✅  All modules loaded — MeltAlice Quant Engine v2 ready
   numpy 2.4.1 · matplotlib 3.10.8
   API schema : v2  (model block · market_store · request_id)

Market snapshot               : 2024-01-19  —  US Treasury Daily CMT
Treasury pillars              : 13
Vol surface grid              : 10×10
Fwd swap rate (1Y→10Y, ATM)   : 4.0768%  ← strike for receiver demo
Curve shape                   : INVERTED  (5yr=4.11%, 30yr=4.39%)

Calibrating HW1F piecewise-σ on co-terminal strip (T_end=10Y)… done in 0.50s

     T₀     σ (bp)    Target price     Model price       |Error|
  ─────  ─────────  ──────────────  ──────────────  ────────────
    1.0     146.13      0.02759009      0.02759009      8.72e-14
    2.0     138.01      0.03262692      0.03262692      9.69e-14
    3.0     134.05      0.03332370      0.03332370      1.32e-16
    4.0     138.52      0.03220629      0.03220629      8.33e-17
    5.0     133.45      0.02908081      0.02908081      7.24e-14
    6.0     132.36      0.02478718      0.02478718      6.94e-17
    7.0     122.58      0.01931054      0.01931054      6.94e-18
    8.0     139.19      0.01374274      0.01374274      2.18e-15
    9.0     144.70      0.00734665      0.00734665      4.94e-17

  ✅ Max repricing error: 9.69e-14  ← machine precision
  ✅ Calibration time   : 0.50s for 9 swaptions

📐 Calibration HW1F strip 20Y… done ✅

🔥 Warm-up MAX-PLUS (prime numpy + caches HW)… done

⏳  ROUND 1 — MC LSM (500k chemins) … veuillez patienter …
✅  MC LSM done  — 2.68s   bruit résiduel : ±1.46 bp
⚡  ROUND 2 — MAX-PLUS (déterministe) … done in 168 ms ⚡

   MC   10k → σ = 10.256 bp  (0.04s)
   MC   20k → σ = 7.508 bp  (0.05s)
   MC   50k → σ = 4.612 bp  (0.12s)
   MC  100k → σ = 3.301 bp  (0.26s)
   MC  200k → σ = 2.325 bp  (0.87s)
   MC  500k → σ = 1.465 bp  (2.50s)

  Bruit MAX-PLUS : 0.00 bp  (déterministe, ε-pruning ≤ 1e-05)
  Bruit MC 500k  : ±1.46 bp  (stochastique, ∝ 1/√N)
  Speedup brut   : 16.0×  (MAX-PLUS vs MC 500k)
  Speedup juste  : ~13696×  (pour bruit équivalent < 0.05bp)

Computing European swaption prices (Jamshidian)… done

     T₀    European price     % of Bermudan
  ─────  ────────────────  ────────────────
    1.0        0.02759009            62.8%
    2.0        0.03208616            73.0% ← best European
    3.0        0.03177648            72.3%
    4.0        0.02985301            67.9%
    5.0        0.02633445            59.9%

  Lower bound  (max European) : 0.03208616
  Bermudan MAX-PLUS           : 0.04393703  ✅ IN BOUNDS
  Upper bound  (sum European) : 0.14764019
  Early exercise premium      : 118.51 bp above best European

  ✅  CERTIFICATION PASSED — Bermudan strictly within no-arbitrage bounds.

Computing Theta components (frozen HW, sticky K)… done

  Reference price : 0.043937   (Bermudan 5Y10Y Receiver ATM)
  Strike K_ref    : 4.0768%

  ┌─────────────────────────┬──────────────────┬────────────────────┐
  │ Component               │   1-day P&L      │   Annualized       │
  ├─────────────────────────┼──────────────────┼────────────────────┤
  │ Theta-Pure  (time decay)│      -0.00000175 │          -0.000638 │
  │ Theta-Carry (curve roll)│      +0.00006648 │          +0.024266 │
  │ Theta-Total (net P&L)   │      +0.00005741 │          +0.020955 │
  └─────────────────────────┴──────────────────┴────────────────────┘
  Cross-effect (2nd order) : -7.32e-06  ← additivity holds to 1st order

  Interpretation (inverted curve, receiver swaption):
  ► Theta-Pure  < 0  : long optionality → time decay (expected)
  ► Theta-Carry       : carry from daily curve roll (sign depends on shape)
  ► Theta-Total       : actual P&L visible on book at end of day

🔄  Calling handle_request() — API v2
    request_id : demo-quant-001
    Product    : Bermudan 5Y10Y Receiver  |  Notional : USD 10,000,000
    Engine     : MAXPLUS  |  Market : embedded