A containerized, interactive platform for front-office derivatives analytics — covering the full workflow from real-time market data through options pricing, volatility calibration, strategy backtesting, P&L attribution, risk monitoring, index options analysis, and broker-connected trading.
Live market data integration powered by yfinance with TTL caching. Every tool page has a ticker dropdown in the sidebar — select a ticker, click "Load Live Data", and all inputs (spot, strike, volatility, risk-free rate) auto-populate from the market.
- Live quotes with price, change, volume, market cap, bid/ask, 52-week range
- Historical OHLCV candlestick charts across 9 time periods (1D–MAX)
- Options chains enriched with Black-Scholes Greeks
- Implied volatility surfaces built from real options data (3D surface, heatmap, ATM term structure)
- Market overview of major indices (S&P 500, Nasdaq, Dow, Russell, VIX, 10Y Treasury)
- Risk-free rate estimation from US Treasury yields
- 34 pre-configured popular tickers (AAPL, NVDA, SPY, QQQ, etc.) available across all pages
Three pricing models with nine analytical Greeks and multi-dimensional sensitivity profiles. Inputs auto-populate from live market data.
- Black-Scholes closed-form pricing with implied volatility solver (Brent's method)
- Heston stochastic volatility via characteristic function integration
- Dupire local volatility extraction with Monte Carlo pricing
- Analytical Greeks: Delta, Gamma, Vega, Theta, Rho, Vanna, Volga, Charm, Speed
- Sensitivity profiles across spot, time-to-expiry, and volatility dimensions
3D implied and local volatility surface construction with parametric calibration. Base vol and spot default to live ATM IV and market price.
- Cubic spline interpolation across strikes and expiries
- SABR model calibration (Hagan et al., 2002) via Nelder-Mead optimization
- Dupire local vol surface extraction from implied vol, with comparison views and heatmaps
- Vol smile analysis by expiry slice
Dedicated tooling for cash-settled, European-style index options (SPX, NDX, RUT, VIX, XSP, DJX) with contract-specific pricing and analysis.
- European pricer with continuous dividend yield (Merton model) and cash settlement P&L scenarios
- Put-call parity checker with violation detection, arbitrage signals, and implied dividend yield extraction
- Term structure of ATM implied volatility across expiries with forward volatility computation
- Skew analysis — 25-delta risk reversal, butterfly spread, slope, and smile curvature across multiple expiries
- VIX options pricing via Black '76 on estimated VIX futures, with futures term structure (mean-reversion model) and 3D price surface
- Expiry calendar — monthly, quarterly, and weekly expiry dates with contract specification reference table
- Section 1256 tax calculator — 60/40 long-term/short-term blended rate with savings comparison vs equity options
- Full contract specs: multipliers, AM/PM settlement, exchange, exercise style
Delta hedging and multi-leg strategy evaluation under simulated or historical market data. Spot, vol, and rate default to live values for the selected ticker.
- Delta hedging under GBM or Heston dynamics (with vol mismatch analysis)
- 8 pre-built strategy templates: Long/Short Straddle, Strangle, Bull Call Spread, Bear Put Spread, Butterfly, Iron Condor, Calendar Spread
- Per-leg expiry and volatility parameters for multi-expiry structures
- Historical data backtesting via CSV upload with automatic price column detection
Portfolio-level what-if analysis across multiple risk dimensions. Portfolio positions initialize with live market parameters.
- Spot x Vol P&L heatmaps
- 10 pre-configured stress scenarios (crash, rally, tail risk, time decay)
- Spot ladder and theta decay projections
Full second-order Taylor decomposition for single positions and multi-position portfolios. Spot, strike, vol, and rate populate from live data.
- Six Greek components: Delta, Gamma, Vega, Theta, Vanna, Volga
- Cumulative stacked area charts, daily breakdowns, Greeks evolution
- Portfolio-level attribution across multiple positions sharing the same underlying
- Summary statistics with annualized Sharpe ratio
Real-time portfolio monitoring with VaR, Greeks exposure, and configurable alerts. Loading live data regenerates the entire position book with real spot, vol, and rate for the selected ticker.
- Monte Carlo VaR / CVaR at configurable confidence levels (90%–99%)
- Greeks exposure breakdown by expiry bucket and strike bucket
- Configurable risk limits with breach notifications
Unified trading interface with support for multiple brokers and a zero-dependency paper trading simulator.
- Paper Trading — built-in simulated broker with configurable starting capital, instant fills, position tracking, trade log, and account reset
- Interactive Brokers (IBKR) — via
ib_asyncconnecting to TWS or IB Gateway (port 7496 live / 7497 paper) - Alpaca — via
alpaca-pyfor equities and crypto with API key authentication - Schwab — via
schwab-pywith OAuth flow for equities and options - Order management — market, limit, stop, and stop-limit orders with real-time status tracking
- Position monitoring — current holdings with unrealized P&L, market value, and cost basis
- Trade analytics — order history, fill distribution, volume by symbol, and capital allocation charts
- Abstract
BrokerBaseinterface for adding custom broker integrations
cd quant-tool/
docker compose up --build -dOpen http://localhost:8501 in your browser.
cd quant-tool/
pip install -r requirements.txt
streamlit run Home.pyBroker SDK packages are optional — install only the ones you need:
pip install ib_async # Interactive Brokers
pip install alpaca-py # Alpaca Markets
pip install schwab-py # Charles SchwabPaper Trading requires no additional dependencies.
docker compose downquant-tool/
├── Home.py # Entry point and navigation
├── pages/
│ ├── 1_Options_Pricer.py # BS, Heston, Local Vol pricing + Greeks
│ ├── 2_Volatility_Surface.py # 3D surface, SABR, Dupire local vol
│ ├── 3_Strategy_Backtester.py # Delta hedge, strategies, historical data
│ ├── 4_Scenario_Simulator.py # Stress testing and P&L heatmaps
│ ├── 5_PnL_Attribution.py # Single-position and portfolio P&L
│ ├── 6_Risk_Dashboard.py # VaR, Greeks exposure, risk alerts
│ ├── 7_Market_Data.py # Live quotes, charts, options, IV surface
│ ├── 8_Index_Options.py # Index options analytics and VIX pricing
│ └── 9_Broker.py # Broker integration and trading
├── core/
│ ├── pricing.py # BS, Heston, Local Vol pricing engines
│ ├── greeks.py # Analytical and numerical Greeks
│ ├── volatility.py # SABR, vol surface, Dupire local vol
│ ├── backtesting.py # GBM/Heston simulation, strategy engines
│ ├── scenarios.py # Scenario and stress testing
│ ├── pnl.py # P&L attribution engine
│ ├── market_data.py # Live quotes, options chains, IV surfaces
│ ├── index_options.py # Index options pricing, skew, term structure
│ └── broker.py # Broker abstraction layer (IBKR, Alpaca, Schwab)
├── screenshots/ # UI screenshots for documentation
├── Dockerfile
├── docker-compose.yml
└── requirements.txt
The core/ modules are independent of Streamlit and can be imported into Jupyter notebooks or used as a standalone library.
| Component | Technology |
|---|---|
| Language | Python 3.11 |
| Web Framework | Streamlit |
| Market Data | yfinance |
| Numerical | NumPy, SciPy |
| Data | Pandas |
| Visualization | Plotly |
| Brokers | ib_async, alpaca-py, schwab-py (optional) |
| Containerization | Docker |