Commit Graph
4 Commits
Author SHA1 Message Date
Claude 23a5a975ff feat: Vanna-Volga FX volatility smile tab
Builds the implied-vol smile from the three standard FX market quotes
(ATM delta-neutral straddle, 25-delta risk reversal, 25-delta butterfly)
using Castagna & Mercurio's second-order Vanna-Volga approximation, and
reprices each portfolio leg off the smile vs the flat vol.

- backend: core/vanna_volga.py (delta->strike, DNS ATM, VV smile) and
  POST /api/smile
- frontend: new "Vol Smile" dashboard tab with quote inputs, smile
  chart, pillar table and smile-vs-flat leg repricing

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01FpiqUMAyo4RL5DdQHMWbwE
2026-09-28 16:45:11 +00:00
Claude 12950ba196 ci: approve or reject daily PRs by comment or email reply
Adds a workflow that pings the repo owner on each daily Claude PR and
acts on their reply: "approve" merges it, "reject: <reason>" closes it
with the reason recorded and a "rejected" label.

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01FpiqUMAyo4RL5DdQHMWbwE
2026-09-28 16:29:19 +00:00
Claude 280196fe39 Revert "ci: run keep-alive workflow once a day instead of every 10 minutes"
Restores the 10-minute keep-alive schedule.

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01FpiqUMAyo4RL5DdQHMWbwE
2026-09-28 16:12:30 +00:00
Claude f30533d971 ci: run keep-alive workflow once a day instead of every 10 minutes
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01FpiqUMAyo4RL5DdQHMWbwE
2026-09-28 16:10:56 +00:00