SHELL Interview Quest

Introduction

Option Pricing Engine using Black Scholes model

The project consists of a simple rest API to price options contracts using the Black Scholes model. The pricing model was built with certain assumption. Including constant market data, rates and volatility.

• Works only for European options
• With no dividend pay off
• With no markups charges included
• With each contract of 100 units
• With a constant interest rate
• With a constant volatility

The system was developed using python version 3.10 and tested on Kubuntu 22.10

Requirements

• Docker
• Make

Running the script

cd shell

make run

curl --location 'http://localhost:8008/price' --header 'Content-Type: application/json'
      --data '{
        "commodity": "HH",
        "putcall": "PUT",
        "strike": 2.5,
        "delivery": "FEB-24",
        "type": "VANILLA"
      }'

Output:

{
    "Results": {
        "PV": 32.26476
    },
    "commodity": "HH",
    "delivery": "FEB-24",
    "expiry": "Dec-23",
    "putcall": "PUT",
    "strike": 2.5,
    "type": "VANILLA"
}

Running the tests

cd shell

make run-dev

Now from the container shell

make test