Monte Carlo Pricing Engine

A high-performance options pricing engine using C++ and Geometric Brownian Motion (GBM) simulations. Designed for speed, efficiency, and robustness, with support for multithreading, logging, CSV export, and CI/CD.

🚀 Features

• Geometric Brownian Motion (GBM) for realistic asset price modeling.
• Multithreading for faster simulations.
• Logging with spdlog for better debugging.
• CSV import/export for data handling.
• Cross-platform compatibility (Linux, Mac, Windows).
• Dockerized build & deployment with multi-stage optimization.
• Unit tests with GoogleTest (gtest).
• Continuous Integration (CI) ready.

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🔧 Installation

1. Clone the repository

git clone https://git.1-hub.cnT2LIPthedeveloper/Monte-Carlo-Pricing-Engine.git
cd Monte-Carlo-Pricing-Engine

2. Build with CMake

mkdir build && cd build
cmake .. -G Ninja
ninja

3. Run the executable

./monte_carlo

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🖥️ Usage

CLI Mode

./monte_carlo

Example Input:

Enter spot price (S0): 100
Enter strike price (K): 110
Enter risk-free rate (r): 0.05
Enter volatility (sigma): 0.2
Enter time to expiration (T in years): 1
Enter number of simulations: 100000
Enter option type (c for Call, p for Put): c

Example Output:

Monte Carlo Option Price: 7.89

Export to CSV

./monte_carlo --export results.csv

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🐳 Running with Docker

Build the Docker Image

docker build -t monte-carlo-pricer .

Run the Container (Interactive)

docker run --it --rm monte-carlo-pricer 

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🧪 Running Tests

cd build
ctest --output-on-failure

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📂 Project Structure

├── src/
│   ├── monte_carlo.h      # Monte Carlo implementation
│   ├── monte_carlo.cpp    # Pricing logic with GBM, multithreading
│   ├── main.cpp           # CLI interface
|── tests/                 # Unit tests (GoogleTest)
│── CMakeLists.txt         # Build configuration
│── Dockerfile             # Multi-stage Docker build
│── README.md              # Documentation

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📌 Future Improvements

• Implement support for stochastic volatility models (Heston Model).
• Add a REST API wrapper for web integration.
• Support for American-style options via Least Squares Monte Carlo (LSM).

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🛠️ Contributing

Feel free to submit PRs! Follow the standard C++ style guidelines.

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🏆 License

MIT License

Copyright (c) 2025 Atul Parida

Permission is hereby granted, free of charge, to any person obtaining a copy of this software and associated documentation files (the "Software"), to deal in the Software without restriction, including without limitation the rights to use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of the Software, and to permit persons to whom the Software is furnished to do so, subject to the following conditions:

The above copyright notice and this permission notice shall be included in all copies or substantial portions of the Software.

THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.

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📩 Contact

For queries, reach out at [atul.parida@outlook.com].