@insiderfinance/totalfinance 0.1.0
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/LICENSE +201 -0
- package/README.md +339 -0
- package/STABILITY.md +23 -0
- package/modules/backtest/dist/artifacts.d.ts +23 -0
- package/modules/backtest/dist/artifacts.d.ts.map +1 -0
- package/modules/backtest/dist/artifacts.js +22 -0
- package/modules/backtest/dist/artifacts.js.map +1 -0
- package/modules/backtest/dist/broker.d.ts +265 -0
- package/modules/backtest/dist/broker.d.ts.map +1 -0
- package/modules/backtest/dist/broker.js +1228 -0
- package/modules/backtest/dist/broker.js.map +1 -0
- package/modules/backtest/dist/costs.d.ts +67 -0
- package/modules/backtest/dist/costs.d.ts.map +1 -0
- package/modules/backtest/dist/costs.js +171 -0
- package/modules/backtest/dist/costs.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/engine.d.ts +21 -0
- package/modules/backtest/dist/cross-sectional/engine.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/engine.js +1399 -0
- package/modules/backtest/dist/cross-sectional/engine.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/folds.d.ts +134 -0
- package/modules/backtest/dist/cross-sectional/folds.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/folds.js +375 -0
- package/modules/backtest/dist/cross-sectional/folds.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/grid.d.ts +142 -0
- package/modules/backtest/dist/cross-sectional/grid.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/grid.js +394 -0
- package/modules/backtest/dist/cross-sectional/grid.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/index.d.ts +18 -0
- package/modules/backtest/dist/cross-sectional/index.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/index.js +15 -0
- package/modules/backtest/dist/cross-sectional/index.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/types.d.ts +331 -0
- package/modules/backtest/dist/cross-sectional/types.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/types.js +12 -0
- package/modules/backtest/dist/cross-sectional/types.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/validate.d.ts +22 -0
- package/modules/backtest/dist/cross-sectional/validate.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/validate.js +489 -0
- package/modules/backtest/dist/cross-sectional/validate.js.map +1 -0
- package/modules/backtest/dist/diagnostics.d.ts +16 -0
- package/modules/backtest/dist/diagnostics.d.ts.map +1 -0
- package/modules/backtest/dist/diagnostics.js +63 -0
- package/modules/backtest/dist/diagnostics.js.map +1 -0
- package/modules/backtest/dist/environment/bench.d.ts +34 -0
- package/modules/backtest/dist/environment/bench.d.ts.map +1 -0
- package/modules/backtest/dist/environment/bench.js +724 -0
- package/modules/backtest/dist/environment/bench.js.map +1 -0
- package/modules/backtest/dist/environment/environment.d.ts +5 -0
- package/modules/backtest/dist/environment/environment.d.ts.map +1 -0
- package/modules/backtest/dist/environment/environment.js +618 -0
- package/modules/backtest/dist/environment/environment.js.map +1 -0
- package/modules/backtest/dist/environment/episode.d.ts +4 -0
- package/modules/backtest/dist/environment/episode.d.ts.map +1 -0
- package/modules/backtest/dist/environment/episode.js +121 -0
- package/modules/backtest/dist/environment/episode.js.map +1 -0
- package/modules/backtest/dist/environment/episodes.d.ts +14 -0
- package/modules/backtest/dist/environment/episodes.d.ts.map +1 -0
- package/modules/backtest/dist/environment/episodes.js +644 -0
- package/modules/backtest/dist/environment/episodes.js.map +1 -0
- package/modules/backtest/dist/environment/features.d.ts +31 -0
- package/modules/backtest/dist/environment/features.d.ts.map +1 -0
- package/modules/backtest/dist/environment/features.js +157 -0
- package/modules/backtest/dist/environment/features.js.map +1 -0
- package/modules/backtest/dist/environment/index.d.ts +14 -0
- package/modules/backtest/dist/environment/index.d.ts.map +1 -0
- package/modules/backtest/dist/environment/index.js +12 -0
- package/modules/backtest/dist/environment/index.js.map +1 -0
- package/modules/backtest/dist/environment/limits.d.ts +63 -0
- package/modules/backtest/dist/environment/limits.d.ts.map +1 -0
- package/modules/backtest/dist/environment/limits.js +253 -0
- package/modules/backtest/dist/environment/limits.js.map +1 -0
- package/modules/backtest/dist/environment/reward.d.ts +5 -0
- package/modules/backtest/dist/environment/reward.d.ts.map +1 -0
- package/modules/backtest/dist/environment/reward.js +80 -0
- package/modules/backtest/dist/environment/reward.js.map +1 -0
- package/modules/backtest/dist/environment/types.d.ts +540 -0
- package/modules/backtest/dist/environment/types.d.ts.map +1 -0
- package/modules/backtest/dist/environment/types.js +2 -0
- package/modules/backtest/dist/environment/types.js.map +1 -0
- package/modules/backtest/dist/environment/validate.d.ts +23 -0
- package/modules/backtest/dist/environment/validate.d.ts.map +1 -0
- package/modules/backtest/dist/environment/validate.js +264 -0
- package/modules/backtest/dist/environment/validate.js.map +1 -0
