- core/jump_models.py: Black-76 helpers and implied vol; Merton series in
forward form (Poisson(lambda T) weights, F_n = F e^{-lambda k T}(1+k)^n);
Bates characteristic function in the 'little Heston trap' form with COS
pricing (puts + parity) and risk-neutral density; vega-weighted bounded
least-squares calibration across expiries; jump statistics (crash-jump
odds, jump share of variance) and density vs lognormal.
- GET /api/jumps/calibrate/{BTC,ETH}: fits both models to every Deribit
expiry from the Vol Lab feed (cached 30 min, 503 when Deribit is down).
- POST /api/jumps/merton: manual Merton smile/density for metals and FX
event and gap risk.
- Jump Lab tab: fit KPIs, market vs Merton vs Bates smiles per expiry,
30-day density, parameter table, and a hand-off of the calibrated jumps
to Hedge Lab (store.hedgeJump -> Hedge Lab defaults to the jump model).
- 5 tests: Black/Merton/Bates limits, parity, density mass and martingale,
exact-MC Merton and Euler-MC Bates checks, parameter recovery (clean and
noisy), Merton-vs-Bates misspecification, endpoints.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01FpiqUMAyo4RL5DdQHMWbwE
