Claude 78cd5c2ef7 feat: Exotics Desk — barriers (BGK), touches, smile digitals, DCI audit, accumulators ...

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

2026-10-09 05:28:52 +00:00

..

__init__.py

feat: BTC/ETH/XAG support and Vol Lab (live Deribit SVI surface, vol cone, VRP)

2026-09-29 05:17:14 +00:00

fixtures.py

feat: BTC/ETH/XAG support and Vol Lab (live Deribit SVI surface, vol cone, VRP)

2026-09-29 05:17:14 +00:00

test_exotics.py

feat: Exotics Desk — barriers (BGK), touches, smile digitals, DCI audit, accumulators

2026-10-09 05:28:52 +00:00

test_hedge_sim.py

feat: Hedge Lab — Monte Carlo delta-hedging / gamma-scalping P&L

2026-10-03 05:25:36 +00:00

test_jump_models.py

feat: Jump Lab — Merton & Bates calibrated to the Deribit smile

2026-10-07 05:27:12 +00:00

test_vol_analytics.py

feat: BTC/ETH/XAG support and Vol Lab (live Deribit SVI surface, vol cone, VRP)

2026-09-29 05:17:14 +00:00

test_vol_forecast.py

feat: Vol Forecast & Regime engine (HAR-RV, GJR-GARCH, gradient boosting, HMM)

2026-10-01 05:21:59 +00:00

test_xasset.py

feat: Cross-Asset Desk — correlations, gold/silver ratio, Margrabe outperformance options

2026-10-05 05:25:22 +00:00

vol_sim.py

feat: Vol Forecast & Regime engine (HAR-RV, GJR-GARCH, gradient boosting, HMM)

2026-10-01 05:21:59 +00:00