- package/modules/backtest/dist/event-driven.d.ts +111 -0
- package/modules/backtest/dist/event-driven.d.ts.map +1 -0
- package/modules/backtest/dist/event-driven.js +325 -0
- package/modules/backtest/dist/event-driven.js.map +1 -0
- package/modules/backtest/dist/execution/conformance.d.ts +33 -0
- package/modules/backtest/dist/execution/conformance.d.ts.map +1 -0
- package/modules/backtest/dist/execution/conformance.js +269 -0
- package/modules/backtest/dist/execution/conformance.js.map +1 -0
- package/modules/backtest/dist/execution/fill-models.d.ts +35 -0
- package/modules/backtest/dist/execution/fill-models.d.ts.map +1 -0
- package/modules/backtest/dist/execution/fill-models.js +375 -0
- package/modules/backtest/dist/execution/fill-models.js.map +1 -0
- package/modules/backtest/dist/execution/fill-order.d.ts +55 -0
- package/modules/backtest/dist/execution/fill-order.d.ts.map +1 -0
- package/modules/backtest/dist/execution/fill-order.js +156 -0
- package/modules/backtest/dist/execution/fill-order.js.map +1 -0
- package/modules/backtest/dist/execution/index.d.ts +33 -0
- package/modules/backtest/dist/execution/index.d.ts.map +1 -0
- package/modules/backtest/dist/execution/index.js +27 -0
- package/modules/backtest/dist/execution/index.js.map +1 -0
- package/modules/backtest/dist/execution/intrabar.d.ts +46 -0
- package/modules/backtest/dist/execution/intrabar.d.ts.map +1 -0
- package/modules/backtest/dist/execution/intrabar.js +130 -0
- package/modules/backtest/dist/execution/intrabar.js.map +1 -0
- package/modules/backtest/dist/execution/normalized.d.ts +56 -0
- package/modules/backtest/dist/execution/normalized.d.ts.map +1 -0
- package/modules/backtest/dist/execution/normalized.js +154 -0
- package/modules/backtest/dist/execution/normalized.js.map +1 -0
- package/modules/backtest/dist/execution/policy.d.ts +84 -0
- package/modules/backtest/dist/execution/policy.d.ts.map +1 -0
- package/modules/backtest/dist/execution/policy.js +341 -0
- package/modules/backtest/dist/execution/policy.js.map +1 -0
- package/modules/backtest/dist/execution/types.d.ts +217 -0
- package/modules/backtest/dist/execution/types.d.ts.map +1 -0
- package/modules/backtest/dist/execution/types.js +8 -0
- package/modules/backtest/dist/execution/types.js.map +1 -0
- package/modules/backtest/dist/execution/validate.d.ts +35 -0
- package/modules/backtest/dist/execution/validate.d.ts.map +1 -0
- package/modules/backtest/dist/execution/validate.js +666 -0
- package/modules/backtest/dist/execution/validate.js.map +1 -0
- package/modules/backtest/dist/generated/validation-specs.d.ts +12 -0
- package/modules/backtest/dist/generated/validation-specs.d.ts.map +1 -0
- package/modules/backtest/dist/generated/validation-specs.js +1129 -0
- package/modules/backtest/dist/generated/validation-specs.js.map +1 -0
- package/modules/backtest/dist/index.d.ts +33 -0
- package/modules/backtest/dist/index.d.ts.map +1 -0
- package/modules/backtest/dist/index.js +28 -0
- package/modules/backtest/dist/index.js.map +1 -0
- package/modules/backtest/dist/options/chain.d.ts +68 -0
- package/modules/backtest/dist/options/chain.d.ts.map +1 -0
- package/modules/backtest/dist/options/chain.js +303 -0
- package/modules/backtest/dist/options/chain.js.map +1 -0
- package/modules/backtest/dist/options/engine.d.ts +28 -0
- package/modules/backtest/dist/options/engine.d.ts.map +1 -0
- package/modules/backtest/dist/options/engine.js +1859 -0
- package/modules/backtest/dist/options/engine.js.map +1 -0
- package/modules/backtest/dist/options/index.d.ts +23 -0
- package/modules/backtest/dist/options/index.d.ts.map +1 -0
- package/modules/backtest/dist/options/index.js +21 -0
- package/modules/backtest/dist/options/index.js.map +1 -0
- package/modules/backtest/dist/options/tearsheet.d.ts +77 -0
- package/modules/backtest/dist/options/tearsheet.d.ts.map +1 -0
- package/modules/backtest/dist/options/tearsheet.js +205 -0
- package/modules/backtest/dist/options/tearsheet.js.map +1 -0
- package/modules/backtest/dist/options/types.d.ts +571 -0
- package/modules/backtest/dist/options/types.d.ts.map +1 -0
- package/modules/backtest/dist/options/types.js +19 -0
- package/modules/backtest/dist/options/types.js.map +1 -0
- package/modules/backtest/dist/paper/index.d.ts +13 -0
- package/modules/backtest/dist/paper/index.d.ts.map +1 -0
- package/modules/backtest/dist/paper/index.js +12 -0
- package/modules/backtest/dist/paper/index.js.map +1 -0
- package/modules/backtest/dist/paper/paper.d.ts +8 -0
- package/modules/backtest/dist/paper/paper.d.ts.map +1 -0
- package/modules/backtest/dist/paper/paper.js +950 -0
- package/modules/backtest/dist/paper/paper.js.map +1 -0
- package/modules/backtest/dist/paper/types.d.ts +190 -0
- package/modules/backtest/dist/paper/types.d.ts.map +1 -0
- package/modules/backtest/dist/paper/types.js +3 -0
- package/modules/backtest/dist/paper/types.js.map +1 -0
- package/modules/backtest/dist/paper/validate.d.ts +9 -0
- package/modules/backtest/dist/paper/validate.d.ts.map +1 -0
- package/modules/backtest/dist/paper/validate.js +112 -0
- package/modules/backtest/dist/paper/validate.js.map +1 -0
