DEVSTORY #13: Pricing CME Natural Gas American Options (ON) using options pricing functions as a service library
A CME Natural Gas American Options (ON) market maker required an American Call Option (Bjerksund Stensland 2002 approximation) model for live pricing and greeks.
The trader’s organization developed a proprietary implementation of the Bjerksund Stensland 2002 approximation. This was developed in python.
The model was packaged in a docker container and deployed to the organization’s account on Dockerhub. ( This container is also stored in the organization’s Sonatype Nexus container repository). The container was then deployed to FAAS infrastructure running on Kubernetes clusters across multiple zones within three regions in Asia, Europe, and the United States on the organization’s hybrid cloud.
Once the newly deployed pods are running, the model is available as an HTTPS endpoint.
Traders ( using Excel VBA + HTTP ), ETRM systems using Java clients, enterprise clients using javascript, python, Java, C#, C++ can make HTTPS requests on the function as a service endpoint.
DEVSTORY #13: Pricing CME Natural Gas American Options (ON) using options pricing functions as a service library provides more detail on the development, deployment, and use of the Oprilia American Option pricing model deployed on the Factoryze FAAS platform