hydrate
This alpha library is intended to do three things:
1 - Generate n Monte Carlo simulation trials
2 - Return a quantile value for any give probability (0-1)
3 - Return a probability for any given quantile value.
Each of the following functions takes as input a SIPMath Library or Metalog* aCoefficients and boundaries. The SIPmath 3.0 standard is expected as the input format. See ProbabilityManagement.org for specifications.
The following functions are supported:
import { hydrateLibrary, metalog, simulateSIP, listSIPs, p ,q } from "@solace-fi/hydrate"
// Generate n Monte Carlo Trials for each distribution found in the input SIPMath 'library'
hydrateLibrary(example_tokens, 10) // first 10 trials for all SIPs in the library
// Return an array of the names for the SIPs found in a SIPMath Library
listSIPs(example_tokens) // eg ['AAVE', 'SOLACE', 'ETH']
// Generate n Monte Carlo Trials for a distribution found in the input SIPMath 'library'
simulateSIP(example_tokens, 'AAVE', 10)
// Returns the value at the probability of y (0 - 1)
const y = 0.9 // the probability that a value will be occur
const a = example_bounded.sips[3].arguments.aCoefficients // array of Metalog aCoefficients
const bu = example_bounded.sips[3].arguments.upperBound // may be empty string
const bl = example_bounded.sips[3].arguments.lowerBound // may be empty string
metalog(y, a, bl, bu)
// Returns the qualtile values at the probabiliies of p[] (0 - 1)
const p = [0.9, 0.5, 0.1] // variable represents the probability values to find quantiles for
const a = example_tokens.sips[0].arguments.aCoefficients // see src/json folder for example_xyz
q(p, a, undefined, undefined)
// Returns the probabilities at the quantile values []
const q = [1.01, 1.0, 0.98] // variable represents the quantile values to find probabilities for
const a = example_tokens.sips[0].arguments.aCoefficients // see src/json folder for example_xyz
p(q, a, 3) Hydrate works with the output from Solace /volatility endpoint https://risk-data-docs.solace.fi/ and any SIPMath 3.0 compliant libraries. Example libraries can be found in the Hydrate repository
TODO Update swagger with /volatility and /price-history
*Metalog package can be found at https://pypi.org/project/metalog/