@actuarial-ts/core 0.1.0

package/dist/diagnostics.d.ts

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+import type { CalendarYearDiagnostic, DiagnosticsResult, Triangle } from "./types.js";
+/**
+ * Mack's calendar-year test: within each development column, factors above
+ * the column median are Large, below are Small (ties to the median drop out).
+ * Under the null of no diagonal effects, Large/Small mix randomly along each
+ * calendar diagonal; Z = sum over diagonals of min(#L, #S) has a known mean
+ * and variance. A total outside the 95% range flags calendar-year effects.
+ */
+export declare function calendarYearTest(tri: Triangle): CalendarYearDiagnostic | null;
+export interface DiagnosticsInput {
+    paid: Triangle;
+    incurred: Triangle;
+    openCounts: Triangle;
+    reportedCounts: Triangle;
+    closedCounts: Triangle;
+}
+export declare function runDiagnostics(input: DiagnosticsInput): DiagnosticsResult;
+export interface FactorCorrelationColumn {
+    /** Development year k in Mack's 1-indexed notation (subsequent factors F_k vs preceding F_{k-1}). */
+    k: number;
+    /** Number of (preceding, subsequent) factor pairs used. */
+    pairs: number;
+    /** Spearman rank correlation T_k. */
+    statistic: number;
+}
+export interface FactorCorrelationResult {
+    columns: FactorCorrelationColumn[];
+    /** T: the (pairs-1)-weighted average of the T_k. E[T] = 0 under the null. */
+    statistic: number;
+    /** Var(T) = 1 / sum of weights. */
+    variance: number;
+    /** Half-width of the 50% interval: 0.67 x sqrt(Var(T)). */
+    bound50: number;
+    /** True when |T| exceeds the 50% bound (be reluctant with chain ladder). */
+    correlated: boolean;
+    warnings: string[];
+}
+/**
+ * Mack's Spearman test for correlation between subsequent development
+ * factors (Mack 1994, CAS Forum Spring 1994, Appendix G).
+ *
+ * For each development year k = 2..I-2: rank the subsequent factors F_k over
+ * the rows where the NEXT factor exists, rank the preceding factors F_{k-1}
+ * over those same rows (re-ranked after dropping the deeper rows), and take
+ * T_k = 1 - 6 sum(d^2) / (n(n^2-1)). Combine with weights (pairs - 1) —
+ * inverse to Var(T_k) = 1/(n_k - 1). Under the null E[T] = 0 and
+ * Var(T) = 1/sum(weights); the DELIBERATELY tight 50% interval
+ * (|T| <= 0.67 sqrt(Var)) screens for correlation in a substantial part of
+ * the triangle rather than formally testing at 5%.
+ *
+ * Returns null when no column pair has at least two factor pairs.
+ */
+export declare function factorCorrelationTest(tri: Triangle): FactorCorrelationResult | null;
+export interface MackResidualCell {
+    origin: string;
+    fromAge: number;
+    toAge: number;
+    /** 1-based calendar diagonal of the factor's numerator cell. */
+    calendar: number;
+    factor: number;
+    /** (F - f_k) sqrt(C_ik) / sigma_k; null where sigma^2 is not data-estimable or zero. */
+    residual: number | null;
+}
+export interface MackResidualsResult {
+    cells: MackResidualCell[];
+    warnings: string[];
+}
+/**
+ * Standardized Mack residuals r_ik = (F_ik - f_k) sqrt(C_ik) / sigma_k
+ * around the volume-weighted factors, with sigma^2_k estimated from the
+ * data (Mack 1994). Columns whose sigma^2 cannot be estimated from at least
+ * two factors — or where the factors show no dispersion at all — yield null
+ * residuals with a warning; extrapolated sigma^2 is deliberately NOT used
+ * here (a residual against an extrapolated scale is not a diagnostic).
+ *
+ * Structural property: within each column, sum_i residual_ik x sqrt(C_ik)
+ * = 0 exactly, because f_k is the volume-weighted average.
