genesisxyl / derivatives_pricing_cpp

Mukoedo1993's code for C++ Design Patterns and Derivatives Pricing(Mark S. Joshi, 2nd ed.)

Derivatives_pricing_CPP

Amazon
Douban, Simplified Chinese

Target

Read and rewrite the code given in the book above as much as possible in modern C++ style. And, give the solution of questions given in the textbook as many as possible.

Platform:

Ubuntu 20.04.1 g++ 9.3.0 If there is a Makefile in a certain directory, use it. Otherwise, I will give a direction on how to organize and compile the code in the README.txt file in its directory.

References:

1:Monte Carlo Methods in Financial Engineering, Page 189.(Author: Paul Glasserman)

2::Monte Carlo Methods in Financial Engineering Chap. 4.1 Control Variates

3: https://en.wikipedia.org/wiki/Trinomial_tree

4: Options, Futures, and other derivatives(9th ed.)(authoer: John C.Hull) Page 467

5: https://github.com/cheerzzh/CPP-design-pattern-derivatives-pricing

6:... See README.txt at each directory. Bascially, you could run make on ubuntu to run files in each directory when a Makefile is given. However, sometimes, you need to type files manually if you could not find a Makefile here.