Module analytics
Expand description
Measures and attribution: what a book’s value is made of, and why it moved.
Nothing here is a container — trades, books, lenses and scenarios live in
trading, and this layer only reads them. That is the
division the naming contract draws: analytics answers questions about a
book against markets; it never holds one.
Every quantity here is arithmetic on things the market seam already produces — parameter vectors, risk vectors, lifted views in a chosen mode — which is why the module is short. A P&L explain that had to bump and reprice would be three engines; one that can seed a second-order mode along the actual move is a few dozen lines.
Modules§
- pnl
- P&L attribution between two markets, in parameter space.