@gloom-sh/terminal 0.0.0-stage → 0.19.0

package/src/plugins/builtin/analytics/risk-model.ts

@@ -0,0 +1,1288 @@
+import { portfolioOptionGreeks } from "./risk-options";
+import type { Portfolio, TickerRecord } from "../../../types/ticker";
+import { formatCurrency, formatNumber } from "../../../utils/format";
+import { resolveCurrencyUnit } from "../../../utils/currency-units";
+import {
+  getPortfolioPositionMetrics,
+  resolvePortfolioMarketValue,
+} from "../../../portfolio/position-metrics";
+import type { Quote } from "../../../types/financials";
+import type { CloudQuotePayload } from "../../../api-client/types";
+import { getCompletedRegularSessionDisplay } from "../../../market-data/market/status";
+import { quoteTradingDay } from "../../../market-data/quotes/day-range";
+import type { DatedReturn } from "./metrics";
+import {
+  computeWeightedPortfolioReturns,
+  syntheticPositionUnsupportedReason,
+} from "./metrics";
+import {
+  buyAndHoldReturns,
+  concentration,
+  pairedReturns,
+  regressReturns,
+  RISK_TAIL_CONFIDENCE,
+  RISK_TAIL_MINIMUM,
+  rollingBasketRisk,
+  rollingBeta,
+  sinceBasketRisk,
+  subtractReturns,
+} from "./risk-math";
+import {
+  repriceBook,
+  RISK_SHOCK_LIMITS,
+  riskCashLines,
+  type RiskAssetShift,
+  type RiskBookLine,
+  type RiskCashLine,
+  type RiskFxShift,
+  type RiskRepricing,
+} from "./risk-book";
+import {
+  calculateAccountPerformance,
+  calculateBrinson,
+  type PortfolioRiskEvidence,
+} from "./risk-evidence";
+import {
+  RISK_FACTOR_INSTRUMENTS,
+  riskInstrumentId,
+  type RiskHoldingRequest,
+  type RiskMarketSnapshot,
+} from "./risk-client";
+import {
+  accountFxPair,
+  accountFxReason,
+  bridgedFxClose,
+  convertReturnsToAccount,
+  FX_UNAVAILABLE,
+  fxBridgeNote,
+  riskConversion,
+  type AccountFx,
+} from "./risk-fx";
+
+interface PortfolioRiskHolding {
+  id: string;
+  symbol: string;
+  exchange: string;
+  quantity: number;
+  currency: string;
+  /**
+   * Signed value at the current USD mark, in the account currency at its
+   * current rate; only these marks weight the basket.
+   */
+  value: number | null;
+  /** Weight in the covered basket, null outside it. */
+  weight: number | null;
+  /** Gross current value in the portfolio currency, for the covered share only; null when nothing values it. */
+  marketValue: number | null;
+  priceAsOf: string | null;
+  /**
+   * "close" when no current quote arrived and the latest completed close marks
+   * the holding; "regular-close" when the quote's regular session is over and
+   * its close marks it, not a pre-market or after-hours print.
+   */
+  markSource?: "quote" | "close" | "regular-close" | null;
+  /** The listing currency its closes were converted from at daily FX closes; null for a USD listing. */
+  convertedFrom: string | null;
+  historyAsOf: string | null;
+  /** Daily returns in the account currency. */
+  returns: DatedReturn[];
+  /** Dates its returns converted at the FX close before them, by pair ("GBP/USD"), its daily closes having none (bridgedFxClose). */
+  fxBridged: ReadonlyMap<string, readonly string[]>;
+  error: string | null;
+  /** Why the holding is outside the basket; null when it qualifies. */
+  leftOut: string | null;
+}
+/** A holding or a currency's cash outside the basket, with its share of the book when one is known. */
+interface RiskLeftOut {
+  id: string;
+  symbol: string;
+  reason: string;
+  value: number | null;
+  share: number | null;
+  /** Set on a currency's cash, which is never in the basket and does not make a report incomplete. */
+  cash?: true;
+}
+/** One currency of the book's cash, valued in the account currency. */
+interface RiskCashHolding extends RiskCashLine {
+  id: string;
+  /** "TRY cash". */
+  symbol: string;
+  /** Signed, in the portfolio currency at the current rate; null without a rate. */
+  value: number | null;
+}
+/** What the basket views cover of the account. */
+export interface RiskCoverage {
+  currency: string;
+  /**
+   * Gross current value of the book in the portfolio currency: every holding
+   * that has one, and the cash.
+   */
+  marketValue: number;
+  coveredValue: number;
+  /** Covered share of the book, cash included; an upper bound while `unvalued` lines have no value. */
+  share: number | null;
+  /** Gross value of the holdings alone, and the covered share of it, which `sufficient` reads. */
+  holdingsValue?: number;
+  holdingsShare?: number | null;
+  /** Gross value of the cash in the portfolio currency. */
+  cashValue?: number;
+  holdings: number;
+  /** Holdings that qualify for the basket. */
+  covered: number;
+  /** Covered holdings whose returns were converted to USD from their listing currency. */
+  converted: number;
+  /** Holdings and cash lines nothing values. */
+  unvalued: number;
+  minimumShare: number;
+  /** The basket views estimate only when qualifying holdings reach the minimum share of the holdings, cash aside. */
+  sufficient: boolean;
+  /** Holdings and cash, largest first. */
+  leftOut: RiskLeftOut[];
+}
+export interface RiskDisplayRow {
+  id: string;
+  label: string;
+  value: number | null;
+  unit: string;
+  percentile: number | null;
+  asOf: string | null;
+  detail: string;
+  history?: Array<{ date: string; value: number | null }>;
+  /** Brinson effects in pp, on attribution rows only; `value` is their total. */
+  allocation?: number;
+  selection?: number;
+  interaction?: number;
+  /** Holdings rows only: why the holding is outside the covered basket. */
+  leftOut?: string;
+  /**
+   * A loss or change in money beside `value`, in `amountCurrency`: VaR and
+   * expected shortfall on the covered basket's current value (`amountBase`),
+   * a shock on the repriced line.
+   */
+  amount?: number;
+  amountCurrency?: string;
+  amountBase?: number;
+  /** What a tail loss in money is taken on: the basket's value and share of the book, and what it leaves out. */
+  basis?: string;
+}
+/** The tail-loss rows, which also read in money on the covered basket. */
+const TAIL_ROW_IDS: ReadonlySet<string> = new Set(["var", "es"]);
+/**
+ * Below half of market value the qualifying holdings are not most of the
+ * account, so a basket estimate would mostly describe something other than it;
+ * the basket views say why instead of estimating.
+ */
+const RISK_MIN_COVERAGE = 0.5;
+/** Views computed from the covered basket; the others read the whole account or its option book. */
+export const BASKET_VIEWS: ReadonlySet<RiskView> = new Set(["risk", "factors", "holdings", "correlation", "stress"]);
+/** Book-level concentration rows that lead the holdings view, ahead of one row per holding. */
+export const HOLDINGS_SUMMARY_ROW_IDS: ReadonlySet<string> = new Set(["top", "top-five", "hhi"]);
+export const RISK_VIEWS = [
+  "risk",
+  "factors",
+  "holdings",
+  "correlation",
+  "stress",
+  "performance",
+  "attribution",
+  "greeks",
+] as const;
+export type RiskView = (typeof RISK_VIEWS)[number];
+export interface RiskShifts {
+  equity: number;
+  rates: number;
+  volatility: number;
+  /** Currencies' moves against USD and holdings' own price moves, applied together to every line of the book. */
+  fx?: RiskFxShift[];
+  assets?: RiskAssetShift[];
+}
+/** The benchmark the basket's returns, active return and tracking error are measured against. */
+const RISK_BENCHMARK = "SPY";
+
+/**
+ * The window the risk rows cover: the trailing 60 sessions, or, with `since:
+ * "filed"`, every session since the filing date of a portfolio imported from
+ * a 13F.
