Structured Products Pricer

Production-grade pricer for Autocallable structured products with Monte Carlo simulation, Brownian bridge barrier monitoring, and comprehensive Greeks calculation.

✨ Features

• Multi-Asset Pricing: Worst-of autocalls with correlated underlyings
• Advanced Barriers: Continuous knock-in monitoring via Brownian bridge
• Comprehensive Greeks: Delta, Vega, Rho with Common Random Numbers
• Flexible Vol Models: Flat, piecewise constant, and local stochastic volatility
• Production Ready: Type-safe, tested, and optimized for performance

🚀 Quick Start

Prerequisites

• Python 3.11+
• Node.js 18+ (for UI)

Installation

# 1. Install Python dependencies
pip install -r requirements.txt
pip install -e ./backend

# 2. Install UI dependencies
cd ui && npm install

Running Locally

# Terminal 1: Start API server (from repo root)
uvicorn api.main:app --reload --port 8000

# Terminal 2: Start UI
cd ui && npm run dev

Then open:

• UI: http://localhost:3000
• API Docs: http://localhost:8000/docs

📚 Documentation

• Development Setup - Detailed installation and configuration
• Architecture Overview - System design and components
• API Documentation - Endpoint reference
• All Documentation - Complete documentation index

🧪 Testing

cd backend
pytest tests/ -v --cov=pricer

📦 Project Structure

pricer/
├── backend/          # Python pricing library
│   ├── src/pricer/   # Core modules (engines, pricers, risk)
│   ├── tests/        # Test suite
│   └── examples/     # CLI examples
├── api/              # FastAPI REST API
│   └── main.py       # API endpoints
├── ui/               # Next.js web interface
│   └── src/          # React components
└── docs/             # Documentation

🔧 Development

# Run tests
make test

# Type checking
make lint

# Format code
make format

See Development Setup for detailed instructions.

📖 API Endpoints

Method	Endpoint	Description
GET	/health	Health check
GET	/schema	Example term sheet
POST	/price	Price a product
POST	/risk	Risk analysis with Greeks
POST	/vanilla/price	Price vanilla options
POST	/vanilla/implied-vol	Implied volatility
GET	/market-data	Fetch market data

🌐 Deployment

• API: Google Cloud Run (us-central1). Deploy with:

  gcloud run deploy pricer-api \
    --source . \
    --dockerfile api/Dockerfile \
    --region us-central1 \
    --allow-unauthenticated

• UI: Vercel (auto-deploys on push to main, root directory set to ui)
• Production: https://pricer-six.vercel.app

📄 License

MIT

🤝 Contributing

Contributions welcome! Please see Development Setup for getting started.