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Claude
e768be9ec9
- core/rv_scanner.py: futures basis curve and perp funding; options-implied forward vs listed
future; raw-SVI residuals per option netted against half the bid/ask in vol (Black-76 coin
inversion) and ranked by USD edge; coin-settled put-call parity with executable edge; vertical
and butterfly static-arbitrage checks on marks and at the touch; VRP vs 30d realised.
- routers/rvscan.py: GET /api/rvscan/{BTC|ETH}, Deribit public API with 60 s cache, 503 on failure.
- RV Scanner tab: carry chart, smile-residual scatter with spread bars, trade ideas, expiry ladder,
parity and static-arbitrage panel.
- Tests on a synthetic Black-76 book: parity/inversion, carry, clean book, planted mispricings.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01FpiqUMAyo4RL5DdQHMWbwE
18 lines
1.0 KiB
Python
18 lines
1.0 KiB
Python
from fastapi import FastAPI
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from fastapi.middleware.cors import CORSMiddleware
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from .routers import greeks, surface, market, montecarlo, scenarios, strategies, export, forex, institutional, news, livedata, smile, vol, hedge, xasset, jumps, exotics, eventvol, risk, tarf, deephedge, positioning, smiledyn, margin, rvscan
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app = FastAPI(title="QuantRisk FX Terminal API",
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description="Forex options risk analytics — Garman-Kohlhagen model.",
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version="3.0.0")
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app.add_middleware(CORSMiddleware, allow_origins=["*"],
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allow_credentials=True, allow_methods=["*"], allow_headers=["*"])
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for router in [greeks, surface, market, montecarlo, scenarios, strategies, export, forex, institutional, news, livedata, smile, vol, hedge, xasset, jumps, exotics, eventvol, risk, tarf, deephedge, positioning, smiledyn, margin, rvscan]:
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app.include_router(router.router, prefix="/api")
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@app.get("/")
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def root():
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return {"status": "ok", "version": "3.0.0", "model": "Garman-Kohlhagen (1983)", "docs": "/docs"}
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