Options Pricing Models/Approaches (QuantLib 1.38)

This project contains C++ code for modeling and pricing financial options using QuantLib and exploring different pricing models (European, American, and Asian options).

Structure

• main.cpp: Main source file for the options pricing logic.

Dependencies

• QuantLib 1.38
• Boost C++ Libraries
• C++17 or newer compiler (tested with MSYS2 g++ and Visual Studio)

Getting Started (Windows with VS Code)

A step-by-step process to set up the environment correctly, install dependencies, and build the target.

1. Environment Setup

Install Prerequisites:

1. Git for Windows
2. Visual Studio 2022 (Community Edition)
   • During install, select the "Desktop development with C++" workload.
3. Visual Studio Code
   • With the "CMake Tools" extension.

Install vcpkg Package Manager: Open a PowerShell terminal and run:

cd C:\
mkdir dev
cd dev
git clone https://github.com/microsoft/vcpkg.git
cd vcpkg
.\bootstrap-vcpkg.bat
.\vcpkg integrate install

2. Install Dependencies

Install QuantLib (this may take 20-60 minutes as it builds Boost):

.\vcpkg install quantlib\:x64-windows-static

3. Build and Run

Open in VS Code: Open the project folder (containing CMakeLists.txt) in VS Code.

Build:

Select the kit for Visual Studio Build Tools 2022 Release - amd64 when prompted. Click the Build button in the status bar, can also, build from the command line:

cmake -B build -DCMAKE_TOOLCHAIN_FILE=C:/dev/vcpkg/scripts/buildsystems/vcpkg.cmake
cmake --build build

Run : after building, do:

 ./build/Release/main.exe

Notes

• For educational and prototyping purposes only.
• The Asian option Monte Carlo simulation can/will be slow for large sample sizes; change requiredSamples in main.cpp for faster testing.

Contributing

suggestions welcome! please open an issue or PR for improvements.

License

FOR educational use. See LICENSE file.