Quantitative Monetary Economics

CARONTE.

Design, formalise, implement, and validate a delta-neutral cross-broker carry system that measures financing, exposure, margin survival, execution, costs, and contractual risk — before live data or live capital.

Flagship — CARONTE

Swap Arbitrage — Cross-Broker Carry Engineering

A delta-neutral cross-broker carry system: observable financing dispersion, a vector hedge, margin survival, accounting integrity, execution reconciliation, stress validation, and contractual eligibility. Formation on mock and synthetic data.

What CARONTE provides

Ten technical phases — from GrossCarry to mock-to-real eligibility.

Phase 1 — CARRY Swap, rollover, and observable GrossCarry.

Phase 2 — DATA Contracts, numerario, and mock formation.

Phase 3 — SURVIVAL Ledger, equity, and first-passage stop-out T_SO.

Phase 4 — HEDGE Vector exposure E(c,t) and contract sizes — not lot-equal coverage.

Phase 5 — ATTRIBUTION NetCarry, BasisPnL, and BED — no component counted twice.

Phase 6 — SIZING Robust sizing and capital allocation — q_max and K(b).

Phase 7 — EXECUTION PARTIAL / UNKNOWN states — timeout ≠ not executed.

Phase 8 — EMERGENCY δ_soft, δ_hard, and Slack — emergency control.

Phase 9 — STRESS S01–S18 scenarios and Gate A — the engine works on mock.

Phase 10 — REAL B0 contractual → B1–B5 — mock-to-real eligibility.