Claude fb2b15c596 feat: TARF Desk — target redemption forwards under flat vol, SSVI-Dupire local vol and jumps ...

Importer/exporter TARFs with leverage and full/exact/no-payout targets,
priced by Monte Carlo on the forward under Black, Dupire local vol from an
arbitrage-free SSVI surface fitted to ATM/RR/BF, and Merton jumps:
zero-cost strike, model-risk spread, KO timing, expected cash flows, client
P&L tail and Greeks.

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01FpiqUMAyo4RL5DdQHMWbwE

2026-10-15 05:26:28 +00:00

..

app

feat: TARF Desk — target redemption forwards under flat vol, SSVI-Dupire local vol and jumps

2026-10-15 05:26:28 +00:00

tests

feat: TARF Desk — target redemption forwards under flat vol, SSVI-Dupire local vol and jumps

2026-10-15 05:26:28 +00:00

Procfile

chore: prepare for Vercel + Koyeb deployment

2026-06-07 18:46:51 +05:30

requirements.txt

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

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