Options · Rates · Securitized Products

Pricing code for optionality, rates, and cash-flow risk.

American options. Barriers. MBS. Variance reduction. Greeks. G2++ rates.

Back to Projects Open GitHub ↗

Methods

Pricing stack

Binomial and trinomial lattices for early-exercise features and path-dependent logic.
Least-squares Monte Carlo (LSMC) for American option exercise policies.
Finite-difference methods for price surfaces and Greeks.
Monte Carlo with antithetic and control variates to reduce estimator variance.
G2++ interest-rate modeling for curve-sensitive fixed-income instruments.

Risk Stack

Optionality, rates, cash flows

Embedded optionality. Prepayment behavior. Curve sensitivity. Timing.

Instrument	Modeling emphasis
American Options	Exercise boundary estimation and dynamic programming.
Barrier Options	Path dependence and boundary crossing behavior.
MBS	Rate-sensitive cash flows, optionality, and valuation under curve scenarios.
Rates Models	Two-factor dynamics for yield curve movement and discounting.

Extensions

Next modules

Prepayment modeling with borrower incentives and refinancing thresholds.
Scenario explorer for parallel, slope, and curvature shocks.
Reusable harness for comparing lattice, LSMC, and finite-difference outputs.
Stress dashboard for duration, convexity, and option-adjusted spread sensitivity.