Conversion Reversal Box Arbitrage

objective

Execute options financing-arbitrage workflows with robust mispricing diagnostics and execution-risk controls.

workflow

1. define structure universe, carry conventions, and execution constraints.
2. compute conversion, reversal, and box values with full fee and borrow adjustments.
3. derive implied financing rates and compare against benchmark funding curves.
4. stress edge durability under spread widening, legging risk, and rate shocks.
5. release only when net edge remains positive after realistic implementation costs.

required diagnostics

• implied-rate dispersion versus benchmark curves.
• conversion and reversal residual behavior by expiry.
• box-pricing consistency and no-arbitrage violations.
• edge decay from spreads, borrow, and execution latency.
• legging-risk impact on realized arbitrage capture.