arbitrage-free-derivatives-pricing

Name: arbitrage-free-derivatives-pricing
Availability: InStock
Author: ghostof0days

Implement arbitrage-free derivatives pricing workflows with carry conventions and valuation diagnostics.

Updated Feb 10, 2026

Search Tags:#financial modeling #risk management #valuation #derivatives pricing #no-arbitrage #discount curves

Ready to run

npx skills add https://github.com/GhostOf0days/codex-quant-skills --skill arbitrage-free-derivatives-pricing

💬 Prompt for ChatGPT / Claude Chat▼

Please help me install this Agent Skill.
Skill: arbitrage-free-derivatives-pricing
Source: https://github.com/GhostOf0days/codex-quant-skills/tree/main/arbitrage-free-derivatives-pricing
Command: npx skills add https://github.com/GhostOf0days/codex-quant-skills --skill arbitrage-free-derivatives-pricing

SYSTEM DOCUMENTATION & REQUIREMENTS

💡 This Skill includes scripts (resource) and references (resource) components.

What problem does it solve?

This Skill addresses the critical need for accurate and reliable pricing of financial derivatives by ensuring that all pricing models adhere to no-arbitrage principles, thereby preventing financial losses due to pricing inconsistencies.

Core Features & Use Cases

Consistent Discounting and Forward Construction: Implements standardized methods for calculating discount curves and forward prices across various asset classes.
No-Arbitrage Valuation Checks: Performs rigorous checks to ensure that derivative valuations do not allow for risk-free profit opportunities.
Production Valuation Models: Ideal for tasks involving the development and maintenance of production-grade valuation models and pricing control frameworks.
Use Case: When deploying a new pricing model for exotic options, use this Skill to validate its pricing against market data and ensure it passes all no-arbitrage diagnostics before going live.

Quick Start

Run the arbitrage-free derivatives pricing diagnostics script with the input CSV file and output the diagnostics to a JSON artifact.

Frequently Asked Questions about arbitrage-free-derivatives-pricing

High-intent search queries and answers about installing and using this skill.

FAQPage Schema

How do I ensure no-arbitrage pricing for derivatives?▼

To ensure no-arbitrage pricing for derivatives, you must explicitly define product payoff, discount curve, and forward construction rules, then implement valuation equations with numerical solvers and no-arbitrage checks to detect pricing residuals and curve inconsistencies.

What is arbitrage-free derivatives valuation?▼

Arbitrage-free derivatives valuation is a pricing workflow that uses explicit carry conventions and control-ready valuation diagnostics to prevent risk-free profit opportunities across asset classes. It outputs pricing residuals, curve consistency diagnostics, and model-versus-market control exceptions.

How do I run derivatives pricing diagnostics from a CSV file?▼

You can run derivatives pricing diagnostics by executing the arbitrage-free pricing diagnostics script with an input CSV file containing your market data. The script processes the valuation equations and outputs the diagnostics to a JSON artifact.

Can I use this for production valuation models and pricing control frameworks?▼

Yes, you can use this workflow for production valuation models and pricing control frameworks across asset classes. It requires explicit definition of product payoff, discount curve, and forward construction rules to generate control-ready valuation diagnostics.

Why do my derivative valuations show pricing residuals and curve inconsistencies?▼

Derivative valuations show pricing residuals and curve inconsistencies when models fail no-arbitrage checks, meaning discount curves and forward construction rules are misaligned with market data. Running control-ready valuation diagnostics identifies these model-versus-market exceptions.