Quantitative Finance Engine

Monte Carlo option pricing engine in C++ with a Python wrapper for visualization.

Preview

Project Structure

quantitative-finance-engine/
├── src/monte_carlo.cpp     # C++ engine + CLI entry point
├── include/monte_carlo.h   # Public API header
├── python/
│   ├── wrapper.py          # Python interface (falls back to pure-Python if no binary)
│   └── visualize.py        # Matplotlib plots
└── CMakeLists.txt

Quick Start

1 – Build the C++ engine

mkdir build && cd build
cmake .. -DCMAKE_BUILD_TYPE=Release
cmake --build .
./monte_carlo          # prints call/put prices to terminal

2 – Install Python dependencies

pip install numpy matplotlib

3 – Run visualizations

python python/visualize.py

No C++ toolchain? visualize.py works with the pure-Python fallback automatically.

What It Does

Component	Description
Black-Scholes	Closed-form analytical price (used as ground truth)
Monte Carlo	Geometric Brownian Motion simulation over N paths
Convergence plot	Shows MC estimate stabilizing toward B-S price
Distribution plot	Histogram of terminal payoffs

Default Parameters

Symbol	Value	Meaning
S	100	Current stock price
K	100	Strike price (ATM)
T	1.0	1 year to expiry
r	5 %	Risk-free rate
σ	20 %	Volatility
N	100 000	Simulations