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‎.gitignore‎

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# builds
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app/docs
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docs/examples_output

‎dev/quantflow.dockerfile‎

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@@ -14,8 +14,6 @@ RUN uv sync --frozen --no-install-project --extra ai --extra book --extra docs -
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COPY mkdocs.yml ./
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COPY docs/ ./docs/
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COPY quantflow/ ./quantflow/
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COPY dev/build-examples ./dev/build-examples
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RUN uv run ./dev/build-examples
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RUN uv run mkdocs build
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# Stage 2: Runtime stage

‎docs/examples_output/heston_volatility_pricer.out‎

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{
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"strike": "100.0",
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"option_type": "call",
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"forward": "100.0",
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"moneyness": 0.0,
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"ttm": 1.0,
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"price": 0.19225250948685713,
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"delta": 0.6004432200876063,
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"gamma": 0.814574001718513,
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"black": {
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"iv": 0.4866658752351474,
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"price": 0.19225250948685713,
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"delta": 0.5961262547434286,
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"gamma": 0.7958325231787754,
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"vega": 0.3873045314333945,
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"volga": -0.0471219746931429,
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"vanna": 0.19365226571669725,
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"theta": -0.0942439493862858
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}
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}

‎docs/examples_output/vol_surface_heston_calibration.out‎

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Both `ftol` and `xtol` termination conditions are satisfied.
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```json
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{
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"variance_process": {
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"rate": 0.1468919917675601,
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"kappa": 3.3130571478442086,
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"sigma": 1.7107299453461766,
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"theta": 0.33074514653579995,
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"sample_algo": "implicit"
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},
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"rho": -0.46321555531487724
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}
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```

‎docs/examples_output/vol_surface_hestonj_calibration.out‎

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`xtol` termination condition is satisfied.
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```json
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{
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"variance_process": {
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"rate": 0.12707150968097103,
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"kappa": 1.8151617066397323,
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"sigma": 1.3259134126578012,
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"theta": 0.3211971404927874,
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"sample_algo": "implicit"
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},
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"rho": -0.47899276376715205,
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"jumps": {
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"intensity": 99.12262880140118,
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"jumps": {
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"decay": 73.57139169343074,
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"loc": 0.007499627395456639,
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"kappa": 1.20055291473451
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}
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}
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}
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```

‎docs/examples_output/vol_surface_inputs.out‎

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maturity ttm forward bid_ask_spread basis rate_percent fwd_spread_pct open_interest volume
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2026-04-28 08:00:00+00:00 0.002635 77767.75 159.5 -8.00 -3.90357 0.2051 0 0
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2026-04-29 08:00:00+00:00 0.005375 77757.5 115 -18.25 -4.36617 0.1479 0 0
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2026-04-30 08:00:00+00:00 0.008115 77765.5 112.0 -10.25 -1.62420 0.1440 0 0
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2026-05-01 08:00:00+00:00 0.010854 77731.25 2.5 -44.50 -5.27275 0.0032 30198620 5038760
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2026-05-08 08:00:00+00:00 0.030032 77756.25 2.5 -19.50 -0.83494 0.0032 2718240 2864240
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2026-05-15 08:00:00+00:00 0.049210 77781.75 160.5 6.00 0.15676 0.2063 0 0
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2026-05-29 08:00:00+00:00 0.087567 77813.75 2.5 38.00 0.55782 0.0032 67350560 9387130
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2026-06-26 08:00:00+00:00 0.164279 77921.25 2.5 145.50 1.13771 0.0032 588089150 6932390
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2026-07-31 08:00:00+00:00 0.260169 78098.75 173.5 323.00 1.59295 0.2222 0 0
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2026-09-25 08:00:00+00:00 0.413594 78408.75 2.5 633.00 1.95985 0.0032 276427820 7071210
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2026-12-25 08:00:00+00:00 0.662909 79087.5 10.0 1311.75 2.52299 0.0126 121192440 2532540
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2027-03-26 08:00:00+00:00 0.912224 79801.25 2.5 2025.50 2.81833 0.0031 15964110 3373920
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maturity strike option_type bid ask iv_bid iv_ask
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2026-04-28 08:00:00+00:00 73000 put 0.0001 0.0002 0.5375622 0.5919214
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2026-04-28 08:00:00+00:00 75000 put 0.0004 0.0006 0.4188391 0.4554825
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2026-04-28 08:00:00+00:00 75500 put 0.0006 0.0008 0.3889021 0.4165291
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2026-04-28 08:00:00+00:00 76000 put 0.001 0.0012 0.3668268 0.3868547
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2026-04-28 08:00:00+00:00 76500 put 0.0016 0.0019 0.3392663 0.3616924
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2026-04-28 08:00:00+00:00 77000 put 0.0028 0.0032 0.3235727 0.3467574
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2026-04-28 08:00:00+00:00 77500 put 0.0048 0.0055 0.3117853 0.3467488
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2026-04-28 08:00:00+00:00 78000 call 0.005 0.0055 0.3111888 0.3359649
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2026-04-28 08:00:00+00:00 78500 call 0.0032 0.0035 0.335916 0.3526992
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2026-04-28 08:00:00+00:00 79000 call 0.0017 0.0021 0.3353014 0.3637628

‎docs/examples_output/weiner_volatility_pricer.out‎

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{
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"strike": "100.0",
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"option_type": "call",
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"forward": "100.0",
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"moneyness": 0.0,
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"ttm": 1.0,
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"price": 0.11923538473954934,
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"delta": 0.5594775189681656,
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"gamma": 1.312462172251983,
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"black": {
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"iv": 0.29999999999762794,
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"price": 0.11923538473954934,
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"delta": 0.5596176923697747,
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"gamma": 1.3149311030369273,
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"vega": 0.3944793309079591,
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"volga": -0.029585949817863,
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"vanna": 0.19723966545397956,
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"theta": -0.059171899635726
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}
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}

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