quantmind · lsbardel · Jul 30, 2026 · Jul 30, 2026
diff --git a/.claude/skills/update-doc-indexes/SKILL.md b/.claude/skills/update-doc-indexes/SKILL.md
@@ -0,0 +1,49 @@
+---
+name: update-doc-indexes
+description: Update top level API index pages with missing documented pages and classes
+---
+
+# Update API index pages
+
+Update every top level API index page so it references all the relevant
+documented pages and classes of its section.
+
+## Scope
+
+The top level index pages are `docs/api/<section>/index.md`, one per section
+listed under `API Reference` in the `nav` of `mkdocs.yml`
+(currently: data, dists, options, rates, sp, ta, utils).
+If arguments name one or more sections, restrict the update to those.
+
+## Procedure
+
+For each section:
+
+1. Read the section entry in the `nav` of `mkdocs.yml` and list its pages.
+2. For each page, collect what it documents: the H1 title and the
+   mkdocstrings entries (`::: fully.qualified.path` lines).
+3. Read the section `index.md` and identify pages or classes that are not
+   mentioned anywhere on it.
+4. Add the missing entries to the index page:
+   * Follow the existing layout of that index page. If it uses tables with
+     `| Class | Description |` columns, extend or add tables in the same
+     format. Only introduce a new H2 section when the missing entries do not
+     fit an existing one, and match the style of the sections already there.
+   * Ask the developer where to place a new section if the page layout does
+     not make the placement obvious.
+   * Link classes and functions with mkdocstrings cross-references
+     (`[ClassName][fully.qualified.path]`) and pages with relative markdown
+     links (e.g. `[SVI Volatility Smile](svi.md)`).
+   * Write a one line description for each entry, based on the docstring or
+     the page introduction. Link concepts to `docs/glossary.md` instead of
+     redefining them.
+5. Do not remove or rewrite existing content: this skill only adds what is
+   missing and fixes references that are broken.
+
+## Conventions
+
+* Follow the documentation rules in `.github/copilot-instructions.md`
+  (no dashes as punctuation, short paragraphs, relative links).
+* Do not edit generated files (`docs/bibliography.md`, `readme.md`).
+* After the update, list for the developer which entries were added to which
+  index page.
diff --git a/Makefile b/Makefile
@@ -6,7 +6,7 @@ help:
 	@echo ================================================================================
 
 .PHONY: app-serve
-app-serve:			## serve app
+app-serve:			## serve python api app only
 	@MICRO_SERVICE_HOST=127.0.0.1 uv run python -m app
 
 .PHONY: docs
@@ -25,7 +25,7 @@ docs-examples:			## Regenerate docs examples
 
 .PHONY: docs-serve
 docs-serve:			## serve docs, examples, and API with auto-reload
-	@bash ./dev/docs-serve
+	@bash ./dev/serve/all
 
 .PHONY: frontend-build
 frontend-build:			## build Observable frontend examples
@@ -34,7 +34,7 @@ frontend-build:			## build Observable frontend examples
 
 .PHONY: frontend-serve
 frontend-serve:			## serve Observable frontend with auto-reload
-	@bash ./dev/frontend-serve
+	@bash ./dev/serve/observable
 
 .PHONY: install-dev
 install-dev:			## Install development dependencies

diff --git a/app/api/volatility.py b/app/api/volatility.py
@@ -38,7 +38,7 @@ class ForwardCurveResponse(BaseModel):
 
 
 class VolSurfaceResponse(BaseModel):
-    ssvi: SSVI = Field(description="SSVI model fitted to the volatility surface")
+    ssvi: SSVI = Field(description="eSSVI model fitted to the volatility surface")
     inputs: VolSurfaceInputs = Field(description="Volatility surface inputs")
     options: list[OptionInfo] = Field(
         description="List of option info with implied volatilities"

