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Neutryx Core Documentation

Welcome to the comprehensive documentation for Neutryx Core — the JAX-powered quantitative finance platform for derivatives pricing, risk management, and regulatory compliance.

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🚀 Getting Started

Start your journey with Neutryx Core:

📚 Core Documentation

Fundamentals

Operational Guides

Infrastructure

💼 Use Case Guides

Pricing & Valuation

Risk Management

Model Calibration

Models & Pricing

🔬 Advanced Topics

Theory & Mathematics

Integration & Extensions

👨‍💻 For Developers

📊 Project Information

Documentation

Project Management

Valuations & XVA Framework

Comprehensive derivatives valuation, XVA calculations, risk management, and regulatory compliance:

  • XVA Components: CVA, DVA, FVA, MVA, KVA
  • Risk Metrics: VaR, Expected Shortfall (CVaR), Greeks
  • Exposure Analytics: EE, PFE, EPE profiles
  • Initial Margin: ISDA SIMM methodology
  • Stress Testing: Scenario analysis and historical scenarios
  • Wrong-Way Risk: Advanced correlation modeling
  • P&L Attribution: Daily explain and factor attribution

Quick Links: - Valuations Quick Start - 5-minute setup - Comprehensive Guide - Full documentation - API Reference - Complete API

Risk Management Framework

Enterprise risk analytics with multiple VaR methodologies and position controls:

  • VaR Methodologies: Historical, Monte Carlo, parametric VaR, ES/CVaR
  • Component Risk: Incremental VaR, component VaR, marginal VaR
  • Position Limits: Notional, VaR, concentration, issuer exposure limits
  • Pre-Trade Controls: Real-time limit checking, what-if analysis, approval workflows
  • Stress Testing: Historical scenarios, hypothetical scenarios, reverse stress testing

Quick Links: - Risk Overview - Framework introduction - Risk Controls Atlas - Comprehensive guide - Risk Tutorials - Hands-on learning

Market Data Infrastructure

Production-grade real-time market data pipeline:

  • Vendor Integration: Bloomberg Terminal/API, Refinitiv RDP/Eikon
  • Storage Solutions: PostgreSQL, MongoDB, TimescaleDB with 90% compression
  • Data Quality: Price validation, spread checks, volume spike detection, quality scoring
  • Feed Management: Real-time orchestration, automatic failover, buffering

Quick Links: - Market Data Guide - Complete documentation

Observability & Monitoring

Enterprise observability stack for production deployments:

  • Metrics: Prometheus with custom business metrics
  • Dashboards: Pre-built Grafana dashboards (overview, performance, risk)
  • Tracing: OpenTelemetry + Jaeger distributed tracing
  • Profiling: Automatic performance profiling with cProfile
  • Alerting: Intelligent alerts with configurable thresholds

Quick Links: - Monitoring Guide - Setup and configuration - Observability Guide - Best practices

Learning Paths

For Quantitative Analysts

  1. Getting Started - Setup and basics
  2. Tutorials - Pricing and risk examples
  3. Valuations Guide - XVA framework
  4. Model Reference - Model documentation

For Risk Managers

  1. Getting Started - Installation
  2. Risk Overview - Risk framework
  3. Risk Controls - Limits and controls
  4. Risk Tutorials - Practical examples

For Developers

  1. Developer Guide - Setup and standards
  2. Architecture Guide - System design
  3. Performance Tuning - Optimization
  4. Troubleshooting - Common issues

For System Administrators

  1. Deployment Guide - Production setup
  2. Configuration - System configuration
  3. Monitoring - Observability stack
  4. Troubleshooting - Operations guide

Quick Start Example

Get pricing in 60 seconds:

import jax.numpy as jnp
from neutryx.models.bs import price, greeks

# Price a European call option
call_price = price(
    spot=100.0,
    strike=100.0,
    maturity=1.0,
    risk_free=0.05,
    dividend=0.02,
    volatility=0.20,
    option_type="call"
)

# Calculate Greeks
delta, gamma, vega, theta, rho = greeks(
    100.0, 100.0, 1.0, 0.05, 0.02, 0.20, "call"
)

print(f"Call Price: ${call_price:.4f}")
print(f"Delta: {delta:.4f}")

Next Steps: Getting Started Guide

Support & Community

License

Neutryx Core is released under the MIT License. See LICENSE for details.

Built for Investment Banks, Hedge Funds, and Quantitative Researchers

Accelerating quantitative finance with differentiable computing and enterprise-grade infrastructure