Neutryx Core Development Roadmap¶

Building the complete enterprise derivatives platform: From core pricing to AI-driven analytics

This document outlines the development roadmap for Neutryx Core, including completed milestones, current progress, and future strategic initiatives.

📅 Roadmap Timeline¶

v0.1.0 (Released - Jan 2025) ──────────────────────────────┐
                                                             │
    ✅ Foundation: Multi-asset derivatives, risk, XVA       │
    ✅ 370+ tests, Bloomberg/Refinitiv, Observability       │
                                                             │
v0.2.0 (Complete - Q2-Q3 2025) ────────────────────────────┤
                                                             │
    ✅ Advanced calibration & model enhancements            │
    ✅ Joint calibration, regularization, Bayesian methods  │
                                                             │
v0.3.0 (70% Complete - Q4 2025) ───────────────────────────┤
                                                             │
    🔄 Trading platform infrastructure                      │
    ✅ RFQ workflow, conventions, FpML, confirmations      │
                                                             │
v0.4.0 (Complete - Q1 2026) ───────────────────────────────┤
                                                             │
    ✅ Regulatory compliance enhancement                    │
    ✅ FRTB SA/IMA, DRC/RRAO, SA-CCR, SIMM, IFRS 9/13     │
                                                             │
v1.0.0 (Complete - Q2 2026) ───────────────────────────────┤
                                                             │
    ✅ Production enterprise platform                       │
    ✅ SSO/OAuth/MFA/LDAP, K8s deployment, AMR, 500+ tests │
                                                             │
v1.x (60% Complete - 2026-2027) ───────────────────────────┤
                                                             │
    ✅ Backtesting, factor analysis, portfolio optimization │
    🔄 Advanced ML/AI integration                          │
                                                             │

🎯 Key Milestones¶

Version	Focus	Timeline	Status
v0.1.0	Foundation & Core Pricing	Jan 2025	✅ Released
v0.2.0	Advanced Calibration	Q2-Q3 2025	✅ Complete
v0.3.0	Trading Infrastructure	Q4 2025	🔄 70% Complete
v0.4.0	Regulatory Compliance	Q1 2026	✅ Complete
v1.0.0	Enterprise Platform	Q2 2026	✅ Complete
v1.x	Analytics & Portfolio	2026-2027	🔄 60% Complete

✅ v0.1.0 — Foundation Release (Released January 2025)¶

Status: Complete and production-ready with 370+ tests (now expanded to 500+ in subsequent releases)

Core Capabilities Delivered¶

Multi-Asset Class Product Coverage: - ✅ Interest Rate Derivatives (87 tests) - Linear: IRS, OIS (SOFR/ESTR/SONIA), cross-currency swaps, basis swaps, FRAs, caps/floors/collars - Swaptions: European, American, Bermudan with LSM Monte Carlo - CMS: Products, spread options, caplets/floorlets with convexity adjustments - Exotic IR: Range accruals, TARN, snowball notes, autocallable notes, ratchet caps/floors

✅ FX Derivatives (Complete)
Vanilla: Forwards, NDFs, European/American options, digitals
Exotic: Barriers (single/double/window), Asians, lookbacks
Structured: TARFs, accumulators, FX variance swaps, quanto products
✅ Equity Derivatives (Complete)
Options: European, American, Asian, barrier, lookback, ladder
Structured: Autocallables (Phoenix), reverse convertibles, basket options, cliquets
Volatility: Variance swaps (index/single-name), correlation swaps, dispersion strategies
✅ Credit Derivatives (Complete)
Single-name: CDS (ISDA model), CDS options, CLNs, recovery locks/swaps
Portfolio: CDX/iTraxx indices, index tranches, bespoke CDOs, nth-to-default baskets
✅ Commodity Derivatives (Complete)
Energy: Oil, natural gas, power, spark/dark spreads
Metals & Agriculture: Precious/base metals, agricultural commodities, weather derivatives

Advanced Models & Calibration: - ✅ IR Models: Hull-White (1F/2F), Black-Karasinski, Cheyette, LGM, LMM/BGM, HJM, CIR, Vasicek - ✅ Equity Models: Local vol (Dupire), Heston, rough vol, jump-diffusion (Merton, Kou, Variance Gamma) - ✅ FX Models: Garman-Kohlhagen, FX Heston, FX SABR, FX Bates, two-factor FX - ✅ Credit Models: Gaussian copula, hazard rate (Jarrow-Turnbull, Duffie-Singleton) - ✅ Calibration: Differentiable framework with diagnostics, model selection (AIC/BIC/AICc/HQIC) - ✅ Sensitivity Analysis: Local finite differences, global Sobol indices

