3dacc0a418
Rewrite the README with secure setup instructions, add dedicated setup/security docs, and include the standalone local-volatility instability experiment materials for reproducible analysis. Made-with: Cursor
80 lines
2.1 KiB
Markdown
80 lines
2.1 KiB
Markdown
# option_pricing
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C++/Python quantitative finance engine for option pricing, implied-volatility analysis, and market-data ingestion.
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## What is included
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- `cpp/`: core C++ pricing library (Monte Carlo + Black-Scholes closed form), DB ingestion hooks, and pybind bindings.
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- `qengine/`: Python package exposing the native extension (`import qengine`).
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- `src/ImpliedVolatility/`: SVI calibration and implied-volatility tooling.
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- `src/data/`: data ingestion, SQL schema, and analytics helpers.
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- `tests/`: C++ unit tests (GoogleTest).
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- `scripts/`: operational scripts, including PostgreSQL setup.
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- `docs/`: Doxygen configuration and generated API docs (ignored in git for publication).
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## Quickstart
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### 1) Clone and create a Python environment
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```bash
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python3 -m venv .venv
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source .venv/bin/activate
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pip install --upgrade pip
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pip install -e .
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pip install pandas yfinance sqlalchemy psycopg2-binary matplotlib scipy
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```
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### 2) Configure environment variables
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```bash
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cp .env.example .env
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```
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Then edit `.env` with your local database credentials.
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### 3) Create database and schema
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Use the idempotent setup script:
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```bash
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source .env
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python scripts/setup_postgres.py
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```
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This script creates/updates:
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- database role (`DB_USER`)
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- database (`DB_NAME`)
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- tables/indexes from `src/data/sql/schema.sql`
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### 4) Build C++ extension and run tests
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```bash
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cmake -S . -B build
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cmake --build build -j
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ctest --test-dir build --output-on-failure
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```
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### 5) Run Yahoo options ingestion
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```bash
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source .env
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python src/data/ingestion/ingest_yahoo_options.py
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```
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`PIPELINE_SYMBOLS` in `.env` controls which symbols are ingested (comma-separated, e.g. `SPY,AAPL,QQQ`).
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## Security and publication notes
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- No credentials are stored in source code.
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- `.env` files are git-ignored; only `.env.example` is committed.
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- Before publishing, rotate any credentials that were ever committed in the past.
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- Prefer least-privilege DB users for runtime ingestion jobs.
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## Generating C++ API docs
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```bash
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cmake --build build --target docs
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```
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Generated output goes to `docs/html/` and is ignored in version control.
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