Bloomberg terminal-integrating python code to price Multi Barrier Reverse Convertibles (MBRC) as the expected value of fair values derived through differential equations during multiple (1000) Monte Carlo simulation runs. This code was created as a side topic and not proof-read. It is not intended for commercial use, nor meant to be seen as financial advise of any kind. It may be taken as inspiration for recreation of pricing tasks of similar kind. I can not guarantee that the derived fair value mirrors the market price nor the values derived by other methods. I am sure there is room for improvements (both conceptually and efficiency-wise), so please feel free to contribute.
-
Notifications
You must be signed in to change notification settings - Fork 0
Bloomberg terminal-integrating python code to price Multi Barrier Reverse Convertibles (MBRC) as the expected value of fair values derived through differential equations during multiple (1000) Monte Carlo simulation runs. This code was created as a side topic and not proof-read. It is not intended for commercial use, nor meant to be seen as fina…
oliverkostorz/MBRC-Pricing
This commit does not belong to any branch on this repository, and may belong to a fork outside of the repository.
Folders and files
| Name | Name | Last commit message | Last commit date | |
|---|---|---|---|---|
Repository files navigation
About
Bloomberg terminal-integrating python code to price Multi Barrier Reverse Convertibles (MBRC) as the expected value of fair values derived through differential equations during multiple (1000) Monte Carlo simulation runs. This code was created as a side topic and not proof-read. It is not intended for commercial use, nor meant to be seen as fina…
Topics
Resources
Stars
Watchers
Forks
Releases
No releases published
Packages 0
No packages published