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danielhstahl/levy-functions

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levy-functions: v1

These are a set of lambda functions for pricing options when assets follow an extended CGMY process with stochastic time clock correlated with the diffusion portion of the asset process. See http://engineering.nyu.edu/files/jfetchgepaper.pdf and https://pdfs.semanticscholar.org/67cd/b553e2624c79a960ff79d0dfe6e6833690a7.pdf.

Endpoints

levy-functions: v2

These are a set of lambda functions for pricing options when assets follow an extended Merton Jump Diffusion process with stochastic time clock correlated with the diffusion portion of the asset process.

Endpoints

Tests

The tests folder contains unit and integration tests. Run after ./compileAndPackage and npm install. Uses Jest for integration tests and lambda unit tests. Run with npm test.

Lambda

The lambda functions are defined in the lambda folder.

C++

The C++ code is in the src folder.

Development Server

There is a mock server which can be used to simulate calls to the lambda functions. To run the mock server, type npm run devServer. This will start the mock server on port 3001.

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