A full-stack quantitative finance system for pricing options and multi-leg strategies using the Black-Scholes model. The C++ pricing engine exposes a REST API consumed by a React dashboard.
React Dashboard (port 3000) ──HTTP/JSON──► C++ REST Server (port 8080) ──► Black-Scholes Engine
Option_Strategy_Pricer/
├── src/
│ ├── cpp/ # C++ pricing engine & REST server
│ │ ├── include/
│ │ │ ├── models/ # BlackScholes.h, Greeks.h, RiskMeasures.h
│ │ │ ├── options/ # Option.h, EuropeanOption.h, OptionFactory.h
│ │ │ ├── strategy/ # Strategy.h, BullCall.h, IronCondor.h, ...
│ │ │ └── api/ # PricingEndpoint.h, RestServer.h, ...
│ │ └── src/
│ │ ├── models/ # BlackScholes.cpp, Greeks.cpp, RiskMeasures.cpp
│ │ ├── options/ # EuropeanOption.cpp, AmericanOption.cpp, OptionFactory.cpp
│ │ ├── strategy/ # Strategy.cpp, BullCall.cpp, IronCondor.cpp, StrategyFactory.cpp
│ │ ├── api/ # PricingEndpoint.cpp, RestServer.cpp, JsonSerializer.cpp
│ │ └── main_server.cpp # HTTP server entry point (cpp-httplib)
│ └── frontend/ # React dashboard
│ ├── package.json
│ ├── public/index.html
│ └── src/
│ ├── App.js # Root component — renders MultiLegStrategy
│ ├── components/
│ │ └── MultiLegStrategy.js # Portfolio builder, Greeks, payoff chart
│ └── services/
│ └── api.js # Axios instance (baseURL: localhost:8080)
├── tests/
│ ├── cpp/ # C++ unit tests (GoogleTest)
│ │ ├── fixtures/test_data.h # Known Black-Scholes reference values
│ │ ├── test_blackscholes.cpp
│ │ ├── test_greeks.cpp
│ │ ├── test_options.cpp
│ │ └── test_strategies.cpp
│ ├── conftest.py # pytest fixtures (server_url, api_base — auto-skip if server down)
│ └── test_api.py # All Python integration + Black-Scholes reference tests
├── third_party/
│ ├── httplib/httplib.h # cpp-httplib v0.30.1 (header-only)
│ └── nlohmann/json.hpp # nlohmann/json v3.11.2 (header-only)
├── build/ # CMake build output (generated)
├── CMakeLists.txt # Builds: pricing_server, test_runner
├── conanfile.txt # Conan dependencies
└── .venv/ # Python virtual environment
| Tool | Version | Purpose |
|---|---|---|
| C++17 compiler (MSVC / GCC / Clang) | — | Build pricing engine |
| CMake | 3.15+ | Build system |
| Node.js + npm | 16+ | React frontend |
| Python | 3.8+ | Test scripts |
mkdir build && cd build
cmake ..
cmake --build .
# Verify the model
./build/test_runner.exe # Windows
./build/test_runner # Linux / macOS./build/pricing_server.exe # Windows
./build/pricing_server # Linux / macOS
# Listening on http://localhost:8080cd src/frontend
npm install # first time only
npm start
# Dashboard at http://localhost:3000python -m venv .venv
# Windows: .venv\Scripts\activate
# Unix: source .venv/bin/activate
pip install -r requirements.txt
pytest tests/ -v # 97 testsAll endpoints are served on http://localhost:8080.
Returns {"status": "healthy", "version": "1.0.0"}. Use to verify the server is running.
curl -X POST http://localhost:8080/api/price \
-H "Content-Type: application/json" \
-d '{"type":"call","spot":100,"strike":100,"rate":0.05,"volatility":0.2,"time":1.0}'{
"price": 10.45,
"delta": 0.64,
"gamma": 0.019,
"vega": 39.45,
"theta": -6.41,
"rho": 53.23
}curl -X POST http://localhost:8080/api/strategy/price \
-H "Content-Type: application/json" \
-d '{"strategy":"straddle","spot":100,"strike":100,"is_long":true,"rate":0.05,"volatility":0.2,"time":1.0}'{
"strategy": "straddle",
"price": 16.02,
"delta": 0.274,
"gamma": 0.038,
"vega": 75.04,
"theta": -12.82
}Note: ATM straddle delta ≈ 2·N(d₁)−1 ≈ 0.274 when r = 5% — it equals zero only at the forward-ATM strike K = S·e^{rT}, not the spot-ATM strike.
curl -X POST http://localhost:8080/api/portfolio/price \
-H "Content-Type: application/json" \
-d '{
"spot": 100, "rate": 0.05,
"legs": [
{"type":"european","optionType":"call","strike":100,"volatility":0.2,"time":1.0,"quantity":1},
{"type":"american","optionType":"put", "strike":100,"volatility":0.2,"time":1.0,"quantity":1}
],
"payoff_steps": 100
}'Each leg's type field selects the pricing model ("european" or "american"; default "european"). The response echoes model on every leg.
Response includes portfolio.totalPrice, portfolio.greeks (Δ, Γ, ν, θ, ρ), portfolio.legs (per-leg price + Greeks + model), and portfolio.payoff (spot_prices + payoffs arrays). Payoff values are net P&L (intrinsic value minus premium paid).
Returns list of available named strategies.
Returns a 2-D Greeks surface over spot and time ranges. Query params: type, strike, rate, volatility, spot_range, time_range, steps.
Pricing models
- Black-Scholes European option pricing (closed-form)
- American option pricing via Cox-Ross-Rubinstein binomial tree (configurable steps)
- Full Greeks for both models: Δ, Γ, ν, θ, ρ
- Normal CDF via
std::erfc()— no external math library required - Mixed-model portfolios (European and American legs in the same request)
Strategies
- Straddle — long/short call + put at same strike
- Strangle — OTM call + OTM put at different strikes
- Bull Call Spread — long lower call + short higher call
- Iron Condor — short strangle + long wider protective strangle
Frontend
- Multi-leg portfolio builder (add/remove legs, set per-leg expiry)
- As-of date selector — legs with expiry ≤ as-of date are dimmed and excluded from pricing
- Real-time portfolio Greeks (Δ, Γ, ν, θ, ρ)
- Payoff diagram showing net P&L across spot range (Plotly)
- Greeks sensitivity charts (Δ, Γ, ν, θ, ρ vs. spot price)
- Common σ / r toggles for quick scenario analysis