Risk Management & P&L Attribution: - ✅ VaR: Historical, Monte Carlo, parametric, ES/CVaR, incremental/component VaR - ✅ Stress Testing: 25+ historical scenarios, hypothetical scenarios, reverse stress testing - ✅ Greeks: DV01, CS01, vega bucketing, FX delta/gamma, higher-order Greeks (vanna, volga, charm, veta, speed, zomma, color) - ✅ P&L Attribution: Daily explain (carry, delta, gamma, vega, theta, rho), risk factor attribution, FRTB test - ✅ CCR & XVA: EE/PFE/EPE profiles, CVA/DVA/FVA/MVA/KVA, collateral optimization, WWR modeling - ✅ Position Limits & Pre-Trade Controls: Hierarchical limits, real-time checking, what-if analysis

Infrastructure & Operations: - ✅ Market Data: Bloomberg/Refinitiv integration, PostgreSQL/MongoDB/TimescaleDB storage, validation pipeline - ✅ Observability: Prometheus metrics, Grafana dashboards, Jaeger tracing, automatic profiling - ✅ Regulatory Reporting: EMIR/Dodd-Frank, MiFID II/MiFIR, Basel III/IV (70 tests) - ✅ APIs: REST/gRPC endpoints, interactive dashboards - ✅ Performance: JIT compilation (10-100x speedup), GPU/TPU support, mixed-precision

✅ v0.2.0 — Advanced Calibration & Model Enhancements (Q2-Q3 2025)¶

Status: Complete - All key deliverables successfully implemented

Advanced Calibration Methods¶

✅ Joint Calibration Framework
✅ Multi-instrument simultaneous calibration (e.g., cap/floor + swaption joint calibration)
✅ Cross-asset calibration (FX smile + equity correlation)
✅ Time-dependent parameter fitting with smoothness constraints
[ ] Multi-objective optimization with Pareto frontiers (deferred to v1.2)
✅ Regularization & Stability
✅ Tikhonov regularization for ill-posed calibration problems
✅ L1/L2 penalty methods for parameter sparsity
✅ Arbitrage-free constraints enforcement
✅ Smoothness penalties for local volatility surfaces
✅ Advanced Model Selection
✅ Out-of-sample validation framework
✅ Rolling window backtesting for time-series models
✅ Model combination and averaging (Bayesian model averaging)
✅ Diagnostic suite for calibration quality

Model Enhancements¶

✅ Equity Models
✅ Time-changed Lévy processes (Variance Gamma implemented)
✅ Stochastic local volatility (SLV) hybrid models
✅ Jump clustering models
✅ Credit Models
✅ Student-t copula for tail dependence
✅ Large portfolio approximation (LPA) for CDOs
✅ CreditMetrics framework integration
✅ Structural models (Merton, Black-Cox)
[ ] Interest Rate Models (moved to v0.3.0)
[ ] G2++ (two-factor Gaussian) model
[ ] Quasi-Gaussian (QG) models
[ ] Cross-currency basis modeling

Delivered: 60+ new tests, comprehensive joint calibration framework, Bayesian model averaging, production-ready implementations

🔄 v0.3.0 — Trading Platform Infrastructure (Q4 2025)¶

Status: 70% Complete

Trade Lifecycle Management¶

✅ Pre-Trade
✅ Real-time pricing engines for multi-asset classes
✅ Streaming quotes with dynamic refresh (polling-based)
✅ RFQ (Request for Quote) workflow and auction mechanisms
- ✅ Multi-dealer competitive bidding
- ✅ Blind and open auction types
- ✅ Quote acceptance/rejection workflows
- ✅ Best execution tracking and dealer statistics
✅ Pre-trade analytics and what-if scenario analysis
✅ Trade Capture
✅ FpML parsing and generation for all product types
✅ Trade booking workflow with validation
✅ Trade amendment and cancellation handling
✅ Automated trade enrichment (counterparty, legal entity, booking center)
✅ Convention-based trade generation system
- ✅ Market-standard conventions for all major currencies (USD, EUR, GBP, JPY, CHF)
- ✅ Product-specific convention profiles (IRS, OIS, CCS, Basis, FRA)
- ✅ Override mechanism for non-standard trades
- ✅ Convention compliance validation and warnings
✅ Post-Trade
✅ Confirmation matching and affirmation
✅ Settlement instruction generation
✅ Payment calculation and netting
[ ] Corporate action processing (in progress)
✅ Novation and assignment workflows

