Quant Projects Bazaar
Institutional-style codebases you can study, extend, and publish improvements to. Each project is production-grade: compilable, tested, benchmarked. No toy implementations.
Project Catalogue
Pricing Library
Production-grade option pricer: Black-Scholes with all Greeks, Monte Carlo with antithetic variates, Crank-Nicolson finite difference for European and American options. Catch2 unit tests, CMake build, WASM export.
Stochastic Vol Monte Carlo Engine
Heston model: Euler full-truncation MC with antithetic variates, Lewis characteristic function pricing, CIR variance paths. Five Plotly visualisations: smile, convergence, return distribution, delta surface.
Implied Vol Surface Calibrator
SVI parametrisation calibrated to market quotes. Newton-Raphson implied vol inversion, Levenberg-Marquardt surface fit. Arbitrage detection (calendar spread, butterfly). Full test suite.
Longstaff-Schwartz LSMC Pricer
American option pricing via Least-Squares Monte Carlo. GBM simulation with antithetic variates, Laguerre polynomial regression, backward induction. Convergence vs FD PSOR, exercise boundary, EEP surface. Five Plotly visualisations.
Interest Rate Curve Builder
Bootstrap EUR OIS (€STR) and EURIBOR 3M curves from live ECB market data. Cubic spline and Nelson-Siegel interpolation. Jacobian DV01 per pillar. Interactive Plotly visualisations.
Greeks and Risk Attribution Engine
Full analytic Greeks — first and second-order (vanna, volga, charm, zomma, color, veta) — and bump-reval validation. Portfolio dollar Greeks. P&L Taylor decomposition. Scenario grid via full reprice. Five Plotly visualisations.
Six projects are live. The C++20 Pricing Library ships Black-Scholes, Monte Carlo, and Crank-Nicolson FD compiled to WASM. The Heston MC Engine implements stochastic vol with full-truncation Euler and Lewis characteristic function pricing. The SVI Calibrator covers parametric surface fitting and arbitrage detection. The IR Curve Builder bootstraps EUR OIS and EURIBOR 3M multi-curves from live ECB data. The LSMC Pricer prices American options via Longstaff-Schwartz regression. The Greeks Engine provides full analytic and bump-reval Greeks, dollar Greeks, P&L attribution, and scenario analysis.