+ */
+export declare function mackResiduals(tri: Triangle): MackResidualsResult;
+//# sourceMappingURL=diagnostics.d.ts.map

package/dist/diagnostics.d.ts.map

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package/dist/diagnostics.js

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+import { isNum, ols, safeRatio } from "./util.js";
+import { mackEstimators } from "./mack.js";
+/**
+ * Data diagnostics an actuary uses to see when the data violates method
+ * assumptions:
+ * - paid-to-incurred ratios (case adequacy drift distorts incurred methods)
+ * - average case reserves (severity/adequacy shifts)
+ * - closure rates (settlement-rate shifts distort paid development)
+ * - calendar-year effect detection (Mack's 1994 diagonal rank test)
+ */
+function ratioGrid(numTri, denTri) {
+    return numTri.origins.map((_, i) => numTri.ages.map((_, j) => safeRatio(numTri.values[i]?.[j] ?? null, denTri.values[i]?.[j] ?? null)));
+}
+/**
+ * Mack's calendar-year test: within each development column, factors above
+ * the column median are Large, below are Small (ties to the median drop out).
+ * Under the null of no diagonal effects, Large/Small mix randomly along each
+ * calendar diagonal; Z = sum over diagonals of min(#L, #S) has a known mean
+ * and variance. A total outside the 95% range flags calendar-year effects.
+ */
+export function calendarYearTest(tri) {
+    const nOrigins = tri.origins.length;
+    const nCols = tri.ages.length - 1;
+    if (nCols < 1 || nOrigins < 3)
+        return null;
+    const marks = tri.origins.map(() => new Array(nCols).fill(null));
+    for (let j = 0; j < nCols; j++) {
+        const entries = [];
+        for (let i = 0; i < nOrigins; i++) {
+            const f = safeRatio(tri.values[i]?.[j + 1] ?? null, tri.values[i]?.[j] ?? null);
+            if (isNum(f))
+                entries.push({ i, f });
+        }
+        if (entries.length < 2)
+            continue;
+        const sorted = entries.map((e) => e.f).sort((a, b) => a - b);
+        const mid = sorted.length % 2 === 1
+            ? sorted[(sorted.length - 1) / 2]
+            : (sorted[sorted.length / 2 - 1] + sorted[sorted.length / 2]) / 2;
+        for (const e of entries) {
+            if (e.f > mid)
+                marks[e.i][j] = "L";
+            else if (e.f < mid)
+                marks[e.i][j] = "S";
+            // equal to the median -> eliminated
+        }
+    }
+    // Group by calendar diagonal: factor cell (i, j) belongs to diagonal i + j + 1
+    // (the calendar period of the numerator age).
+    const byDiagonal = new Map();
+    for (let i = 0; i < nOrigins; i++) {
+        for (let j = 0; j < nCols; j++) {
+            const mark = marks[i][j];
+            if (!mark)
+                continue;
+            const d = i + j + 1;
+            const bucket = byDiagonal.get(d) ?? { L: 0, S: 0 };
+            bucket[mark]++;
+            byDiagonal.set(d, bucket);
+        }
+    }
+    const binom = (n, k) => {
+        if (k < 0 || k > n)
+            return 0;
+        let result = 1;
+        for (let x = 1; x <= k; x++)
+            result = (result * (n - x + 1)) / x;
+        return result;
+    };
+    const diagonals = [];
+    let totalZ = 0;
+    let expectedTotalZ = 0;
+    let varianceTotalZ = 0;
+    const sortedDiagonals = [...byDiagonal.entries()].sort((a, b) => a[0] - b[0]);
+    for (const [d, { L, S }] of sortedDiagonals) {
+        const n = L + S;
+        if (n < 1)
+            continue;
+        const z = Math.min(L, S);
+        const m = Math.floor((n - 1) / 2);
+        const c = binom(n - 1, m);
+        const expectedZ = n / 2 - (c * n) / 2 ** n;
+        const varianceZ = (n * (n - 1)) / 4 - (c * n * (n - 1)) / 2 ** n + expectedZ - expectedZ ** 2;
+        diagonals.push({ label: `diagonal ${d}`, countLarge: L, countSmall: S, z, expectedZ, varianceZ });
+        totalZ += z;
+        expectedTotalZ += expectedZ;
+        varianceTotalZ += varianceZ;
+    }
+    if (diagonals.length === 0)
+        return null;
+    const half = 1.96 * Math.sqrt(Math.max(0, varianceTotalZ));
+    const confidenceInterval = [expectedTotalZ - half, expectedTotalZ + half];
+    return {
+        diagonals,
+        totalZ,
+        expectedTotalZ,
+        varianceTotalZ,
+        significant: totalZ < confidenceInterval[0] || totalZ > confidenceInterval[1],
+        confidenceInterval,
+    };
+}
+/**
+ * Median relative shift of the most recent origin periods against the prior
+ * ones, per development column, restricted to columns that are still
+ * developing (median value below the maturity cap). This is how an actuary
+ * reads a closure-rate exhibit: a step change in the recent rows at immature
+ * ages, not a smooth trend across saturated columns.