+ */
+export interface RiskWindowRequest {
+  since?: "filed";
+  /**
+   * Since the filing: "13f" (the default) buys the 13F's own weights at the
+   * filing-date close and holds them; "current" holds today's weights fixed
+   * over the same sessions.
+   */
+  weights?: "13f" | "current";
+}
+
+/** How the since-filing basket is weighted, and where 13F weights came from. */
+type RiskWeighting =
+  | { kind: "13f"; weights: ReadonlyMap<string, number>; source: "stored" | "cost" }
+  | { kind: "current"; reason?: string };
+
+const MONTHS = ["Jan", "Feb", "Mar", "Apr", "May", "Jun", "Jul", "Aug", "Sep", "Oct", "Nov", "Dec"];
+/** "14 Aug 2026" for 2026-08-14. */
+const dayText = (date: string) => `${Number(date.slice(8, 10))} ${MONTHS[Number(date.slice(5, 7)) - 1] ?? ""} ${date.slice(0, 4)}`;
+
+/**
+ * The 13F's own weights of an imported portfolio, by ticker: stored by the
+ * import, else rebuilt from its positions. An import sizes every position at
+ * the filing's reported shares, scaled, and costs it at the filing's implied
+ * price, so shares times cost is each line's reported value. A position
+ * without a USD cost cannot be rebuilt, and the basket says so.
+ */
+function thirteenFWeighting(
+  portfolio: Portfolio,
+  tickers: readonly TickerRecord[],
+): RiskWeighting {
+  const stored = Object.entries(portfolio.importedFrom?.weights ?? {})
+    .filter(([, weight]) => Number.isFinite(weight) && weight > 0);
+  if (stored.length) return { kind: "13f", weights: new Map(stored), source: "stored" };
+  const values = new Map<string, number>();
+  for (const ticker of portfolioRiskTickers(tickers, portfolio.id)) {
+    const lots = positions(ticker, portfolio.id);
+    const value = lots.reduce((sum, lot) =>
+      lot.side !== "short" && lot.shares > 0 && Number.isFinite(lot.avgCost) && lot.avgCost! > 0 && (lot.currency ?? "USD") === "USD"
+        ? sum + lot.shares * lot.avgCost!
+        : Number.NaN, 0);
+    if (!Number.isFinite(value) || value <= 0)
+      return {
+        kind: "current",
+        reason: `"${portfolio.name}" has no stored 13F weights and ${ticker.metadata.ticker} has no USD cost to rebuild them from, so the rows hold today's weights fixed. Re-import it (portfolio import --13f ${portfolio.importedFrom?.cik ?? "<CIK>"} --replace) for buy-and-hold.`,
+      };
+    values.set(ticker.metadata.ticker, value);
+  }
+  const total = [...values.values()].reduce((sum, value) => sum + value, 0);
+  return total > 0
+    ? { kind: "13f", weights: new Map([...values].map(([symbol, value]) => [symbol, value / total])), source: "cost" }
+    : { kind: "current", reason: `"${portfolio.name}" has no positions to weight.` };
+}
+
+/** One line naming how the since-filing rows are measured, from the close they start at. */
+export function sinceFiledMethod(window: { start: string | null; filed: string; weights: "13f" | "current" }, benchmark: string): string {
+  const close = dayText(window.start ?? window.filed);
+  return window.weights === "13f"
+    ? `Buy-and-hold from the ${close} close at the 13F's weights, against ${benchmark}`
+    : `Current weights held fixed since the ${close} close, against ${benchmark}; not buy-and-hold`;
+}
+
+/** Why a portfolio asked for risk since its filing shows the trailing window instead. */
+export const sinceFallbackNote = (portfolio: Pick<Portfolio, "name">) =>
+  `"${portfolio.name}" was not imported from a 13F, so it has no filing date; the risk rows cover the trailing 60 sessions.`;
+
+const DEFAULT_RISK_SHIFTS: RiskShifts = {
+  equity: -10,
+  rates: 100,
+  volatility: 10,
+};
+
+function fredChanges(data: RiskMarketSnapshot["yields"]): DatedReturn[] {
+  const rows = (data?.observations ?? [])
+    .filter((row): row is { date: string; value: number } => row.value != null)
+    .toSorted((a, b) => a.date.localeCompare(b.date));
+  return rows
+    .slice(1)
+    .map((row, index) => ({
+      startDateKey: rows[index]!.date,
+      dateKey: row.date,
+      value: row.value - rows[index]!.value,
+    }));
+}
+function quoteDate(value: number | undefined): string | null {
+  return Number.isFinite(value) && value! > 0
+    ? new Date(value!).toISOString()
+    : null;
+}
+/**
+ * A current quote's close once its regular session is over (after hours,
+ * overnight, through a weekend, and in the pre-market while the quote reports
+ * the last close), as `portfolio show --close` values a book: a pre-market or
+ * after-hours print never marks a holding. Null while the session trades.
+ */
+function regularCloseMark(quote: CloudQuotePayload): { price: number; date: string } | null {
+  const read: Quote = { ...quote, change: quote.change ?? Number.NaN, changePercent: quote.changePercent ?? Number.NaN,
+    priceBasis: quote.priceBasis === "nav" ? undefined : quote.priceBasis };
+  const close = getCompletedRegularSessionDisplay(read);
+  const date = quote.regularCloseSessionDate ?? quoteTradingDay(read);
+  return close && Number.isFinite(close.price) && close.price > 0 && date ? { price: close.price, date } : null;
+}
+function positions(ticker: TickerRecord, id: string) {
+  return ticker.metadata.positions.filter(
+    (row) => row.portfolio === id && row.shares !== 0,
+  );
+}
+export function portfolioRiskTickers(
+  tickers: readonly TickerRecord[],
+  portfolioId: string,
+) {
+  return tickers.filter(
+    (ticker) =>
+      ticker.metadata.portfolios.includes(portfolioId) &&
+      positions(ticker, portfolioId).length > 0,
+  );
+}
+const signedQuantity = (lots: TickerRecord["metadata"]["positions"]) =>
+  lots.reduce(
+    (sum, row) => sum + (row.side === "short" ? -Math.abs(row.shares) : row.shares),
+    0,
+  );
+/** What the market load needs to rank holdings by value and skip the ones the basket cannot take. */
+export function portfolioRiskRequests(
+  tickers: readonly TickerRecord[],
+  portfolioId: string,
+): RiskHoldingRequest[] {
+  return tickers.map((ticker) => {
+    const lots = positions(ticker, portfolioId);
+    const currency = lots.find((row) => row.currency)?.currency ?? ticker.metadata.currency;
+    const snapshot = lots.every(
+      (row) => Number.isFinite(row.marketValue) && (row.currency ?? ticker.metadata.currency) === "USD",
+    )
+      ? lots.reduce((sum, row) => sum + Math.abs(row.marketValue!), 0)
+      : null;
+    return {
+      symbol: ticker.metadata.ticker,
+      exchange: ticker.metadata.exchange,
+      quantity: signedQuantity(lots),
+      currency,
+      snapshotValue: snapshot,
+      unsupported:
+        syntheticPositionUnsupportedReason(ticker, "USD", portfolioId) != null ||
+        lots.some((row) => !Number.isFinite(row.shares)),
+    };
+  });
+}
+/**
+ * Current gross value of a holding outside the USD marks, in the portfolio
+ * currency: its listing price, else the broker's snapshot, at the load's rates.
