Module 13Pricing EngineLesson 4 of 735 min
Capstone: Mini Pricing Engine
Price a multi-leg options book with BS.
Capstone goals
- OptionSpec with type, S,K,r,σ,T,qty
- bs_price
- Aggregate book PV
qty sign = long/short
Challenge
Add net delta for the book using analytic deltas.
Tips
- qty encodes long/short
- Traits swap models
- Wire market data next
Try it live
Capstone: Mini Pricing EngineRust 2021
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Output
Press Run to compile and execute.