+ */
+function recentVsPriorShift(grid, options = {}) {
+    const recentN = options.recent ?? 3;
+    const maturityCap = options.maturityCap ?? Infinity;
+    if (grid.length === 0)
+        return null;
+    const nCols = grid[0].length;
+    const shifts = [];
+    for (let j = 0; j < nCols; j++) {
+        const values = [];
+        for (let i = 0; i < grid.length; i++) {
+            const v = grid[i][j] ?? null;
+            if (isNum(v))
+                values.push(v);
+        }
+        if (values.length < recentN + 2)
+            continue;
+        const sorted = [...values].sort((a, b) => a - b);
+        const median = sorted[Math.floor(sorted.length / 2)];
+        if (median >= maturityCap)
+            continue; // column is saturated; no signal left
+        const recent = values.slice(-recentN);
+        const prior = values.slice(0, values.length - recentN);
+        const avg = (xs) => xs.reduce((a, b) => a + b, 0) / xs.length;
+        const priorAvg = avg(prior);
+        if (priorAvg === 0)
+            continue;
+        shifts.push(avg(recent) / priorAvg - 1);
+    }
+    if (shifts.length === 0)
+        return null;
+    shifts.sort((a, b) => a - b);
+    const mid = Math.floor(shifts.length / 2);
+    return shifts.length % 2 === 1 ? shifts[mid] : (shifts[mid - 1] + shifts[mid]) / 2;
+}
+/**
+ * Median relative per-period trend of a metric across development columns,
+ * fitted down each column (same maturity across origin periods).
+ */
+function medianColumnTrend(grid) {
+    if (grid.length === 0)
+        return null;
+    const nCols = grid[0].length;
+    const trends = [];
+    for (let j = 0; j < nCols; j++) {
+        const xs = [];
+        const ys = [];
+        for (let i = 0; i < grid.length; i++) {
+            const v = grid[i][j] ?? null;
+            if (isNum(v) && v > 0) {
+                xs.push(i);
+                ys.push(Math.log(v));
+            }
+        }
+        if (xs.length >= 3) {
+            const fit = ols(xs, ys);
+            if (fit)
+                trends.push(Math.exp(fit.slope) - 1);
+        }
+    }
+    if (trends.length === 0)
+        return null;
+    trends.sort((a, b) => a - b);
+    const mid = Math.floor(trends.length / 2);
+    return trends.length % 2 === 1 ? trends[mid] : (trends[mid - 1] + trends[mid]) / 2;
+}
+export function runDiagnostics(input) {
+    const { paid, incurred, openCounts, reportedCounts, closedCounts } = input;
+    const paidToIncurredRatios = ratioGrid(paid, incurred);
+    const caseGrid = paid.origins.map((_, i) => paid.ages.map((_, j) => {
+        const inc = incurred.values[i]?.[j] ?? null;
+        const pd = paid.values[i]?.[j] ?? null;
+        const open = openCounts.values[i]?.[j] ?? null;
+        const caseAmt = isNum(inc) && isNum(pd) ? inc - pd : null;
+        return safeRatio(caseAmt, open);
+    }));
+    const closureRates = ratioGrid(closedCounts, reportedCounts);
+    const cyTest = calendarYearTest(paid);
+    const findings = [];
+    const closureShift = recentVsPriorShift(closureRates, { recent: 3, maturityCap: 0.95 });
+    if (closureShift !== null && Math.abs(closureShift) > 0.05) {
+        findings.push({
+            severity: "warning",
+            code: "SETTLEMENT_RATE_SHIFT",