+ * It sizes what is left out and never enters a return.
+ */
+function outsideValue(
+  ticker: TickerRecord,
+  portfolio: Portfolio,
+  price: { price: number; currency: string } | null,
+  rates: Readonly<Record<string, number>>,
+): number | null {
+  const toUsd = (value: number, currency: string) => {
+    const unit = resolveCurrencyUnit(currency);
+    const rate = unit.currency === "USD" ? 1 : rates[unit.currency];
+    return rate != null && rate > 0 ? (value * rate) / unit.divisor : Number.NaN;
+  };
+  const toAccount = (value: number, currency: string) => {
+    if (currency === portfolio.currency) return value;
+    const rate = portfolio.currency === "USD" ? 1 : rates[portfolio.currency];
+    return rate != null && rate > 0 ? toUsd(value, currency) / rate : Number.NaN;
+  };
+  const metrics = getPortfolioPositionMetrics(ticker, portfolio.id, ticker.metadata.currency, {
+    currency: portfolio.currency,
+    convert: toAccount,
+  });
+  const unit = price && Number.isFinite(price.price) && price.price > 0
+    ? toAccount(price.price, price.currency)
+    : null;
+  const value = resolvePortfolioMarketValue(metrics, unit != null && Number.isFinite(unit) ? unit : null)?.gross;
+  return value != null && Number.isFinite(value) ? value : null;
+}
+/** Cash in the portfolio currency at the load's rates (USD per unit); null without a rate. */
+function cashValue(line: RiskCashLine, accountCurrency: string, rates: Readonly<Record<string, number>>): number | null {
+  const unit = resolveCurrencyUnit(line.currency);
+  if (unit.currency === accountCurrency) return line.amount / unit.divisor;
+  const usd = unit.currency === "USD" ? 1 : rates[unit.currency];
+  const account = accountCurrency === "USD" ? 1 : rates[accountCurrency];
+  const value = usd != null && usd > 0 && account != null && account > 0 ? (line.amount / unit.divisor) * usd / account : Number.NaN;
+  return Number.isFinite(value) ? value : null;
+}
+/** Why a currency's cash is outside the basket, and for one in another currency, what moves its value. */
+function cashReason(line: RiskCashLine, accountCurrency: string): string {
+  const own = resolveCurrencyUnit(line.currency).currency;
+  return own === accountCurrency
+    ? "Cash is outside the equity basket"
+    : `Cash is outside the equity basket; its ${accountCurrency} value moves with ${own}`;
+}
+/** One note per pair whose missing daily closes the basket's returns were converted across (fxBridgeNote). */
+function fxBridgeNotes(members: readonly Pick<PortfolioRiskHolding, "fxBridged">[]): string[] {
+  const byPair = new Map<string, Set<string>>();
+  for (const member of members)
+    for (const [pair, dates] of member.fxBridged) {
+      const set = byPair.get(pair) ?? new Set<string>();
+      for (const date of dates) set.add(date);
+      byPair.set(pair, set);
+    }
+  return [...byPair].flatMap(([pair, dates]) => fxBridgeNote(pair, dates) ?? []);
+}
+/** USD returns in the account currency, or none with the reason its daily closes cannot convert them. */
+function accountReturns(
+  returns: readonly DatedReturn[],
+  account: AccountFx,
+): { returns: DatedReturn[]; bridged: string[]; error: string | null } {
+  if (account.error) return { returns: [], bridged: [], error: account.error };
+  try {
+    return { ...convertReturnsToAccount(returns, account), error: null };
+  } catch (error) {
+    return { returns: [], bridged: [], error: error instanceof Error ? error.message : accountFxReason(account.currency, FX_UNAVAILABLE) };
+  }
+}
+/** The dates a holding's returns converted at the FX close before them, by pair: its listing's into USD, then USD into the account's. */
+function holdingFxBridges(
+  listingCurrency: string | null,
+  listingBridged: readonly string[] | undefined,
+  account: AccountFx | null | undefined,
+  accountBridged: readonly string[] | undefined,
+): Map<string, readonly string[]> {
+  const bridges = new Map<string, readonly string[]>();
+  const listingPair = listingCurrency && listingBridged?.length ? accountFxPair(riskConversion(listingCurrency)?.currency ?? listingCurrency) : null;
+  if (listingPair) bridges.set(listingPair, listingBridged!);
+  const accountPair = account?.pair;
+  if (accountPair && accountBridged?.length) bridges.set(accountPair, [...(bridges.get(accountPair) ?? []), ...accountBridged]);
+  return bridges;
+}
+/**
+ * "returns in TRY at daily USD/TRY closes": the currency the basket views of a
+ * non-USD account are in and how they got there; null for a USD account, or
+ * when its daily closes were unavailable and nothing converted.
+ */
+export function riskReturnsCurrency(model: Pick<PortfolioRiskModel, "accountConversion"> | null | undefined): string | null {
+  const conversion = model?.accountConversion;
+  return conversion ? `returns in ${conversion.currency} at daily ${conversion.pair} closes` : null;
+}
+// The epsilon keeps 29 of 100 at 29%, not the 28 that 0.29 * 100 rounds down to.
+const coveragePercent = (share: number) => Math.floor(share * 100 + 1e-9);
+const holdingCount = (count: number) => `${count} holding${count === 1 ? "" : "s"}`;
+const shareText = (share: number) =>
+  share < 0.001 ? "under 0.1%" : `${(share * 100).toFixed(1)}%`;
+const convertedText = (coverage: RiskCoverage) =>
+  coverage.converted ? `${holdingCount(coverage.converted)} converted from local currency` : null;
+/** Whole percents of shares that add up to one, the remainders handed out largest first, so a line of them adds up to 100. */
+function wholePercents(shares: readonly number[]): number[] {
+  const raw = shares.map((share) => share * 100);
+  const whole = raw.map((value) => Math.floor(value + 1e-9));
+  let left = Math.round(raw.reduce((sum, value) => sum + value, 0)) - whole.reduce((sum, value) => sum + value, 0);
+  const order = raw.map((_, index) => index).sort((a, b) => raw[b]! - whole[b]! - (raw[a]! - whole[a]!));
+  for (const index of order) {
+    if (left <= 0) break;
+    whole[index]! += 1;
+    left -= 1;
+  }
+  return whole;
+}
+const percentText = (percent: number, share: number) => (percent > 0 ? `${percent}%` : share > 0 ? "under 1%" : "0%");
+/** Lines the coverage line names before "N more". */
+const NAMED_EXCLUSIONS = 2;
+/**
+ * "basket 48,286 USD = 72% of book; left out: BTC-USD 10%, TRY cash 18%": the
+ * value the basket views estimate on, its share of the whole book (every
+ * holding and the cash), and what it leaves out, largest first, the percents
+ * adding up to 100. Past three lines left out the rest read "7 more 14%". The
+ * basket's share reads "at most" while a line has no value, and a line nothing
+ * values is named with "value unknown". Converted listings are counted after.
