Filled-out README.md.

Author: andleb

CMakeLists.txt

@@ -11,6 +11,7 @@ if(CMAKE_BUILD_TYPE MATCHES "Debug")
     message("Building in DEBUG mode, enabling testing macros.")
     add_definitions(-DTESTING)
 #    add_definitions(-DDUMPINTERMEDIATE)
+    # NOTE: this dumps results of the random generators to data/
     add_definitions(-DDUMPRESULTS)
 endif()
 

README.md

@@ -1,9 +1,45 @@
 # derivatives
-Approximately based on [M. Joshi's C++ Design Patterns and Derivatives Pricing](https://www.amazon.com/Patterns-Derivatives-Pricing-Mathematics-Finance/dp/0521721628), making use of updated paradigms wherever possible.
+Approximately based on [M. Joshi's C++ Design Patterns and Derivatives Pricing](https://www.amazon.com/Patterns-Derivatives-Pricing-Mathematics-Finance/dp/0521721628), making use of updated paradigms wherever possible. 
 
 *C++17* strongly recommended.
 
-## dependencies
-[*cmake*](https://github.com/andleb/cmake) repository for the *CMake* scripts, included as a submodule.
+## Overview
+The project roughly follows the second edition of the aforementioned book, which was published in 2008. While the numerics and mathematics haven't changed, *C++* has gone through quite a bit of a revolution in the time since. Due to this fact, the original book includes some now archaic elements, such as a self-implemented smart pointer. All such were replaced with their modern equivalents. Some chapters do not correspond to a concrete problem and have been excluded; in others, the sub-problems have often been consolidated/handled in a more generic way.
+
+The code itself is separated into the driver/playground routines, located in *mains*, and the library, located in *src*.
+The *mains* correspond to each relevant chapter, look at the list of includes in each to follow along with the development of the library. The original book features a heavy evolution of concepts, especially in the first chapters. This has been compacted a bit in this project.
+
+#### Ch. 1 - 5:
+These perform *Monte-Carlo* pricing of various derivatives, with an increasing degree of software architecture.
+
+#### Ch. 6:
+This chapter implements custom random number generators and integrates them with the architecture developed in preceding chapters.
+
+#### Ch. 7:
+Deals with the pricing of exotic, more specifically, path-dependent, options via *Monte-Carlo* using all the preceding infrastructure.
+
+#### Ch. 8:
+Switches gears and introduces pricing on *trees* (or *lattices*). For this, I have developed a helper static recombinant tree class that is found in the *common* repository (see below). This allows us to price early-exercise options.
+
+#### Ch. 9:
+Deals with the concept of *implied volatility* and introduces two simple numerical root-finding routines.
+
+#### Ch. 10, 14:
+Introduce the factory pattern & apply it to the existing architecture. The latter improves on the former by making the factory completely generic.
+
+NOTE: I have stayed away from *C*-like input/output parameters and have replaced them with *rvalue* reference inputs that get moved into, modified in place, and returned by value (moved out). I feel that this syntax is clearer and also mirrors the approach popular *Python* numerics packages, such as *Pandas*, are taking with regards to in-place modification. There is also the added benefit of zero additional performance costs afforded to us by modern *C++*.
+
+## Dependencies & installation
+[*cmake*](https://github.com/andleb/cmake) repository for the *CMake* scripts; included as a submodule.
 
 [*common*](https://github.com/andleb/common) repository for utility classes & functions.
+
+The project is built via *CMake*. One can, of course, modify the *CMake* configuration at will or use one's own.
+
+
+## Authors
+
+Andrej Leban
+
+## Acknowledgments
+dr. Mark Joshi (RIP)