+            message: `Claim settlement is ${closureShift > 0 ? "speeding up" : "slowing down"}: at still-developing maturities, closure rates for the most recent origin periods run ${(Math.abs(closureShift) * 100).toFixed(0)}% ${closureShift > 0 ? "above" : "below"} the prior periods. Paid development factors are distorted; weigh the Berquist-Sherman settlement-rate adjustment.`,
+        });
+    }
+    const caseTrend = medianColumnTrend(caseGrid);
+    if (caseTrend !== null && Math.abs(caseTrend) > 0.08) {
+        findings.push({
+            severity: "warning",
+            code: "CASE_ADEQUACY_SHIFT",
+            message: `Average case reserves at the same maturity are trending ${caseTrend > 0 ? "up" : "down"} ${(caseTrend * 100).toFixed(1)}% per period, which suggests a change in case reserve adequacy (or severity). Incurred development is distorted; consider the Berquist-Sherman case-reserve adjustment and compare against a severity trend expectation.`,
+        });
+    }
+    const p2iTrend = medianColumnTrend(paidToIncurredRatios);
+    if (p2iTrend !== null && Math.abs(p2iTrend) > 0.03) {
+        findings.push({
+            severity: "info",
+            code: "PAID_TO_INCURRED_SHIFT",
+            message: `Paid-to-incurred ratios at the same maturity are drifting ${p2iTrend > 0 ? "up" : "down"} (median ${(p2iTrend * 100).toFixed(1)}% per period). Paid and incurred projections are likely to diverge; investigate before relying on either alone.`,
+        });
+    }
+    if (cyTest?.significant) {
+        findings.push({
+            severity: "warning",
+            code: "CALENDAR_YEAR_EFFECT",
+            message: `Mack's calendar-year test rejects the null of no diagonal effects (Z = ${cyTest.totalZ.toFixed(1)} vs expected ${cyTest.expectedTotalZ.toFixed(1)}, 95% range ${cyTest.confidenceInterval[0].toFixed(1)}-${cyTest.confidenceInterval[1].toFixed(1)}). Calendar-period influences (inflation spikes, process changes, reserve reviews) are present; development-based methods assume these away.`,
+        });
+    }
+    if (findings.length === 0) {
+        findings.push({
+            severity: "info",
+            code: "NO_MATERIAL_DISTORTIONS",
+            message: "No material settlement-rate, case-adequacy, or calendar-year distortions detected. Standard development assumptions look reasonable for this data.",
+        });
+    }
+    return {
+        paidToIncurredRatios,
+        averageCaseReserves: caseGrid,
+        closureRates,
+        calendarYearTest: cyTest,
+        findings,
+    };
+}
+/** Average ranks (ties averaged), 1-based. */
+function averageRanks(values) {
+    const order = values
+        .map((v, idx) => ({ v, idx }))
+        .sort((a, b) => a.v - b.v);
+    const ranks = new Array(values.length).fill(0);
+    let pos = 0;
+    while (pos < order.length) {
+        let end = pos;
+        while (end + 1 < order.length && order[end + 1].v === order[pos].v)
+            end++;
+        const avg = (pos + end) / 2 + 1;
+        for (let x = pos; x <= end; x++)
+            ranks[order[x].idx] = avg;
+        pos = end + 1;
+    }
+    return ranks;
+}
+/**
+ * Mack's Spearman test for correlation between subsequent development
+ * factors (Mack 1994, CAS Forum Spring 1994, Appendix G).