diff --git a/dev/docs-serve b/dev/docs-serve
diff --git a/dev/frontend-serve b/dev/frontend-serve
diff --git a/dev/mkdocs-serve b/dev/mkdocs-serve
diff --git a/dev/serve-info b/dev/serve-info
diff --git a/dev/serve/all b/dev/serve/all
@@ -0,0 +1,18 @@
+#!/usr/bin/env bash
+set -e
+
+QUANTFLOW_OBSERVABLE_PORT=${QUANTFLOW_OBSERVABLE_PORT:-8006}
+QUANTFLOW_MKDOCS_PORT=${QUANTFLOW_MKDOCS_PORT:-8000}
+QUANTFLOW_API_PORT=${QUANTFLOW_API_PORT:-8001}
+
+QUANTFLOW_OBSERVABLE_URL=${QUANTFLOW_OBSERVABLE_URL:-http://127.0.0.1:${QUANTFLOW_OBSERVABLE_PORT}}
+QUANTFLOW_MKDOCS_ORIGIN=${QUANTFLOW_MKDOCS_ORIGIN:-http://127.0.0.1:${QUANTFLOW_MKDOCS_PORT}}
+QUANTFLOW_API_ORIGIN=${QUANTFLOW_API_ORIGIN:-http://127.0.0.1:${QUANTFLOW_API_PORT}}
+
+npm --prefix frontend exec concurrently -- \
+    --kill-others \
+    --names mkdocs,observable,api \
+    --prefix "[{name}]" \
+    "QUANTFLOW_MKDOCS_PORT=${QUANTFLOW_MKDOCS_PORT} QUANTFLOW_OBSERVABLE_URL=${QUANTFLOW_OBSERVABLE_URL} bash ./dev/serve/mkdocs" \
+    "QUANTFLOW_OBSERVABLE_PORT=${QUANTFLOW_OBSERVABLE_PORT} QUANTFLOW_API_ORIGIN=${QUANTFLOW_API_ORIGIN} QUANTFLOW_MKDOCS_ORIGIN=${QUANTFLOW_MKDOCS_ORIGIN} bash ./dev/serve/observable" \
+    "QUANTFLOW_API_PORT=${QUANTFLOW_API_PORT} QUANTFLOW_CORS_ORIGINS=${QUANTFLOW_OBSERVABLE_URL} bash ./dev/serve/api"
diff --git a/dev/api-serve → dev/serve/api b/dev/api-serve → dev/serve/api
@@ -1,15 +1,15 @@
 #!/usr/bin/env bash
 set -e
 
-API_PORT=${API_PORT:-8001}
+QUANTFLOW_API_PORT=${QUANTFLOW_API_PORT:-8001}
 
-echo "API: http://127.0.0.1:${API_PORT}"
+echo "API: http://127.0.0.1:${QUANTFLOW_API_PORT}"
 
