Future work¶
Stable today vs exploratory next
Stable today: typed vanilla pricing engines, implied-vol and surface tooling, SVI/eSSVI workflows, local-vol/PDE diagnostics, README freshness checks, docs builds, and CI-executed notebooks.
Exploratory next: broader stochastic-vol calibration, richer hedging experiments, and more portfolio/reporting workflows.
What is already solid¶
- Public API and packaging
- typed package installable on Python 3.12+
- recommended instrument workflow plus convenience and curves-first paths
- Validation and CI
- README freshness enforced in CI
- notebook execution with
pytest -q demos --nbmake - headless notebook runs via
MPLBACKEND=Agg - docs build and visual artifact generation in GitHub Actions
- Portfolio-ready numerics
- SVI fitting and repair
- eSSVI projection and seam diagnostics
- local-vol extraction and PDE repricing checks
Active polish¶
- keep
option_pricing/__init__.pyexports stable and minimal - continue improving install ergonomics outside editable local workflows
- keep the published proof pages aligned with the latest visual bundles and notebook outputs
Research roadmap¶
Capstone 3 - Stochastic vol + calibration (Heston)¶
- Heston characteristic-function pricer
- Monte Carlo cross-check
- calibration objective, constraints, and stability checks
- notebook on surface fit quality and parameter stability
Capstone 4 - Hedging realism¶
- delta/vega hedging simulator
- misspecification experiments (hedge under one model, simulate under another)
- P&L attribution and reporting notebook
Suggested GitHub labels¶
- Capstones:
capstone:1,capstone:2,capstone:3,capstone:4 - Type:
type:bug,type:enhancement,type:docs,type:chore - Area:
area:pricing,area:vol,area:diagnostics,area:ci,area:docs - Priority:
priority:p0,priority:p1,priority:p2
Release tags¶
v0.1.x: BS/MC/tree baselinev0.2.x: implied vol solver hardenedv0.3.x: vol surface + diagnosticsv0.4.x: local vol + PDEv0.5.x: Heston + calibrationv1.0.0: stable API + polished docs + end-to-end demos