+ */
+export function riskCoverageLine(coverage: RiskCoverage | undefined): string | null {
+  if (!coverage) return null;
+  const named = coverage.leftOut.length <= NAMED_EXCLUSIONS + 1 ? coverage.leftOut : coverage.leftOut.slice(0, NAMED_EXCLUSIONS);
+  const rest = coverage.leftOut.slice(named.length);
+  const restShare = rest.reduce((sum, row) => sum + (row.share ?? 0), 0);
+  const shares = [coverage.share ?? 0, ...named.map((row) => row.share ?? 0), ...(rest.length ? [restShare] : [])];
+  const percents = wholePercents(shares);
+  const basket = `basket ${formatNumber(coverage.coveredValue, 0)} ${coverage.currency}${coverage.share == null ? "" : ` = ${coverage.unvalued ? "at most " : ""}${percentText(percents[0]!, shares[0]!)} of book`}`;
+  const items = [
+    ...named.map((row, index) => `${row.symbol} ${row.share == null ? "value unknown" : percentText(percents[index + 1]!, row.share)}`),
+    ...(rest.length ? [`${rest.length} more${restShare > 0 ? ` ${percentText(percents.at(-1)!, restShare)}` : ""}`] : []),
+  ];
+  return [`${basket}${items.length ? `; left out: ${items.join(", ")}` : ""}`, convertedText(coverage)].filter(Boolean).join(" · ");
+}
+/** Whether the basket leaves out a holding, which makes a report incomplete; cash never is in it. */
+export const riskHoldingsLeftOut = (coverage: RiskCoverage) => coverage.leftOut.some((row) => !row.cash);
+/**
+ * "historical, 1-day, 95%, 60 daily returns": how VaR and expected shortfall
+ * are estimated, from the sample they read; without an estimate, how many
+ * returns it needs.
+ */
+function riskTailMethod(samples: number, estimated: boolean): string {
+  const head = `historical, 1-day, ${Math.round(RISK_TAIL_CONFIDENCE * 100)}%`;
+  return estimated
+    ? `${head}, ${samples} daily returns`
+    : `${head}; needs ${RISK_TAIL_MINIMUM} daily returns${samples ? `, has ${samples}` : ""}`;
+}
+/** The unit of the concentration shares, which divide the priced holdings' value, cash aside. */
+export const HOLDINGS_SHARE_UNIT = "% holdings";
+/** A reason reads as the tail of a sentence, so its first word loses its capital unless it is an acronym ("FX", "USD"). */
+const lowerFirst = (text: string) => (/^[A-Z][a-z]/.test(text) ? text[0]!.toLowerCase() + text.slice(1) : text);
+/** One sentence per holding or cash left out, largest first, naming it and why it is out. */
+export function riskCoverageNotices(coverage: RiskCoverage | undefined): string[] {
+  if (!coverage?.leftOut.length) return [];
+  return coverage.leftOut.map(
+    (row) =>
+      `${row.symbol} (${row.share == null ? "value unknown" : `${shareText(row.share)} of the book`}) is excluded from the risk estimate: ${lowerFirst(row.reason.replace(/\.$/, ""))}.`,
+  );
+}
+/** What an empty portfolio's pane says after "No holdings in this portfolio.": where holdings come from. */
+export const NO_HOLDINGS_HINT = "Add holdings from the Portfolio pane (PF), or connect a broker in BR to sync them.";
+/** Why the basket views show no estimate, when too little of the holdings qualifies. */
+export function riskCoverageShortfall(
+  coverage: RiskCoverage | undefined,
+): { title: string; message: string } | null {
+  if (!coverage || coverage.sufficient) return null;
+  if (!coverage.holdings) return { title: "No holdings in this portfolio.", message: "" };
+  const minimum = Math.round(coverage.minimumShare * 100);
+  // A share of what is invested: cash is no holding the basket could take.
+  const share = coverage.holdingsShare !== undefined ? coverage.holdingsShare : coverage.share;
+  const base = coverage.holdingsValue ?? coverage.marketValue;
+  const reasons = new Map<string, { share: number; count: number }>();
+  for (const row of coverage.leftOut) {
+    if (row.cash) continue;
+    const entry = reasons.get(row.reason) ?? { share: 0, count: 0 };
+    entry.share += row.value != null && base > 0 ? row.value / base : 0;
+    entry.count += 1;
+    reasons.set(row.reason, entry);
+  }
+  const [reason, largest] = [...reasons].sort(
+    ([, left], [, right]) => right.share - left.share || right.count - left.count,
+  )[0] ?? [];
+  return {
+    title: coverage.covered === 0 || share == null
+      ? `No holding qualifies for basket estimates, which need ${minimum}% of the holdings' value.`
+      : `Qualifying holdings cover ${coverage.unvalued ? "at most " : ""}${coveragePercent(share)}% of the holdings' value; basket estimates need ${minimum}%.`,
+    message: reason
+      ? `Most of what is left out: ${reason}${largest!.share > 0 ? ` (${shareText(largest!.share)} of the holdings' value)` : ""}.`
+      : "",
+  };
+}
+/**
+ * The stress rows of the given shocks: each line they move, its change in
+ * percent of its own value and in money, then the book's total, in percent of
+ * its net value with the cash.
+ */
+/** The Stress row that totals the currency and price shocks over the whole book. */
+export const BOOK_TOTAL_ROW_ID = "shock:book";
+/** A Stress row of the currency and price shocks, which reprice the book without the basket. */
+export function isShockRow(row: Pick<RiskDisplayRow, "id">): boolean {
+  return row.id.startsWith("shock:");
+}
+function repricingRows(repricing: RiskRepricing, currency: string, asOf: string): RiskDisplayRow[] {
+  const money = (value: number) => `${formatNumber(value, 0)} ${currency}`;
+  return [
+    ...repricing.lines.map((line) => ({
+      id: `shock:${line.id}`,
+      label: line.label,
+      value: line.percent,
+      unit: "%",
+      percentile: null,
+      asOf,
+      detail: `${line.shocks.join(", ")}; ${line.before == null || line.after == null ? "value unknown, not repriced" : `${money(line.before)} to ${money(line.after)}`}`,
+      ...(line.change != null ? { amount: line.change, amountCurrency: currency } : {}),
+    })),
+    {
+      id: BOOK_TOTAL_ROW_ID,
+      label: "Book total",
+      value: repricing.percent,
+      unit: "%",
+      percentile: null,
+      asOf,
+      detail: `${repricing.scenario}; of ${money(repricing.bookValue)} book, cash included${repricing.unvalued.length ? `; ${repricing.unvalued.join(", ")} without a value not repriced` : ""}`,
+      amount: repricing.change,
+      amountCurrency: currency,
+    },
+  ];
+}
+/**
+ * Basket estimates use the holdings that qualify, reweighted among themselves.
+ * Every other holding stays listed with its reason and counts in the market
+ * value they are measured against.