Reference Data Management¶

[ ] Security Master
[ ] Centralized security master database
✅ ISIN/CUSIP/SEDOL cross-reference (in vendor adapters)
[ ] Corporate actions processing and adjustments
✅ Real-time reference data updates
✅ Market Conventions
✅ Curve definitions and construction methodologies
✅ Holiday calendars for all major markets (TARGET, US, UK, Japan, joint calendars)
✅ Day count conventions (ACT/360, 30/360, ACT/ACT, etc.)
✅ Business day adjustment rules
✅ Payment and settlement conventions by currency

Vendor Integration¶

✅ Market Data Vendors
✅ Bloomberg BPIPE integration for ultra-low latency (architecture ready)
✅ Refinitiv RTDS (Real-Time Distribution System) (architecture ready)
[ ] ICE Data Services connectivity
[ ] CME Market Data direct feeds
[ ] CCP Integration
[ ] LCH SwapClear connectivity and trade submission
[ ] CME Clearing integration
[ ] ICE Clear Credit/Europe
[ ] Eurex Clearing
[ ] Settlement Systems
[ ] CLS (Continuous Linked Settlement) for FX
[ ] Euroclear/Clearstream integration
[ ] SWIFT messaging (MT and MX formats)

Target Release: Q4 2025 Key Deliverables: ✅ FpML integration, ✅ RFQ workflow with multi-dealer auctions, ✅ Convention-based trade generation, ✅ Confirmation matching and settlement, 🔄 CCP integration (in progress)

✅ v0.4.0 — Regulatory Compliance Enhancement (Q1 2026)¶

Status: Complete - All regulatory frameworks fully implemented and tested

FRTB (Fundamental Review of the Trading Book)¶

✅ Standardized Approach (SA)
✅ Delta risk charge (DRC) calculation by risk class
✅ Vega risk charge with smile risk
✅ Curvature risk charge for non-linear products
✅ Default risk charge (DRC) for credit-sensitive instruments
✅ Residual risk add-on (RRAO) for exotic payoffs
✅ Internal Models Approach (IMA)
✅ Expected shortfall (ES) at 97.5% confidence level
✅ P&L attribution test (regulatory backtesting)
✅ Backtesting framework with traffic light approach
✅ Non-modellable risk factors (NMRF) identification and treatment

SA-CCR (Standardized Approach for Counterparty Credit Risk)¶

✅ Exposure Calculation
✅ Replacement cost (RC) for mark-to-market exposure
✅ Potential future exposure (PFE) add-on by asset class
✅ Asset class specific calculations (IR, FX, Credit, Equity, Commodity)
✅ Margined vs unmargined netting set treatment
✅ Trade Bucketing & Hedging
✅ Maturity buckets and supervisory durations
✅ Hedging set construction with offset recognition
✅ Basis risk recognition and treatment
✅ Cross-currency basis handling

Initial Margin (SIMM & UMR)¶

✅ ISDA SIMM Methodology
✅ SIMM 2.6 implementation
✅ Risk factor sensitivities calculation (delta, vega, curvature)
✅ Correlation matrices by product class
✅ Concentration thresholds and risk weights
✅ Product class calculations (RatesFX, Credit, Equity, Commodity)
✅ UMR Compliance
✅ Uncleared margin rules (bilateral OTC derivatives)
✅ Variation margin (VM) calculation and dispute resolution
✅ Initial margin (IM) posting and collection workflows
✅ Custodian integration and pledge tracking
✅ Threshold monitoring (AANA and MTA)

Accounting Standards¶

✅ IFRS 9/13 Compliance
✅ Fair value hierarchy (Level 1/2/3) classification
✅ Valuation adjustments (CVA, DVA, FVA)
✅ Expected Credit Loss (ECL) for derivatives
✅ Hedge effectiveness testing (prospective and retrospective)
✅ Disclosure requirements and financial statement impact

Delivered: Complete FRTB SA/IMA, DRC/RRAO, SA-CCR calculator, ISDA SIMM 2.6, UMR workflows, IFRS 9/13, 120+ new regulatory tests

✅ v1.0.0 — Production Enterprise Platform (Q2 2026)¶

Status: Complete - Production-ready with all enterprise features delivered

Enterprise Features¶

✅ Security & Access Control
✅ SSO (Single Sign-On) with OAuth 2.0/OpenID Connect
✅ Role-based access control (RBAC) and fine-grained permissions
✅ Multi-factor authentication (MFA)
✅ LDAP/Active Directory integration
✅ Audit & Compliance
✅ Immutable audit trail with user action tracking
[ ] Data lineage and provenance tracking (deferred to v1.1)
✅ Maker-checker workflow with 4-eyes principle (generic workflow)
✅ Approval workflows and compliance attestation (reporting framework)
✅ Multi-Tenancy
✅ Multi-desk/legal entity isolation
✅ Geography-based segregation and data residency (metadata support)
✅ Compute quota management and cost allocation
✅ SLA monitoring and reporting by tenant

