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Option Price FAAS

API Documentation

Docs

Pricer

These are a set of lambda functions for pricing options when assets follow an extended Jump Diffusion process with stochastic time clock correlated with the diffusion portion of the asset process. See Carr and Wu 2004 and Huang and Wu 2004.

More documentation/design evidence

Additional documentation is available at the fang_oost_charts.

Run functions locally

cargo build --target x86_64-unknown-linux-musl --release

cat ./tests/parameter1.json | sudo docker run --rm -v "$PWD":/var/task -i -e DOCKER_LAMBDA_USE_STDIN=1 lambci/lambda:provided ./target/x86_64-unknown-linux-musl/release/pricer

Benchmarks

View benchmarks at https://realoptions.github.io/option_price_faas/report.

GCP

When deploying to GCP, do the following steps:

• Install glcoud cli (https://cloud.google.com/sdk/docs/downloads-apt-get)
• Run gcloud auth configure-docker
• Build and tag the docker image: docker build . -t gcr.io/finside/option_price_faas:1.0.0 -f ./docker/option_price.Dockerfile
• gcloud auth login
• gcloud config set project finside
• docker push gcr.io/finside/option_price_faas:1.0.0
• gcloud run deploy optionpricefaas --image gcr.io/finside/option_price_faas:1.0.0 --platform managed --allow-unauthenticated
• To delete: gcloud run services delete optionpricefaas --platform managed