This project is part of the C++ Nanodegree program from Udacity. I develop a program to approximate and consolidate an options portfolio's Greeks using the binomial tree model. The Greeks are defined as derivatives of the option value with respect to the underlying parameters on which it is dependent. They help decide how to hedge the positions against some of its risk drivers, as stock price direction, volatility, and interest rate. After calculating the greeks and current PnL for a portfolio read from data/portfolio.csv, the program output the results in the same folder in two different files. One with the data computed to all options and another with the data consolidated by the underlying stock.

To set up your environment to run the code in this repository, start by installing Docker and Make in your machine (in Windows, you may want to try chocolatery). Then, run the following commands

$ make docker-build
$ make environment-test

In a terminal or command window, navigate to the top-level project directory cpp-binomial-greeks/ (that contains this README) and run the following command.

$ make greeks-computation

1. P. Wilmott. Paul Wilmott on Quantitative Finance 3 Volume Set (2nd Edition). Wiley, 2006. pg 287-289 link
2. CL. Costa. Opções - Operando Volatilidade. BMF, 1999. pg 97-99 link

The contents of this repository are covered under the MIT License.