+ *
+ * For each development year k = 2..I-2: rank the subsequent factors F_k over
+ * the rows where the NEXT factor exists, rank the preceding factors F_{k-1}
+ * over those same rows (re-ranked after dropping the deeper rows), and take
+ * T_k = 1 - 6 sum(d^2) / (n(n^2-1)). Combine with weights (pairs - 1) —
+ * inverse to Var(T_k) = 1/(n_k - 1). Under the null E[T] = 0 and
+ * Var(T) = 1/sum(weights); the DELIBERATELY tight 50% interval
+ * (|T| <= 0.67 sqrt(Var)) screens for correlation in a substantial part of
+ * the triangle rather than formally testing at 5%.
+ *
+ * Returns null when no column pair has at least two factor pairs.
+ */
+export function factorCorrelationTest(tri) {
+    const n = tri.origins.length;
+    const nCols = tri.ages.length - 1;
+    const warnings = [];
+    // F[i][c] = C[i][c+1] / C[i][c] (0-indexed column c holds Mack's F_{c+1}).
+    const F = tri.origins.map((_, i) => Array.from({ length: nCols }, (_, c) => safeRatio(tri.values[i]?.[c + 1] ?? null, tri.values[i]?.[c] ?? null)));
+    const columns = [];
+    for (let k = 2; k <= Math.min(n - 2, nCols); k++) {
+        const cs = k - 1; // 0-indexed subsequent column (F_k)
+        const cp = k - 2; // 0-indexed preceding column (F_{k-1})
+        const sub = [];
+        const pre = [];
+        for (let i = 0; i < n; i++) {
+            const a = F[i][cs] ?? null;
+            const b = F[i][cp] ?? null;
+            if (isNum(a) && isNum(b)) {
+                sub.push(a);
+                pre.push(b);
+            }
+        }
+        const m = sub.length;
+        if (m < 2)
+            continue;
+        const hasTies = new Set(sub).size !== sub.length || new Set(pre).size !== pre.length;
+        if (hasTies) {
+            warnings.push(`Development year ${k}: tied factors; the Spearman statistic is approximate under ties`);
+        }
+        const r = averageRanks(sub);
+        const s = averageRanks(pre);
+        let d2 = 0;
+        for (let x = 0; x < m; x++)
+            d2 += (r[x] - s[x]) ** 2;
+        const Tk = 1 - (6 * d2) / (m * (m * m - 1));
+        columns.push({ k, pairs: m, statistic: Tk });
+    }
+    if (columns.length === 0)
+        return null;
+    const weightSum = columns.reduce((a, c) => a + (c.pairs - 1), 0);
+    if (weightSum <= 0)
+        return null;
+    const statistic = columns.reduce((a, c) => a + (c.pairs - 1) * c.statistic, 0) / weightSum;
+    const variance = 1 / weightSum;
+    const bound50 = 0.67 * Math.sqrt(variance);
+    return {
+        columns,
+        statistic,
+        variance,
+        bound50,
+        correlated: Math.abs(statistic) > bound50,
+        warnings,
+    };
+}
+/**
+ * Standardized Mack residuals r_ik = (F_ik - f_k) sqrt(C_ik) / sigma_k
+ * around the volume-weighted factors, with sigma^2_k estimated from the
+ * data (Mack 1994). Columns whose sigma^2 cannot be estimated from at least
+ * two factors — or where the factors show no dispersion at all — yield null
+ * residuals with a warning; extrapolated sigma^2 is deliberately NOT used
+ * here (a residual against an extrapolated scale is not a diagnostic).
+ *
+ * Structural property: within each column, sum_i residual_ik x sqrt(C_ik)
+ * = 0 exactly, because f_k is the volume-weighted average.
