AMCOS - A high-peformance parallel monte-carlo simulation for estimating the fair value of options in finance

Related tags

Cryptography rust finance options simulation monte-carlo parallel-computing
Overview

antoons-monte-carlo-options-sim

A high-peformance parallel monte-carlo simulation for estimating the fair value of options in finance.

Written in Rust ofcourse!

Work in progress. Currently has only minimal functionality.

The CSV-files for getting the historical data are downloaded from yahoo-finance (Historical-data -> Download). In the future an API might be used for more precise datapoints. As this happens, the interface will change.

build instructions:

cargo build --release

Usage:

./AMCOS <CONFIG_FILE>

example:

./AMCOS config.toml

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Owner
Student developper in Rust, c++ and python, unix/linux (FreeBSD) enthousiast. Well-versed in WASM, C++, Rust, ..
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