- package/modules/backtest/dist/portfolio/adapters.d.ts +37 -0
- package/modules/backtest/dist/portfolio/adapters.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/adapters.js +555 -0
- package/modules/backtest/dist/portfolio/adapters.js.map +1 -0
- package/modules/backtest/dist/portfolio/engine.d.ts +35 -0
- package/modules/backtest/dist/portfolio/engine.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/engine.js +1300 -0
- package/modules/backtest/dist/portfolio/engine.js.map +1 -0
- package/modules/backtest/dist/portfolio/index.d.ts +12 -0
- package/modules/backtest/dist/portfolio/index.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/index.js +11 -0
- package/modules/backtest/dist/portfolio/index.js.map +1 -0
- package/modules/backtest/dist/portfolio/types.d.ts +418 -0
- package/modules/backtest/dist/portfolio/types.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/types.js +8 -0
- package/modules/backtest/dist/portfolio/types.js.map +1 -0
- package/modules/backtest/dist/portfolio/validate.d.ts +26 -0
- package/modules/backtest/dist/portfolio/validate.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/validate.js +556 -0
- package/modules/backtest/dist/portfolio/validate.js.map +1 -0
- package/modules/backtest/dist/run-artifacts.d.ts +425 -0
- package/modules/backtest/dist/run-artifacts.d.ts.map +1 -0
- package/modules/backtest/dist/run-artifacts.js +1843 -0
- package/modules/backtest/dist/run-artifacts.js.map +1 -0
- package/modules/backtest/dist/signals.d.ts +110 -0
- package/modules/backtest/dist/signals.d.ts.map +1 -0
- package/modules/backtest/dist/signals.js +207 -0
- package/modules/backtest/dist/signals.js.map +1 -0
- package/modules/backtest/dist/tearsheet.d.ts +126 -0
- package/modules/backtest/dist/tearsheet.d.ts.map +1 -0
- package/modules/backtest/dist/tearsheet.js +266 -0
- package/modules/backtest/dist/tearsheet.js.map +1 -0
- package/modules/backtest/dist/types.d.ts +175 -0
- package/modules/backtest/dist/types.d.ts.map +1 -0
- package/modules/backtest/dist/types.js +29 -0
- package/modules/backtest/dist/types.js.map +1 -0
- package/modules/backtest/dist/validate.d.ts +13 -0
- package/modules/backtest/dist/validate.d.ts.map +1 -0
- package/modules/backtest/dist/validate.js +37 -0
- package/modules/backtest/dist/validate.js.map +1 -0
- package/modules/backtest/dist/vectorized.d.ts +53 -0
- package/modules/backtest/dist/vectorized.d.ts.map +1 -0
- package/modules/backtest/dist/vectorized.js +383 -0
- package/modules/backtest/dist/vectorized.js.map +1 -0
- package/modules/backtest/dist/walk-forward.d.ts +57 -0
- package/modules/backtest/dist/walk-forward.d.ts.map +1 -0
- package/modules/backtest/dist/walk-forward.js +125 -0
- package/modules/backtest/dist/walk-forward.js.map +1 -0
- package/modules/backtest/etc/backtest.api.md +139 -0
- package/modules/backtest/src/artifacts.ts +54 -0
- package/modules/backtest/src/broker.ts +1529 -0
- package/modules/backtest/src/costs.ts +225 -0
- package/modules/backtest/src/cross-sectional/engine.ts +1608 -0
- package/modules/backtest/src/cross-sectional/folds.ts +718 -0
- package/modules/backtest/src/cross-sectional/grid.ts +646 -0
- package/modules/backtest/src/cross-sectional/index.ts +76 -0
- package/modules/backtest/src/cross-sectional/types.ts +363 -0
- package/modules/backtest/src/cross-sectional/validate.ts +906 -0
- package/modules/backtest/src/diagnostics.ts +66 -0
- package/modules/backtest/src/environment/bench.ts +1022 -0
- package/modules/backtest/src/environment/environment.ts +766 -0
- package/modules/backtest/src/environment/episode.ts +146 -0
- package/modules/backtest/src/environment/episodes.ts +786 -0
- package/modules/backtest/src/environment/features.ts +184 -0
- package/modules/backtest/src/environment/index.ts +79 -0
- package/modules/backtest/src/environment/limits.ts +383 -0
- package/modules/backtest/src/environment/reward.ts +98 -0
- package/modules/backtest/src/environment/types.ts +595 -0
- package/modules/backtest/src/environment/validate.ts +415 -0
- package/modules/backtest/src/event-driven.ts +528 -0
- package/modules/backtest/src/execution/conformance.ts +346 -0
- package/modules/backtest/src/execution/fill-models.ts +410 -0
- package/modules/backtest/src/execution/fill-order.ts +261 -0
- package/modules/backtest/src/execution/index.ts +91 -0
- package/modules/backtest/src/execution/intrabar.ts +185 -0
- package/modules/backtest/src/execution/normalized.ts +216 -0
- package/modules/backtest/src/execution/policy.ts +447 -0
- package/modules/backtest/src/execution/types.ts +239 -0
- package/modules/backtest/src/execution/validate.ts +889 -0
- package/modules/backtest/src/generated/validation-specs.ts +1132 -0
- package/modules/backtest/src/index.ts +157 -0
- package/modules/backtest/src/options/chain.ts +410 -0
- package/modules/backtest/src/options/engine.ts +2240 -0
- package/modules/backtest/src/options/index.ts +68 -0
- package/modules/backtest/src/options/tearsheet.ts +327 -0
- package/modules/backtest/src/options/types.ts +573 -0
- package/modules/backtest/src/paper/index.ts +27 -0
- package/modules/backtest/src/paper/paper.ts +1288 -0
