代码题库

American Put Pricing via Longstaff-Schwartz Least-Squares Monte Carlo

Antithetic Variates Variance Reduction

Arithmetic-average Asian Call MC Pricing with Antithetic Variates

As-of Merge — Attach Most-Recent Mid-Price to Each Trade

As-of Merge — Trades against Quotes

Up-and-out Barrier Call MC Pricing with Daily Monitoring

Analytical Binomial Credit-Loss VaR for a Uniform-PD Homogeneous Portfolio

Blocked Time-Respecting CV: Contiguous Folds with Train-Before-Test

Brownian Bridge Running Minimum Survival Probability

Sample from a Clayton Copula

Locally-capped Cliquet Call MC Pricing with Antithetic Variates

Compound-Poisson Aggregate-Loss Variance for an Operational-Risk LDA Period

European Call MC with Geometric-Asian Control Variate

Empirical Copula Tail-Dependence Coefficients

Cornish-Fisher VaR

Cornish-Fisher VaR Adjusted for Skewness and Excess Kurtosis

Covariance to Correlation Matrix

Aggregate Multi-Desk VaR from Standalone VaRs and a Loss-Correlation Matrix

Correlated Factor-Shock Monte-Carlo for Stress P&L

Digital Cash-or-Nothing Call Monte Carlo with Antithetic Variates

Empirical Copula via Per-Column Uniform Rank Transform

Empirical Mean Excess Function for POT Threshold Selection

Empirical Upper-Tail-Dependence Coefficient from Bivariate Samples

Equal-Risk-Contribution Portfolio Weights

Estimate Barrier Hit Probability

European Call Monte Carlo with Antithetic Variates

European Call Price via Monte Carlo

Fit a Gumbel (GEV, ξ=0) to Block Maxima by Method of Moments

Hill Estimator for the Tail Index

Peaks-Over-Threshold GPD Fit by Method of Moments

Exponentially-Weighted Sharpe Ratio

EWMA Volatility Update

Excess Returns Over a Benchmark

Composite Broker Execution-Quality Score with Direction-Aware Z-Score Blend

Rolling Historical Expected Shortfall (CVaR)

Expected Value at Root of Scenario Tree

Factor-Shock Scenario P&L on a Linear Factor Model

Per-Venue Fill Rate with Wilson Confidence Intervals

OU First-Passage Time by Monte Carlo

Fixed-strike Lookback Call MC Pricing with Discrete Monitoring

Cross-Hedge Residual Variance and Explanatory Power

Sample from a Gaussian Copula

Greenwald-Khanna Streaming Quantile Summary

GPD Tail-VaR Extrapolation under the POT Framework

Groupby-Mean by Key with a Min-Count Gate

HDR Histogram Recorded-Value Bucket Index and Quantile Estimate

Hill Estimator for the Tail Index of a Heavy-Tailed Loss Distribution

Historical Stress Loss Replay

Historical VaR for a Long-Only Portfolio

Rolling Historical VaR Track

Idiosyncratic Volatility Factor — Rolling Residual Std After Market Beta

Importance Sampling for Deep OTM Monte Carlo

Component VaR per Asset (Euler Decomposition)

Annualized Information Ratio

Merton Jump-Diffusion European Call via Monte Carlo

Kendall's Tau-a Rank Correlation on a Bivariate Sample

Lag/Lead Shift by Key — Within-Group Time-Series Offset

Look-Ahead Bias Detector via Lagged-Correlation Comparison

Max Drawdown Decomposition

Semi-Analytic Call Price on the Max of n iid Lognormals

Mean-Reversion Factor — Residualized Last-K Return

Long-Only Minimum-Variance Portfolio Weights

Monte-Carlo VaR for a Multi-Asset Portfolio

Multi-Level Monte Carlo for a European Call

Rank Features by Histogram-Estimated Mutual Information with the Target

Online PCA via Oja's Rule (Streaming PC1)

Online Z-Score Anomaly Flag

Parametric Gaussian Expected Shortfall from Caller-Supplied Moments

Rolling Parametric VaR (Normal)

Pareto Tail VaR via Hill-Estimator Extrapolation

Closed-Form 2x2 PCA Eigendecomposition

PCA Explained-Variance Ratio for Top-k Components

Optimal Ledoit-Wolf Shrinkage (Frobenius)

Percent-Change from a Configurable Base

Quantile Estimate from Pre-Bucketed Histogram Counts

Long-to-Wide Pivot — Reshape a (Date, Ticker, Value) Panel into a Matrix

Multi-Asset Portfolio Parametric VaR (w^T Σ w)

Purged k-Fold CV with Embargo

Purged k-Fold Cross-Validation for Time-Series ML

Best-of-N Rainbow Call MC Pricing with Cholesky and Antithetic Variates

Random Walk Hitting Probability

Range-Accrual Note Pricer via Daily-Monitoring MC with Antithetic Variates

Spearman Rank Correlation with Average-Rank Tie Breaking

Spearman Rho and Kendall Tau-b: Dual Rank-Correlation Diagnostic for the Copula Pipeline

RankGauss Transform on a Cross-Section of Alpha Factors

Realized-Volatility Jump Test (Barndorff-Nielsen and Shephard)

Resample Tick Prints into Fixed-Interval OHLC Bars

Reverse Stress Test — Solve for Shock Magnitude Hitting a Target Loss

Rolling Beta — Strategy vs. Benchmark

Rolling Beta vs Benchmark

Rolling Engle-Granger Cointegration Test for Pairs Trading

Rolling Pearson Correlation Between Two Series

Rolling Max-Min Spread

Rolling-Window Variance Ratio Test (Lo-MacKinlay)

Rolling Z-Score Anomaly Flags

Semi-Deviation of a Return Series Around the Sample Mean

Toy Ledoit-Wolf Shrinkage Covariance

Size Factor as Negative Log Market Cap (Cross-Sectional Z-Score)

Annualized Sortino Ratio

Spectral Risk Measure (Acerbi 2002)

European Call MC with Stratified Sampling on Terminal Z

Stress Coverage Ratios Against Available Capital

Stress-Loss Aggregation by Bucket

T-Digest Streaming Percentile Estimator (k_1 Scale Function)

Vasicek MLE Fit from a Short-Rate Series

VWAP Deviation by Broker

Walk-Forward Train/Test Splits with Embargo

Walk-forward CV: Expanding and Rolling-window Folds

Walk-Forward Validation for Time-Series Backtests

Welford's Online Variance

Cross-Sectional Winsorization of Alpha-Factor Values

Cross-Sectional Z-Score with Optional Winsorization