 uv run uvicorn \
     app.__main__:crate_app \
     --factory \
     --host 127.0.0.1 \
-    --port ${API_PORT} \
+    --port ${QUANTFLOW_API_PORT} \
     --reload \
     --reload-dir app \
     --reload-dir quantflow
diff --git a/dev/serve/mkdocs b/dev/serve/mkdocs
@@ -0,0 +1,12 @@
+#!/usr/bin/env bash
+set -e
+
+QUANTFLOW_MKDOCS_PORT=${QUANTFLOW_MKDOCS_PORT:-8000}
+
+echo "Documentation: http://127.0.0.1:${QUANTFLOW_MKDOCS_PORT}"
+
+uv run mkdocs serve \
+    --dev-addr 127.0.0.1:${QUANTFLOW_MKDOCS_PORT} \
+    --livereload \
+    --watch quantflow \
+    --watch docs
diff --git a/dev/serve/observable b/dev/serve/observable
@@ -0,0 +1,12 @@
+#!/usr/bin/env bash
+set -e
+
+QUANTFLOW_OBSERVABLE_PORT=${QUANTFLOW_OBSERVABLE_PORT:-8006}
+
+echo "Examples: http://127.0.0.1:${QUANTFLOW_OBSERVABLE_PORT}"
+
+npm --prefix frontend \
+    run dev \
+    -- \
+    --host 127.0.0.1 \
+    --port ${QUANTFLOW_OBSERVABLE_PORT}
diff --git a/docs/api/dists/index.md b/docs/api/dists/index.md
@@ -7,3 +7,21 @@ stochastic process at a fixed time horizon.
 Every distribution derives from
 [Distribution][quantflow.dists.Distribution], which exposes a common
 [sample][quantflow.dists.Distribution.sample] method for drawing random variates.
+
+The [1D Distributions](distributions1d.md) page documents
+[Distribution1D][quantflow.dists.Distribution1D] and its concrete laws
+[Normal][quantflow.dists.Normal], [Exponential][quantflow.dists.Exponential]
+and [DoubleExponential][quantflow.dists.DoubleExponential], used as jump size
+distributions in compound Poisson processes.
+
+Multivariate laws derive from [MvDistribution][quantflow.dists.MvDistribution],
+which exposes its [MeanAndCov][quantflow.dists.MeanAndCov] statistics;
+[MvNormal][quantflow.dists.MvNormal] is the multivariate normal implementation,
+documented on the [Distributions](distributions.md) page.
+
+[Marginal1D][quantflow.dists.Marginal1D], on the [Marginal 1D](marginal1d.md)
+page, is the abstract 1D distribution with Fourier based option pricing.
+The pricing method is selected via
+[OptionPricingMethod][quantflow.dists.OptionPricingMethod] and results are
+returned as [OptionPricingResult][quantflow.dists.OptionPricingResult] or
+[OptionPricingCosResult][quantflow.dists.OptionPricingCosResult].
diff --git a/docs/api/options/black.md b/docs/api/options/black.md
@@ -6,7 +6,7 @@ Here we define the [log strike](../../glossary.md#log-strike) `k` as
   k = \log{\frac{K}{F_\tau}}
 \end{equation}
 
-where $K$ is the strike price and $F_\tau$ is the forward price of the underlying asset at time to maturity $\tau$.
+where $K$ is the strike price and $F_\tau$ is the [forward price](../../glossary.md#forwards) of the underlying asset at time to maturity $\tau$.
 
 
 ::: quantflow.options.bs.black_price

diff --git a/docs/api/options/divfm.md b/docs/api/options/divfm.md
@@ -1,13 +1,16 @@
 # Deep IV Factor Model
 
 The DIVFM module implements the Deep Implied Volatility Factor Model from
-Gauthier, Godin & Legros (2025). The IV surface on a given day is modelled as
+[Gauthier, Godin & Legros (2025)](../../bibliography.md#gauthier).
+The IV surface on a given day is modelled as
 a linear combination of $p$ fixed latent functions learned by a neural network:
 
-$$\sigma_t(M, \tau; \theta) = \mathbf{f}(M, \tau, X; \theta)\,\boldsymbol{\beta}_t = \sum_{i=1}^{p} \beta_{t,i}\,f_i(M, \tau, X; \theta)$$
+\begin{equation}
+\sigma_t(M, \tau; \theta) = \mathbf{f}(M, \tau, X; \theta)\,\boldsymbol{\beta}_t = \sum_{i=1}^{p} \beta_{t,i}\,f_i(M, \tau, X; \theta)
+\end{equation}
 
-where $M = \frac{1}{\sqrt{\tau}}\log\!\left(\frac{K}{F_{t,\tau}}\right)$ is the
-time-scaled moneyness, $\mathbf{f}$ is a feedforward neural network with fixed
+where $M$ is the time-scaled [moneyness](../../glossary.md#moneyness),
+$\mathbf{f}$ is a feedforward neural network with fixed
 weights $\theta$ shared across all days, and $\boldsymbol{\beta}_t$ are daily
 coefficients fitted in closed form via OLS.
 

diff --git a/docs/api/options/index.md b/docs/api/options/index.md
@@ -21,11 +21,26 @@ which accepts price inputs incrementally and builds the surface through its `sur
 The lower-level [GenericVolSurfaceLoader][quantflow.options.surface.GenericVolSurfaceLoader]
 provides the same functionality with a user-defined security type.
 
