https://github.com/antoonberes/amcos

A high-peformance parallel monte-carlo simulation for estimating the fair value of options in finance
https://github.com/antoonberes/amcos

finance monte-carlo options parallel-computing rust simulation

Last synced: about 1 month ago
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A high-peformance parallel monte-carlo simulation for estimating the fair value of options in finance

• Host: GitHub
• URL: https://github.com/antoonberes/amcos
• Owner: AntoonBeres
• License: gpl-2.0
• Created: 2021-12-28T15:09:14.000Z (about 3 years ago)
• Default Branch: main
• Last Pushed: 2022-01-05T12:49:13.000Z (about 3 years ago)
• Last Synced: 2024-11-08T16:40:52.085Z (3 months ago)
• Topics: finance, monte-carlo, options, parallel-computing, rust, simulation
• Language: Rust
• Homepage:
• Size: 2.3 MB
• Stars: 6
• Watchers: 1
• Forks: 0
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

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README

        
# antoons-monte-carlo-options-sim

A high-peformance parallel monte-carlo simulation for estimating the fair value of options in finance.

Written in Rust ofcourse!

Work in progress. Currently has only minimal functionality. 

The CSV-files for getting the historical data are downloaded from yahoo-finance (Historical-data -> Download).

In the future an API might be used for more precise datapoints. As this happens, the interface will change.

build instructions:

`cargo build --release`

Usage: 

`./amcos   `

example:

`./amcos AAPL 165 20`