- package/modules/backtest/src/paper/types.ts +221 -0
- package/modules/backtest/src/paper/validate.ts +168 -0
- package/modules/backtest/src/portfolio/adapters.ts +651 -0
- package/modules/backtest/src/portfolio/engine.ts +1518 -0
- package/modules/backtest/src/portfolio/index.ts +64 -0
- package/modules/backtest/src/portfolio/types.ts +456 -0
- package/modules/backtest/src/portfolio/validate.ts +861 -0
- package/modules/backtest/src/run-artifacts.ts +2873 -0
- package/modules/backtest/src/signals.ts +267 -0
- package/modules/backtest/src/tearsheet.ts +425 -0
- package/modules/backtest/src/types.ts +200 -0
- package/modules/backtest/src/validate.ts +43 -0
- package/modules/backtest/src/vectorized.ts +541 -0
- package/modules/backtest/src/walk-forward.ts +215 -0
- package/modules/calendars/dist/cboe.d.ts +15 -0
- package/modules/calendars/dist/cboe.d.ts.map +1 -0
- package/modules/calendars/dist/cboe.js +16 -0
- package/modules/calendars/dist/cboe.js.map +1 -0
- package/modules/calendars/dist/crypto.d.ts +15 -0
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- package/modules/calendars/dist/crypto.js +16 -0
- package/modules/calendars/dist/crypto.js.map +1 -0
- package/modules/calendars/dist/expirations.d.ts +35 -0
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- package/modules/calendars/dist/nyse.d.ts +11 -0
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- package/modules/calendars/src/us-market.ts +86 -0
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- package/modules/cli/src/exit-codes.ts +21 -0
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- package/modules/commodities/src/internal.ts +6 -0
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- package/modules/core/dist/artifacts/analysis-artifact.d.ts +140 -0
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throw new UnsupportedError(`${functionName}: could not resolve the America/New_York UTC offset from Intl (got "${tzName}").`, { code: ErrorCode.TimeTimezoneResolutionFailed, context: { year, month, day, tzName } });
|
|
25
|
+
}
|
|
26
|
+
return (m[1] === '-' ? -1 : 1) * (Number(m[2]) * 60 + Number(m[3] ?? 0));
|
|
27
|
+
}
|
|
28
|
+
/** `"-04:00"` / `"-05:00"`: the New York offset label for a calendar date, for teaching examples. */
|
|
29
|
+
function newYorkOffsetLabel(year, month, day) {
|
|
30
|
+
const minutes = newYorkOffsetMinutes(year, month, day, 12, 'newYorkOffsetLabel');
|
|
31
|
+
const sign = minutes < 0 ? '-' : '+';
|
|
32
|
+
const abs = Math.abs(minutes);
|
|
33
|
+
return `${sign}${String(Math.floor(abs / 60)).padStart(2, '0')}:${String(abs % 60).padStart(2, '0')}`;
|
|
34
|
+
}
|
|
35
|
+
/**
|
|
36
|
+
* US equity/options early-close (13:00 ET) rules — the ONE table, consumed by `@insiderfinance/totalfinance/calendars`
|
|
37
|
+
* as well: the day after Thanksgiving, and 24 December and 3 July when they fall on a weekday and
|
|
38
|
+
* are not themselves the observed Christmas / Independence Day holiday. A rule returns the
|
|
39
|
+
* candidate date for a year; {@link isUsEquityHalfDay} applies the weekday/observance exclusions.
|
|
40
|
+
*/
|
|
41
|
+
export const US_EQUITY_HALF_DAY_RULES = [
|
|
42
|
+
// Day after Thanksgiving. Every November has a 4th Thursday, so the generator's "no such
|
|
43
|
+
// occurrence" channel never fires here — propagate it rather than assert it away.
|
|
44
|
+
(y) => {
|
|
45
|
+
const thanksgiving = nthWeekdayOfMonth(y, 11, 4, 4);
|
|
46
|
+
return thanksgiving === null ? null : addDays(thanksgiving, 1);
|
|
47
|
+
},
|
|
48
|
+
(y) => `${y}-12-24`, // Christmas Eve (a weekend or the observed Christmas holiday is not a half day)
|
|
49
|
+
(y) => `${y}-07-03`, // 3 July (a weekend or the observed Independence Day holiday is not a half day)
|
|
50
|
+
];
|
|
51
|
+
/**
|
|
52
|
+
* Whether a `YYYY-MM-DD` calendar date is a US equity/options early-close day (13:00 ET). Applies
|
|
53
|
+
* {@link US_EQUITY_HALF_DAY_RULES} with the weekend and observed-holiday exclusions, so
|
|
54
|
+
* 2021-12-24 (the observed Christmas holiday) and 2026-07-03 (the observed Independence Day
|
|
55
|
+
* holiday) are full closures, not half days.
|
|
56
|
+
*/
|
|
57
|
+
export function isUsEquityHalfDay(date) {
|
|
58
|
+
const { year, month, day } = parseIsoDate(date);
|
|
59
|
+
const label = ymd(year, month, day);
|
|
60
|
+
const dow = dayOfWeek(label);
|
|
61
|
+
if (dow === 0 || dow === 6)
|
|
62
|
+
return false;
|
|
63
|
+
if (observedHoliday(year, 12, 25) === label || observedHoliday(year, 7, 4) === label)
|
|
64
|
+
return false;
|
|
65
|
+
return US_EQUITY_HALF_DAY_RULES.some((rule) => rule(year) === label);
|
|
66
|
+
}
|
|
67
|
+
/**
|
|
68
|
+
* UTC epoch-ms for the **US equity/options market close** on a calendar date — 16:00
|
|
69
|
+
* America/New_York, or 13:00 on an early-close day ({@link isUsEquityHalfDay}) — DST-aware via
|
|
70
|
+
* `Intl`. Use it to resolve a *date-only* option expiry to its end-of-session instant instead of
|
|
71
|
+
* UTC midnight, so a contract stays alive through its expiry trading day. This encodes US-equity
|
|
72
|
+
* hours specifically; it is not a generic exchange close.
