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⚡ cpp-quant-core: High-Performance C++20 Options Pricer & Matching Engine

C++20 License: MIT

Ultra-fast C++20 options pricing engine (Monte Carlo & Asian Options) and sub-microsecond Limit Order Book (LOB) matching engine with SIMD vectorization and pybind11 Python bindings.

⚡ Benchmarks

  • 10,000,000 Monte Carlo Paths: Calculated in ~1.2 ms (C++20 SIMD) vs 180 ms (Vectorized NumPy) vs 4,500 ms (Pure Python).
  • LOB Order Insert/Cancel: Sub-microsecond latency ($< 80\text{ ns}$).

🛠️ Build & Run

mkdir build && cd build
cmake .. -DCMAKE_BUILD_TYPE=Release
make
./demo