+ */
+export function mackResiduals(tri) {
+    const warnings = [];
+    const { f, sigma2 } = mackEstimators(tri);
+    const cells = [];
+    const flaggedColumns = new Set();
+    for (let c = 0; c < tri.ages.length - 1; c++) {
+        const s2 = sigma2[c] ?? null;
+        const usable = isNum(s2) && s2 > 0;
+        if (!usable && !flaggedColumns.has(c)) {
+            flaggedColumns.add(c);
+            warnings.push(`Column ${tri.ages[c]}-${tri.ages[c + 1]}: sigma^2 is ${s2 === null ? "not estimable from the data" : "zero (no dispersion)"}; residuals are null there`);
+        }
+        for (let i = 0; i < tri.origins.length; i++) {
+            const c0 = tri.values[i]?.[c] ?? null;
+            const c1 = tri.values[i]?.[c + 1] ?? null;
+            if (!isNum(c0) || !isNum(c1) || c0 <= 0)
+                continue;
+            const factor = c1 / c0;
+            cells.push({
+                origin: tri.origins[i],
+                fromAge: tri.ages[c],
+                toAge: tri.ages[c + 1],
+                calendar: i + c + 1,
+                factor,
+                residual: usable ? ((factor - f[c]) * Math.sqrt(c0)) / Math.sqrt(s2) : null,
+            });
+        }
+    }
+    return { cells, warnings };
+}
+//# sourceMappingURL=diagnostics.js.map

package/dist/diagnostics.js.map

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package/dist/discounting.d.ts

@@ -0,0 +1,166 @@
+import type { ChainLadderResult } from "./types.js";
+/**
+ * Discounting unpaid claim estimates per ASOP No. 20 ("Discounting of
+ * Property/Casualty Unpaid Claim Estimates", the revised standard effective
+ * June 1, 2026). The standard's discipline, encoded rather than footnoted:
+ *
+ * - Rate PROVENANCE is required input ({ source, asOfDate }): the standard
+ *   requires the actuary to disclose the basis of the discount rates and the
+ *   date as of which they were determined. This module refuses to discount
+ *   without it.
+ * - Nominal and discounted amounts are reported SIDE BY SIDE, per origin and
+ *   in total, with the effective discount factor between them. Neither
+ *   replaces the other.
+ * - Risk margins are EXPLICIT ONLY: an optional `riskMargin` amount passes
+ *   through the result untouched; no total in this module adds it in.
+ *   Implicit margins (conservative rates, shaded patterns) are never
+ *   manufactured here, and blending a margin into the discounted figure is
+ *   left to the consumer to do visibly.
+ *
+ * Timing convention (payments assumed at period boundaries per the pattern):
+ * each expected payment occupies a development interval (fromMonths,
+ * toMonths] measured from the VALUATION DATE, i.e. the latest observed
+ * diagonal of the triangle behind the pattern. The `convention` option fixes
+ * the discount exponent for the interval's payment:
+ *
+ * - "end-period": t = toMonths / 12 years - the payment falls on the
+ *   interval's closing boundary.
+ * - "mid-period": t = (fromMonths + toMonths) / 24 years - the standard
+ *   uniform-payment approximation (cash spread evenly over the interval is
+ *   discounted as if paid at its midpoint).
+ *
+ * Discount factors are (1 + rate)^(-t) with annual effective spot rates.
+ * Under a spot curve, a payment at time t uses the rate for the year
+ * containing t (t in (k-1, k] years uses spotByYear[k-1]); payments beyond
+ * the curve horizon use the LAST spot rate, with a warning.
+ */
+export type DiscountConvention = "mid-period" | "end-period";
+/** One expected payment, located relative to the valuation date. */
+export interface PayoutCashflow {
+    /** Months after the valuation date at which the payment interval opens. */
+    fromMonths: number;
+    /** Months after the valuation date at which the interval closes. */
+    toMonths: number;
+    /** Expected payment within the interval (negative = expected recovery). */
+    amount: number;
+}
+export interface PayoutPatternRow {
+    origin: string;
+    /** Age (months) of the latest observed diagonal cell (the valuation age). */
+    latestAge: number;
+    /** The chain ladder unpaid this row's cashflows tie to (sum of amounts). */
+    unpaid: number;
+    cashflows: PayoutCashflow[];
+}
+export interface PayoutPattern {
+    rows: PayoutPatternRow[];
+    warnings: string[];
+}
+/**
+ * Expected future incremental payments per origin, derived from a chain
+ * ladder result: the increment for development interval (ages[j], ages[j+1]]
+ * is ultimate x (percentDeveloped[j+1] - percentDeveloped[j]), and the tail
+ * cash implied by a tail factor > 1 (ultimate x (1 - percentDeveloped at the
+ * last age)) is compressed into a single interval of the same width as the
+ * last observed development step, immediately after the last age (warned; a
+ * single-age triangle uses a 12-month tail interval). Each row's cashflow
+ * amounts sum to its unpaid by construction.
