FTQuant Documentation

FTQuant is a derivative pricing terminal using Monte-Carlo simulations with it's own language and ability to solve PDEs.Possible ways to improve the implementation:

1. Multithreaded Monte-Carlo;
2. More feature-rich set of derivatives (e.g. structural products like autocall);
3. More models (Heston stochastic volatility model, local stochastic volatility models).

Library usage:

int main ()
{
    Execution Ex;
 
    Command C("BLACK_SCHOLES INTEREST_RATE 0.14 SIGMA 0.8 EXP_T 1. SPOT_PRICE 100.");
    std::cout << Ex.execute(C) << std::endl;
 
    Command B1("EURO_CALL ERROR 0.01 STRIKE_PRICE 100 TRAJECTORIES_NUMBER 100 STEPS_NUMBER 100 EXP_T 1. SPOT_PRICE 100.");
    std::cout << Ex.execute(B1) << std::endl;
 
    return 0;
}