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greeks

Here are 5 public repositories matching this topic...

rburkholder / trade-frame

C++ 17 based library (with sample applications) for testing equities, futures, etfs & options based automated trading ideas using DTN IQFeed real time data feed and Interactive Brokers (IB TWS API) for trade execution. Some support for Alpaca & Phemex. Notifications via Telegram [irc: Libra #tradeframe ]

Updated Nov 17, 2024
C++

kingofknights / Greeks

Option price calculation based on Black Scholes equation

trading hft-trading greeks options-pricing

Updated Dec 23, 2023
C++

antoinefalck / greeks-automatic-differentiation

Computation of greeks on an option basket with automatic differentiation

automatic-differentiation option-pricing greeks

Updated Aug 17, 2018
C++

wbyates777 / OptionPriceDemo

An option pricing demo. Three option pricing models with their Greeks.

c-plus-plus black-scholes black-s-model binomial-tree greeks

Updated Oct 30, 2015
C++

tomespel / barrier-and-look-back-options

This package allows you to perform various computations on European call options, barrier options and look-back options in the C++ language.

finance monte-carlo option-pricing black-scholes european-options greeks

Updated Mar 19, 2018
C++

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