+## Pricing
+
+| Class | Description |
+|---|---|
+| [black_price][quantflow.options.bs.black_price] | Undiscounted Black call/put prices in [forward space](../../glossary.md#forward-space) |
+| [BlackSensitivities][quantflow.options.bs.BlackSensitivities] | Black model sensitivities (Greeks) in forward space |
+| [implied_black_volatility][quantflow.options.bs.implied_black_volatility] | Implied Black volatility via Newton's method |
+| [SVI][quantflow.options.svi.SVI] | SVI parameterisation of a single-maturity volatility smile |
+| [SSVI][quantflow.options.ssvi.SSVI] | SSVI parameterisation of the full volatility surface |
+| [DIVFMPricer][quantflow.options.divfm.DIVFMPricer] | Deep Implied Volatility Factor Model pricer |
+| [OptionPricer][quantflow.options.pricer.OptionPricer] | Option pricing with stochastic process models |
+| [VolModelCalibration][quantflow.options.calibration.base.VolModelCalibration] | Base class for calibrating vol models (Heston and BNS variants) to a surface |
+| [PutCallParity][quantflow.options.parity.PutCallParity] | [Put-call parity](../../glossary.md#put-call-parity) relationships between calls, puts and forwards |
+| [moneyness][quantflow.options.moneyness] | Conversions between strike, log-strike and [moneyness](../../glossary.md#moneyness) |
+
 ## Price Classes
 
 | Class | Description |
 |---|---|
-| [Price][quantflow.options.surface.Price] | Base bid/ask price for any security |
+| [Price][quantflow.utils.price.Price] | Base bid/ask price for any security |
 | [SpotPrice][quantflow.options.surface.SpotPrice] | Spot bid/ask price of an underlying asset |
 | [FwdPrice][quantflow.options.surface.FwdPrice] | Forward bid/ask price at a specific maturity |
 | [OptionPrice][quantflow.options.surface.OptionPrice] | Single-sided option price with implied volatility and convergence flag |

diff --git a/docs/api/options/ssvi.md b/docs/api/options/ssvi.md
@@ -1,5 +1,3 @@
 # SSVI Volatility Surface
 
-::: quantflow.options.ssvi.VarianceCurve
-
 ::: quantflow.options.ssvi.SSVI
diff --git a/docs/api/rates/index.md b/docs/api/rates/index.md
@@ -12,6 +12,8 @@ The central concept is the [discount factor](../../glossary.md#discount-factor)
     f(\tau) = -\frac{\partial \ln D_\tau}{\partial \tau}
 \end{equation}
 
+The trivial [NoDiscountCurve][quantflow.rates.no_discount.NoDiscountCurve] implementation has zero rates, so its discount factor is always one.
+
 **[Interpolated Curves](interpolated.md)** build the term structure directly from observed zero rates at a set of anchor dates. [InterpolatedLinearCurve][quantflow.rates.interpolated.InterpolatedLinearCurve] interpolates the zero rate piecewise linearly, while [InterpolatedMonotonicCubicCurve][quantflow.rates.interpolated.InterpolatedMonotonicCubicCurve] uses a shape-preserving cubic spline.
 
 **[CIRCurve](cir.md)** is a short-rate term-structure model derived from the Cox-Ingersoll-Ross process, with positive-rate dynamics and closed-form discount factors.
@@ -21,3 +23,5 @@ The central concept is the [discount factor](../../glossary.md#discount-factor)
 **[VasicekCurve](vasicek.md)** is a Gaussian mean-reverting short-rate model with analytical formulas for discount factors and instantaneous forward rates.
 
