Claude 5cd5286157 feat: Variance Desk — var/vol swaps by Cboe-DVOL replication, BKM moments, implied density, VRP ...

- 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

2026-10-27 05:18:18 +00:00

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