financialengineerlab/ferm-1

Coursera Financial Engineering and Risk Management Columbia University

FERM-1

Coursera Financial Engineering and Risk Management Columbia University Part I

I am working on the material in these excellent and challenging courses. I will be adding more code and solutions to quizzes as I get through them.

About the code, I did not go crazy with templates and class hierarchies, I wanted the focus to be about learning financial engineering and not C++. So the implementations are bare bones but functional.

The VS 2017 solution requires Eigen 3.3.3 header files, download Eigen into C:\eigen-eigen-323c052e1731 and add the path to additional include dirs under C/C++ -> General. Eigen library is used to solve the linear equations arising out option's replicating portfolio (week 3) and optimizing routine to find fair rate on CDS.

You could just run the executable FERM1.exe instead of setting up the solution.