kylchiu/exoticmontecarloengine

EMCE - Exotic Monte Carlo Engine

Monte Carlo pricers for exotic derivatives in both Python / C++. The reason to code it up in two languages:

• Both are languages commonly used in quantitative finance - implementing a solution in both languages provides a holistic way to learn the intracicies of both languages from bottom-up through comparison.
• The languages themselves boast different benefits - Python allows for a quicker development cycle where C++ provides the raw speed where there is demand for performance.

Contributions are more than welcome!

C++

• The library can be found here.
• Example tests can be found here
• Project to-dos are here.

Features

• Interface fully interporable between CUDA/C++, switching via enum.

Requirements

• CUDA toolkit (tested on 11.7.0) with nvcc compiler.
• CMake (version >= 3.18, as we need CUDA with C++17 standard).
• C++17 compliant compiler.

Install

Build:

cmake -S ./cpp/emce -B build
cmake --build

Run tests:

ctest --test-dir ./build

Python

Exotic Monte Carlo Pricer: An equity/FX exotic Monte Carlo pricer.

• To do: see this link for a list of issues and project info.
• Examples: see unit tests here.

Features (goals)

• advanced smile modelling (LV, SV, LSV)
• coherent multi-asset simulation (hybrid exotic engine)
• support wide range of path-dependent exotics
• advanced variance reduction techniques (control variant, Quasi random numbers)
• risk engine (FDM, AAD)

Python notebooks (analytics):

• Vanilla put/call pricing with flat vol
• Path dependent option pricing with flat vol (tbd)
• Barrier option risk profiles with flat vol (tbd)
• Simle dynamics under BS model with local vol (tbd)
• Smile dynamics under BS model with SV - Heston model (tbd)
• Convergence speed under different RNGs (tbd)
• Rainbow option pricing (tbd)