代码题库

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

Bilateral CVA and DVA Under Independence: Two Discounted Time-Profile Sums

CRR Binomial Tree for an American Put

American Put Pricing on a CRR Binomial Tree

CRR Binomial Tree for a European Call

Black-Scholes Call Implied Vol 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

Discrete Bucket-Vega Hedge Allocator

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

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

CDS Upfront Fee from Par Spread, Standard Coupon, and Risky PV01

Locally-capped Cliquet Call MC Pricing with Antithetic Variates

European Call MC with Geometric-Asian Control Variate

Cross-Gamma 2D Shock-Grid PnL via Bilinear-Quadratic Taylor

Cross-Gamma PnL Attribution: Two-Asset Greek Decomposition

Bump-and-Revalue Finite-Difference Delta

Discrete Delta-Hedge Path Simulation with Transaction Costs

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

European Call Monte Carlo with Antithetic Variates

Fixed-strike Lookback Call MC Pricing with Discrete Monitoring

Cross-Hedge Residual Variance and Explanatory Power

Black-Scholes PnL Attribution: Delta, Gamma, Vega, Theta

Single-Sigma Black-Scholes Calibration to a Strike Grid

Heston Calibration Residual in Implied-Vol Space

Implied Volatility with Newton + Bisection Fallback

Newton-Raphson Implied Volatility from a Quoted Call

Vega-Weighted Average Implied Volatility Across a Strike Grid

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

Black-Scholes Call Implied Vol via Hybrid Newton-Raphson with Bisection Fallback

Batch IV Pre-Flight — No-Arbitrage Bracket Classifier

Black-Scholes Put Implied Vol via Bisection

Black-Scholes Call Implied Vol via the Secant Method

Jarrow-Rudd Binomial Tree for European Options

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

Greek-Based PnL Attribution

Greek-Attribution P&L Explain with Residual Diagnostic

Aggregate Book Delta per Underlying

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

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

Sparse Vanilla Replication of an Exotic Payoff

Hagan SABR Implied Lognormal Vol from Parameters

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

Survival-Weighted Expected-Exposure Profile for CVA Aggregation

Multi-Position Four-Greek P&L Attribution with Theta Decay

Boyle Trinomial Tree for an American Put

CRR3 Trinomial Tree for a European Call

Unilateral CVA Under PD-EE Independence: Discounted Time-Profile Sum

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

Bucket Vega Exposure by Maturity

Vega-Bucketed PnL Explain Across a Strike Grid

Static Vega Replication of an Exotic into a Vanilla Basis