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Please, star this repo if you find it useful, so that other people can discover it as well.

TastyHedge

tastyhedge.com is a blog about programming and quantitative finance. This repository contains accompanying C++ code and market data to reproduce the examples discussed in the blog.

Additionally, you can build and run testyhedge program that has the following interface:

tastyhedge - Financial Analytics

Usage:
    tastyhedge calibrate [--mds=<dir>] <src> <dst>

Global Options:
    --mds <dir>         Market Data Store [default: c:/mds]

    --version           Print version

Build

To manage C++ dependencies we use vcpkg. Please, install vcpkg on Linux or Windows (or use default version that comes with Visual Studio).

Windows

In Visual Studio open and use as a CMake project.

Linux

Tested on Ubuntu 22.04.3 LTS (WSL) with GCC 11 (see Makefile for more options):

  • Config

    cmake --preset linux-release

  • Build

    cmake --build --preset linux-release --target tastyhedge

  • Install

    cp ./out/linux-release/src/tastyhedge .

  • Run

    ./tastyhedge