C++ Options Pricing Engine

A C++ model and CLI for pricing Options using the Black-Scholes, Binomial Tree methods and Monte Carlo Simulations. This project provides a simple implementation of option pricing models, allowing users to create and price different types of options.

Features

• An Option class used to model different types of options with parameters including type, exercise style and yield rate(dividend yield) etc.
• A Black-Scholes model for pricing European options.
• A Binomial Tree model for pricing both European and American options.
• A Monte Carlo simulation model for pricing European options.
• Calculation of option Greeks (Delta, Gamma, Theta, Vega, Rho) for each pricing model.
• Calculation of implied volatility based on the Black-Scholes model.
• An interactive command-line interface (CLI) for creating and pricing options.

Setup

1. Clone the repository.

2. Navigate to the project directory.

3. Create a build directory and navigate into it:

   mkdir build && cd build

4. Run CMake to configure the project:

   cmake ..

5. Build the project:

   cmake --build .

6. Run the main executable:

   ./options_pricing_engine

Option Configuration

Options can be configured using the option.toml configuration file, which contains default parameters that can be customized for your pricing needs.

Configuration File Structure

The option.toml file allows you to specify:

• Option type (Call/Put)
• Exercise style (European/American)
• Strike price, spot price, and time to expiration
• Risk-free rate and dividend yield
• Volatility parameters

Usage

1. Modify the parameters in option.toml to match your desired option contract
2. Rebuild and run the project (repeat setup steps 4-6)
3. The engine will automatically load your configuration when started

Example configuration:

[option]
spot = 100.0      # Spot Price in USD
strike = 105.0    # Strike Price in USD
interest = 0.05   # Risk free interest rate (Ex: 0.05 for 5%)
volatility = 0.2  # Volatility of the underlying asset (Ex: 0.2 for 20%)
maturity = "12mo" # Maturity of the contract (In months, Ex: 24mo)
yield = 0.0       # Yield of the underlying asset, this includes dividend yield, convinience yield, forex yield, etc. (Ex: 0.0 for 0%)
type = 0      # Option type (0 for Call, 1 for Put)
style = 0 # Exercise style (0 for European, 1 for American)

TODO

• Add Option greeks.
• Add an interactive CLI.
• Add support for implied volatilities.
• Add new pricing models such as Monte Carlo simulation.
• Calculate Greeks for Monte Carlo simulation.
• Load option parameters from a configuration file (TOML).
• Add plotting capabilities to visualize option pricing.
• Add Support for exotic options like Asian, Barrier, Lookback, etc.
• Add unit tests for all models and functionalities.

References

• Options, Futures, and Other Derivatives
• Option Volatility and Pricing
• Coding Jesus