代码题库

Almgren-Chriss Static Optimal Execution Trajectory

CRR Binomial Tree for an American Put

CRR Binomial Tree for a European Call

Discrete Bucket-Vega Hedge Allocator

Implied Default Probability from a CDS Spread

Credit Portfolio Expected Loss and Naive Unexpected Loss

Credit Portfolio MC Loss Distribution (Single-Factor Gaussian Copula)

Weighted Edit Distance with Per-Character Cost Matrices

Optimal Execution Trajectory Under Hard Per-Bucket Volume Caps

Post-Trade Impact Attribution Across Venues with a Cross-Venue Interaction

Jarrow-Rudd Binomial Tree for European Options

Leisen-Reimer Binomial Tree for European Options

LGD Aggregation with Collateral Recovery Cascade

Linear Market-Impact Cost of a Child-Order Schedule

Multi-Period DP for Optimal Execution Under Impact and Risk

Multi-Period Impact P&L with Exponential Decay Between Periods

Multi-Period Default Probability from a Rating-Transition Matrix

Pre-Trade Multi-Leg Impact Budget Check (Square-Root Model)

Sparse Vanilla Replication of an Exotic Payoff

Fit the Square-Root Market-Impact Coefficient by Weighted Least-Squares

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

Boyle Trinomial Tree for an American Put

CRR3 Trinomial Tree for a European Call

Vasicek ASRF Loss Rate