ucaiado / cpp-binomial-greeks Goto Github PK

Should generate a vector of Enums with instruments metadata. So I need to:

• Create the required Structs
• Create the required Enums
• Read data from file Translate data in the created structures
• return a vector of these strcutures

Just greeks, for now

The data generated by greeks computation can be used to calculate a single distribution of PnL to the entire portfolio. Already closed positions should be added up in each one of the possible scenarios.

The following files should be generated:

• Geeks by underlying
• Greeks by option

The results should be saved by option and by underlying. It will be used to save the data later. Also, the dimension of the greeks should be changed to something more useful. So, to complete this task:

• calculate greeks by option
• calculate greeks by underlying
• change greeks dimension
• consolidate the pnl for each underlying

Implement classes to price:

• American options
• European options

Then, combine both classes in a single ...

• function to price any vanilla option

The calculation for the options of each underlying should be performed in a different thread. The results should be saved in a vector and passed back to the main thread.

Implement computation to the following greeks:

• Delta
• Gamma
• Vega
• Theta
• Rho