|
|
73
|
+
*/
|
|
74
|
+
export function usEquityCloseUtcMs(year, month, day) {
|
|
75
|
+
const hour = isUsEquityHalfDay(ymd(year, month, day)) ? 13 : 16;
|
|
76
|
+
const offsetMinutes = newYorkOffsetMinutes(year, month, day, hour, 'usEquityCloseUtcMs');
|
|
77
|
+
// `hour`:00 on the local ET clock, expressed in UTC, is `Date.UTC(..., hour) − offset`.
|
|
78
|
+
return Date.UTC(year, month - 1, day, hour, 0, 0) - offsetMinutes * 60_000;
|
|
79
|
+
}
|
|
80
|
+
/**
|
|
81
|
+
* UTC epoch-ms for the **US equity/options market open** (09:30 America/New_York) on a calendar
|
|
82
|
+
* date — DST-aware via `Intl`. The session open is the same on early-close days.
|
|
83
|
+
*/
|
|
84
|
+
function usEquityOpenUtcMs(year, month, day) {
|
|
85
|
+
const offsetMinutes = newYorkOffsetMinutes(year, month, day, 9, 'usEquityOpenUtcMs');
|
|
86
|
+
return Date.UTC(year, month - 1, day, 9, 30, 0) - offsetMinutes * 60_000;
|
|
87
|
+
}
|
|
88
|
+
/**
|
|
89
|
+
* The instant of a US equity/options session boundary on a `YYYY-MM-DD` date — the one-call way
|
|
90
|
+
* to say "as of today's close" without remembering the DST offset:
|
|
91
|
+
*
|
|
92
|
+
* ```ts
|
|
93
|
+
* market({ spot: 195.3, riskFreeRate: 0.045, volatility: 0.24, asOf: usEquitySessionInstant('2026-07-20', 'close') })
|
|
94
|
+
* ```
|
|
95
|
+
*
|
|
96
|
+
* `'open'` is 09:30 ET; `'close'` is 16:00 ET, or 13:00 ET on an early-close day. Weekends and
|
|
97
|
+
* holidays are not rejected here (the instant still exists); use `@insiderfinance/totalfinance/calendars` to ask
|
|
98
|
+
* whether the market was open.
|
|
99
|
+
*/
|
|
100
|
+
export function usEquitySessionInstant(date, session) {
|
|
101
|
+
const functionName = 'usEquitySessionInstant';
|
|
102
|
+
if (typeof date !== 'string' || !DATE_ONLY.test(date)) {
|
|
103
|
+
throw new InputError(`${functionName}: date must be a YYYY-MM-DD calendar date (e.g. '2026-07-20'). Received ${typeof date === 'string' ? `"${date}"` : date === null ? 'null' : typeof date}.`, { code: ErrorCode.InputWrongType, context: { function: functionName, field: 'date', date } });
|
|
104
|
+
}
|
|
105
|
+
if (session !== 'open' && session !== 'close') {
|
|
106
|
+
throw new InputError(`${functionName}: session must be 'open' (09:30 ET) or 'close' (16:00 ET, 13:00 on early-close days). Received ${typeof session === 'string' ? `"${session}"` : session === null ? 'null' : typeof session}.`, {
|
|
107
|
+
code: ErrorCode.InputInvalidEnum,
|
|
108
|
+
context: { function: functionName, field: 'session', session },
|
|
109
|
+
});
|
|
110
|
+
}
|
|
111
|
+
const { year, month, day } = parseIsoDate(date);
|
|
112
|
+
return session === 'open'
|
|
113
|
+
? usEquityOpenUtcMs(year, month, day)
|
|
114
|
+
: usEquityCloseUtcMs(year, month, day);
|
|
115
|
+
}
|
|
116
|
+
/**
|
|
117
|
+
* `Intl.DateTimeFormat` is expensive to construct and the market-day index runs per contract per
|
|
118
|
+
* level — build the formatter once. Numbering system pinned to `latn` so a host default of e.g.
|
|
119
|
+
* `arab` digits cannot turn the parse into `NaN`.
|
|
120
|
+
*/
|
|
121
|
+
const NEW_YORK_DATE_PARTS = new Intl.DateTimeFormat('en-US-u-ca-gregory-nu-latn', {
|
|
122
|
+
timeZone: 'America/New_York',
|
|
123
|
+
year: 'numeric',
|
|
124
|
+
month: '2-digit',
|
|
125
|
+
day: '2-digit',
|
|
126
|
+
era: 'short',
|
|
127
|
+
});
|
|
128
|
+
const MS_PER_DAY = 86_400_000;
|
|
129
|
+
/**
|
|
130
|
+
* The US equity/options market's calendar DAY an instant falls on, as a whole-day index (days since
|
|
131
|
+
* the epoch of the America/New_York calendar date). Differencing two indices gives whole CALENDAR
|
|
132
|
+
* DAYS between two market dates; equality means "same trading date". This is the ONE day boundary
|
|
133
|
+
* shared by 0DTE classification, days-to-expiry counts and earnings day counts: expiries resolve to
|
|
134
|
+
* 16:00 ET (20:00/21:00 UTC), so a UTC-day comparison is already "tomorrow" between 20:00 and
|
|
135
|
+
* 23:59 ET. Pure and clock-free.
