LibOptions a library that allows user to conveniently calculate options price paths and use different algorithms to calculate when to execute. Clients of the library can also easily replace the algorithms in the library with their own custom algorithms!
LibOptions requires CMake (>= 3.14) and Eigen3 library.
Please refer to this link to install CMake and this to install the Eigen3 library.
To compile everything, simply run
make
This will compile everything (library and the driver that uses the library) inside the build directory (which will be generated by the Makefile if not present).
To directly build everything and run the driver, run
make driver