Option Pricing in Java 📈

This project implements a core Black-Scholes pricing engine for European options in pure Java, along with Greek calculators. It’s the first in a series of projects reconnecting with equity derivatives after 25 years — with a modern tech mindset.

Features

• ✅ Black-Scholes pricing for calls and puts
• ✅ Calculation of Greeks: delta, gamma, theta, vega, rho
• ✅ Implied volatility solver (coming soon)
• ✅ CLI or REST interface (planned)
• ✅ 100% unit tested

Prerequisites

• Java 17 or higher
• Git

Usage

BlackScholesCalculator.calcPrice(
    OptionType.CALL,
    spotPrice,
    strikePrice,
    timeToMaturity,
    riskFreeRate,
    volatility
);

Running the application

You can start the Spring Boot service via the Gradle wrapper:

./gradlew bootRun

By default, the server listens on port 8080. Check health with:

curl http://localhost:8080/
# OK

Motivation

I worked on the exotic derivatives desk in the late 90s as a UI developer. This is my way of returning — not as a trader or quant, but as an architect who can build the right tools for the domain.

License

• MIT License

Copyright (c) 2025 Hicham BAKIR

📌 Note: This project is released under the MIT License. Attribution is appreciated. Use responsibly.

Building and Testing

Use the included Gradle wrapper (./gradlew) as the main build tool to compile and test:

./gradlew clean check

Tests are written in Groovy using the Spock framework and organized into:

• Unit tests (src/test/groovy)
• Integration tests (src/integrationTest/groovy)
• End-to-end tests (src/e2eTest/groovy)

Continuous Integration

A GitHub Actions workflow is configured in .github/workflows/ci.yml to run tests on push and pull requests to main. Merges to main should require passing this CI.

Contributing & Code of Conduct

Contributions are welcome! Please review CONTRIBUTING.md for guidelines on how to contribute, and CODE_OF_CONDUCT.md for community standards.