Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark (delivered as facultative exercise for the course 'Python for finance and AI' at ESILV)
Details :
- myapp : main
- myautocallable : contains functions to simulate payoff and price of a simple autocall derivative
- myblackscholes : contains functions to compute price by black&scholes model
- myfinutils : contains functions to estimate financial vars such as implied vol, interest rate, etc.
- mygreeks : contains functions to derivate and plot the greeks
- /res : contains test data from real market data (dated 2015)
Possible future fixing :
- management of exceptions
- implementation of Halton series to perform Quasi MontiCarlo (literature tells that it could let to use 1 order of magnitude less in n of simu)