QuantDesk

Institutional Options Pricing & Stochastic Simulation Workstation.
Price European derivatives with analytical Black-Scholes and vectorized Monte Carlo across a 3-tier Python, C#, and React stack.

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What is QuantDesk?

QuantDesk is a 3-tier quantitative finance workstation that models how trading desks separate mathematical research from enterprise service delivery and visualization. A Python (FastAPI + NumPy/SciPy) microservice computes exact Black-Scholes analytical prices, first- and second-order Greeks, and vectorized Geometric Brownian Motion Monte Carlo simulations. An ASP.NET Core (C#) gateway validates contracts and routes authenticated requests to the calculation node, while a React frontend renders real-time stochastic price paths, valuation curves, and scenario risk matrices.

Features

• Dual analytical & stochastic pricing: Compare closed-form Black-Scholes theoretical values against vectorized Monte Carlo simulations (N = 1,000 to 250,000 paths) with live convergence error (|BS − MC|), standard error (SE), and 95% confidence intervals.
• Full Greeks telemetry: Real-time calculation of Delta ($\Delta$), Gamma ($\Gamma$), Vega ($\mathcal{V}$), Theta ($\Theta$), and Rho ($\rho$) scaled to practical desk conventions (per $1 spot move, per 1% volatility/rate shift, and daily calendar decay).
• Multi-path Monte Carlo spaghetti visualizer: High-FPS HTML5 <canvas> engine simulating discrete Geometric Brownian Motion paths ($S_{t+\Delta t} = S_t \exp((r - \frac{1}{2}\sigma^2)\Delta t + \sigma\sqrt{\Delta t}Z)$) across 62 time steps.
• Two experience modes:
  • Guided Mode (Beginner): Plain-English trade summaries, break-even thresholds, intrinsic vs. extrinsic value decomposition, and risk-neutral probability of expiring In-The-Money ($N(d_2)$).
  • Pro Desk Mode (Quant Sim): Direct numeric order-ticket inputs, Delta/Gamma surface curves, and a Spot × Volatility Scenario P&L Matrix.
• Resilient dual-engine execution: Seamlessly switch between the live C# + Python backend pipeline and an in-browser local fallback sandbox.

Architecture & stack split

Tier	Technology	Default Port	Responsibility
1. Quant Engine	Python 3.12, FastAPI, NumPy, SciPy	127.0.0.1:8000	Closed-form Black-Scholes calculus, Greeks, and vectorized GBM Monte Carlo simulation
2. Service Gateway	C#, ASP.NET Core Web API, HttpClient	localhost:5000	Strongly-typed DTO validation, CORS enforcement, header authentication, and routing
3. Trader Workstation	React, Vite, Tailwind CSS, Recharts, Canvas	localhost:5173	Interactive parameter controls, stochastic path rendering, and P&L risk matrices

Run locally

Requires Python 3.11+, .NET 8.0+ SDK, and Node.js 20+.

1. Start the Python Quant Engine (Port 8000)

git clone [https://github.com/DevarshP610/quant-options-pricer.git](https://github.com/DevarshP610/quant-options-pricer.git)
cd quant-options-pricer/1-python-quant-engine
python -m venv .venv
.\.venv\Scripts\Activate.ps1
python -m pip install -r requirements.txt
Copy-Item .env.example .env
python main.py