+ */
+export function buildPortfolioRisk(
+  portfolio: Portfolio,
+  tickers: readonly TickerRecord[],
+  market: RiskMarketSnapshot,
+  evidence: PortfolioRiskEvidence | null = null,
+  shifts: RiskShifts = DEFAULT_RISK_SHIFTS,
+  window: RiskWindowRequest = {},
+  /** The book's cash by currency; the portfolio's own entry when left out. */
+  cash: readonly RiskCashLine[] = riskCashLines(portfolio, null),
+) {
+  if (
+    ![shifts.equity, shifts.rates, shifts.volatility].every(Number.isFinite) ||
+    shifts.equity <= -100 ||
+    Math.abs(shifts.equity) > 100 ||
+    Math.abs(shifts.rates) > 500 ||
+    shifts.volatility < -50 ||
+    shifts.volatility > 100 ||
+    [...(shifts.fx ?? []), ...(shifts.assets ?? [])].some((shift) =>
+      !Number.isFinite(shift.percent) || shift.percent < RISK_SHOCK_LIMITS.minimum || shift.percent > RISK_SHOCK_LIMITS.maximum)
+  )
+    throw new Error("Stress shifts exceed the supported range");
+  if (
+    evidence &&
+    (evidence.portfolioId !== portfolio.id ||
+      evidence.currency !== portfolio.currency)
+  )
+    throw new Error(
+      "Imported evidence belongs to a different portfolio or currency",
+    );
+  const byId = new Map(
+    market.histories.map((row) => [riskInstrumentId(row.instrument), row]),
+  );
+  // A non-USD account converts every USD return at its currency's daily closes and every USD mark at its current rate.
+  const account: AccountFx | null =
+    portfolio.currency === "USD"
+      ? null
+      : market.accountFx?.currency === portfolio.currency
+        ? market.accountFx
+        : {
+            currency: portfolio.currency,
+            pair: accountFxPair(portfolio.currency),
+            closes: {},
+            first: null,
+            asOf: null,
+            error: accountFxReason(portfolio.currency, FX_UNAVAILABLE),
+          };
+  // Without a current rate the latest daily close values the account.
+  const latestAccountClose = account?.asOf ? account.closes[account.asOf] : undefined;
+  const rates: Readonly<Record<string, number>> =
+    account && !((market.fxRates?.[account.currency] ?? 0) > 0) && latestAccountClose
+      ? { ...market.fxRates, [account.currency]: latestAccountClose }
+      : (market.fxRates ?? {});
+  const accountRate = account ? rates[account.currency] : undefined;
+  const holdings: PortfolioRiskHolding[] = portfolioRiskTickers(
+    tickers,
+    portfolio.id,
+  ).map((ticker) => {
+    const instrument = {
+        symbol: ticker.metadata.ticker,
+        exchange: ticker.metadata.exchange,
+      },
+      id = riskInstrumentId(instrument);
+    const history = byId.get(id),
+      quote = history?.quote,
+      lots = positions(ticker, portfolio.id);
+    // A current quote marks the holding, at its close once the regular session
+    // is over; otherwise its latest completed close does. A converted quote's
+    // session fields are still in its listing currency, and its venue has no
+    // extended prints to leave out.
+    const close = history?.closeMark ?? null;
+    const regularClose = !close && quote && !quote.stale && !history?.converted ? regularCloseMark(quote) : null;
+    const mark = close
+      ? { price: close.price, currency: close.currency, stale: false }
+      : quote
+        ? { price: regularClose?.price ?? quote.price, currency: quote.currency, stale: !!quote.stale }
+        : null;
+    const quantity = signedQuantity(lots);
+    // A converted listing is marked and returned in USD; its own currency is what the holding records.
+    const convertedFrom = history?.converted?.currency ?? null;
+    const listingCurrency =
+      quote?.currency ?? close?.currency ?? history?.listing?.currency ?? ticker.metadata.currency;
+    const foreign = !convertedFrom && listingCurrency !== "USD";
+    const usdError =
+      syntheticPositionUnsupportedReason(ticker, "USD", portfolio.id) ??
+      (lots.some((row) => !Number.isFinite(row.shares))
+        ? "Invalid position quantity"
+        : null) ??
+      (ticker.metadata.currency &&
+      (convertedFrom ?? mark?.currency) &&
+      ticker.metadata.currency !== (convertedFrom ?? mark?.currency)
+        ? "Holding and quote currencies differ"
+        : null) ??
+      // A foreign listing that did not convert says why: no pair, stale or gapped FX.
+      (foreign
+        ? (history?.error ?? syntheticPositionUnsupportedReason(ticker, listingCurrency, portfolio.id))
+        : null) ??
+      history?.error ??
+      (!history ? "Daily history unavailable" : null);
+    // A holding with a USD history converts into the account currency, or is left out with the reason it cannot.
+    const inAccount = account && !usdError ? accountReturns(history?.returns ?? [], account) : null;
+    const error = usdError ?? inAccount?.error ?? null;
+    const priceDate = close ? close.date : regularClose ? regularClose.date : quoteDate(quote?.lastUpdated);
+    const marked =
+      mark &&
+      mark.currency === "USD" &&
+      !mark.stale &&
+      Number.isFinite(mark.price) &&
+      mark.price > 0 &&
+      priceDate &&
+      (!syntheticPositionUnsupportedReason(
+        ticker,
+        mark.currency,
+        portfolio.id,
+      ) ||
+        error?.startsWith("Short positions"))
+        ? quantity * mark.price
+        : null;
+    const accountValue = marked == null || !account ? marked : accountRate! > 0 ? marked / accountRate! : null;
+    const value = accountValue != null && Number.isFinite(accountValue) ? accountValue : null;
+    const returns = inAccount?.returns ?? history?.returns ?? [];
+    const leftOut =
+      error ??
+      (value == null || value <= 0
+        ? "No current USD mark"
+        : returns.length < 60
+          ? "Fewer than 60 daily returns"
+          : null);
+    return {
+      id,
+      ...instrument,
+      quantity,
+      currency: listingCurrency,
+      value,
+      weight: null,
+      marketValue:
+        value != null
+          ? Math.abs(value)
+          : outsideValue(ticker, portfolio, quote ?? history?.listing ?? null, rates),
+      priceAsOf: priceDate,
+      markSource: close ? "close" : regularClose ? "regular-close" : quote ? "quote" : null,
+      convertedFrom,
+      // Converted returns end with the account currency's last daily close.
+      historyAsOf: (inAccount ? inAccount.returns.at(-1)?.dateKey : null) ?? history?.asOf ?? null,
+      returns,
+      fxBridged: holdingFxBridges(convertedFrom, history?.converted?.fxBridged, account, inAccount?.bridged),
+      error,
+      leftOut,
+    };
+  });
+  // Each currency's cash once, valued in the portfolio currency.
+  const cashTotals = new Map<string, number>();
+  for (const line of cash)
+    if (Number.isFinite(line.amount) && line.amount !== 0)
+      cashTotals.set(line.currency, (cashTotals.get(line.currency) ?? 0) + line.amount);
+  const cashHoldings: RiskCashHolding[] = [...cashTotals].map(([currency, amount]) => ({
+    id: `cash:${currency}`,
+    symbol: `${currency} cash`,
+    currency,
+    amount,
+    value: cashValue({ currency, amount }, portfolio.currency, rates),
+  }));
+  const qualifying = holdings.filter((row) => row.leftOut == null);
+  const valued = holdings.filter((row) => row.marketValue != null);
+  const holdingsValue = valued.reduce((sum, row) => sum + row.marketValue!, 0);
+  // Cash counts in the book the coverage is a share of, at its gross value as a short does.
+  const cashGross = cashHoldings.reduce((sum, row) => sum + Math.abs(row.value ?? 0), 0);
+  const marketValue = holdingsValue + cashGross;
+  const coveredValue = qualifying.reduce((sum, row) => sum + row.value!, 0);
+  const share = marketValue > 0 ? coveredValue / marketValue : null;
+  // Whether the basket is most of what is invested: cash is no holding the basket could have taken.
