ores.analytics.quant

Diagram
Summary
Inputs
Outputs
Entry points
Dependencies
See also

Diagram

Figure 1: ores.analytics.quant

Summary

Dependency-light quantitative math library. One consumer is the Cross Rates Matrix (CRM): a two-phase engine that builds and validates a driver/derived spanning-tree topology over currency pairs (throwing a readable error at build time if the input admits more than one path between two currencies), then serves continuously-updating derived rates with staleness propagation. Deliberately has no database, messaging, or refdata coupling – everything domain-specific (currency codes, spot days, short-term rates) is supplied by the caller as plain parameters, so the library is consumable standalone and fully unit-testable in isolation.

A second, unrelated area covers stochastic price processes: pluggable IStochasticProcess implementations (geometric and arithmetic Gaussian mixture engines, an Ornstein-Uhlenbeck mean-reverting engine), a process_factory that builds one from a process-type string plus raw parameters, and process_parameter_validation as the single source of truth for "are these parameters good?" shared between server-side construction and any UI that wants a friendly error before submitting. This code originated in ores.synthetic, which mixed the maths with synthetic-data-generation orchestration; it moved here so the maths is reusable (e.g. by a future calibration service) and independently unit-testable without pulling in a service binary.

Inputs

domain::ccy_pair_input – raw currency-pair quotes (base/quote codes, driver flag) fed to service::topology_builder::build.
Pivot currency code and the list of required "major" currencies.
domain::driver_quote – a single tick on a driver edge, fed to service::rate_engine::update.
domain::staleness_policy – caller-supplied max age for a derived rate to be considered fresh.
Raw process parameters (means, stdevs, weights, initial_price) plus a process_type string ("geometric" / "arithmetic" / "ornstein_uhlenbeck"), fed to service::process_factory::make_process and domain::validate_process_parameters.

Outputs

domain::crm_topology – the immutable, validated spanning tree.
domain::topology_build_error – thrown with one topology_error per offending pair when the input cannot form a valid tree.
domain::derived_rate – a rate (direct or triangulated) with its rate_status (fresh/stale/unavailable) and the oldest contributing driver's timestamp.
domain::IStochasticProcess – the pure interface every price process implements (next() advances one step, current() reads without advancing).
domain::process_parameter_validation_result – ok/error-message pair from validating raw process parameters before construction.

Entry points

service::topology_builder::build(pairs, pivot_code, required_majors)
service::rate_engine::update(driver_quote)
service::rate_engine::rate(base_code, quote_code) / rates(pairs)
service::recenter(source_engine, aggregation_code, policy, now) – point-in-time star-shaping around an aggregation currency for risk, preserving every current rate's value.
service::process_factory::make_process(process_type, means, stdevs, weights, initial_price, seed) – builds a gaussian_mixture_model_process (geometric/multiplicative), arithmetic_gaussian_mixture_model_process (additive/Bachelier), or ornstein_uhlenbeck_process (mean-reverting) depending on process_type; unrecognised values fall back to geometric.
domain::validate_process_parameters(process_type, means, stdevs, weights, initial_price)

Dependencies

Boost::graph / Boost::boost – topology construction (boost::disjoint_sets for incremental cycle detection, BFS for parent/path assignment).
immer (immer::atom<rate_snapshot>, immer::vector<vertex_state>) – lock-free, structural-sharing immutable snapshots for the runtime rate engine.
Deliberately not linked: ores.database, ores.service, NATS, ores.refdata, ores.logging (the stochastic-process code carries no logging dependency either – callers that need diagnostics log around the call).