|
|
136
|
+
*/
|
|
137
|
+
export function usEquityMarketDayIndex(epochMs) {
|
|
138
|
+
const parts = NEW_YORK_DATE_PARTS.formatToParts(new Date(epochMs));
|
|
139
|
+
let year = NaN;
|
|
140
|
+
let month = NaN;
|
|
141
|
+
let day = NaN;
|
|
142
|
+
let bc = false;
|
|
143
|
+
for (const part of parts) {
|
|
144
|
+
if (part.type === 'year')
|
|
145
|
+
year = Number(part.value);
|
|
146
|
+
else if (part.type === 'month')
|
|
147
|
+
month = Number(part.value);
|
|
148
|
+
else if (part.type === 'day')
|
|
149
|
+
day = Number(part.value);
|
|
150
|
+
else if (part.type === 'era')
|
|
151
|
+
bc = part.value.startsWith('B');
|
|
152
|
+
}
|
|
153
|
+
// Date.UTC of the LOCAL Y/M/D — a pure re-encoding of the calendar date, never a re-zoning.
|
|
154
|
+
return Math.round(Date.UTC(bc ? 1 - year : year, month - 1, day) / MS_PER_DAY);
|
|
155
|
+
}
|
|
156
|
+
/**
|
|
157
|
+
* UTC-midnight epoch of the market DATE an instant falls on — the anchor for weekday / day-of-month
|
|
158
|
+
* arithmetic (`getUTCDay()` on it is the ET weekday) and for whole-day counts against date labels.
|
|
159
|
+
*/
|
|
160
|
+
export function usEquityMarketDateUtcMs(epochMs) {
|
|
161
|
+
return usEquityMarketDayIndex(epochMs) * MS_PER_DAY;
|
|
162
|
+
}
|
|
163
|
+
/**
|
|
164
|
+
* Parse an option-expiry label to epoch-ms. A bare `YYYY-MM-DD` resolves to {@link usEquityCloseUtcMs}
|
|
165
|
+
* (16:00 ET) — not UTC midnight — so an intraday `asOf` on the expiry date still sees positive
|
|
166
|
+
* time-to-expiry; a full datetime string is parsed as-is. Throws on an unparseable value.
|
|
167
|
+
*/
|
|
168
|
+
export function optionExpiryToMs(expiry) {
|
|
169
|
+
if (DATE_ONLY.test(expiry)) {
|
|
170
|
+
// Validate it is a real calendar date — `parseIsoDate` rejects e.g. 2026-02-31 rather than letting
|
|
171
|
+
// Date.UTC silently roll it forward to 2026-03-03.
|
|
172
|
+
const { year, month, day } = parseIsoDate(expiry);
|
|
173
|
+
return usEquityCloseUtcMs(year, month, day);
|
|
174
|
+
}
|
|
175
|
+
// Full datetimes must carry an explicit zone (Z or ±HH:MM). A bare '2026-09-18T16:00' would parse
|
|
176
|
+
// in the MACHINE's local zone — the same input yielding different epochs on different boxes breaks
|
|
177
|
+
// the determinism law (design law #5) — so it is rejected with the fix, never silently localized.
|
|
178
|
+
if (DATETIME_ZONED.test(expiry))
|
|
179
|
+
return parseZonedDatetimeMs(expiry, 'optionExpiryToMs', 'expiry');
|
|
180
|
+
if (DATETIME_BARE.test(expiry)) {
|
|
181
|
+
throw new InputError(`optionExpiryToMs: datetime expiry "${expiry}" has no timezone — append 'Z' or an offset like '-05:00' (a bare datetime would silently parse in the machine's local zone).`, { code: ErrorCode.InputWrongType, context: { expiry } });
|
|
182
|
+
}
|
|
183
|
+
throw new InputError(`optionExpiryToMs: cannot parse expiry "${expiry}" — use 'YYYY-MM-DD' (resolves to 16:00 ET) or a zoned ISO datetime.`, { code: ErrorCode.InputWrongType, context: { expiry } });
|
|
184
|
+
}
|
|
185
|
+
// `[Tt ]` and `[Zz]`: RFC 3339 explicitly permits the lowercase date/time separator and zone
|
|
186
|
+
// designator, so `2026-07-06t12:00:00z` is the same legal instant as its uppercase form.
|
|
187
|
+
// Everything else stays strict.
|
|
188
|
+
const DATETIME_ZONED = /^(\d{4})-(\d{2})-(\d{2})[Tt ](\d{2}):(\d{2})(?::(\d{2})(\.\d+)?)?([Zz]|[+-]\d{2}:?\d{2})$/;
|
|
189
|
+
const DATETIME_BARE = /^\d{4}-\d{2}-\d{2}[Tt ]\d{2}:\d{2}/;
|
|
190
|
+
/**
|
|
191
|
+
* STRICT zoned-datetime parsing (D2, one expiry law): every component is range-checked and the
|
|
192
|
+
* epoch is computed arithmetically — `Date.parse` is never trusted. Without this,
|
|
193
|
+
* `2026-02-31T16:00:00Z` silently normalizes into March and `T25:00` yields NaN, both of which
|
|
194
|
+
* would flow into "valid by construction" frozen contracts.
