Bloomberg terminal-integrating python code to price Multi Barrier Reverse Convertibles (MBRC) as the expected value of fair values derived through differential equations during multiple (1000) Monte Carlo simulation runs. This code was created as a side topic and not proof-read. It is not intended for commercial use, nor meant to be seen as financial advise of any kind. It may be taken as inspiration for recreation of pricing tasks of similar kind. I can not guarantee that the derived fair value mirrors the market price nor the values derived by other methods. I am sure there is room for improvements (both conceptually and efficiency-wise), so please feel free to contribute.
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Bloomberg terminal-integrating python code to price Multi Barrier Reverse Convertibles (MBRC) as the expected value of fair values derived through differential equations during multiple (1000) Monte Carlo simulation runs. This code was created as a side topic and not proof-read. It is not intended for commercial use, nor meant to be seen as fina…
oliverkostorz/MBRC-Pricing
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Bloomberg terminal-integrating python code to price Multi Barrier Reverse Convertibles (MBRC) as the expected value of fair values derived through differential equations during multiple (1000) Monte Carlo simulation runs. This code was created as a side topic and not proof-read. It is not intended for commercial use, nor meant to be seen as fina…
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