Basket Option Pricer - Details

Here are the details around the derivation and implementation of my C++ basket option pricer. The derivation uses Sympy to remove / reduce the tedious algebraic calculations. Sympy's also used to generate code used for the Python prototype (uses Numpy/Scipy) and C++ implementation (uses Eigen). The key definitions such as the Linear Log Normal and Black 76 formulae have been coded as Sympy expressions and mostly everything else has been derived programmatically (& obviously checked manually). Some extensions to the Sympy platform are described in the appendices (e.g. expression simplification, C++ printer to Eigen). The image compares various analytical calculations (from my pricer) vs monte carlo simulations. I hope it's interesting to some :-)