basket_option_pricer - Basket Option Pricer - C++ Library with Python Binding

Price and calculate greeks for basket options.

Derivation and implementation notes available here.

Features

• Python binding

License

This library is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International Public License and is intended for personal use only. It cannot be used in a Bank, Hedgefund, Commodity House etc without prior permission from author (Blair Azzopardi).

Set up

Use conan to build and prepare the dependencies (use clang profile for improved debugging).

conan install . --output-folder=build/Debug --build=missing --settings=build_type=Debug
conan install . --output-folder=build/Release --build=missing --settings=build_type=Release

To specify a different conan profile use switch, e.g. "--profile=clang".

Make the make files, use Release,

pushd build/Debug
cmake ../.. -DCMAKE_BUILD_TYPE=Debug
popd
pushd build/Release
cmake ../.. -DCMAKE_BUILD_TYPE=Release
popd

Once make files are made, one can build the code with (do this after code changes):

cmake --build . 

To clean build

cmake --build . --target clean

Run the test suite:

cd ./src_test
ctest

or directly to view logging:

./bop_yabte | less

Usage

See accompanying scripts and tests.