Binomial options pricing model (BOPM) in clojure.
Download from https://github.com/BertrandDechoux/clj-bopm
This requires (leiningen). You can then either run the application directly with leiningen...
lein run [args]
Or, by creating first a jar containing all the dependencies (ie 'uberjar'), run it like any jar.
lein ubjerjar
java -jar target/clj-bopm-0.1.0-SNAPSHOT-standalone.jar [args]
If you want to run the test
lein midje
And if you want to generate the documentation
lein marg
lein run -- -h
Usage:
Switches Default Desc
-------- ------- ----
-h, --no-help, --help false Show help
-T, --time expiration time
-S, --stock stock price
-K, --strike strike price
-n, --steps height of the binomial tree, number of steps
-r, --interest risk-free interest rate
-d, --sigma volatility of the price (standard deviation)
-q, --yield dividend yield (dividend-price ratio)
-f, --style style (or family) of the option, either 'american' or 'european'
-o, --option type of the option, either 'call' or 'put'
Copyright © 2013 Bertrand Dechoux
Distributed under the Eclipse Public License, the same as Clojure.