proof-gated options pricing
Proof-gated options pricing without slowing the hot path.
FerroRisk combines production Rust performance with reference testing and formal proof gates around the stable parts of pricing and risk math.
Problem
Why this needs one shared risk path
Financial math libraries often ask users to trust tests without specifying which laws are meant to hold.
Proof work is rarely connected to performance-sensitive implementation paths.
Regulated or high-assurance systems need a stronger story than approximate agreement on happy-path examples.
Workflow
How FerroRisk handles it
Test against oracles
Reference and MPFR oracle tests guard numerical behavior across models and edge cases.
Proof-gate stable laws
Lean theorem checks cover primitive laws that can be specified and held stable.
Benchmark the hot path
Pricing and Greeks remain nanosecond-class where the product surface needs latency discipline.
Fit
What makes this FerroRisk-shaped
The public site states 262 machine-checked Lean theorems with no sorry.
Benchmarks are displayed for European pricing and all-10-Greeks paths.
Verification has a dedicated public page.
Questions
Common concerns
Does proof-gated mean every behavior is formally proven?
No. It means specified stable laws are proof-gated while broader behavior is also checked against reference oracles and tests.
Does proof work replace benchmarking?
No. FerroRisk positions proof gates, reference tests, and benchmarks as complementary.
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