arbitrage-free-derivatives-pricing

无套利衍生品定价工作流，适用于跨资产类别的统一折现、远期构造，以及无套利估值检验。适用于在生产估值模型与定价控制框架中开展相关工作的任务。

SKILL.md

--- frontmatter

name: arbitrage-free-derivatives-pricing
description: "Arbitrage-free derivatives pricing workflows for consistent discounting, forward construction, and no-arbitrage valuation checks across asset classes. use when tasks involve production valuation models and pricing control frameworks."

Arbitrage Free Derivatives Pricing

objective

Build arbitrage-free pricing pipelines with explicit carry conventions and control-ready valuation diagnostics.

workflow

•define product payoff, discount curve, and forward construction rules.
•implement valuation equations and numerical solvers with test fixtures.
•run no-arbitrage checks across strikes, maturities, and structures.
•compare model values against market and alternative valuation methods.
•release only when pricing controls and reconciliations pass thresholds.

required diagnostics

•pricing residual by product, strike, and maturity.
•curve-consistency and forward-construction diagnostics.
•no-arbitrage violations count and severity trends.
•sensitivity reconciliation across greeks and finite differences.
•daily model-versus-market control exceptions.

risk controls

•enforce valuation tolerance thresholds per product class.
•enforce independent price verification and signoff workflow.
•enforce rollback to validated baseline model on control breach.

outputs

•run python scripts/arbitrage_free_derivatives_pricing_diagnostics.py input.csv --output diagnostics.json and keep the json artifact.
•write an implementation memo using references/arbitrage-free-derivatives-pricing-playbook.md with assumptions, tests, limits, and rollout plan.

resources

•use scripts/arbitrage_free_derivatives_pricing_diagnostics.py for deterministic diagnostics.
•use references/arbitrage-free-derivatives-pricing-playbook.md for the domain checklist and delivery structure.