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Claude 042a11dc3f feat: Cross-Asset Desk — correlations, gold/silver ratio, Margrabe outperformance options

- core/xasset.py: common-calendar returns (yields as changes), rolling and
  EWMA correlation matrices, correlation-break monitor (z of 30D corr vs its
  own history); gold/silver ratio stats, OU half-life, Engle-Granger ADF
  cointegration (MacKinnon CVs), Kalman random-walk hedge ratio with centred
  regressor and data-scaled noise; Margrabe exchange option with deltas,
  ratio/leg vegas and analytic correlation sensitivity, plus an MC check.
- GET /api/xasset (yfinance, cached 30 min, 503 on failure) and
  POST /api/xasset/margrabe (ATM outperformance on notional, premium vs rho).
- Cross-Asset tab: GSR KPIs, ratio chart with 1Y bands + Kalman z, heatmap,
  break monitor, rolling correlations, Margrabe pricer for XAG/XAU, BTC/XAU,
  ETH/BTC.
- 5 tests: Margrabe vs MC / BS limit / parity / d rho, EG power and size, OU
  half-life, Kalman tracking, reports and endpoints on a synthetic market.

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01FpiqUMAyo4RL5DdQHMWbwE

2026-10-05 05:25:22 +00:00

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⚛ NEXUS TERMINAL

Institutional-Grade FX Options Analytics Platform

Three orbital rings. One terminal. Every market.

What is NEXUS?

NEXUS TERMINAL is a Bloomberg-style web application for professional forex options analysis. It combines Garman-Kohlhagen options pricing, Goldman Sachs gs-quant signals, live global data feeds, and a real-time world map — all in one free, no-account-required platform.

Features

Options Analytics

Module	Description
Greeks Dashboard	Δ Delta · Γ Gamma · ν Vega · Θ Theta · ρ Rho · φ Phi — per leg and portfolio total via Garman-Kohlhagen (1983)
Volatility Surfaces	Interactive 3D surface plots (Delta, Gamma, Vega, Theta, P&L) across full spot × vol grid
Breakeven Profile	Payoff curve at expiry with breakeven strikes, max profit/loss, net premium
Scenario Analysis	Stress tests across spot ±5%/±10% and vol ±1pp/±2pp shocks
Monte Carlo	GBM path simulation — up to 5,000 paths, terminal P&L distribution, probability of profit
Strategy Library	Pre-built multi-leg strategies: straddle, strangle, bull/bear spreads, iron condor, butterfly
Vol Smile (Vanna-Volga)	Builds the FX smile from ATM / 25Δ risk reversal / 25Δ butterfly quotes (Castagna-Mercurio) and reprices each leg off the smile vs flat vol
Vol Lab	Live Deribit BTC/ETH surface with a raw-SVI fit per expiry (Durrleman butterfly-arb check), ATM / 25Δ RR / 25Δ BF term structure, DVOL, vol risk premium, and a Burghardt-Lane realised-vol cone for every pair. Tests: `cd backend && python -m pytest tests`
Vol Forecast & Regime (AI)	HAR-RV (weekend-aware for crypto), GJR-GARCH and gradient-boosting forecasts of 1D/1W/1M vol, rolling out-of-sample QLIKE leaderboard with an inverse-QLIKE ensemble, 2-state HMM regime detection, and a forecast-vs-Deribit-implied rich/cheap signal
Hedge Lab	Monte Carlo delta-hedging / gamma-scalping P&L of your portfolio: realised vs implied vol, GBM / Merton jumps / historical block bootstrap, weekend gaps for 24/5 markets, time or delta-band hedging, transaction costs and carry, with Derman-Kamal and Leland benchmarks and a hedge-frequency risk-vs-cost sweep
Cross-Asset Desk	Gold · silver · BTC · ETH · EURUSD · DXY · US10Y · WTI correlation matrices (30D/90D/1Y/EWMA) with a correlation-break monitor; gold/silver ratio z-scores, OU half-life, Engle-Granger cointegration and Kalman hedge ratio; Margrabe outperformance-option pricer with correlation sensitivity

Live Intelligence

Module	Description
AI Quant Signals	9 signals: RSI, MACD, Bollinger Bands, Hurst exponent, mean reversion (OU), momentum, carry, volatility regime — powered by gs-quant
Institutional Flow	CFTC COT positioning — Asset Managers, Hedge Funds, Dealers — with Volume Profile, POC, VAH, VAL
Economic Calendar	Forex Factory events (120+ per week) with impact levels, forecasts, countdowns, and currency filters

