sanos 0.2.1

SANOS: Smooth strictly Arbitrage-free Non-parametric Option Surfaces (Rust implementation)
Documentation 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140

use sanos::backbone::bs_call_forward_norm;
use sanos::backbone::{BackboneConfig, BsTimeChangedConfig};
use sanos::calibration::{calibrate, CalibrationConfig, ConvexOrderValidationMode};
use sanos::density::DensityTolerances;
use sanos::fit::{FitConfig, OmegaConfig, WarmStartMode};
use sanos::grid::StrikeGridPolicyConfig;
use sanos::interp::TimeInterpConfig;
use sanos::market::{CallQuote, OptionBook, OptionChain};

use serde::Deserialize;

#[derive(Debug, Deserialize)]
struct IvSurfaceSnapshot {
    maturities: Vec<MaturityNode>,
}

#[derive(Debug, Deserialize)]
struct MaturityNode {
    t: f64,
    quotes: Vec<IvQuote>,
}

#[derive(Debug, Deserialize)]
struct IvQuote {
    k: f64,
    bid_iv: f64,
    ask_iv: f64,
}

fn load_book_from_snapshot() -> OptionBook {
    let json = include_str!("fixtures/tv_equity_like_001.snapshot.json");
    let snap: IvSurfaceSnapshot = serde_json::from_str(json).expect("snapshot must parse");

    let mut chains = Vec::with_capacity(snap.maturities.len());
    for m in snap.maturities {
        let mut quotes = Vec::with_capacity(m.quotes.len());

        for q in m.quotes {
            let bid_var = q.bid_iv * q.bid_iv * m.t;
            let ask_var = q.ask_iv * q.ask_iv * m.t;

            let bid = bs_call_forward_norm(q.k, bid_var).expect("bid price must be computable");
            let ask = bs_call_forward_norm(q.k, ask_var).expect("ask price must be computable");

            quotes.push(CallQuote::new(q.k, bid, ask, 1.0).expect("quote must validate"));
        }

        chains.push(OptionChain::new(m.t, quotes).expect("chain must validate"));
    }

    OptionBook::new(chains).expect("book must validate")
}

fn default_calibration_config_for_snapshot() -> CalibrationConfig {
    let backbone = BackboneConfig::BsTimeChanged(BsTimeChangedConfig {
        eta: 0.25,
        ..BsTimeChangedConfig::default()
    });

    let fit = FitConfig::default();

    CalibrationConfig {
        backbone,
        grid: StrikeGridPolicyConfig::default(),
        fit,
        time_interp: TimeInterpConfig::AtmVarianceTime,
        convex_order_validation: ConvexOrderValidationMode::Error,
    }
}

/// Mirrors `data/configs/default.json` (current repo default).
fn repo_default_like_calibration_config() -> CalibrationConfig {
    let backbone = BackboneConfig::BsTimeChanged(BsTimeChangedConfig {
        eta: 0.25,
        ..BsTimeChangedConfig::default()
    });

    let mut fit = FitConfig::default();
    fit.kernel.omega = OmegaConfig::Zero;
    fit.initialization.mode = WarmStartMode::BackboneSynthetic;
    fit.initialization.feasibility_tol = 1e-8;

    CalibrationConfig {
        backbone,
        grid: StrikeGridPolicyConfig::default(),
        fit,
        time_interp: TimeInterpConfig::AtmVarianceTime,
        convex_order_validation: ConvexOrderValidationMode::Error,
    }
}

#[test]
fn calibrate_snapshot_produces_valid_martingale_density() {
    let book = load_book_from_snapshot();
    let cfg = default_calibration_config_for_snapshot();

    let surface = calibrate(&book, &cfg).expect("calibration must succeed");

    let tol = DensityTolerances::from_tol(1e-6).unwrap();
    let q = surface.martingale_density();
    q.validate_marginals(tol).expect("marginals must be valid");
    q.validate_convex_order(tol)
        .expect("convex order must hold");
}

#[test]
fn calibrated_surface_produces_finite_values() {
    let book = load_book_from_snapshot();
    let cfg = default_calibration_config_for_snapshot();

    let surface = calibrate(&book, &cfg).expect("calibration must succeed");

    for chain in book.chains() {
        let t = chain.maturity();
        for q in chain.quotes() {
            let c = surface
                .call(t, q.k)
                .expect("surface call must be computable");
            assert!(c.is_finite(), "T={t}, k={}, c={c} must be finite", q.k);
            assert!(c >= -1e-8, "T={t}, k={}, c={c} must be non-negative", q.k);
        }
    }
}

#[test]
fn repo_default_like_config_calibrates_with_adaptive_completion() {
    let book = load_book_from_snapshot();
    let cfg = repo_default_like_calibration_config();

    let surface = calibrate(&book, &cfg).expect("calibration must succeed");
    let tol = DensityTolerances::from_tol(1e-6).unwrap();
    surface
        .martingale_density()
        .validate_marginals(tol)
        .expect("marginals must be valid");
    surface
        .martingale_density()
        .validate_convex_order(tol)
        .expect("convex order must hold");
}