|
|
195
|
+
*/
|
|
196
|
+
function parseZonedDatetimeMs(value, functionName, field) {
|
|
197
|
+
const m = DATETIME_ZONED.exec(value);
|
|
198
|
+
if (!m) {
|
|
199
|
+
throw new InputError(`${functionName}: ${field} "${value}" is not a zoned ISO datetime.`, {
|
|
200
|
+
code: ErrorCode.InputWrongType,
|
|
201
|
+
context: { field, value },
|
|
202
|
+
});
|
|
203
|
+
}
|
|
204
|
+
const [, ys, mos, ds, hs, mins, secs, frac, zone] = m;
|
|
205
|
+
// Real calendar date (rejects 2026-02-31 / month 13 instead of rolling forward). Built via
|
|
206
|
+
// setUTCFullYear so years 0000–0099 stay literal — Date.UTC would remap them to 1900–1999.
|
|
207
|
+
const probe = new Date(0);
|
|
208
|
+
probe.setUTCFullYear(Number(ys), Number(mos) - 1, Number(ds));
|
|
209
|
+
const validDate = probe.getUTCFullYear() === Number(ys) &&
|
|
210
|
+
probe.getUTCMonth() === Number(mos) - 1 &&
|
|
211
|
+
probe.getUTCDate() === Number(ds);
|
|
212
|
+
const hour = Number(hs);
|
|
213
|
+
const minute = Number(mins);
|
|
214
|
+
const second = secs === undefined ? 0 : Number(secs);
|
|
215
|
+
let offsetMinutes = 0;
|
|
216
|
+
let validZone = true;
|
|
217
|
+
if (zone !== 'Z' && zone !== 'z' && zone !== undefined) {
|
|
218
|
+
const zm = /^([+-])(\d{2}):?(\d{2})$/.exec(zone);
|
|
219
|
+
if (!zm)
|
|
220
|
+
validZone = false;
|
|
221
|
+
else {
|
|
222
|
+
const oh = Number(zm[2]);
|
|
223
|
+
const om = Number(zm[3]);
|
|
224
|
+
// RFC 3339 real-world envelope: offsets run −12:00 … +14:00 EXACTLY — +14:59 is not a
|
|
225
|
+
// real place (the error contract promises this bound, so the code enforces it).
|
|
226
|
+
validZone =
|
|
227
|
+
om <= 59 &&
|
|
228
|
+
(zm[1] === '+' ? oh < 14 || (oh === 14 && om === 0) : oh < 12 || (oh === 12 && om === 0));
|
|
229
|
+
offsetMinutes = (zm[1] === '-' ? -1 : 1) * (oh * 60 + om);
|
|
230
|
+
}
|
|
231
|
+
}
|
|
232
|
+
if (!validDate || hour > 23 || minute > 59 || second > 59 || !validZone) {
|
|
233
|
+
throw new InputError(`${functionName}: ${field} "${value}" is not a valid instant — ` +
|
|
234
|
+
(!validDate
|
|
235
|
+
? 'the calendar date does not exist'
|
|
236
|
+
: !validZone
|
|
237
|
+
? 'the UTC offset is out of range (−12:00 … +14:00)'
|
|
238
|
+
: 'the time-of-day component is out of range') +
|
|
239
|
+
' (components are verified exactly; nothing is silently normalized).', { code: ErrorCode.InputOutOfRange, context: { field, value } });
|
|
240
|
+
}
|
|
241
|
+
const fracMs = frac === undefined ? 0 : Math.round(Number(frac) * 1000);
|
|
242
|
+
// Time-of-day arithmetic on the validated midnight probe (not Date.UTC, which would remap
|
|
243
|
+
// years 0000–0099): midnight epoch + h/m/s/frac − zone offset.
|
|
244
|
+
return (probe.getTime() + ((hour * 60 + minute) * 60 + second) * 1000 + fracMs - offsetMinutes * 60_000);
|
|
245
|
+
}
|
|
246
|
+
/**
|
|
247
|
+
* Resolve a DATE-GRANULAR `asOf` to epoch ms — ledgers, calendars, fundamentals, performance and
|
|
248
|
+
* research windows, where "as of 2026-07-06" means the calendar date. Deterministic by
|
|
249
|
+
* construction: bare dates resolve to UTC midnight, datetimes require an explicit zone, and
|
|
250
|
+
* anything else throws a teaching error (never a machine-local parse).
|
|
251
|
+
*
|
|
252
|
+
* Option-pricing paths must NOT use this door: a bare date hides the time of day that a same-day
|
|
253
|
+
* option's value depends on. They resolve through {@link resolveValuationAsOf}, which rejects a
|
|
254
|
+
* date-only `asOf` with the fix.
|
|
255
|
+
*/
|
|
256
|
+
export function resolveAsOf(asOf, functionName = 'resolveAsOf') {
|
|
257
|
+
if (typeof asOf === 'number') {
|
|
258
|
+
// The numeric branch obeys the first-touch law too: NaN/Infinity here would flow downstream
|
|
259
|
+
// as a poisoned timestamp and surface far from the mistake.
|
|
260
|
+
if (!Number.isFinite(asOf)) {
|
|
261
|
+
throw new InputError(`${functionName}: asOf must be finite epoch milliseconds. Received ${asOf}. TotalFinance never reads the system clock — pass the current instant from your own clock (epoch milliseconds or a zoned ISO datetime).`, { code: ErrorCode.InputNotFinite, context: { asOf } });
|
|
262
|
+
}
|
|
263
|
+
return asOf;
|
|
264
|
+
}
|
|
265
|
+
if (typeof asOf === 'string') {
|
|
266
|
+
if (DATE_ONLY.test(asOf)) {
|
|
267
|
+
// Validates the calendar date AND keeps years 0000–0099 literal (isoDateToEpochMs builds the
|
|
268
|
+
// epoch via setUTCFullYear; a direct Date.UTC would remap those years to 1900–1999).
