This project is part of the C++ Nanodegree
program from Udacity. I develop a program to approximate and consolidate an
options portfolio's Greeks using the binomial tree model. The Greeks are
defined as derivatives of the option value with respect to the underlying
parameters on which it is dependent. They help decide how to hedge the
positions against some of its risk drivers, as stock price direction,
volatility, and interest rate. After calculating the greeks and current PnL
for a portfolio read from data/portfolio.csv, the program output the results
in the same folder in two different files. One with the data computed to all
options and another with the data consolidated by the underlying stock.
To set up your environment to run the code in this repository, start by installing Docker and Make in your machine (in Windows, you may want to try chocolatery). Then, run the following commands
$ make docker-build
$ make environment-testIn a terminal or command window, navigate to the top-level project directory
cpp-binomial-greeks/ (that contains this README) and run the following
command.
$ make greeks-computation- P. Wilmott. Paul Wilmott on Quantitative Finance 3 Volume Set (2nd Edition). Wiley, 2006. pg 287-289 link
- CL. Costa. Opções - Operando Volatilidade. BMF, 1999. pg 97-99 link
The contents of this repository are covered under the MIT License.