/rBergomi

C++ implementation of rBergomi model

Primary LanguageC++

README

RBergomi option pricing

What is this repository for?

This is a C++ implementation of European option pricing routines in the RBergomi model.

  • Pricing is done by Monte Carlo
  • fBm is generated by the hybrid scheme
  • At the moment, only constant forward variance is implemented.

Build instructions

The projects are prepared in eclipse, but in any case these are requirements for compiling and running the code:

  • fftw3 library

  • openmp support

  • C++14

The code was found to compile and run successfully with g++ version 5.x and later, but not with a tested version of g++ 4.??.

Note that I was not able to compile the RBergomi package for R (using Rcpp) in OSX, while I was able to do so in Linux. A workaround is provided by simply calling a console program from within R.