optiondesk-engine

Pricing and analytics for the option desk. Licensed under the PolyForm Noncommercial License 1.0.0, the same terms as the rest of the project. See LICENSE for the full text and LICENSES.md for what that permits.

The engine is pure computation. It has no network access, no data providers, no file system layout opinions and no dependencies outside the standard library. It takes numbers and returns numbers, which is what makes it testable against closed-form and finite-difference benchmarks.

The shell fetches data and writes artifacts. The engine turns the data into analytics. Neither imports the other's internals: the shell reaches the engine through one adapter module, and degrades with an explicit message when the engine is not installed.

Current contents:

• pricing/: European Black-Scholes-Merton with a continuous dividend yield, a Newton-Raphson implied volatility solver with a bisection fallback that refuses prices carrying no volatility information, and the full analytic Greek ladder from first to third order in documented units.
• strategies/: the expiry payoff engine, the five-direction outlook framework, the structure playbook, and the friction and liquidity gate.
• analytics/: dealer gamma exposure with walls and flip levels, max pain, volatility smile geometry, and the structure ranking.
• simulation/: GARCH(1,1) with Student-t innovations sampled by adaptive random-walk Metropolis, posterior predictive paths, value at risk and expected shortfall, and position profit distributions.
• backtest/: the historical runner with modelled premiums, the performance and significance statistics, and forward-test marking.

Read DISCLAIMER.md at the repository root before using any of it. Modelled premiums are not achievable prices.