Initial commit: fx_quant_engine and options_quant_engine scaffold

options_quant_engine/scripts/run_engine.py

@@ -0,0 +1,35 @@
+from __future__ import annotations
+
+import json
+from datetime import datetime, timedelta, timezone
+from pathlib import Path
+
+from options_quant_engine import OptionsQuantEngine
+
+
+def main() -> None:
+    root = Path(__file__).resolve().parents[1]
+    engine = OptionsQuantEngine(config_dir=root / "config")
+
+    end = datetime.now(timezone.utc)
+    start = end - timedelta(days=260)
+
+    assets = ["USDINR", "EURINR", "GBPINR", "JPYINR", "EURUSD", "USDJPY"]
+    out_dir = root / "examples" / "runs"
+    out_dir.mkdir(parents=True, exist_ok=True)
+
+    outputs = {}
+    for asset in assets:
+        outputs[asset] = engine.run_asset(asset, start, end)
+
+    rv = engine.run_relative_value("USDJPY", "EURUSD", start, end)
+    outputs["relative_value"] = rv
+
+    ts = datetime.now(timezone.utc).strftime("%Y%m%d_%H%M%S")
+    out_file = out_dir / f"engine_run_{ts}.json"
+    out_file.write_text(json.dumps(outputs, indent=2), encoding="utf-8")
+    print(f"Saved engine output to {out_file}")
+
+
+if __name__ == "__main__":
+    main()