CFL EXAMPLES
Examples for the course "Financial Computing with C++"

Documentation for examples used during the lectures. The course is organized around 4 projects:

  1. Construction of data curves (calibration).
  2. Pricing of standard and barrier options on a single stock.
  3. Pricing of standard and barrier options on interest rates.
  4. Pricing of path-dependent options
Author
Dmitry Kramkov, Carnegie Mellon.