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Quote-to-surface Jacobians (dtheta/dquote) #28

Description

@marwinsteiner

Context

A trader wants: if this quote moves 1 vol point, what happens to the surface? That is dtheta/dq_i and dsurface/dq_i -- the core of hedging, P&L explain, and scenario analysis.

Proposal

  • fit.quote_sensitivity(i) / fit.parameter_sensitivity(): implicit-function Jacobian dtheta/dq at the optimum (from the Gauss-Newton system already needed for Parameter identifiability and uncertainty reports #25), propagated to surface points via dw/dtheta
  • Vectorized: full quote-to-surface Jacobian matrix on request

Depends on #25 (same machinery).

Acceptance criteria

  • FD verification: bump a quote, recalibrate, compare against the Jacobian prediction
  • Documented example: 25-delta put bump -> surface response

Activity

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