+  const holdingsShare = holdingsValue > 0 ? coveredValue / holdingsValue : null;
+  const sufficient = qualifying.length > 0 && holdingsShare != null && holdingsShare >= RISK_MIN_COVERAGE;
+  const bookShare = (value: number | null) => value != null && marketValue > 0 ? value / marketValue : null;
+  const coverage: RiskCoverage = {
+    currency: portfolio.currency,
+    marketValue,
+    coveredValue,
+    share,
+    holdingsValue,
+    holdingsShare,
+    cashValue: cashGross,
+    holdings: holdings.length,
+    covered: qualifying.length,
+    converted: qualifying.filter((row) => row.convertedFrom != null).length,
+    unvalued: holdings.length - valued.length + cashHoldings.filter((row) => row.value == null).length,
+    minimumShare: RISK_MIN_COVERAGE,
+    sufficient,
+    leftOut: [
+      ...holdings
+        .filter((row) => row.leftOut != null)
+        .map((row): RiskLeftOut => ({
+          id: row.id,
+          symbol: row.symbol,
+          reason: row.leftOut!,
+          value: row.marketValue,
+          share: bookShare(row.marketValue),
+        })),
+      ...cashHoldings.map((row): RiskLeftOut => {
+        const value = row.value == null ? null : Math.abs(row.value);
+        return { id: row.id, symbol: row.symbol, reason: cashReason(row, portfolio.currency), value, share: bookShare(value), cash: true };
+      }),
+    ].sort((a, b) => (b.value ?? -1) - (a.value ?? -1)),
+  };
+  // Weights renormalize over the covered basket; nothing outside it is approximated into it.
+  const members = sufficient ? qualifying : [];
+  const basketWeights = members.length ? concentration(members) : null;
+  for (const holding of members)
+    holding.weight =
+      basketWeights?.rows.find((row) => row.id === holding.id)?.weight ?? null;
+  // Concentration needs a value, not a return history: it reads every holding that has one, left out of the basket or not.
+  const book = concentration(
+    valued.filter((row) => row.marketValue! > 0).map((row) => ({ id: row.id, value: row.marketValue })),
+  );
+  const closeMarked = members.filter((row) => row.markSource === "close").length;
+  const converted = members.filter((row) => row.convertedFrom != null).length;
+  const held = new Set(holdings.map((row) => row.id));
+  // Caveats about an estimate that was made; the warnings are what failed.
+  const notes = [
+    ...(closeMarked
+      ? [
+          `${closeMarked} holding${closeMarked === 1 ? "" : "s"} had no current quote; weighted at the latest completed close.`,
+        ]
+      : []),
+    // Daily closes pair by date, so a market that closes before or after the US session is not synchronous with it.
+    ...(converted
+      ? [
+          "Converted holdings are matched to the US close of the same date; where their market closes at another time, correlations and betas to US holdings read lower than they are.",
+        ]
+      : []),
+    // A pair's daily closes skip Good Friday, Easter Monday, 25 Dec and 1 Jan; returns across them use the close before.
+    ...fxBridgeNotes(members),
+  ];
+  const warnings = [
+    ...market.warnings,
+    // A held instrument's failure is its left-out reason; factor proxies report here.
+    ...market.histories.flatMap((row) =>
+      row.error && !held.has(riskInstrumentId(row.instrument))
+        ? [`${row.instrument.symbol}: ${row.error}`]
+        : [],
+    ),
+  ];
+  const basket = members.length
+    ? computeWeightedPortfolioReturns(
+        members.map((row) => ({ weight: row.weight!, returns: row.returns })),
+      )
+    : [];
+  const proxy = (symbol: string) => {
+    const instrument = RISK_FACTOR_INSTRUMENTS.find(
+      (row) => row.symbol === symbol,
+    );
+    return (instrument && byId.get(riskInstrumentId(instrument))?.returns) || [];
+  };
+  // SPY's USD returns are the market factor and the equity stress; the risk
+  // rows compare the basket with SPY in the basket's own currency, bridged
+  // across missing account closes as the holdings are (bridgedFxClose). A
+  // session past a longer gap is a gap in that benchmark, so it cannot blank
+  // the holdings the closes do cover.
+  const spy = proxy(RISK_BENCHMARK);
+  const accountClose = (date: string) => account ? bridgedFxClose((day) => account.closes[day], date) : null;
+  const benchmark = account
+    ? accountReturns(spy.filter((point) => accountClose(point.startDateKey) && accountClose(point.dateKey)), account).returns
+    : spy;
+  // Since the filing only for a portfolio that has one; any other keeps the trailing window and says why.
+  const filed = window.since === "filed" ? portfolio.importedFrom?.filed ?? null : null;
+  if (window.since === "filed" && !filed)
+    notes.push(sinceFallbackNote(portfolio));
+  // Since the filing, the copier's basket by default: the 13F's weights bought at the filing-date close and held.
+  const weighting: RiskWeighting | null = !filed ? null
+    : window.weights === "current" ? { kind: "current" } : thirteenFWeighting(portfolio, tickers);
+  if (weighting?.kind === "current" && weighting.reason) notes.push(weighting.reason);
+  let sample = pairedReturns(basket, benchmark);
+  if (filed && weighting?.kind === "13f") {
+    const weights = weighting.weights;
+    const held = members.filter((row) => weights.has(row.symbol));
+    const outside = members.filter((row) => !weights.has(row.symbol)).map((row) => row.symbol);
+    const owned = new Set(holdings.map((row) => row.symbol));
+    const sold = [...weights.keys()].filter((symbol) => !owned.has(symbol));
+    if (weighting.source === "cost")
+      notes.push("13F weights rebuilt from each position's shares and cost, as imported; this portfolio predates stored 13F weights.");
+    if (outside.length)
+      notes.push(`Not in the 13F import, so outside the buy-and-hold basket: ${outside.join(", ")}.`);
+    if (sold.length)
+      notes.push(`No longer held, so the 13F weights are renormalised without: ${sold.join(", ")}.`);
+    const basket = buyAndHoldReturns(
+      held.map((row) => ({ weight: weights.get(row.symbol)!, returns: row.returns })),
+      filed,
+      benchmark,
+    );
+    // A basket that stops early, or a holding it could not buy, is named rather than read as the whole span.
+    if (basket.cutShort)
+      notes.push(`The buy-and-hold rows end on ${basket.cutShort.date}: ${held[basket.cutShort.holding]!.symbol} has no daily close after it.`);
+    if (basket.unpriced.length)
+      notes.push(`No close on or before the ${filed} filing, so outside the buy-and-hold basket: ${basket.unpriced.map((index) => held[index]!.symbol).join(", ")}.`);
+    sample = pairedReturns(basket.returns, benchmark);
+  }
+  const metrics = filed
+    ? sinceBasketRisk(sample, filed, RISK_BENCHMARK)
+    : rollingBasketRisk(sample, undefined, RISK_BENCHMARK);
+  // Factor proxies stay in USD: a beta is the account-currency move per unit of the factor as it trades.
