sipQuant Documentation

Quantitative library for physically-settled commodity markets.

sipQuant is the internal quantitative infrastructure of SIP Global (Systematic Index Partners). It provides a complete stack for building, maintaining, and trading against physically-settled commodity price indices in thin, opaque markets — from raw trade data to IOSCO-aligned indices to OTC structured products and dealer book management.

Pure NumPy. No external dependencies beyond NumPy 1.23+.

pip install sipQuant

Getting Started

• Getting Started
  • Installation
  • Import Convention
  • The Full Pipeline
  • Next Steps

Core Commodity Stack

• schema — Data Contract Layer
  • Schema Objects
  • Validation
  • Valid Types
• commodity — Physical Pricing Primitives
  • seasonality()
  • convenienceYield()
  • basis()
  • gradeAdjustment()
  • transportDifferential()
  • localForwardCurve()
  • rollingRollCost()
• index — IOSCO-Aligned Index Infrastructure
  • IOSCO Alignment
  • calculateIndex()
  • auditTrail()
  • restatement()
  • rollSchedule()
  • proxyRegression()
  • backtestIndex()
• otc — OTC Instrument Pricing
  • commoditySwap()
  • asianSwap()
  • collar()
  • physicalForward()
  • swaption()
  • asianOption()
• book — Dealer Book Management
  • Daily Risk Workflow
  • netGreeks()
  • hedgeRatios()
  • pnlAttribution()
  • scenarioShock()
  • bookSummary()
  • marginEstimate()
• liquidity — Thin-Market Risk
  • liquidityAdjustedVar()
  • marketImpact()
  • optimalExecution()
  • thinMarketScore()
  • concentrationRisk()
  • optimalLiquidation()
  • Thin-Market Workflow

Quantitative Toolkit

• sim — Price Process Simulation
  • Key Functions
• fit — Model Calibration
  • Key Functions
• options — Option Pricing
  • Key Functions
• econometrics — Statistical Testing
  • Key Functions
• bootstrap — Curve & Surface Construction
  • Key Functions

Portfolio & Risk

• portfolio — Portfolio Optimisation
  • Key Functions
• risk — Risk Metrics
  • Key Functions
• distributions — Distribution Fitting
  • Key Functions
• dimension — Dimensionality Reduction
  • Key Functions
• factor — Factor Models
  • Key Functions
• ml — Machine Learning
  • Key Functions

Indices and tables

• Index

• Search Page