Live World Map

Layer	Source	Refresh
✈ Aircraft positions	OpenSky Network (free, anonymous)	30s
🔴 Earthquake markers	USGS GeoJSON feed (M4.5+, 7 days)	5min
🌦 Weather radar	RainViewer animated tiles	on-demand
📍 Forex events	Forex Factory via backend cache	with calendar

Live Feeds

Crypto prices — Top 12 by market cap via CoinGecko free API, 60s refresh
Global webcams — Windy.com live camera feeds for 6 financial centers: New York · London · Tokyo · Frankfurt · Singapore · Dubai

Economic Calendar

Tech Stack

NEXUS TERMINAL
├── backend/                  FastAPI (Python 3.11+)
│   └── app/
│       ├── core/             Garman-Kohlhagen · Greeks · Monte Carlo · Quant Analysis
│       └── routers/          REST API endpoints
│           ├── greeks.py     Options pricing & Greeks
│           ├── surface.py    Volatility surface grid
│           ├── montecarlo.py GBM simulation
│           ├── scenarios.py  Stress testing
│           ├── forex.py      Live FX rates
│           ├── institutional.py  CFTC COT data
│           ├── news.py       Forex Factory calendar
│           └── livedata.py   Aircraft & earthquake proxy
│
└── frontend/                 React 18 + Vite 5
    └── src/
        ├── components/
        │   ├── GreeksDashboard.jsx
        │   ├── QuantSignals.jsx    (gs-quant AI signals)
        │   ├── WorldMap.jsx        (Leaflet + live layers)
        │   ├── LiveFeeds.jsx       (Crypto + Webcams)
        │   ├── EconomicCalendar.jsx
        │   ├── InstitutionalFlow.jsx
        │   └── NexusLogo.jsx       (animated SVG + canvas favicon)
        └── pages/
            ├── LandingPage.jsx
            └── Dashboard.jsx

Key Libraries

Backend

fastapi — REST API framework
gs-quant — Goldman Sachs quant library (RSI, MACD, Bollinger, volatility)
numpy / scipy — Monte Carlo, OU process, Hurst exponent
httpx — Async HTTP client for proxying live data

Frontend

react-leaflet + leaflet — Interactive world map with live layers
plotly.js — 3D volatility surface plots
zustand — Global portfolio state management
JetBrains Mono — Bloomberg-terminal monospace font

Getting Started

Prerequisites

Python 3.11+
Node.js 18+

Backend

cd backend
python -m venv .venv

# Windows
.venv\Scripts\activate
# macOS/Linux
source .venv/bin/activate

pip install -r requirements.txt
uvicorn app.main:app --reload --port 8000

API available at http://localhost:8000 · Docs at http://localhost:8000/docs

Frontend

cd frontend
npm install
npm run dev

App available at http://localhost:5173

API Endpoints

Method	Endpoint	Description
`POST`	`/api/greeks`	Compute portfolio Greeks (Garman-Kohlhagen)
`POST`	`/api/surface`	Generate volatility surface grid
`POST`	`/api/montecarlo`	Run GBM Monte Carlo simulation
`POST`	`/api/scenarios`	Stress-test scenario matrix
`GET`	`/api/forex/rates`	Live FX spot rates
`GET`	`/api/news/calendar`	Forex Factory economic calendar
`GET`	`/api/institutional/{pair}`	CFTC COT positioning data
`GET`	`/api/signals/{pair}`	AI quant signals (gs-quant)
`GET`	`/api/live/aircraft`	Live aircraft positions (OpenSky proxy)
`GET`	`/api/live/earthquakes`	USGS earthquake feed proxy

Design System

NEXUS uses a Bloomberg terminal-inspired design:

Colors — Navy dark (#080e1a) base, cyan (#00c8f0) accent, semantic red/green/amber/purple
Typography — JetBrains Mono for all data panels, tabular-nums for price columns
Panels — 3px left-border accent system (worldmonitor-style)
Tokens — color-mix(in srgb, ...) for semi-transparent semantic backgrounds

Data Sources

Source	Data	Cost
Goldman Sachs gs-quant	RSI, MACD, Bollinger, volatility	Free (open-source)
OpenSky Network	Live aircraft positions	Free, anonymous
USGS Earthquake API	M4.5+ seismic events	Free
RainViewer	Weather radar tiles	Free
Forex Factory	Economic calendar (120+ events/week)	Free
CoinGecko	Crypto prices (top 12)	Free
Windy.com	Global webcam feeds	Free embed
Yahoo Finance (via yfinance)	FX historical rates	Free

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