This library aims at developing a generic tool to price any financial products. In its first version, it will be able to price with a monte-carlo and a binomial pricer on products such as:
- Call European/American option
- Put European/American option
- Barrier option
- Asian(Arithmetic & Geometric Average) option
- Basket option
The code structure should be as generic as possible so that it will be up to the user to choose:
- Trajectory generator model
- Pricer
- Product Type or metric
Any pull request will be studied and are welcome. Please respect naming convention otherwise request won't be accepted right away.