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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
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/dthetaDepends on #25 (same machinery).
Acceptance criteria