To build an option pricer using the Binomial tree and Random tree pricing methods while utilizing the observer-observable and Factory object oriented programming design patterns.
- Initialize the project
git clone git@github.com:Varun487/OptionsPricingEngine.git
cd OptionsPricingEngine-
Install the Quantlib C++ library.
-
To compile and run the Options pricer using factory pattern
g++ main.cpp ArgList.cpp Arrays.cpp BinomialTree.cpp Parameters.cpp PayOff3.cpp PayOffBridge.cpp PayOffConstructible.cpp PayOffFactory.cpp Random.cpp RandomHighTree.cpp RandomLowTree.cpp TreeAmerican.cpp TreeProducts.cpp -o run
./run- To compile and run the Options pricer using observer-observable pattern
g++ -I'PATH_TO_BOOST_INSTALLATION' $(quantlib-config --cflags --libs) main.cpp OptionPricingReportWriter.cpp TreeObservable.cpp Arrays.cpp Parameters.cpp PayOff3.cpp PayOffBridge.cpp TreeAmerican.cpp TreeProducts.cpp Random.cpp -o run
./runReplace PATH_TO_BOOST_INSTALLATION with the path to the directory of your boost installation.