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QuantDinger
Systematic Trading OS
#324 (Merged)Tail risk framework (VaR, CVaR, Omega Ratio) •#307 (Merged)Benchmark analytics ($M^2$ , Dual-Beta, Batting Avg) •#306 (Merged)Downside risk framework (Sortino, Calmar, Drawdown) •#303 (Merged)Jensen's Alpha & Treynor pipeline -
FinancePy
Derivatives Valuation & Risk
#420 (Merged)Shifted Black–Karasinski (negative rate lattice) •#408 (Merged)Vectorized CDSCurve discount factors •#404 (Merged)Cliquet option valuation (Monte Carlo)
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Decomposing OLS Linear Regression into WMA/SMA for 100x Speedup in Polars —
Oct 2026
Closed-form mathematical refactoring of rolling least-squares into prefix sums and weighted moving averages. -
Lowdin Symmetric Orthogonalization for Cross-Sectional Alpha Factors —
Sep 2026
Eliminating factor multi-collinearity via SVD-based unitary transformation while preserving maximal correlation. -
Shifted Short-Rate Lattices (BK / BDT) in Negative Yield Regimes —
Oct 2026
Extending log-normal short rate tree dynamics (Black–Karasinski & Black–Derman–Toy) to negative interest rates with state-price calibration.



