Task: Derive the risk reversal and strangle ladders

Table of Contents

This page documents a task in the Build the sensitivity ladders story. It captures the goal, current status, acceptance, and any notes or results.

1. Goal

A party runs a risk reversal ladder and a strangle ladder, each derived from one stored surface run and reproducible from it alone.

2. Status

Field Value
State BACKLOG
Parent story Build the sensitivity ladders
Now Not yet started.
Waiting on - The .1 ATM and surface vol ladders, which produce the surface-point figures.
Next Start when the market data lands.
Last touched 2026-11-03

3. Acceptance

  • The derivation states the change of basis it applies, cites the smile identity on FX Volatility Surface, and names the surface points it reads.
  • The strangle ladder reads the butterfly style the pair is stored with, and refuses a pair whose style it cannot convert rather than assuming one.
  • The derived figure, its inputs and the run it came from are all stored, so the figure can be recomputed without re-running the engine.
  • A test proves the derived risk reversal equals the difference of the two surface-point deltas on a worked example.

4. Plan

(Implementation strategy. Written when work starts; key decisions are distilled into the parent story's * Decisions at close, but the plan itself stays — it is the historical record of what we did.)

5. Measurements

Every number this task claims about a tree, with the command that produced it and the commit it was measured at. A number without both is not a measurement, because a clean-up record describes a tree and trunk moves under a branch: a consumer count, a gate's component count and a suite's size all change with no code changing, and the reader of a bare number cannot tell which tree it came from. Where the raw output matters, put it in an evidence/ file beside the task and name that file in the Command column.

What Value Command Commit
       

6. Notes

7. Test Scenarios

Manual QA scenarios (scaffolded via compass add test_scenario) that verify this task. Link new ones here as they're created; the scenario doc itself links back via its "Verifies task" field.

Scenario State Notes
     

8. PRs

PR Title
   

9. Review

Comment summary File Decision Notes
       

10. Result

11. See also

Emacs 29.3 (Org mode 9.6.15)