QuantEssence

Standard Normal Random Variable Generator in C++

quantessense — Fri, 30 Dec 2011 18:12:32 +0000

This is the random number generator I use for most of my programs. download

Sampling Correlated Asset Paths

quantessense — Fri, 30 Dec 2011 04:16:03 +0000

The following is C++ written code which generates correlated price paths for a user defined amount of assets. download

Cholesky decomposition algorithm in C++

quantessense — Fri, 23 Dec 2011 18:18:14 +0000

The Cholesky decomposition algorithm in C++ is now available. download

Matrix operations in C++

quantessense — Mon, 19 Dec 2011 04:13:30 +0000

The C++ implementation of the following matrix operations are now available: matrix addition/subtration/multiplication, matrix-vector multiplication, distance between two vectors, determinant, transpose. download

Numerical differentiation in C++

quantessense — Sun, 18 Dec 2011 03:39:31 +0000

Numerical differentiation algorithms in C++ using 5 point stencil formulas are now available. download

Monte Carlo Integration in C++

quantessense — Sun, 18 Dec 2011 00:53:03 +0000

Code for Monte Carlo method for the approximation of integrals in one, two, and three dimensions is now available. download

Gaussian Copula in C++

quantessense — Tue, 25 Jan 2011 00:21:58 +0000

A model that captures the joint behavior of two random variables using the Gaussian Copula. download

Numerical Integrator in C++

quantessense — Tue, 25 Jan 2011 00:19:00 +0000

An approximation of integrals of one, two, and three variables.

European Option pricer (C++)

quantessense — Sun, 14 Mar 2010 18:56:13 +0000

This is a Black Scholes C++ implementation for pricing a European option on a dividend paying stock. download

Asian Option pricer (C++)

quantessense — Tue, 09 Mar 2010 00:28:23 +0000

This is an object-oriented version of the Asian option pricing model I made in MATLAB. download