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Claude
5cd5286157
- core/variance.py: variance-swap strikes by continuous replication on the SVI-smoothed smile
and by the discrete Cboe VIX / DVOL formula on listed strikes (truncation gap); 30-day
constant maturity; vol-swap convexity from horizon vol-of-vol; forward variance and calendar
flags; Bakshi-Kapadia-Madan skew/kurtosis with the exact log-contract mean;
Breeden-Litzenberger density, quantiles, finish/touch probability ladder vs history;
variance risk premium history (implied vs following 30d realised).
- routers/variance.py: GET /api/variance/crypto/{BTC|ETH} (Deribit chain + DVOL) and
POST /api/variance/smile (ATM/RR/BF per tenor, any pair; GVZ/VXSLV history for metals).
- Variance Desk in the Volatility group: KPI band, term structure, implied density,
probability ladder, VRP history, expiry ladder; desk count in the index now from the registry.
- Tests: Black-Scholes and Merton analytic limits, Cboe discretisation and truncation,
interpolation, VRP history, both endpoints, 404/503.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01FpiqUMAyo4RL5DdQHMWbwE
React + Vite
This template provides a minimal setup to get React working in Vite with HMR and some ESLint rules.
Currently, two official plugins are available:
- @vitejs/plugin-react uses Oxc
- @vitejs/plugin-react-swc uses SWC
React Compiler
The React Compiler is not enabled on this template because of its impact on dev & build performances. To add it, see this documentation.
Expanding the ESLint configuration
If you are developing a production application, we recommend using TypeScript with type-aware lint rules enabled. Check out the TS template for information on how to integrate TypeScript and typescript-eslint in your project.