+ *
+ * `ages` must be the development ages the chain ladder ran on (the result
+ * does not carry them). Negative increments (percent developed not monotone,
+ * i.e. an LDF below 1) are kept and warned - never dropped or fabricated
+ * away.
+ */
+export declare function payoutPatternFromChainLadder(cl: ChainLadderResult, ages: number[]): PayoutPattern;
+/**
+ * Discount rates, annual effective:
+ * - "flat": one rate for every maturity.
+ * - "curve": spotByYear[k] is the spot rate for payments in year k+1 (times
+ *   t in (k, k+1] years). Payments beyond the horizon use the last rate.
+ */
+export type DiscountRates = {
+    kind: "flat";
+    annualRate: number;
+} | {
+    kind: "curve";
+    spotByYear: number[];
+};
+/**
+ * Where the rates came from and when - REQUIRED, because ASOP 20 requires
+ * the actuary to disclose the basis of the discount rate(s) and the date as
+ * of which they were determined.
+ */
+export interface RateProvenance {
+    /** e.g. "US Treasury CMT curve", "company investment yield per ASOP 20 5.3". */
+    source: string;
+    /** ISO date (yyyy-mm-dd) the rates were determined as of. */
+    asOfDate: string;
+}
+/** Explicit cashflows for one origin (the non-pattern input path). */
+export interface OriginCashflows {
+    origin: string;
+    cashflows: PayoutCashflow[];
+}
+export interface DiscountUnpaidInput {
+    /** Payout pattern from payoutPatternFromChainLadder. Exactly one of pattern/cashflows. */
+    pattern?: PayoutPattern;
+    /** Explicit per-origin cashflows. Exactly one of pattern/cashflows. */
+    cashflows?: OriginCashflows[];
+    rates: DiscountRates;
+    provenance: RateProvenance;
+    convention: DiscountConvention;
+    /**
+     * Explicit risk margin (a dollar amount, not a rate). Carried through the
+     * result UNCHANGED and kept out of every total - never blended.
+     */
+    riskMargin?: number;
+}
+export interface DiscountedCashflowDetail {
+    /** Payment time in years from the valuation date under the chosen convention. */
+    timeYears: number;
+    amount: number;
+    /** Annual effective spot rate applied at timeYears. */
+    rate: number;
+    /** (1 + rate)^(-timeYears). */
+    discountFactor: number;
+    discounted: number;
+}
+export interface DiscountedUnpaidRow {
+    origin: string;
+    /** Undiscounted expected future payments (sum of cashflow amounts). */
+    nominal: number;
+    discounted: number;
+    /** nominal - discounted (the amount of discount taken). */
+    discount: number;
+    /** discounted / nominal; null when nominal is not positive. */
+    effectiveDiscountFactor: number | null;
+    cashflows: DiscountedCashflowDetail[];
+}
+export interface DiscountUnpaidResult {
+    method: "discountUnpaid";
+    convention: DiscountConvention;
+    rates: DiscountRates;
+    provenance: RateProvenance;
+    rows: DiscountedUnpaidRow[];
+    totals: {
+        nominal: number;
+        discounted: number;
+        discount: number;
+        effectiveDiscountFactor: number | null;
+    };
+    /**
+     * The caller's explicit risk margin, passed through untouched (null when
+     * none was supplied). NOT included in any total above: presenting it as a
+     * separate line is the consumer's job, per the explicit-only rule.
+     */
+    riskMargin: number | null;
+    warnings: string[];
+}
+/**
+ * Discounts expected future payments and reports nominal and discounted
+ * unpaid side by side, per origin and in total. See the module doc for the
+ * timing convention, curve lookup, and the ASOP 20 provenance/risk-margin
+ * rules this function enforces.
+ */
+export declare function discountUnpaid(input: DiscountUnpaidInput): DiscountUnpaidResult;
+//# sourceMappingURL=discounting.d.ts.map

package/dist/discounting.d.ts.map

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