README #

RBergomi option pricing

What is this repository for? ###

This is a C++ implementation of European option pricing routines in the RBergomi model.

Pricing is done by Monte Carlo
fBm is generated by the hybrid scheme
At the moment, only constant forward variance is implemented.

Build instructions ###

The projects are prepared in eclipse, but in any case these are requirements for compiling and running the code:

fftw3 library

openmp support

C++14

The code was found to compile and run successfully with g++ version 5.x and later, but not with a tested version of g++ 4.??.

Note that I was not able to compile the RBergomi package for R (using Rcpp) in OSX, while I was able to do so in Linux. A workaround is provided by simply calling a console program from within R.

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