High-throughput / low-latency C++ application framework☆69Updated 3 years ago
- Simple Market Simulator implementation for HFT stress testing☆32Updated 12 years ago
- Low latency Limit Order Book and Matching Engine created in C++, able to handle over 1.4 million transactions per second.☆82Updated last year
- Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Le…☆164Updated 6 years ago
- Source Code for 'Testing and Tuning Market Trading Systems' by Timothy Masters☆97Updated 6 years ago
- Order Imbalance Strategy in High Frequency Trading☆139Updated 7 years ago
- A collection of homeworks of market microstructure models.☆258Updated 7 years ago
- C++ trading client with Qt gui☆42Updated 10 years ago
- SVI volatility surface model and an example of China 50ETF option☆78Updated 5 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆133Updated 6 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- A C++ and Python implementation of the limit order book.☆286Updated 5 years ago