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https://github.com/Mihirkansara/nexus-quant-terminal.git
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Claude
cb1723b6f2
- core/jump_models.py: Black-76 helpers and implied vol; Merton series in
forward form (Poisson(lambda T) weights, F_n = F e^{-lambda k T}(1+k)^n);
Bates characteristic function in the 'little Heston trap' form with COS
pricing (puts + parity) and risk-neutral density; vega-weighted bounded
least-squares calibration across expiries; jump statistics (crash-jump
odds, jump share of variance) and density vs lognormal.
- GET /api/jumps/calibrate/{BTC,ETH}: fits both models to every Deribit
expiry from the Vol Lab feed (cached 30 min, 503 when Deribit is down).
- POST /api/jumps/merton: manual Merton smile/density for metals and FX
event and gap risk.
- Jump Lab tab: fit KPIs, market vs Merton vs Bates smiles per expiry,
30-day density, parameter table, and a hand-off of the calibrated jumps
to Hedge Lab (store.hedgeJump -> Hedge Lab defaults to the jump model).
- 5 tests: Black/Merton/Bates limits, parity, density mass and martingale,
exact-MC Merton and Euler-MC Bates checks, parameter recovery (clean and
noisy), Merton-vs-Bates misspecification, endpoints.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01FpiqUMAyo4RL5DdQHMWbwE
110 lines
4.5 KiB
JavaScript
110 lines
4.5 KiB
JavaScript
import { create } from 'zustand'
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// Default interest rates per pair (r_d = domestic/quote, r_f = foreign/base).
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// Metals: r_f is the bullion lease rate. Crypto: r_f≈0, 24/7 so vols use 365 days.
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// sigma = typical ATM vol loaded on pair switch; strikeStep ≈ 1% of spot for templates.
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export const PAIR_META = {
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EURUSD: { r_d:0.0525, r_f:0.0400, pip:0.0001, defaultS:1.0850 },
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GBPUSD: { r_d:0.0525, r_f:0.0525, pip:0.0001, defaultS:1.2700 },
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USDJPY: { r_d:0.0010, r_f:0.0525, pip:0.01, defaultS:155.00 },
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USDCHF: { r_d:0.0175, r_f:0.0525, pip:0.0001, defaultS:0.9050 },
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AUDUSD: { r_d:0.0525, r_f:0.0435, pip:0.0001, defaultS:0.6550 },
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USDCAD: { r_d:0.0500, r_f:0.0525, pip:0.0001, defaultS:1.3650 },
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NZDUSD: { r_d:0.0525, r_f:0.0550, pip:0.0001, defaultS:0.6100 },
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EURJPY: { r_d:0.0010, r_f:0.0400, pip:0.01, defaultS:168.00 },
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GBPJPY: { r_d:0.0010, r_f:0.0525, pip:0.01, defaultS:197.00 },
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EURGBP: { r_d:0.0525, r_f:0.0400, pip:0.0001, defaultS:0.8550 },
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XAUUSD: { r_d:0.0525, r_f:0.0000, pip:0.01, defaultS:4400.0, sigma:0.22, strikeStep:40, dp:2, assetClass:'metal' },
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XAGUSD: { r_d:0.0390, r_f:0.0200, pip:0.001, defaultS:64.50, sigma:0.40, strikeStep:0.6, dp:3, assetClass:'metal' },
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BTCUSD: { r_d:0.0390, r_f:0.0000, pip:1, defaultS:83000, sigma:0.40, strikeStep:800, dp:0, assetClass:'crypto' },
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ETHUSD: { r_d:0.0390, r_f:0.0000, pip:0.1, defaultS:2650, sigma:0.60, strikeStep:25, dp:1, assetClass:'crypto' },
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}
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export const isCrypto = (pair) => PAIR_META[pair]?.assetClass === 'crypto'
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const strikeStep = (pair) => PAIR_META[pair]?.strikeStep ?? (PAIR_META[pair]?.pip ?? 0.0001) * 100
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const DEFAULT_PAIR = 'EURUSD'
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const meta = PAIR_META[DEFAULT_PAIR]
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const DEFAULT_LEGS = [
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{ id:1, type:'call', K:1.09, T:0.25, qty: 1 },
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{ id:2, type:'put', K:1.08, T:0.25, qty:-1 },
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]
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export const usePortfolioStore = create((set, get) => ({
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pair: DEFAULT_PAIR,
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S: meta.defaultS,
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sigma: 0.07,
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T: 0.25,
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r_d: meta.r_d,
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r_f: meta.r_f,
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legs: DEFAULT_LEGS,
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nextId: 3,
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// Vol quotes (ATM / 25Δ RR / 25Δ BF, in vol points) handed from Vol Lab to Vol Smile.
