mirror of
https://github.com/Mihirkansara/nexus-quant-terminal.git
synced 2026-11-02 09:36:11 +00:00
Claude
78cd5c2ef7
Reiner-Rubinstein/Haug single barriers with rebates and Broadie-Glasserman-Kou discrete-monitoring correction, touch ladder, smile-consistent digitals on the vanna-volga smile, Dual Currency Investment fair-APR ladder with offer audit (platform margin, implied vol paid), and a KO accumulator Monte Carlo with zero-cost strike and optional Merton jumps. Validated against Haug Table 4-13 and discrete Monte Carlo. Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_01FpiqUMAyo4RL5DdQHMWbwE
210 lines
9.4 KiB
Markdown
210 lines
9.4 KiB
Markdown
<div align="center">
|
||
|
||
# ⚛ NEXUS TERMINAL
|
||
|
||
### Institutional-Grade FX Options Analytics Platform
|
||
|
||
[](https://python.org)
|
||
[](https://fastapi.tiangolo.com)
|
||
[](https://react.dev)
|
||
[](https://vitejs.dev)
|
||
[](LICENSE)
|
||
|
||
*Three orbital rings. One terminal. Every market.*
|
||
|
||
|
||
|
||
</div>
|
||
|
||
---
|
||
|
||
## What is NEXUS?
|
||
|
||
NEXUS TERMINAL is a Bloomberg-style web application for professional forex options analysis. It combines **Garman-Kohlhagen options pricing**, **Goldman Sachs gs-quant signals**, **live global data feeds**, and a **real-time world map** — all in one free, no-account-required platform.
|
||
|
||
|
||
|
||
---
|
||
|
||
## Features
|
||
|
||
### Options Analytics
|
||
| Module | Description |
|
||
|--------|-------------|
|
||
| **Greeks Dashboard** | Δ Delta · Γ Gamma · ν Vega · Θ Theta · ρ Rho · φ Phi — per leg and portfolio total via Garman-Kohlhagen (1983) |
|
||
| **Volatility Surfaces** | Interactive 3D surface plots (Delta, Gamma, Vega, Theta, P&L) across full spot × vol grid |
|
||
| **Breakeven Profile** | Payoff curve at expiry with breakeven strikes, max profit/loss, net premium |
|
||
| **Scenario Analysis** | Stress tests across spot ±5%/±10% and vol ±1pp/±2pp shocks |
|
||
| **Monte Carlo** | GBM path simulation — up to 5,000 paths, terminal P&L distribution, probability of profit |
|
||
| **Strategy Library** | Pre-built multi-leg strategies: straddle, strangle, bull/bear spreads, iron condor, butterfly |
|
||
| **Vol Smile (Vanna-Volga)** | Builds the FX smile from ATM / 25Δ risk reversal / 25Δ butterfly quotes (Castagna-Mercurio) and reprices each leg off the smile vs flat vol |
|
||
| **Vol Lab** | Live Deribit BTC/ETH surface with a raw-SVI fit per expiry (Durrleman butterfly-arb check), ATM / 25Δ RR / 25Δ BF term structure, DVOL, vol risk premium, and a Burghardt-Lane realised-vol cone for every pair. Tests: `cd backend && python -m pytest tests` |
|
||
| **Vol Forecast & Regime (AI)** | HAR-RV (weekend-aware for crypto), GJR-GARCH and gradient-boosting forecasts of 1D/1W/1M vol, rolling out-of-sample QLIKE leaderboard with an inverse-QLIKE ensemble, 2-state HMM regime detection, and a forecast-vs-Deribit-implied rich/cheap signal |
|
||
| **Hedge Lab** | Monte Carlo delta-hedging / gamma-scalping P&L of your portfolio: realised vs implied vol, GBM / Merton jumps / historical block bootstrap, weekend gaps for 24/5 markets, time or delta-band hedging, transaction costs and carry, with Derman-Kamal and Leland benchmarks and a hedge-frequency risk-vs-cost sweep |
|
||
