Ingestion for UBS data draft

.gitea/workflows/ci.yml

@@ -20,7 +20,7 @@ jobs:
 
       - name: Configure
         run: |
-          mkdir build
+          mkdir build 
           cd build
           cmake ..
 

CMakeLists.txt

@@ -5,6 +5,9 @@ set(CMAKE_CXX_STANDARD 20)
 set(CMAKE_CXX_FLAGS "-O3 -march=native")
 
 find_package(Eigen3 REQUIRED)
+#find_package(PostgreSQL REQUIRED)
+#find_package(PkgConfig REQUIRED)
+#pkg_check_modules(PQXX REQUIRED IMPORTED_TARGET libpqxx)
 
 add_subdirectory(src)
 

src/CMakeLists.txt

@@ -25,9 +25,17 @@ add_library(qengine
         Statistics.hpp
         BlackScholesProcess.cpp
         BlackScholesProcess.hpp
+        DBIngest.cpp
+        DBIngest.hpp
+        GaussSolver.cpp
+        GaussSolver.hpp
 
 
 )
 
 target_include_directories(qengine PUBLIC ${CMAKE_CURRENT_SOURCE_DIR})
-target_link_libraries(qengine Eigen3::Eigen)
+target_include_directories(qengine PRIVATE
+        /opt/homebrew/include
+)
+target_link_libraries(qengine Eigen3::Eigen)
+target_link_libraries(qengine pqxx pq)

src/DBIngest.cpp

@@ -0,0 +1,55 @@
+//
+// Created by David Doebel  on 13.03.2026.
+//
+
+#include "DBIngest.hpp"
+
+#include <iostream>
+
+// Queries
+// Query for selecting the volatility surface parameters
+std::string vol_surface_query = ""
+
+
+
+
+//
+
+
+
+
+bool DBIngest::connect() {
+    connection_ = pqxx::connection("dbname=options_db user=quant_user port = 5432 host = localhost password = strong_password" );
+
+    if(connection_.is_open()) {
+        std::cout << "Connected\n";
+        return true;
+    }
+    std::cout << "Not connected\n";
+    return false;
+}
+
+bool DBIngest::disconnect() {
+    connection_.close();
+}
+
+bool DBIngest::update(VolatilitySurface &surface) {
+    std::string vol_surface_query = "SELECT c.strike, c.expiration_date, q.mid, u.price "
+                                    "FROM option_quotes q"
+                                    "JOIN option_contracts c "
+                                    "ON q.contract_id = c.id "
+                                    "JOIN underlying_prices u"
+                                    "ON u.underlying_id = c.underlying_id"
+                                    "WHERE q.timestamp = ("
+                                    "SELECT MAX(timestamp) FROM option_quotes"
+                                    ")";
+    pqxx::work work(connection_);
+    pqxx::result result = work.exec(vol_surface_query);
+    for (auto row : result) {
+        std::cout << row[0] << " " << row[1] << " " << row[2] << " " << row[3] << std::endl;
+    }
+
+}
+
+bool DBIngest::update(YieldCurve &yield_curve) {
+}

src/DBIngest.hpp

@@ -0,0 +1,24 @@
+//
+// Created by David Doebel  on 13.03.2026.
+//
+
+#ifndef QUANTENGINE_DBINGEST_HPP
+#define QUANTENGINE_DBINGEST_HPP
+
+#include <pqxx/pqxx>
+
+#include "VolatilitySurface.hpp"
+#include "YieldCurve.hpp"
+
+class DBIngest {
+
+    bool connect();
+    bool disconnect();
+    bool update(VolatilitySurface& surface);
+    bool update(YieldCurve& yield_curve);
+private:
+    pqxx::connection connection_;
+};
+
+
+#endif //QUANTENGINE_DBINGEST_HPP

src/NewtonSolver.cpp

@@ -0,0 +1,7 @@
+//
+// Created by David Doebel  on 13.03.2026.
+//
+
+#include "NewtonSolver.hpp"
+
+

src/NewtonSolver.hpp

@@ -0,0 +1,26 @@
+//
+// Created by David Doebel  on 13.03.2026.
+//
+
+#ifndef QUANTENGINE_GAUSSSOLVER_HPP
+#define QUANTENGINE_GAUSSSOLVER_HPP
+
+#include <functional>
+
+class NewtonSolver {
+    template<typename F, typename DFinv, typename T>
+    bool solve(F&& func, DFinv&& dfinv,T x0 , double rtol, double atol) {
+        T x = x0;
+        int i = 0;
+        T increment;
+        do {
+            increment = dfinv(x) * func(x);
+            x -= increment;
+            ++i;
+        } while (i < 1000 && std::abs(increment)/ std::abs(x) > rtol && std::abs(increment) > atol);
+
+    }
+};
+
+
+#endif //QUANTENGINE_GAUSSSOLVER_HPP

src/data/ingestion/fred_data_ingestion.py

@@ -0,0 +1,4 @@
+from fredapi import Fred
+fred = Fred(api_key='471be0178bfc20ce10bb93e3fcceee3b')
+data = fred.get_series_latest_release('DTB3')
+print(data.tail())

src/data/ingestion/ingest_ubs_comparison.py

@@ -0,0 +1,74 @@
+from datetime import datetime, timedelta
+import pandas as pd
+import yfinance as yf
+from sqlalchemy import create_engine
+
+# --- CONFIG ---
+TICKERS = ["UBS", "^GSPC"]
+DAYS_BACK = 21  # ~3 weeks
+TABLE_NAME = "prices"
+
+DB_URI = "postgresql://quant_user:strong_password@localhost:5432/options_db"
+
+
+def fetch_data(tickers, start_date, end_date):
+    data = yf.download(
+        tickers,
+        start=start_date,
+        end=end_date,
+        group_by="ticker",
+        auto_adjust=True,
+        progress=False
+    )
+    return data
+
+
+def transform_data(raw_data):
+    frames = []
+
+    for ticker in raw_data.columns.levels[0]:
+        df = raw_data[ticker].copy()
+        df["ticker"] = ticker
+        df = df.reset_index()
+
+        # Keep only what we need
+        df = df[["Date", "ticker", "Close", "Volume"]]
+
+        df.rename(columns={
+            "Date": "date",
+            "Close": "close",
+            "Volume": "volume"
+        }, inplace=True)
+
+        # Compute daily returns
+        df["return"] = df["close"].pct_change()
+
+        frames.append(df)
+
+    return pd.concat(frames, ignore_index=True)
+
+
+def load_to_postgres(df, engine):
+    df.to_sql(
+        TABLE_NAME,
+        engine,
+        if_exists="append",
+        index=False
+    )
+
+
+def main():
+    end_date = datetime.utcnow()
+    start_date = end_date - timedelta(days=DAYS_BACK)
+
+    raw = fetch_data(TICKERS, start_date, end_date)
+    df = transform_data(raw)
+
+    engine = create_engine(DB_URI)
+    load_to_postgres(df, engine)
+
+    print("Ingestion complete.")
+
+
+if __name__ == "__main__":
+    main()