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smileQuotes: null,
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setSmileQuotes: (smileQuotes) => set({ smileQuotes }),
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// Jump parameters (intensity /yr, mean %, sd %) handed from Jump Lab to Hedge Lab.
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hedgeJump: null,
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setHedgeJump: (hedgeJump) => set({ hedgeJump }),
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setPair: (pair) => {
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const m = PAIR_META[pair] || meta
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// Keep each leg's moneyness (K/S) so strikes stay meaningful across very different price levels.
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set(s => ({
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pair, S: m.defaultS, r_d: m.r_d, r_f: m.r_f, sigma: m.sigma ?? s.sigma, smileQuotes: null, hedgeJump: null,
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legs: s.legs.map(l => ({ ...l, K: +(l.K / s.S * m.defaultS).toPrecision(6) })),
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}))
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},
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setS: (S) => set({ S: parseFloat(S) }),
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setSigma: (sigma) => set({ sigma: parseFloat(sigma) }),
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setT: (T) => set({ T: parseFloat(T) }),
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setRd: (r_d) => set({ r_d: parseFloat(r_d) }),
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setRf: (r_f) => set({ r_f: parseFloat(r_f) }),
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addLeg: () => set(s => ({
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legs: [...s.legs, { id:s.nextId, type:'call', K:parseFloat(s.S.toFixed(4)), T:s.T, qty:1 }],
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nextId: s.nextId + 1,
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})),
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removeLeg: (id) => set(s => ({ legs: s.legs.filter(l => l.id !== id) })),
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updateLeg: (id, field, value) => set(s => ({
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legs: s.legs.map(l => l.id === id ? { ...l, [field]: value } : l),
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})),
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loadStrategy: (strategy) => set(s => ({
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legs: strategy.legs.map((leg, i) => ({
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id: i+1, type: leg.type,
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K: parseFloat((s.S + (leg.K_offset || 0) * strikeStep(s.pair)).toFixed(5)),
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T: s.T, qty: leg.qty,
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})),
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nextId: strategy.legs.length + 1,
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})),
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toShareURL: () => {
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const s = get()
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const params = new URLSearchParams({
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pair: s.pair, S: s.S, sigma: s.sigma, T: s.T, r_d: s.r_d, r_f: s.r_f,
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legs: JSON.stringify(s.legs.map(({ type,K,T,qty }) => ({ type,K,T,qty }))),
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})
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return `${window.location.origin}?${params}`
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},
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fromURL: () => {
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const p = new URLSearchParams(window.location.search)
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if (!p.has('legs')) return
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try {
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const pair = p.get('pair') || DEFAULT_PAIR
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const legs = JSON.parse(p.get('legs')).map((l,i) => ({ ...l, id:i+1 }))
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set({
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pair, S: parseFloat(p.get('S') || PAIR_META[pair]?.defaultS || 1.0850),
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sigma: parseFloat(p.get('sigma') || 0.07),
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T: parseFloat(p.get('T') || 0.25),
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r_d: parseFloat(p.get('r_d') || PAIR_META[pair]?.r_d || 0.0525),
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r_f: parseFloat(p.get('r_f') || PAIR_META[pair]?.r_f || 0.04),
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legs, nextId: legs.length + 1,
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})
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} catch {}
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},
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}))
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