Quant Finance C++ Library

This repository is a personal library for learning and experimenting with quantitative finance models using C++.
It combines structured design patterns with financial modeling techniques, drawing inspiration from professional practices in the industry.

🎯 Purpose

• Apply and solidify knowledge from mathematical finance using C++
• Design clean, reusable components following object-oriented and modular principles
• Build a practical foundation for pricing derivatives and modeling financial instruments

📂 Project Structure

Each folder contains a self-contained C++ mini-project with its own main.cpp, demonstrating a specific concept or model:

quant-finance-cpp/
│
├── 01-option-pricing-simpleMC/     # Monte Carlo pricing for European options
│   ├── main.cpp
│   ├── Random1.cpp / Random1.h
│   └── CMakeLists.txt
│
├── 02-.../                          # (Future modules)
│
└── README.md

📌 Dependencies

• C++17 compiler (tested with g++)

🧮 Models Implemented & Planned

• Simple Monte Carlo simulation for European options

• Gaussian random number generation (Summation & Box-Muller) Planned models and components include:

• Procedural Monte Carlo pricing for vanilla options

• Object-oriented payoff abstraction (encapsulation, polymorphism)

• Improved design via inheritance and virtual interfaces

• Virtual constructors, the bridge pattern, and reusable parameter classes

• Strategy and decorator patterns for analytics and convergence tools

• Modular random number generators with adapters and clean interfaces

• Pricing of path-dependent exotic options (e.g., Asian options)

• Binomial and trinomial tree-based pricing frameworks

• Templates and reusable solver classes (e.g., implied volatility)

• Factory and singleton patterns for dynamic model construction

• Design principles for clean, testable, and extensible quant code

🛠️ How to Build

• Visual Studio Code (or any editor)
• Git Bash or terminal

🧱 Using Visual Studio Code (with Git Bash or terminal)

cd 01-option-pricing-simpleMC
g++ main.cpp Random1.cpp -o simpleMC.exe
./simpleMC.exe

📚 Copyright & Attribution

Much of the code in this repository is adapted from examples and exercises found in "C++ Design Patterns and Derivatives Pricing" by Mark Joshi. My contributions are limited to minor adaptations for learning and experimentation purposes.

✍️ Author

Giovanni Porta Mathematical Engineer & Quantitative Finance Enthusiast Currently working as a Quantitative Risk Analyst at Morgan Stanley. 📍 Budapest 🔗 LinkedIn (www.linkedin.com/in/giovanni-porta) 📝 Disclaimer

This project is for educational and personal development purposes only. Not intended for production use or financial advice.