Heston SV Pricer (NN)

const hestonSurrogate: BotDef = aiBot<HestonReq, BSRes>(
  {
    id: "ai-heston",
    name: "Heston SV Pricer (NN)",
    category: "ai",
    glyph: "Ψ",
    tagline: "Stochastic-vol pricer — vol of vol, mean reversion, leverage.",
    formula: "trained on fypy Heston ground truth",
    endpoint: "/api/heston",
    module: "ai quants/models/heston/train.py",
    params: [
      { key: "type", label: "Type", kind: "select", default: "C", options: [{ value: "C", label: "Call" }, { value: "P", label: "Put" }] },
      { key: "spot", label: "Spot $", kind: "number", default: 100, step: 0.5 },
      { key: "strike", label: "Strike $", kind: "number", default: 100, step: 0.5 },
      { key: "days", label: "Days to expiry", kind: "number", default: 60, step: 1 },
      { key: "rate", label: "Rate %", kind: "number", default: 4.5, step: 0.1 },
      { key: "v0", label: "v₀ (initial var)", kind: "number", default: 0.04, min: 0.001, max: 0.5, step: 0.005 },
      { key: "kappa", label: "κ (mean rev speed)", kind: "number", default: 2.0, min: 0.1, max: 10, step: 0.1 },
      { key: "theta", label: "θ (long-run var)", kind: "number", default: 0.04, min: 0.001, max: 0.5, step: 0.005 },
      { key: "xi", label: "ξ (vol of vol)", kind: "number", default: 0.5, min: 0.05, max: 2, step: 0.05 },
      { key: "rho", label: "ρ (S↔v corr)", kind: "number", default: -0.7, min: -1, max: 1, step: 0.05 },
    ],
  },
  {
    request: (ctx, p) => {
      const lastPx = ctx.candles[ctx.candles.length - 1]?.c ?? 100;
      const type = (str(p, "type", "C") === "P" ? "p" : "c") as "c" | "p";
      return {
        S: num(p, "spot", lastPx),
        K: num(p, "strike", Math.round(lastPx)),
        T: Math.max(0.0005, num(p, "days", 60) / 365),
        r: num(p, "rate", 4.5) / 100,
        v0: num(p, "v0", 0.04),
        kappa: num(p, "kappa", 2.0),
        theta: num(p, "theta", 0.04),
        xi: num(p, "xi", 0.5),
        rho: num(p, "rho", -0.7),
        flag: type,
      };
    },
    build: (data, ctx, p) => {
      const lastPx = ctx.candles[ctx.candles.length - 1]?.c ?? 100;
      const type = (str(p, "type", "C") === "P" ? "P" : "C") as "C" | "P";
      const spot = num(p, "spot", lastPx);
      const strike = num(p, "strike", Math.round(lastPx));
      const days = num(p, "days", 60);
      const rate = num(p, "rate", 4.5) / 100;
      const rho = num(p, "rho", -0.7);
      const v0 = num(p, "v0", 0.04);
      const t = days / 365;
      const sigEff = Math.sqrt(v0);
      const bs = priceOption(spot, strike, t, rate, sigEff, type).price;
      const skew = data.price - bs;
      return {
        signals: [],
        metrics: [
          { key: "px", label: "Heston $", value: `$${data.price.toFixed(2)}`, tone: "info" },
          { key: "bs", label: "BS comparable", value: `$${bs.toFixed(2)}` },
          { key: "skew", label: "Skew premium", value: `${skew >= 0 ? "+" : ""}$${skew.toFixed(2)}`, tone: skew < 0 ? "bear" : "bull" },
          { key: "vol", label: "v₀ vol-equiv", value: `${(sigEff * 100).toFixed(1)}%` },
        ],
        summary: `Heston says $${data.price.toFixed(2)} — ${skew >= 0 ? "above" : "below"} BS because ρ = ${rho.toFixed(2)} pulls implied skew the way real markets price it.`,
        beginner:
          "Real markets don't have a single fixed volatility. Heston is the gold-standard model that simulates that, including the negative correlation that makes puts more expensive than calls.",
        verdict: { side: "hold", text: `Heston fair value $${data.price.toFixed(2)}.`, confidence: 1 },
      };
    },
    mock: (ctx, p) => {
      const lastPx = ctx.candles[ctx.candles.length - 1]?.c ?? 100;
      const type = (str(p, "type", "C") === "P" ? "P" : "C") as "C" | "P";
      const spot = num(p, "spot", lastPx);
      const strike = num(p, "strike", Math.round(lastPx));
      const days = num(p, "days", 60);
      const rate = num(p, "rate", 4.5) / 100;
      const v0 = num(p, "v0", 0.04);
      const xi = num(p, "xi", 0.5);
      const rho = num(p, "rho", -0.7);
      const t = days / 365;
      const sigEff = Math.sqrt(v0) * (1 + 0.3 * xi * t);
      const bs = priceOption(spot, strike, t, rate, sigEff, type).price;
      const skewBump = rho < 0 && type === "P" ? bs * 0.08 * Math.abs(rho) : rho > 0 && type === "C" ? bs * 0.05 * rho : 0;
      const heston = bs + skewBump;
      return {
        signals: [],
        metrics: [
          { key: "px", label: "Heston $", value: `$${heston.toFixed(2)}`, tone: "info" },
          { key: "bs", label: "BS comparable", value: `$${bs.toFixed(2)}` },
          { key: "skew", label: "Skew premium", value: `+$${skewBump.toFixed(2)}`, tone: rho < 0 ? "bear" : "bull" },
          { key: "vol", label: "Effective vol", value: `${(sigEff * 100).toFixed(1)}%` },
        ],
        summary: `Heston says $${heston.toFixed(2)} (TS approximation).`,
        beginner: "Real markets don't have a single fixed volatility — Heston simulates that.",
        verdict: { side: "hold", text: `Heston fair value $${heston.toFixed(2)}.`, confidence: 1 },
      };
    },
  },
);