Exotic Quant Engine is a production-grade Monte Carlo simulation framework designed to price path-dependent "Exotic" options (Asian and Barrier options).
Unlike standard vanilla option pricers, this project demonstrates a Hybrid Architecture widely used in Top Tier Investment Banks:
- Prototyping: Python with
NumbaJIT acceleration for rapid development. - Production: C++17 for low-latency execution and memory management.
- Binding:
Pybind11to expose the C++ engine to Python for analysis.
- Path-Dependent Pricing: Handles Arithmetic Asian Options (average price) and Barrier Options (Knock-Out/Knock-In).
- Variance Reduction: Implements Antithetic Variates to reduce standard error and improve convergence speed by ~50%.
- Performance Optimization: * Python loop bypassing via
Numba(Just-In-Time compilation).- Manual memory management and vectorization in C++.
- Sensitivity Analysis: Numerical calculation of Greeks (Delta, Gamma, Vega) via Finite Difference Methods.
- Validation: Pricing benchmarked against the Kemna-Vorst analytical approximation for Geometric Asian options.
The Structuring Challenge Structuring involves creating bespoke financial products to meet specific client hedging needs.
Asian Options: Used by corporations to hedge currency/commodity exposure over a period (smoothing out volatility).
Barrier Options: Used to cheapen the cost of protection (the option disappears if the market moves too far in your favor).
This project is for educational and portfolio purposes only. It is not intended for use in real money trading. The pricing models implemented here rely on assumptions (Geometric Brownian Motion) that may not fully reflect real-world market dynamics (jumps, stochastic volatility).