代码题库

American Put Pricing via Longstaff-Schwartz Least-Squares Monte Carlo

Antithetic Variates Variance Reduction

Arithmetic-average Asian Call MC Pricing with Antithetic Variates

Geometric-average Asian Call: Closed-form Black-Scholes Pricing

Bachelier (Normal) Implied Vol from a Quoted Call

Up-and-out Barrier Call MC Pricing with Daily Monitoring

Bermudan Put on a CRR Tree with Selective Early-Exercise

Leftmost Index via Binary Search (bisect_left)

Backward Induction on a Generic Binary Tree

Invert Binary Tree (Mirror)

Maximum Depth of a Binary Tree (Recursive)

Symmetric Binary Tree Check

CRR Binomial Tree for an American Put

American Put Pricing on a CRR Binomial Tree

CRR Binomial Tree for a European Call

Periodic Yield To Maturity of a Fixed-Rate Coupon Bond via Bisection

Brownian Bridge Running Minimum Survival Probability

Black-Scholes Delta for Batched Calls and Puts

Black-Scholes European Call and Put Pricing in Batch

Black-Scholes Gamma and Vega in Batch

Black-Scholes Implied Vol from a Quoted Call or Put via Newton-Raphson

Black-Scholes Rho for Batched Calls and Puts

Black-Scholes Theta for Batched Calls and Puts

Detect Butterfly-Arbitrage Violations on a Call-Price Strike Grid

Cash-or-Nothing Digital Call: Closed-form Black-Scholes Pricing

Periodic IRR of an Equally-Spaced Cashflow Stream Under the Standard-Project Assumption via Bisection

CIR Short-Rate MLE Calibration on a Historical Series

Locally-capped Cliquet Call MC Pricing with Antithetic Variates

Win-Count Leaves on a Forward Scenario Tree

Recursive Binary Decision-Tree Evaluator

Deepest No-Drawdown Leaf on a Forward Scenario Tree

Bump-and-Revalue Finite-Difference Delta

Digital Cash-or-Nothing Call Monte Carlo with Antithetic Variates

Dollar Gamma Across a Strike Ladder

Double-No-Touch Pricing via Antithetic-Variate Monte Carlo

Estimate Barrier Hit Probability

European Call Monte Carlo with Antithetic Variates

European Call Price via Monte Carlo

Expected Value at Root of Scenario Tree

OU First-Passage Time by Monte Carlo

Fixed-strike Lookback Call MC Pricing with Discrete Monitoring

Single-Sigma Black-Scholes Calibration to a Strike Grid

Heston Calibration Residual in Implied-Vol Space

Black-Scholes Implied Volatility on a Strictly Increasing Price Curve via Bisection

Implied Volatility with Newton + Bisection Fallback

Newton-Raphson Implied Volatility from a Quoted Call

Vega-Weighted Average Implied Volatility Across a Strike Grid

Implied Volatility via Bisection

Implied Volatility via Newton's Method

Importance Sampling for Deep OTM Monte Carlo

Black-Scholes Call Implied Vol via Brent's Method (scipy.optimize.brentq)

Batch IV Pre-Flight — No-Arbitrage Bracket Classifier

Black-Scholes Put Implied Vol via Bisection

Jarrow-Rudd Binomial Tree for European Options

Merton Jump-Diffusion European Call via Monte Carlo

Minimum Eating Speed (Binary Search on the Answer)

Leisen-Reimer Binomial Tree for European Options

Fixed-Strike Lookback Call Pricing via Monte Carlo

Semi-Analytic Call Price on the Max of n iid Lognormals

Min Cash Buffer to Survive

Earliest Second Where the Algo Hits Its Volume Target Without Tripping the Slippage Cap

Minimum Constant Maker Fill-Rate to Meet a Parent-Order Deadline Under Per-Minute Supply Caps

Calibrating the Minimum Leverage Cap for a Target Risk Budget

Largest Uniform Collateral Haircut Covering a Liability via Bisection

Smallest Router Count under a BFD Load-Cap Assigner via Bisection

Smallest Slippage Cutoff Meeting a Target Absolute Weighted Cost via Bisection

Minimum Spread Tolerance for Target Fill Rate

Smallest Stress Severity Factor Where a Counterparty First Breaches Its Cap

Minimum Tickers for Liquidity Coverage

Smallest Slice Length Whose Every Window Meets a Volume Target

Multi-Level Monte Carlo for a European Call

Optimal Strike Allocation in Option Spread

Greek-Attribution P&L Explain with Residual Diagnostic

Aggregate P&L Up a Portfolio Hierarchy Tree

Probability of Reaching a Target Leaf Set on a Binary Scenario Tree

Prune Binomial Tree to Min Nodes

Present Value of a Post-Default Recovery Cash-Flow Stream

Best-of-N Rainbow Call MC Pricing with Cholesky and Antithetic Variates

Range-Accrual Note Pricer via Daily-Monitoring MC with Antithetic Variates

Recursive Walk Down a Hierarchical Rebate-Tier Tree

Per-Node Conditional Expected Leaf Payoff on a Scenario Tree

Hagan SABR Implied Lognormal Vol from Parameters

Calibrate SABR Volvol (alpha, rho, nu) to a Smile

Expected PnL on a Risk-Officer Scenario Tree

Worst-Case Leaf PnL on a Risk-Officer Scenario Tree

Shortest Window Hitting a Cumulative Return Target

European Call MC with Stratified Sampling on Terminal Z

Svensson (1994) 6-Parameter Yield-Curve Fit

SVI Slice Fit with No-Butterfly-Arbitrage Constraint

Fit SVI Parameters to a Single Expiry Slice

Search a Binary Search Tree for a Target

Boyle Trinomial Tree for an American Put

CRR3 Trinomial Tree for a European Call

Up-and-In Barrier Call: Closed-form Reiner-Rubinstein Pricing with Rebate

Validate Binary Search Tree (Recursive Bounds)

Vasicek MLE Fit from a Short-Rate Series

Vasicek Short-Rate MLE Calibration on a Historical Series

Detect Calendar-Arbitrage Violations on an Implied-Vol Surface

Yield to Maturity via Bisection