Commit Graph

20 Commits

Author SHA1 Message Date
ddoebel
9e9eef21a5 Merge branch 'option_pricing_structure' of http://ddoebel.de:3000/ddoebel/pricing into dev
Some checks failed
C++ CI / build (push) Has been cancelled
2026-04-15 11:48:27 +02:00
ddoebel
b2427eaf9d Notebook exploring UBS data 2026-04-15 11:43:37 +02:00
ddoebel
1dd5d8657a Ignore local Python and notebook metadata.
Prevent accidental commits of virtual environments, bytecode caches, and notebook checkpoint artifacts.

Made-with: Cursor
2026-04-15 11:40:31 +02:00
ddoebel
73641b7e5b Add electricity price ingestion and feature pipeline.
Introduce ENTSO-E data retrieval with layered caching, robust bidding-zone and missing-data handling, and persist model-ready features with detailed architecture/developer documentation.

Made-with: Cursor
2026-04-15 11:40:14 +02:00
David Doebel
23a28c6776 Add repository root package marker.
Some checks failed
C++ CI / build (push) Has been cancelled
Track the top-level __init__.py so local package imports remain consistent with the current project layout.

Made-with: Cursor
2026-04-02 16:31:07 +02:00
David Doebel
3dacc0a418 Add publication-ready documentation and reproducible experiment package.
Rewrite the README with secure setup instructions, add dedicated setup/security docs, and include the standalone local-volatility instability experiment materials for reproducible analysis.

Made-with: Cursor
2026-04-02 16:30:56 +02:00
David Doebel
b3663258e4 Replace hardcoded DB credentials with environment-driven configuration.
Centralize DB settings in ingestion config, remove embedded secrets from ingestion helpers, and add an idempotent PostgreSQL bootstrap script to create role/database and apply schema safely.

Made-with: Cursor
2026-04-02 16:30:50 +02:00
David Doebel
e9b3a4aac3 Add Python implied-volatility package and data analysis pipeline.
Introduce the SVI/implied-vol modules as a package, update project metadata, and add loading/processing utilities that connect database snapshots to calibration workflows.

Made-with: Cursor
2026-04-02 16:30:43 +02:00
David Doebel
087a2f0d74 Restructure C++ core into cpp module and package bindings.
Move the pricing engine sources out of src/ into cpp/, add the closed-form engine and pybind wiring, and align tests/build targets with the new project layout.

Made-with: Cursor
2026-04-02 16:30:33 +02:00
David Doebel
61df0b425d Ingestion for UBS data draft
Some checks failed
C++ CI / build (push) Has been cancelled
2026-03-25 21:54:05 +01:00
David
ff30a3e1ce Add __init__.py files
Some checks failed
C++ CI / build (push) Has been cancelled
2026-03-25 20:30:01 +01:00
David Doebel
5008becd15 Write first data ingestion and SQL support
Some checks failed
C++ CI / build (push) Has been cancelled
2026-03-12 14:50:47 +01:00
David Doebel
a503514bf5 Write first data ingestion and SQL support 2026-03-12 13:43:35 +01:00
David Doebel
f98de4d0a3 Adapt Yield Curve and Volatility Surface and Market Data, to be better compatible with unit test.
Some checks failed
C++ CI / build (push) Has been cancelled
2026-03-12 12:10:13 +01:00
David Doebel
08298439ea Create option pricing engine structure, test architecture.
Some checks failed
C++ CI / build (push) Has been cancelled
2026-03-08 10:15:23 +01:00
David Doebel
1c61e664b3 Add book repo 2026-03-05 14:14:20 +01:00
David Doebel
07223a8040 Update project directory structure 2026-03-04 15:01:31 +01:00
David Doebel
04725b27d9 Add Analytics and requirements 2026-03-04 00:44:52 +01:00
David Doebel
15a20fc965 Create core structure 2026-03-03 23:33:32 +01:00
183cab36bd Initial commit 2026-03-03 21:52:20 +00:00