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

..

app

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

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

tests

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

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

Procfile

chore: prepare for Vercel + Koyeb deployment

2026-06-07 18:46:51 +05:30

requirements.txt

feat: Vol Forecast & Regime engine (HAR-RV, GJR-GARCH, gradient boosting, HMM)

2026-10-01 05:21:59 +00:00