1. Overview

AEGON Pricing is a deterministic system for identifying structural violations in financial markets. It evaluates pricing relationships directly and produces executable arbitrage constructions when inconsistencies occur.

Invariant violation → executable trade construction

No prediction. No signal generation. No probabilistic modeling.

2. Core Principle

Put-Call Parity
Covered Interest Parity
Cost of Carry

Arbitrage is treated as a structural inconsistency — not a prediction.

3. System Model

S → Market State
I → Invariants
V → Violations
T → Trade

Φ : S → V
Ψ : V → T

4. System Interface

The system is accessed through a single unified interface consisting of input selection, invariant evaluation, and output construction.

• Left Panel — Input selection and system controls
• Main Panel — Output and trade construction
• Top Bar — Engine status, clock, and live structure monitor

The interface is designed for direct operation. No onboarding or training is required.

4.5 Operational Usage

The system is designed for immediate use by portfolio managers and quantitative analysts. No configuration or training is required.

Default mode on load: OPTIONS — Put-Call Parity

Typical Workflow

1. Select market mode (Options, FX, Futures)
2. Enter market inputs
3. Click Detect Structure
4. Review structural status and trade construction

Input Structure by Mode

Options — Put-Call Parity

• Spot (S): Underlying price
• Call (C): Call option premium
• Put (P): Put option premium
• Strike (K): Option strike

FX — Covered Interest Parity

• Spot (S): FX spot rate
• Forward (F): Forward rate
• Domestic Rate (rd)
• Foreign Rate (rf)
• Time (T): Years

Futures — Cost of Carry

• Spot (S): Underlying price
• Futures (F): Futures price
• Rate (r): Financing rate
• Time (T): Years

System Behavior

• If invariant holds → No trade
• If invariant violated → Arbitrage identified; full execution structure is shown in licensed mode
• Unlicensed mode → Trade partially hidden
• Licensed mode → Full execution structure available

Demo Mode

The Auto Demo function loads a known violation to demonstrate system behavior.

Batch Mode

Batch scenario analysis (100 runs) is available in licensed mode only.

5. Engines

Options — Put-Call Parity

Inputs:
Spot (S)
Call (C)
Put (P)
Strike (K)

Invariant:
C - P = S - K

FX — Covered Interest Parity

Inputs:
Spot (S)
Forward (F)
Domestic Rate (rd)
Foreign Rate (rf)
Time (T)

Invariant:
F = S * e^{(rd - rf)T}

Futures — Cost of Carry

Inputs:
Spot (S)
Futures (F)
Rate (r)
Time (T)

Invariant:
F = S * e^{rT}

6. System Actions

Evaluate Structure

Evaluates whether the current input state satisfies the invariant.

Load Scenario

Loads a predefined market state with a known structural inconsistency.

Batch Evaluation (100)

Runs 100 simulated market states to measure violation frequency and opportunity density.

Export Output

Exports the constructed trade and system evaluation as a structured output.

Scale to Notional

Scales detected opportunity to institutional capital levels (e.g., $10M).

7. Output

• Structural status (violation / no violation)
• Invariant mismatch magnitude
• Trade construction
• P&L estimate
• Return estimate

8. Example

Violation: Put-Call Parity

Call = 120
Put = 95
Spot = 4500
Strike = 4500

→ Structural mismatch

Trade:
- Buy Put
- Sell Call
- Buy Underlying

Outcome:
→ Convergence to invariant pricing

9. Determinism

• Same input → same output
• No stochastic behavior
• No historical dependence
• No model drift

10. System Positioning

• Pre-execution validation layer
• Structural consistency enforcement
• Deterministic arbitrage construction
• Integration-ready

11. Operational Model

• No calibration
• No training
• No parameter tuning

All behavior derived from invariant structure

12. Non-Goals

• No prediction
• No signal generation
• No statistical inference
• No model fitting

13. Appendix

Put-Call Parity:
C - P = S - K

Covered Interest Parity:
F = S * e^{(rd - rf)T}

Cost of Carry:
F = S * e^{rT}

14. Glossary

• Invariant: Required structural relationship
• Violation: Deviation from invariant
• Trade Construction: Deterministic resolution
• Deterministic: Same input → same output
• Structural: Relationship-based, not predictive