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I put together a Haskell proof of concept Monte Carlo pricing tool loosely based on SPJ's work: https://github.com/boundedvariation/quantfin https://github.com
by tdees40 11y ago
I put together a Haskell proof of concept Monte Carlo pricing tool loosely based on SPJ's work:
https://github.com/boundedvariation/quantfin https://github.com/boundedvariation/quantfin
Still needs some love, but it was a pretty cool experience.
- zhte415 11y agoI did similar, but I did it Excel. It was cool, not an experiment, and it was done quickly, as Excel is the ultimate Agile tool in finance.