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Option Price FAAS

API Documentation

Swagger docs at Docs.

Rapid API at https://rapidapi.com/realoptions-realoptions-default/api/finside1.

Pricer

These are a set of functions for pricing options when assets follow an extended Jump Diffusion process with stochastic time clock correlated with the diffusion portion of the asset process. See Carr and Wu 2004 and Huang and Wu 2004.

More documentation/design evidence

There are documents in the technical documentation folder.

To generate the needed json files, build the project cargo build --release, then run node index. Open OptionCalibration in a Sweave/Latex editor (eg RStudio) and compile.

#RUSTFLAGS='-L my/lib/location' cargo build

Run functions locally

cargo build --release

ROCKET_PORT=8080 ROCKET_ADDRESS=0.0.0.0 MAJOR_VERSION=v2 ./target/release/option_price

Benchmarks

View benchmarks at https://realoptions.github.io/option_price_faas/report.