| **Cross-Asset Desk** | Gold · silver · BTC · ETH · EURUSD · DXY · US10Y · WTI correlation matrices (30D/90D/1Y/EWMA) with a correlation-break monitor; gold/silver ratio z-scores, OU half-life, Engle-Granger cointegration and Kalman hedge ratio; Margrabe outperformance-option pricer with correlation sensitivity |
|
||
| **Jump Lab** | Merton and Bates (Heston + jumps, COS pricing) calibrated to every live Deribit BTC/ETH expiry: model-vs-market smiles, fit RMSE, jump intensity/size, jump share of variance, crash-jump odds, 30-day risk-neutral density vs lognormal; manual Merton for metals/FX event and gap risk; one-click hand-off of jump parameters to Hedge Lab |
|
||
| **Exotics Desk** | Structured-products pricer: all eight single barriers (Reiner-Rubinstein/Haug, rebates) with Broadie-Glasserman-Kou discrete-monitoring correction, barrier price/delta profile through the barrier, touch ladder of hit probabilities, smile-consistent digitals (−∂C/∂K on the vanna-volga smile); Dual Currency Investment / crypto "Dual Investment" fair-APR ladder with an offer audit (platform margin, implied vol you are paid); KO accumulator Monte Carlo with zero-cost strike, KO odds and geared-loss tail, optional Merton jumps |
|
||
|
||
### Live Intelligence
|
||
|
||
|
||
|
||
| Module | Description |
|
||
|--------|-------------|
|
||
| **AI Quant Signals** | 9 signals: RSI, MACD, Bollinger Bands, Hurst exponent, mean reversion (OU), momentum, carry, volatility regime — powered by gs-quant |
|
||
| **Institutional Flow** | CFTC COT positioning — Asset Managers, Hedge Funds, Dealers — with Volume Profile, POC, VAH, VAL |
|
||
| **Economic Calendar** | Forex Factory events (120+ per week) with impact levels, forecasts, countdowns, and currency filters |
|
||
|
||
### Live World Map
|
||
|
||
|
||
|
||
| Layer | Source | Refresh |
|
||
|-------|--------|---------|
|
||
| ✈ Aircraft positions | OpenSky Network (free, anonymous) | 30s |
|
||
| 🔴 Earthquake markers | USGS GeoJSON feed (M4.5+, 7 days) | 5min |
|
||
| 🌦 Weather radar | RainViewer animated tiles | on-demand |
|
||
| 📍 Forex events | Forex Factory via backend cache | with calendar |
|
||
|
||
### Live Feeds
|
||
|
||
|
||
|
||
- **Crypto prices** — Top 12 by market cap via CoinGecko free API, 60s refresh
|
||
- **Global webcams** — Windy.com live camera feeds for 6 financial centers: New York · London · Tokyo · Frankfurt · Singapore · Dubai
|
||
|
||
### Economic Calendar
|
||
|
||
|
||
|
||
---
|
||
|
||
## Tech Stack
|
||
|
||
```
|
||
NEXUS TERMINAL
|
||
├── backend/ FastAPI (Python 3.11+)
|
||
│ └── app/
|
||
│ ├── core/ Garman-Kohlhagen · Greeks · Monte Carlo · Quant Analysis
|
||
│ └── routers/ REST API endpoints
|
||
│ ├── greeks.py Options pricing & Greeks
|
||
│ ├── surface.py Volatility surface grid
|
||
│ ├── montecarlo.py GBM simulation
|
||
│ ├── scenarios.py Stress testing
|
||
│ ├── forex.py Live FX rates
|
||
│ ├── institutional.py CFTC COT data
|
||
│ ├── news.py Forex Factory calendar
|
||
│ └── livedata.py Aircraft & earthquake proxy
|
||
│
|
||
└── frontend/ React 18 + Vite 5
|
||
└── src/
|
||
├── components/
|
||
│ ├── GreeksDashboard.jsx
|
||
│ ├── QuantSignals.jsx (gs-quant AI signals)
|
||
│ ├── WorldMap.jsx (Leaflet + live layers)
|
||
│ ├── LiveFeeds.jsx (Crypto + Webcams)
|
||
│ ├── EconomicCalendar.jsx
|
||