+  const factors = [
+    { id: "market", label: "Market (SPY)", series: spy },
+    {
+      id: "size",
+      label: "Size (IWM - SPY)",
+      series: subtractReturns(proxy("IWM"), spy),
+    },
+    {
+      id: "value",
+      label: "Value (IWD - IWF)",
+      series: subtractReturns(proxy("IWD"), proxy("IWF")),
+    },
+    {
+      id: "momentum",
+      label: "Momentum (MTUM - SPY)",
+      series: subtractReturns(proxy("MTUM"), spy),
+    },
+    {
+      id: "quality",
+      label: "Quality (QUAL - SPY)",
+      series: subtractReturns(proxy("QUAL"), spy),
+    },
+    { id: "rates", label: "Rates (IEF)", series: proxy("IEF") },
+    {
+      id: "credit",
+      label: "Credit (HYG - IEF)",
+      series: subtractReturns(proxy("HYG"), proxy("IEF")),
+    },
+  ].map((factor) => ({
+    ...rollingBeta(basket, factor.series, factor.label, factor.id),
+    regression: regressReturns(basket.slice(-60), factor.series),
+  }));
+  const correlation = members.flatMap((left, index) =>
+    members.slice(index + 1).map((right) => {
+      const regression = regressReturns(left.returns.slice(-60), right.returns);
+      return {
+        left: left.id,
+        right: right.id,
+        label: `${left.symbol} / ${right.symbol}`,
+        ...regression,
+        value: regression?.correlation ?? null,
+      };
+    }),
+  );
+  const stresses = [
+    {
+      id: "equity",
+      label: `Index ${shifts.equity > 0 ? "+" : ""}${shifts.equity}%`,
+      series: spy,
+      shock: shifts.equity / 100,
+      source: "SPY price return",
+    },
+    {
+      id: "rates",
+      label: `10Y yield ${shifts.rates > 0 ? "+" : ""}${shifts.rates} bp`,
+      series: fredChanges(market.yields),
+      shock: shifts.rates / 100,
+      source: "DGS10 percentage-point change",
+    },
+    {
+      id: "volatility",
+      label: `VIX ${shifts.volatility > 0 ? "+" : ""}${shifts.volatility} points`,
+      series: fredChanges(market.volatility),
+      shock: shifts.volatility,
+      source: "VIXCLS point change",
+    },
+  ].map((stress) => {
+    const regression = regressReturns(basket.slice(-126), stress.series);
+    return {
+      ...stress,
+      regression,
+      value: regression ? regression.beta * stress.shock * 100 : null,
+    };
+  });
+  // The given currency and price shocks reprice every line of the book, cash included, at once.
+  const bookLines: RiskBookLine[] = [
+    ...holdings.map((row) => ({
+      id: row.id,
+      label: row.symbol,
+      currency: row.convertedFrom ?? row.currency,
+      // A holding outside the USD marks keeps its gross value, signed as its position is.
+      value: row.value ?? (row.marketValue == null ? null : row.quantity < 0 ? -row.marketValue : row.marketValue),
+      listing: { symbol: row.symbol, exchange: row.exchange },
+    })),
+    ...cashHoldings.map((row) => ({ id: row.id, label: row.symbol, currency: row.currency, value: row.value, listing: null })),
+  ];
+  const repricing = repriceBook(bookLines, portfolio.currency, shifts.fx, shifts.assets);
+  if (repricing?.unmatched.length) {
+    const held = holdings.map((row) => row.symbol);
+    for (const { kind, name } of repricing.unmatched)
+      notes.push(kind === "currency"
+        ? `Nothing in "${portfolio.name}" moves with ${name} against USD, so the ${name} shift changes nothing.`
+        : `"${portfolio.name}" holds no ${name}, so its shift changes nothing${held.length ? `; it holds ${held.slice(0, 8).join(", ")}${held.length > 8 ? ` and ${held.length - 8} more` : ""}` : ""}.`);
+  }
+  if (sufficient)
+    for (const factor of factors)
+      if (factor.samples === 0)
+        warnings.push(`${factor.label}: no matched factor history`);
+  if (sufficient && metrics.every((row) => row.value == null))
+    warnings.push(filed
+      ? `No completed session since the 13F filing on ${filed} yet.`
+      : "Fewer than 60 consecutive matched completed daily returns.");
+  const performance = evidence?.performance
+    ? calculateAccountPerformance(evidence.performance)
+    : null;
+  const attribution = evidence?.attribution
+    ? calculateBrinson(evidence.attribution)
+    : null;
+  const optionBook = evidence?.options
+    ? { ...evidence.options, complete: true, warnings: [] }
+    : market.brokerOptions;
+  const greeks = optionBook
+    ? portfolioOptionGreeks(
+        optionBook,
+        portfolio.currency,
+        Date.parse(market.fetchedAt),
+      )
+    : null;
+  warnings.push(...(greeks?.warnings ?? []));
+  const rows: Record<RiskView, RiskDisplayRow[]> = {
+    risk: metrics.map((row) => {
+      // VaR and expected shortfall are a one-day loss on the covered basket's current value, in the portfolio currency.
+      const tail = TAIL_ROW_IDS.has(row.id) && row.value != null && coverage.coveredValue > 0;
+      return {
+        ...row,
+        percentile: row.rank.percentile,
+        // The tail rows name how they are estimated; the other rows' method (price returns, bought and held or at fixed current weights) is in docs.
+        detail: TAIL_ROW_IDS.has(row.id) ? riskTailMethod(row.samples, row.value != null) : `${row.samples} sessions`,
+        ...(tail
+          ? {
+              amount: (row.value! / 100) * coverage.coveredValue,
+              amountCurrency: coverage.currency,
+              amountBase: coverage.coveredValue,
+              basis: riskCoverageLine(coverage) ?? undefined,
+            }
+          : {}),
+      };
+    }),
+    factors: factors.map((row) => ({
+      ...row,
+      percentile: row.rank.percentile,
+      detail: `${row.samples} sessions; R² ${row.regression?.rSquared?.toFixed(2) ?? "--"}; independent ETF proxy`,
+    })),
+    // Largest current value first, left-out holdings and each currency's cash in place; unvalued ones last.
+    holdings: [
+      ...holdings.map((row) => ({
+        size: row.marketValue,
+        row: {
+          id: row.id,
+          label: row.symbol,
+          value: row.weight == null ? null : row.weight * 100,
+          unit: "% basket",
+          percentile: null,
+          asOf: row.priceAsOf,
+          detail: row.leftOut
+            ? row.leftOut
+            : `${row.quantity} shares; ${formatNumber(row.value ?? undefined)} ${portfolio.currency}${row.markSource === "close" || row.markSource === "regular-close" ? ` at ${row.priceAsOf} close` : ""}${row.convertedFrom ? ` from ${row.convertedFrom} at daily FX` : ""}; history ${row.historyAsOf}`,
+          ...(row.leftOut ? { leftOut: row.leftOut } : {}),
+        } as RiskDisplayRow,
+      })),
+      ...cashHoldings.map((row) => {
+        const amount = `${formatNumber(row.amount)} ${row.currency}`;
+        const foreign = resolveCurrencyUnit(row.currency).currency !== portfolio.currency;
+        return {
+          size: row.value == null ? null : Math.abs(row.value),
+          row: {
+            id: row.id,
+            label: row.symbol,
+            value: null,
+            unit: "% basket",
+            percentile: null,
+            asOf: market.fetchedAt,
+            // What it is worth in the account currency and what moves it; the value column says it is left out.
+            detail: [
+              !foreign ? amount : row.value == null ? `${amount}; no current ${row.currency} rate values it` : `${amount} = ${formatNumber(row.value)} ${portfolio.currency}`,
+              ...(foreign ? [`moves with ${row.currency}`] : []),
+              "outside the basket",
+            ].join("; "),
+            leftOut: cashReason(row, portfolio.currency),
+          } as RiskDisplayRow,
+        };
+      }),
+    ]
+      .sort((a, b) => (b.size ?? -1) - (a.size ?? -1))
+      .map(({ row }) => row),
+    correlation: correlation.map((row) => ({
+      id: `${row.left}/${row.right}`,
+      label: row.label,
+      value: row.value,
+      unit: "correlation",
+      percentile: null,
+      asOf: row.asOf ?? null,
+      detail: `${row.samples ?? 0} matched daily returns`,
+    })),
+    stress: [
+      // A regression scenario moves the basket by its beta; it is a share of the basket, not of the book.