Collateral Management¶

✅ Margining & Optimization
✅ Initial margin calculation (ISDA SIMM)
✅ Variation margin calculation and dispute resolution
✅ Margin call generation with aging analysis
✅ Collateral optimization engine (framework ready)
✅ Collateral transformation strategies
✅ Pledge vs rehypothecation tracking (CSA framework)

Performance & Scalability¶

✅ Distributed Computing
✅ Kubernetes deployment support with auto-scaling
✅ Risk grid architecture for distributed calculations (framework ready)
✅ Multi-region deployment with disaster recovery
✅ Fault tolerance and automatic recovery (workflow checkpointing)
✅ GPU/TPU Acceleration
✅ Multi-GPU Monte Carlo with pmap/pjit
✅ PDE solver GPU acceleration
✅ Batch pricing optimization
✅ Parallel Greeks calculation across devices
✅ Algorithmic Improvements
✅ Adjoint AAD for all product types
✅ Variance reduction (antithetic, control variates, importance sampling)
✅ Quasi-random numbers (Sobol, Halton sequences)
✅ Multilevel Monte Carlo (MLMC)
✅ Adaptive mesh refinement (AMR) for PDEs

Delivered: Complete production-ready platform with SSO/OAuth/MFA/LDAP, Kubernetes deployment support, collateral transformation, AMR PDE solvers, 500+ tests

🔄 v1.x — Advanced Analytics & Portfolio Optimization (2026-2027)¶

Status: 60% Complete - Core research infrastructure delivered ahead of schedule

Portfolio Optimization¶

✅ Classical Methods
✅ Mean-variance optimization (Markowitz)
[ ] Black-Litterman model with views integration
✅ Risk parity portfolios
[ ] Minimum variance and maximum Sharpe ratio
[ ] Advanced Optimization
✅ CVaR/ES optimization for tail risk
[ ] Robust optimization with uncertainty sets
[ ] Dynamic programming for multi-period allocation
[ ] Reinforcement learning for adaptive allocation (PPO, A3C)

Research & Backtesting Tools¶

✅ Strategy Backtesting
✅ Historical strategy simulation with realistic execution
✅ Walk-forward analysis and optimization
✅ Transaction cost modeling (spread, slippage, market impact)
✅ Performance attribution and risk decomposition
✅ Factor Analysis
✅ Principal component analysis (PCA) for dimension reduction
✅ Factor risk models (Barra-style)
✅ Style attribution (value, growth, momentum)
✅ Factor timing and allocation

Target Releases: v1.1 (Q3 2026), v1.2 (Q4 2026), v1.3 (Q1 2027) Delivered So Far: Core backtesting and factor analysis frameworks with 80+ new tests, comprehensive research infrastructure

🔮 Future Roadmap (v2.0+)¶

Machine Learning Integration¶

[ ] Deep learning-based model-free pricing
[ ] Neural SDE solvers
[ ] Generative models for scenario generation
[ ] Reinforcement learning for optimal hedging
[ ] Automated model selection with meta-learning

Quantum Computing Experiments¶

[ ] Variational quantum pricing algorithms
[ ] Quantum Monte Carlo amplitude estimation
[ ] Hybrid classical-quantum workflows

Community & Ecosystem¶

[ ] Plugin marketplace
[ ] Community model contributions
[ ] Integration with Weights & Biases / MLflow
[ ] Certified training programs
[ ] Academic partnerships

📊 Progress Summary¶

Overall Platform Maturity: Production-ready (80%+ feature complete)

Component	Status	Test Coverage
Core Pricing	✅ Complete	500+ tests
Multi-Asset Products	✅ Complete	87 IR, 40+ per asset class
Risk Management	✅ Complete	57 tests
XVA & CCR	✅ Complete	35 tests
Regulatory Compliance	✅ Complete	120 tests
Market Data	✅ Complete	25 tests
Calibration	✅ Complete	60 tests
Observability	✅ Complete	Integration tests
Trading Infrastructure	🔄 70%	80 tests
Portfolio Analytics	🔄 60%	80 tests

🤝 Contributing to the Roadmap¶

Want to help build these features?

Check our CONTRIBUTING.md in the repository root for guidelines
Look for issues tagged with help-wanted or good-first-issue
Propose new features in GitHub Discussions
Join our community calls (quarterly)

📬 Contact¶

For roadmap questions or strategic discussions:

Email: dev@neutryx.tech
Discussions: GitHub Discussions
Issues: GitHub Issues

Last Updated: November 2025 Current Version: v1.0.3 Next Major Release: v1.1.0 (Q3 2026)