Release v0.4.0 portfolio risk and exact stress

.github/workflows/docs-pages.yml

@@ -36,6 +36,8 @@ jobs:
         run: |
           mkdir -p docs/html/artifacts
           cp -R docs/artifacts/. docs/html/artifacts/
+          mkdir -p docs/html/docs/images
+          cp -R docs/images/. docs/html/docs/images/
       - name: Create friendly doc aliases
         run: |
           declare -A alias_sources=(

CHANGELOG.md

@@ -1,5 +1,14 @@
 # Changelog
 
+## v0.4.0
+
+- feat(portfolio,risk): add a public C++ vectorized vanilla portfolio engine and installed Python `bs_portfolio_risk` API with quantity-weighted price, value, delta, gamma, vega, theta, and rho surfaces.
+- feat(stress): add `bs_portfolio_scenarios` for deterministic multi-factor exact repricing with spot, volatility, rate, dividend, and elapsed-time shocks; aggregate-only mode avoids the potentially large scenario-by-position allocation.
+- perf(portfolio): fuse shared Black-Scholes analytic terms across price and six Greeks; the final installed-wheel Apple M3 Pro/Python 3.12 benchmark measures 20.18x risk-batch and 27.92x aggregate scenario speedups versus existing scalar binding orchestration.
+- test(portfolio): add native validation/identity coverage plus independent QuantLib 1.42.1 parity across mixed call/put, carry, moneyness, volatility, maturity, long/short, and scenario cases, with deterministic concurrent replay.
+- build(release): prepare the 0.4.0 wheel/source distribution and retain the installed-wheel contract, release tag gates, source distribution checks, deterministic manifest, and explicit rule that PyPI and TestPyPI availability are not asserted.
+- docs(release): make portfolio risk and exact stress the README and Pages lead, publish the frozen evidence hub and benchmark visualization, and retain the broader v0.3.7 numerical and packaging story.
+
 ## Unreleased
 
 ## v0.3.7

CMakeLists.txt

@@ -1,5 +1,5 @@
 cmake_minimum_required(VERSION 3.16)
-project(quant_pricer_cpp VERSION 0.3.7 LANGUAGES CXX)
+project(quant_pricer_cpp VERSION 0.4.0 LANGUAGES CXX)
 
 set(CMAKE_POSITION_INDEPENDENT_CODE ON)
 set(CMAKE_CXX_STANDARD 20)
@@ -108,6 +108,7 @@ add_library(quant_pricer
   src/lookback.cpp
   src/heston.cpp
   src/risk.cpp
+  src/portfolio.cpp
   src/multi.cpp
 )
 
@@ -150,6 +151,7 @@ add_executable(unit_tests
   tests/test_multi.cpp
   tests/test_barrier_mc_regression.cpp
   tests/test_risk.cpp
+  tests/test_portfolio.cpp
   tests/test_heston.cpp
   tests/test_rng_repro.cpp)
 target_sources(unit_tests PRIVATE tests/test_lookback.cpp)
@@ -306,6 +308,12 @@ endif()
 
 if(QUANT_ENABLE_PYBIND)
   add_subdirectory(python)
+  add_test(
+    NAME python_portfolio_risk_fast
+    COMMAND ${Python3_EXECUTABLE} ${CMAKE_SOURCE_DIR}/tests/test_python_portfolio_risk_fast.py
+            --module-dir $<TARGET_FILE_DIR:pyquant_pricer>
+  )
+  set_tests_properties(python_portfolio_risk_fast PROPERTIES LABELS "FAST")
 endif()
 
 # Install/export package metadata

Doxyfile

@@ -4,7 +4,8 @@ OUTPUT_DIRECTORY       = docs
 GENERATE_HTML          = YES
 GENERATE_LATEX         = NO
 RECURSIVE              = YES
-INPUT                  = include src README.md docs/api docs/Results.md docs/WRDS_Results.md
+INPUT                  = include src README.md docs/api docs/product docs/releases docs/Results.md docs/WRDS_Results.md
+IMAGE_PATH             = docs/images
 FILE_PATTERNS          = *.hpp *.cpp *.md
 EXTRACT_ALL            = YES
 QUIET                  = YES

PROGRESS.md

@@ -100,3 +100,19 @@ Added explicit `results_commit_sha` + `manifest_git_sha` fields to `project_stat
 
 ### Done
 - Ticket-99: rebuilt the public README around the supported C++20/Python pricing surface, install/use examples, architecture, frozen validation snapshot, reproducibility, and explicit release limitations. Added a bounded evidence note for the verified Heston calibration-grid candidate without advertising it as v0.3.2 or PyPI availability. Run log: `docs/agent_runs/20260714_220933_ticket-99_portfolio-presentation/`.
+
+## 2026-07-15 Vectorized Portfolio Risk and Stress v0.4.0
+
+Selected the largest disjoint product gap after reviewing the consumed-model
+ledger: cross-position risk rather than another SSVI/Heston/PDE/MC experiment.
+Added public C++ portfolio types and installed Python `bs_portfolio_risk` and
+`bs_portfolio_scenarios` APIs, exact five-factor repricing, aggregate-only
+memory control, native and independent QuantLib tests, examples, v0.4.0 release
+surfaces, and deterministic performance/resource receipts. The first unfused
+risk batch missed its frozen 10x gate at 9.94x; fused shared analytic terms
+passed without relaxing the gate. Final installed-wheel evidence: 20.18x risk,
+27.92x scenario, 20.25M positions/s, 32.13M cells/s; worst independent price,
+Greek, and portfolio-scenario errors were 3.91e-14, 3.40e-12, and 2.66e-13.
+ASan/UBSan and installed-wheel checks passed. Full FAST: 89 passed, one existing
+skip, and only the two pre-existing locked SSVI hedge failures caused by their
+intentional CMake hash boundary. Implementation commit: `60c4e9da`.