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Add Single Barrier option pricing and scanario calculation. #88

Merged
merged 6 commits into from
Aug 18, 2024
Merged

Add Single Barrier option pricing and scanario calculation. #88

merged 6 commits into from
Aug 18, 2024

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sschlenkrich
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This PR adds functions for scenario calculation of Single Barrier options.

  • Black-Scholes barrier option pricing formulas
  • Brownian Bridge methods for no-hit probabilities
  • Path function for asset and zero bond calculation
  • BarrierOption payoff
  • BarrierAssetOptionFlow cash flow as building block for product legs

@sschlenkrich sschlenkrich merged commit a7a20ec into frame-consulting:main Aug 18, 2024
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@sschlenkrich sschlenkrich deleted the wip/barriers branch August 18, 2024 12:53
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@sschlenkrich @FrameConsult