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https://github.com/Mihirkansara/nexus-quant-terminal.git
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Claude
042a11dc3f
- 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
18 lines
872 B
Python
18 lines
872 B
Python
from fastapi import FastAPI
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from fastapi.middleware.cors import CORSMiddleware
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from .routers import greeks, surface, market, montecarlo, scenarios, strategies, export, forex, institutional, news, livedata, smile, vol, hedge, xasset
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app = FastAPI(title="QuantRisk FX Terminal API",
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description="Forex options risk analytics — Garman-Kohlhagen model.",
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version="3.0.0")
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app.add_middleware(CORSMiddleware, allow_origins=["*"],
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allow_credentials=True, allow_methods=["*"], allow_headers=["*"])
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for router in [greeks, surface, market, montecarlo, scenarios, strategies, export, forex, institutional, news, livedata, smile, vol, hedge, xasset]:
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app.include_router(router.router, prefix="/api")
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@app.get("/")
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def root():
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return {"status": "ok", "version": "3.0.0", "model": "Garman-Kohlhagen (1983)", "docs": "/docs"}
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