q-option-pricing

Option pricing library for q by KX, includes implementations for:

• Black Scholes
• Monte Carlo
• Cox-Ross-Rubenstein binomial
• Garman–Kohlhagen

Get Started

Install kdb+ from kx.com and rlwrap

Move to the q-option-pricing directory

cd ./q-option-pricing/

Start q (example for macOS)

rlwap ~/q/m64/q

Load the library

\l ./loadall.q

Examples of calculating the price of a call

q).bs.c.price[420;420.04;0.8;0.17;0.05]
34.02261
q).mc.c.price[420;420.04;0.8;0.17;0.05;1000]
33.89279
q).crr.c.price[420;420.04;0.8;0.17;0.05;1000]
34.01666

HTTP

Start a web server on port 5000

\p 5000