Are you even a math student if you don't build a project that is literally just pure, unadulterated linear algebra and probability theory running under the hood? Python is incredible for data ingestion, but when it comes to running 10,000+ Monte Carlo simulations for portfolio risk, the Global Interpreter Lock (GIL) becomes a massive bottleneck. To fix this, I made a Risk Engine from scratch that completely bypasses Python for the heavy lifting. Here is the V1 architecture: The Math: Geometric Brownian Motion (GBM) and Cholesky Decomposition to ensure simulated asset paths respect real-world market covariance. The Core: A native C++ backend executing the matrix transformations at raw machine speed. The Bridge: Pybind11 to safely pass massive 2D Pandas arrays across languages with zero-copy memory transfers. The UI: Python and Streamlit for live market ingestion via yfinance and reactive visualizations. The system dynamically calculates 95% Value at Risk (VaR),99% Value at Risk (VaR) and Expected Shortfall. Moving from standard ctypes to pybind11 to handle the cross-language memory handoffs was a steep learning curve, but the performance leap of running compiled C++ is undeniable. Next up for V2: Injecting OpenMP for multi-core parallel processing and swapping standard PRNGs for Sobol Sequences to speed up mathematical convergence. GitHub Repo in the comments! 👇 #Cpp #Python #LinearAlgebra #RiskManagement #SoftwareEngineering
Source code and Documentation - https://github.com/Chandrhaas/Value-at-Risk-Engine---python-and-cpp
Amazing work 👏🏻