Claude 23a5a975ff feat: Vanna-Volga FX volatility smile tab ...

Builds the implied-vol smile from the three standard FX market quotes
(ATM delta-neutral straddle, 25-delta risk reversal, 25-delta butterfly)
using Castagna & Mercurio's second-order Vanna-Volga approximation, and
reprices each portfolio leg off the smile vs the flat vol.

- backend: core/vanna_volga.py (delta->strike, DNS ATM, VV smile) and
  POST /api/smile
- frontend: new "Vol Smile" dashboard tab with quote inputs, smile
  chart, pillar table and smile-vs-flat leg repricing

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

2026-09-28 16:45:11 +00:00

..

app

feat: Vanna-Volga FX volatility smile tab

2026-09-28 16:45:11 +00:00

Procfile

chore: prepare for Vercel + Koyeb deployment

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

requirements.txt

fix: remove gs-quant from requirements, use numpy fallbacks only

2026-06-07 19:19:14 +05:30