orlovt / OptionsPricingCPPLinks
High-performance C++ implementation of critical option pricing models: Black-Scholes, Binomial, Finite Difference, and Monte Carlo.
☆16Updated last year
Alternatives and similar repositories for OptionsPricingCPP
Users that are interested in OptionsPricingCPP are comparing it to the libraries listed below
Sorting:
- A C++ 20 backtesting library.☆39Updated 5 months ago
- AAD enabled and scripting included derivatives modeling.☆22Updated 3 weeks ago
- Nasdaq Order Book Reconstructor☆254Updated 3 years ago
- C++ Trading Algorithm Backtest Environment☆89Updated 6 years ago
- Simple BackTest Engine inspired by Backtrader framework available in python.☆16Updated 4 months ago
- C++ implementation of options pricing models☆77Updated 7 years ago
- ☆56Updated last year
- Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)☆186Updated 3 years ago
- ☆41Updated 10 years ago
- Personal Project that implements a variety of HFT strategies in C++☆73Updated 4 years ago
- Algorithmic Trading in C++☆39Updated 3 years ago
- Coding exercise I did ages ago for a Jump Trading interview☆38Updated 12 years ago
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆117Updated 6 months ago
- Implementation of a orderbook data structure for LOB research capabilities.☆150Updated last year
- C++ examples.☆163Updated last week
- Low latency Limit Order Book and Matching Engine created in C++, able to handle over 1.4 million transactions per second.☆79Updated last year
- Source Code for 'Testing and Tuning Market Trading Systems' by Timothy Masters☆95Updated 6 years ago
- Financial Derivatives Calculator with 171+ Models (Options Calculator)☆227Updated 6 months ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- orderbook based backtesting suite using MBO data from Databento☆28Updated last month
- Cross Exchange/Hedged market making Trading Bot in C++☆152Updated 2 years ago
- C++ implementation of rBergomi model☆24Updated 7 years ago
- A C++ ultra low latency trading engine with O(1) performance of order execution, order update, order cancel, O(log(n)) for order book ana…☆52Updated 4 years ago
- Fast, Multi threaded and Efficient Trade Matching Engine☆27Updated 4 years ago
- C++ low-latency in-memory order book☆92Updated 11 years ago
- Monte Carlo simulation to option pricing in CUDA☆11Updated 8 years ago
- real high-frequency-trading system based on c++☆95Updated 6 years ago
- ☆58Updated 7 months ago
- Literature survey of order execution strategies implemented in python☆44Updated 5 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆171Updated 2 weeks ago