│ ├── InstitutionalFlow.jsx
|
||
│ └── NexusLogo.jsx (animated SVG + canvas favicon)
|
||
└── pages/
|
||
├── LandingPage.jsx
|
||
└── Dashboard.jsx
|
||
```
|
||
|
||
### Key Libraries
|
||
|
||
**Backend**
|
||
- `fastapi` — REST API framework
|
||
- `gs-quant` — Goldman Sachs quant library (RSI, MACD, Bollinger, volatility)
|
||
- `numpy` / `scipy` — Monte Carlo, OU process, Hurst exponent
|
||
- `httpx` — Async HTTP client for proxying live data
|
||
|
||
**Frontend**
|
||
- `react-leaflet` + `leaflet` — Interactive world map with live layers
|
||
- `plotly.js` — 3D volatility surface plots
|
||
- `zustand` — Global portfolio state management
|
||
- `JetBrains Mono` — Bloomberg-terminal monospace font
|
||
|
||
---
|
||
|
||
## Getting Started
|
||
|
||
### Prerequisites
|
||
- Python 3.11+
|
||
- Node.js 18+
|
||
|
||
### Backend
|
||
|
||
```bash
|
||
cd backend
|
||
python -m venv .venv
|
||
|
||
# Windows
|
||
.venv\Scripts\activate
|
||
# macOS/Linux
|
||
source .venv/bin/activate
|
||
|
||
pip install -r requirements.txt
|
||
uvicorn app.main:app --reload --port 8000
|
||
```
|
||
|
||
API available at `http://localhost:8000` · Docs at `http://localhost:8000/docs`
|
||
|
||
### Frontend
|
||
|
||
```bash
|
||
cd frontend
|
||
npm install
|
||
npm run dev
|
||
```
|
||
|
||
App available at `http://localhost:5173`
|
||
|
||
---
|
||
|
||
## API Endpoints
|
||
|
||
| Method | Endpoint | Description |
|
||
|--------|----------|-------------|
|
||
| `POST` | `/api/greeks` | Compute portfolio Greeks (Garman-Kohlhagen) |
|
||
| `POST` | `/api/surface` | Generate volatility surface grid |
|
||
| `POST` | `/api/montecarlo` | Run GBM Monte Carlo simulation |
|
||
| `POST` | `/api/scenarios` | Stress-test scenario matrix |
|
||
| `GET` | `/api/forex/rates` | Live FX spot rates |
|
||
| `GET` | `/api/news/calendar` | Forex Factory economic calendar |
|
||
| `GET` | `/api/institutional/{pair}` | CFTC COT positioning data |
|
||
| `GET` | `/api/signals/{pair}` | AI quant signals (gs-quant) |
|
||
| `GET` | `/api/live/aircraft` | Live aircraft positions (OpenSky proxy) |
|
||
| `GET` | `/api/live/earthquakes` | USGS earthquake feed proxy |
|
||
|
||
---
|
||
|
||
## Design System
|
||
|
||
NEXUS uses a Bloomberg terminal-inspired design:
|
||
- **Colors** — Navy dark (`#080e1a`) base, cyan (`#00c8f0`) accent, semantic red/green/amber/purple
|
||
- **Typography** — JetBrains Mono for all data panels, `tabular-nums` for price columns
|
||
- **Panels** — 3px left-border accent system (worldmonitor-style)
|
||
- **Tokens** — `color-mix(in srgb, ...)` for semi-transparent semantic backgrounds
|
||
|
||
---
|
||
|
||
## Data Sources
|
||
|
||
| Source | Data | Cost |
|
||
|--------|------|------|
|
||
| Goldman Sachs gs-quant | RSI, MACD, Bollinger, volatility | Free (open-source) |
|
||
| OpenSky Network | Live aircraft positions | Free, anonymous |
|
||
| USGS Earthquake API | M4.5+ seismic events | Free |
|
||
| RainViewer | Weather radar tiles | Free |
|
||
| Forex Factory | Economic calendar (120+ events/week) | Free |
|
||
| CoinGecko | Crypto prices (top 12) | Free |
|
||
| Windy.com | Global webcam feeds | Free embed |
|
||
| Yahoo Finance (via yfinance) | FX historical rates | Free |
|
||
|
||
---
|
||
|
||
## License
|
||
|
||
MIT © 2026 — Built with ⚛ NEXUS TERMINAL
|