A time-versioned vector of shadow prices on intermediation constraints, not a spread dashboard or stress score.
CSPT is a market metrology instrument. It reconstructs a latent dual state of intermediation from persistent law-of-one-price wedges across funding, FX, futures, and collateral-linked instruments, then serves that state as an auditable research object.
A time-versioned vector of shadow prices on intermediation constraints, not a spread dashboard or stress score.
The current event build recovers state from CIP wedges, Treasury basis reconstruction, and margin-aware loading surfaces.
CVXPY plus CLARABEL, robust loss, temporal smoothing, rank diagnostics, and explicit underidentification handling.
Standard quant stacks observe prices, returns, spreads, and carry. They do not directly recover the shadow prices of the intermediation constraints required for those wedges to exist. CSPT turns those fragmented observations into a common state object that can be interpreted, challenged, and used in portfolio review.
The moat is not a generic optimizer. It is the correctness of the wedge constructors, settlement logic, carry logic, and loading surfaces feeding the inverse problem.
The stack carries withheld-family prediction, quarter-end treatment tests, rank diagnostics, and the right to say the state is weakly identified when the market does not support recovery.
Treasury basis is already reconstructed from a public deliverable basket and margin loadings are sourced from official clearing notices in the March window. The next institutional step is cleaner historical issue-level cash pricing and richer OTC tenor coverage, not a new research category.