8 projects
abacus-mcp
An MCP server exposing option and portfolio analytics over a validated numerical core.
paper-to-live
A backtested strategy walked from paper Sharpe to a funded book: selection bias, execution cost, tail risk and financing.
tenor-curves
A fixed-income curve toolkit: day counts, discount curves, bond analytics, key rate risk and option-adjusted spread.
slippage-tca
An optimal execution and transaction cost analysis engine
holdout-backtest
A backtest overfitting toolkit: deflated Sharpe ratios, backtest overfitting probability, purged cross-validation and multiple-testing haircuts
shortfall
A portfolio risk engine: shrinkage covariance, value at risk, expected shortfall, risk contributions and drawdown statistics.
moneyness
Options pricing, Greeks and implied volatility, validated against closed-form results.
capstack-lbo
A leveraged buyout engine: sources and uses, a debt waterfall with cash sweep, covenant tests, and returns attribution.