+      ...stresses.map((row) => ({
+        id: row.id,
+        label: row.label,
+        value: row.value,
+        unit: "%",
+        percentile: null,
+        asOf: row.regression?.asOf ?? null,
+        detail: `% of basket; ${row.regression?.samples ?? 0} sessions; R² ${row.regression?.rSquared?.toFixed(2) ?? "--"}; ${row.source}`,
+      })),
+      ...(repricing ? repricingRows(repricing, portfolio.currency, market.fetchedAt) : []),
+    ],
+    performance: performance
+      ? [
+          {
+            id: "twr",
+            label: "TWR",
+            value: performance.twr * 100,
+            unit: "%",
+            detail: "Linked external-flow-adjusted return",
+          },
+          {
+            id: "mwr",
+            label: "MWR annualized",
+            value: performance.mwr == null ? null : performance.mwr * 100,
+            unit: "%",
+            detail:
+              performance.mwrReason ?? "Dated investor cashflows; actual/365",
+          },
+          {
+            id: "drawdown",
+            label: "Account max drawdown",
+            value: performance.maxDrawdown * 100,
+            unit: "%",
+            detail: "Unitized account return",
+          },
+        ].map((row) => ({
+          ...row,
+          percentile: null,
+          asOf: performance.endDate,
+          detail: `${performance.startDate} to ${performance.endDate}; ${row.detail}`,
+        }))
+      : [],
+    attribution: attribution
+      ? attribution.rows.map((row) => ({
+          id: row.sector,
+          label: row.sector,
+          value: row.total * 100,
+          unit: "pp",
+          percentile: null,
+          asOf: attribution.endDate,
+          detail: `Allocation ${(row.allocation * 100).toFixed(2)}; selection ${(row.selection * 100).toFixed(2)}; interaction ${(row.interaction * 100).toFixed(2)} pp`,
+          allocation: row.allocation * 100,
+          selection: row.selection * 100,
+          interaction: row.interaction * 100,
+        }))
+      : [],
+    greeks: greeks
+      ? [
+          ...(greeks.total
+            ? [
+                {
+                  symbol: `${greeks.scope} total`,
+                  asOf: Math.min(...greeks.rows.map((row) => row.asOf)),
+                  ...greeks.total,
+                  error: null,
+                },
+              ]
+            : []),
+          ...greeks.rows,
+        ].flatMap((row, index) =>
+          [
+            {
+              id: `${index}:${row.symbol}:delta`,
+              label: `${row.symbol} dollar delta`,
+              value: row.deltaDollars,
+              unit: portfolio.currency,
+            },
+            {
+              id: `${index}:${row.symbol}:gamma`,
+              label: `${row.symbol} gamma P&L 1%`,
+              value: row.gammaOnePercent,
+              unit: portfolio.currency,
+            },
+            {
+              id: `${index}:${row.symbol}:vega`,
+              label: `${row.symbol} vega`,
+              value: row.vega,
+              unit: `${portfolio.currency}/vol pt`,
+            },
+            {
+              id: `${index}:${row.symbol}:theta`,
+              label: `${row.symbol} theta`,
+              value: row.theta,
+              unit: `${portfolio.currency}/day`,
+            },
+            {
+              id: `${index}:${row.symbol}:rho`,
+              label: `${row.symbol} rho`,
+              value: row.rho,
+              unit: `${portfolio.currency}/rate pt`,
+            },
+          ].map((metric) => ({
+            ...metric,
+            percentile: null,
+            asOf: new Date(row.asOf).toISOString(),
+            detail:
+              row.error ?? `${greeks.scope} option book; European OSA model`,
+          })),
+        )
+      : [],
+  };
+  // Concentration is of the priced holdings, cash aside, and says so with the value it divides.
+  const holdingsBase = book ? `Share of ${formatNumber(book.gross, 0)} ${portfolio.currency} in priced holdings, cash aside` : "";
+  if (book)
+    rows.holdings.unshift(
+      {
+        id: "top",
+        label: "Largest holding",
+        value: book.top * 100,
+        unit: HOLDINGS_SHARE_UNIT,
+        percentile: null,
+        asOf: market.fetchedAt,
+        detail: holdingsBase,
+      },
+      {
+        id: "top-five",
+        label: "Largest five",
+        value: book.topFive * 100,
+        unit: HOLDINGS_SHARE_UNIT,
+        percentile: null,
+        asOf: market.fetchedAt,
+        detail: holdingsBase,
+      },
+      {
+        id: "hhi",
+        label: "HHI",
+        value: book.hhi,
+        unit: "ratio",
+        percentile: null,
+        asOf: market.fetchedAt,
+        detail: `${book.effectiveHoldings.toFixed(2)} effective holdings, cash aside`,
+      },
+    );
+  return {
+    portfolio,
+    holdings,
+    book,
+    basket,
+    sample,
+    metrics,
+    factors,
+    correlation,
+    stresses,
+    performance,
+    attribution,
+    greeks,
+    evidence,
+    rows,
+    coverage,
+    cash: cashHoldings,
+    repricing,
+    complete:
+      sufficient &&
+      !riskHoldingsLeftOut(coverage) &&
+      metrics.some((row) => row.value != null),
+    warnings: [...new Set(warnings)],
+    notes,
+    fetchedAt: market.fetchedAt,
+    benchmark: RISK_BENCHMARK,
+    /** The currency a non-USD account's returns converted into, at the daily closes of `pair`; null for USD. */
+    accountConversion:
+      account && !account.error && account.pair
+        ? { currency: account.currency, pair: account.pair, asOf: account.asOf }
+        : null,
+    window: filed
+      ? {
+          kind: "since-filed" as const,
+          filed,
+          start: metrics[0]?.startDate ?? null,
+          sessions: metrics[0]?.samples ?? 0,
+          weights: weighting?.kind ?? "current",
+          ...(weighting?.kind === "13f" ? { weightsSource: weighting.source } : {}),
+        }
+      : { kind: "trailing" as const, sessions: 60 },
+  };
+}
+export type PortfolioRiskModel = ReturnType<typeof buildPortfolioRisk>;
+export const riskValue = (row: RiskDisplayRow) =>
+  row.leftOut
+    ? "left out"
+    : row.value == null
+    ? "--"
+    : `${row.value.toFixed(2)}${row.unit === "%" ? "%" : ` ${row.unit}`}${riskAmount(row)}`;
+/** A row's evidence with what a tail loss in money is taken on: the basket, its share of the book and what it leaves out. */
+export function riskEvidence(row: RiskDisplayRow): string {
+  return row.basis ? `${row.detail}; ${row.basis}` : row.detail;
+}
+/** " ($5,735)": a loss or change in money beside its percent. */
+function riskAmount(row: RiskDisplayRow): string {
+  if (row.amount == null || !Number.isFinite(row.amount) || !row.amountCurrency) return "";
+  return ` (${formatCurrency(row.amount, row.amountCurrency, 0)})`;
+}
+export const riskPercentile = (row: RiskDisplayRow) =>
+  row.percentile == null ? "--" : String(Math.round(row.percentile));