https://github.com/lipskiyp/dotnetoptionpricer

.Net / C# Option Pricer
https://github.com/lipskiyp/dotnetoptionpricer

csharp derivatives dotnet financial-mathematics options pricing

Last synced: 4 days ago
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.Net / C# Option Pricer

• Host: GitHub
• URL: https://github.com/lipskiyp/dotnetoptionpricer
• Owner: lipskiyp
• Created: 2024-02-22T09:52:43.000Z (9 months ago)
• Default Branch: main
• Last Pushed: 2024-09-15T10:25:13.000Z (2 months ago)
• Last Synced: 2024-09-15T12:50:35.725Z (2 months ago)
• Topics: csharp, derivatives, dotnet, financial-mathematics, options, pricing
• Language: C#
• Homepage:
• Size: 43 KB
• Stars: 0
• Watchers: 1
• Forks: 0
• Open Issues: 0
• Metadata Files:
  • Readme: README.md

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README

        
# Option Pricer

.Net / C# Option Pricer.

## Overview 

The aim of the project is to build a scalable comprehensive .Net / C# application for financial instrument pricing and data processing. 

Current iteration implements a number of classes to represent basic financial instruments (e.g. Pure Discount Bonds, Vanilla Options and Swaptions) as well as corresponding classes for Pricers and Option Greeks. 

A number of utility classes have been written for basic cash flow discounting, Date Deltas and Date Year Fractions calculations as well a Date Scheduler to generate fixing/payment dates etc. for instruments with custom complex payment schedules.