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Claude
1eecc06bc2
- core/hedge_sim.py: vectorised Garman-Kohlhagen, self-financing delta hedge of the whole portfolio (legs settle at their own expiries) with domestic financing, foreign/lease carry and proportional costs; time-based or delta-band rebalancing. - Path models: GBM, Merton jump-diffusion at equal total variance, and a stationary block bootstrap of the asset's own daily returns (Brownian-bridge intraday steps); Monday-open weekend gaps for 24/5 assets. - Benchmarks: theoretical edge V(sigma_r)-V(sigma_i), Derman-Kamal discrete-hedging error, Leland cost; hedge-frequency sweep (risk vs cost). - POST /api/hedge/simulate with work caps; bootstrap reuses cached history. - Hedge Lab tab: scenario controls, 'use Vol Forecast' for realised vol, KPIs, P&L histogram, frequency sweep, attribution, sample paths. - 7 tests: GK parity, unbiased fair-vol hedge with Derman-Kamal sd, mean P&L vs theoretical edge, sqrt(N) sweep, band/Leland costs, gaps/jumps tails, endpoint. 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.