mirror of
https://github.com/Mihirkansara/nexus-quant-terminal.git
synced 2026-11-02 09:36:11 +00:00
Claude
23a5a975ff
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
79 lines
2.9 KiB
Python
79 lines
2.9 KiB
Python
from pydantic import BaseModel, Field
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from typing import Literal
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class OptionLeg(BaseModel):
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type: Literal["call", "put"]
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K: float = Field(..., gt=0, description="Strike price (exchange rate)")
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T: float = Field(..., gt=0, description="Time to expiry in years")
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qty: float = Field(..., description="Signed quantity (positive=long)")
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class GreeksRequest(BaseModel):
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options: list[OptionLeg]
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S: float = Field(..., gt=0, description="Spot exchange rate")
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sigma: float = Field(..., gt=0, lt=5)
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T: float = Field(..., gt=0)
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r_d: float = Field(default=0.0525, description="Domestic risk-free rate")
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r_f: float = Field(default=0.0400, description="Foreign risk-free rate")
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class SurfaceRequest(BaseModel):
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options: list[OptionLeg]
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S_low: float = Field(default=0.0)
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S_high: float = Field(default=0.0)
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S_steps: int = Field(default=40)
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vol_low: float = Field(default=0.05)
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vol_high: float = Field(default=0.30)
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vol_steps: int = Field(default=40)
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T: float = Field(default=0.5)
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r_d: float = Field(default=0.0525)
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r_f: float = Field(default=0.0400)
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class MonteCarloRequest(BaseModel):
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options: list[OptionLeg]
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S0: float = Field(..., gt=0)
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sigma: float = Field(..., gt=0)
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r_d: float = Field(default=0.0525)
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r_f: float = Field(default=0.0400)
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T: float = Field(..., gt=0)
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n_paths: int = Field(default=1000, ge=100, le=10000)
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n_steps: int = Field(default=100, ge=10, le=500)
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class ScenarioShock(BaseModel):
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label: str
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dS_pct: float
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dVol: float
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class ScenarioRequest(BaseModel):
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options: list[OptionLeg]
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S0: float
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sigma0: float
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T: float
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r_d: float = 0.0525
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r_f: float = 0.0400
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shocks: list[ScenarioShock] = Field(default_factory=lambda: [
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ScenarioShock(label="Flash Crash", dS_pct=-0.03, dVol=0.08),
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ScenarioShock(label="Sharp Sell-off", dS_pct=-0.015,dVol=0.04),
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ScenarioShock(label="Mild Weakness", dS_pct=-0.005,dVol=0.01),
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ScenarioShock(label="Base Case", dS_pct=0.00, dVol=0.00),
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ScenarioShock(label="Mild Strength", dS_pct=0.005, dVol=-0.01),
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ScenarioShock(label="Sharp Rally", dS_pct=0.015, dVol=-0.03),
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ScenarioShock(label="Breakout", dS_pct=0.03, dVol=-0.05),
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])
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class SmileRequest(BaseModel):
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S: float = Field(..., gt=0, description="Spot exchange rate")
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T: float = Field(..., gt=0, description="Tenor in years")
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r_d: float = Field(default=0.0525)
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r_f: float = Field(default=0.0400)
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atm: float = Field(..., gt=0, lt=5, description="ATM delta-neutral straddle vol")
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rr25: float = Field(default=0.0, gt=-1, lt=1, description="25Δ risk reversal (call − put vol)")
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bf25: float = Field(default=0.0, gt=-1, lt=1, description="25Δ butterfly")
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sigma: float | None = Field(default=None, gt=0, lt=5, description="Flat vol to compare against (defaults to ATM)")
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options: list[OptionLeg] = Field(default_factory=list)
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