 **[Calibration](calibration.md)** provides [YieldCurveCalibration][quantflow.rates.calibration.YieldCurveCalibration], the base class for fitting a yield curve to discount factors, and [OptionsDiscountingCalibration][quantflow.rates.calibration.OptionsDiscountingCalibration], which bootstraps asset and quote curves from put-call parity observations.
+
+Each curve model provides its own calibration wrapper: [InterpolatedYieldCurveCalibration][quantflow.rates.interpolated.InterpolatedYieldCurveCalibration], [CIRCurveCalibration][quantflow.rates.cir.CIRCurveCalibration], [NelsonSiegelCalibration][quantflow.rates.nelson_siegel.NelsonSiegelCalibration] and [VasicekCurveCalibration][quantflow.rates.vasicek.VasicekCurveCalibration].
diff --git a/docs/api/sp/index.md b/docs/api/sp/index.md
@@ -23,6 +23,7 @@ This page gives an overview of all stochastic processes available in the library
 
 | Process | Description |
 |---|---|
+| [PoissonBase][quantflow.sp.poisson.PoissonBase] | Abstract base for Poisson-style jump processes |
 | [PoissonProcess][quantflow.sp.poisson.PoissonProcess] | Homogeneous Poisson process |
 | [CompoundPoissonProcess][quantflow.sp.poisson.CompoundPoissonProcess] | Poisson process with random jump sizes |
 | [DSP][quantflow.sp.dsp.DSP] | Doubly stochastic (Cox) Poisson process |

diff --git a/docs/api/ta/index.md b/docs/api/ta/index.md
@@ -1,3 +1,7 @@
 # Timeseries Analysis
 
-- [Kalman Filter & UKF](kalman.md) — linear-Gaussian and unscented filtering
+- [EWMA](ewma.md): exponentially weighted moving average filter for time series
+- [Kalman Filter & UKF](kalman.md): linear-Gaussian and unscented filtering
+- [OHLC](ohlc.md): OHLC bar aggregation with range-based variance estimators
+- [Paths](paths.md): paths produced by stochastic process simulations
+- [Supersmoother](supersmoother.md): two-pole Butterworth filter with adaptive smoothing
diff --git a/docs/api/utils/index.md b/docs/api/utils/index.md
@@ -10,4 +10,5 @@ users who want to extend the library or understand its inner workings.
 |---|---|
 | [Bins](bins.md) | Histogram and event-density utilities |
 | [Numbers](numbers.md) | Decimal number helpers |
+| [Price](price.md) | Bid/ask price and price/volume containers |
 | [Types](types.md) | Shared type aliases (FloatArray, etc.) |
diff --git a/docs/bibliography.md b/docs/bibliography.md
@@ -110,6 +110,22 @@ Jim Gatheral. (2004) [A parsimonious arbitrage-free implied volatility parameter
 
 <div class="bib-entry" markdown>
 
+#### gauthier
+
+Geneviève Gauthier, Frédéric Godin, Sebastien Legros. (2025) [Deep Implied Volatility Factor Models for Stock Options](https://dx.doi.org/10.2139/ssrn.5283770){target="_blank" rel="noopener"}
+
+</div>
+
+<div class="bib-entry" markdown>
+
+#### hendriks_martini
+
+Sebas Hendriks, Claude Martini. (2019) [The extended SSVI volatility surface](https://dx.doi.org/10.2139/ssrn.2971502){target="_blank" rel="noopener"}, Journal of Computational Finance, 22(5):25-39
+
+</div>
+
+<div class="bib-entry" markdown>
+
 #### heston-calibration
 
 Milan Mrázek, Jan Pospíšil. (2017) [Calibration and simulation of Heston model](https://doi.org/10.1515/math-2017-0058){target="_blank" rel="noopener"}, Open Mathematics, 15(1):679-704
@@ -174,6 +190,14 @@ G. K. G. Saez. (2014) [Fourier Transform Methods for Option Pricing: An Applicat
 
 <div class="bib-entry" markdown>
 
+#### ssvi_calibration
+
+Pierre Cohort, Jacopo Corbetta, Claude Martini, Ismail Laachir. (2019) [Robust calibration and arbitrage-free interpolation of SSVI slices](https://doi.org/10.48550/arXiv.1804.04924){target="_blank" rel="noopener"}, Decisions in Economics and Finance, 42(2)
+
+</div>
+
+<div class="bib-entry" markdown>
+
 #### ukf
 
 Merwe. (2014) [The Unscented Kalman Filter for Nonlinear Estimation](https://groups.seas.harvard.edu/courses/cs281/papers/unscented.pdf){target="_blank" rel="noopener"}, internet