QIS Pricing Engine (C++)

A C++20 pricing and risk-management framework for Quantitative Investment Strategies (QIS) and derivatives written on dynamic investment strategy indices.

Specific goals

• Simulate rules-based investment strategies (e.g. volatility targeting),
• Price derivatives on strategy indices via Monte Carlo, produce risk sensitivities.

Key Features

• Strategy & Index Modelling
  • Dynamic volatility-targeting strategy.
  • Discrete rebalancing with cash allocation.
  • Index construction driven by asset returns.
• Market & Models
  • Risk-neutral Geometric Brownian Motion (GBM).
  • Flat interest rate, dividend yield, and volatility (for clarity).
  • Clean separation between market data, model, and strategy.
• Pricing
  • Monte Carlo pricer for path-dependent strategy indices.
• Risk
  • Bump-and-revalue Delta framework.

Structure

qis-pricing-engine/
├── CMakeLists.txt
├── README.md
├── include/
│   └── qis/
│       ├── core/        # utilities (types, RNG, time grid)
│       ├── market/      # curves and volatility
│       ├── model/       # stochastic models
│       ├── strategy/    # QIS strategy rules
│       ├── engine/      # index simulation
│       ├── product/     # payoffs
│       ├── pricing/     # pricers
│       └── risk/        # risk measures
├── src/
│   ├── engine/
│   ├── pricing/
│   └── risk/
└── apps/
    └── price_vol_target_call.cpp