Numbers & models
Hornet FX desk
An FX options desk that reprices the whole book as you change a trade.
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Explore the exampleWhy I’m interested
A pricing formula gets interesting when you put it to work across a portfolio. Change the market, add a call or a forward, and the desk shows how the whole book reacts. I want that connection between the model and the risk to be immediate, with the inputs and calculations in the same worksheet.
Progress
The browser worksheet runs the Rust pricing engine through WebAssembly. It prices calls, puts, and forwards, supports scratch trades, and combines valuation and risk across the book. The next comparison uses the same trade and market inputs in this desk and the original coursework workbook.
What comes next
Run the same trade and market inputs through the original workbook and the Rust engine. Compare valuation and risk totals.
Implementation and credits
How does an FX options book react to a change in the market?
The USD/MXN worksheet prices scratch trades and calculates combined portfolio risk with Rust in WebAssembly.
Edit the market, add calls, puts, or forwards, and watch the portfolio totals change.
Rust handles pricing and risk. The browser worksheet supplies the inputs and displays the results.
Adapted from my Hornet Trading Contest coursework.