|
|
269
|
+
return isoDateToEpochMs(asOf);
|
|
270
|
+
}
|
|
271
|
+
if (DATETIME_ZONED.test(asOf))
|
|
272
|
+
return parseZonedDatetimeMs(asOf, functionName, 'asOf');
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if (DATETIME_BARE.test(asOf)) {
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throw new InputError(`${functionName}: asOf datetime "${asOf}" has no timezone — append 'Z' or an offset like '-05:00' (a bare datetime would silently parse in the machine's local zone).`, { code: ErrorCode.InputWrongType, context: { asOf } });
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}
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throw new InputError(`${functionName}: cannot parse asOf "${asOf}" — use epoch milliseconds, 'YYYY-MM-DD', or a zoned ISO datetime.`, { code: ErrorCode.InputWrongType, context: { asOf } });
|
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}
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+
throw new InputError(`${functionName}: asOf must be epoch milliseconds or an ISO date string. Received ${asOf === null ? 'null' : typeof asOf}.`, { code: ErrorCode.InputWrongType, context: { asOf } });
|
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279
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}
|
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280
|
+
/**
|
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281
|
+
* Resolve a VALUATION instant (`asOf`) to epoch ms — the door every option-pricing path uses
|
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282
|
+
* (options, strategy, volatility, structure, scenarios, risk marking). Accepts finite epoch
|
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283
|
+
* milliseconds or a zoned ISO datetime. A date-only string is REJECTED with the fix: the time of
|
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284
|
+
* day is the whole answer for a same-day option (a bare date resolved to UTC midnight valued a
|
|
285
|
+
* 0DTE at 10:30 ET with 3.6× its remaining life), and the expiry side already refuses a bare date
|
|
286
|
+
* that does not name its instant. `usEquitySessionInstant(date, 'close')` is the one-call form
|
|
287
|
+
* for an end-of-day mark.
|
|
288
|
+
*/
|
|
289
|
+
export function resolveValuationAsOf(asOf, functionName = 'resolveValuationAsOf') {
|
|
290
|
+
if (typeof asOf === 'string' && DATE_ONLY.test(asOf)) {
|
|
291
|
+
// Validate the calendar date first so an impossible date teaches THAT, not the instant rule.
|
|
292
|
+
const { year, month, day } = parseIsoDate(asOf);
|
|
293
|
+
const offset = newYorkOffsetLabel(year, month, day);
|
|
294
|
+
throw new InputError(`${functionName}: asOf "${asOf}" is a date with no time of day, and a valuation instant needs one — a same-day option's value depends on it. Pass a zoned datetime like "${asOf}T10:30:00${offset}", epoch milliseconds, or usEquitySessionInstant('${asOf}', 'close') for that day's US market close.`, {
|
|
295
|
+
code: ErrorCode.TimeValuationInstantRequired,
|
|
296
|
+
context: { function: functionName, field: 'asOf', asOf },
|
|
297
|
+
});
|
|
298
|
+
}
|
|
299
|
+
return resolveAsOf(asOf, functionName);
|
|
300
|
+
}
|
|
301
|
+
/**
|
|
302
|
+
* ONE expiry law, cross-field (E2): validate that a resolved option-expiry triple —
|
|
303
|
+
* `expiry` label, `expiresAt` instant, `expiryConvention` — is internally consistent:
|
|
304
|
+
*
|
|
305
|
+
* - the label parses, and its form matches the convention (date-only ⇔ `us-equity-close`,
|
|
306
|
+
* zoned datetime ⇔ `explicit-instant`);
|
|
307
|
+
* - `expiresAt` is the finite instant the label resolves to under that convention.
|
|
308
|
+
*
|
|
309
|
+
* Shared by the contract schema and the pro pricing entrypoints, so a hand-assembled or
|
|
310
|
+
* post-hoc-edited contract can never smuggle a contradictory resolution past an engine.
|
|
311
|
+
*/
|
|
312
|
+
export function validateResolvedExpiry(functionName, expiry, expiresAt, expiryConvention) {
|
|
313
|
+
if (typeof expiresAt !== 'number' || !Number.isFinite(expiresAt)) {
|
|
314
|
+
throw new InputError(`${functionName}: contract.expiresAt must be a finite epoch-ms instant (got ${String(expiresAt)}). ` +
|
|
315
|
+
'Build contracts with the option builders — a raw literal is not a resolved contract.', { code: ErrorCode.InputMissingField, context: { function: functionName, expiresAt } });
|
|
316
|
+
}
|
|
317
|
+
const isDateOnly = typeof expiry === 'string' && DATE_ONLY.test(expiry);
|
|
318
|
+
const expected = isDateOnly ? 'us-equity-close' : 'explicit-instant';
|
|
319
|
+
if (expiryConvention !== expected) {
|
|
320
|
+
throw new InputError(`${functionName}: expiryConvention "${String(expiryConvention)}" contradicts the expiry label ` +
|
|
321
|
+
`"${expiry}" (${isDateOnly ? 'a date-only label resolves via' : 'a zoned instant is'} ` +
|
|
322
|
+
`'${expected}').`, {
|
|
323
|
+
code: ErrorCode.InputWrongShape,
|
|
324
|
+
context: { function: functionName, expiry, expiryConvention },
|
|
325
|
+
});
|
|
326
|
+
}
|
|
327
|
+
const fromLabel = optionExpiryToMs(expiry);
|
|
328
|
+
if (fromLabel !== expiresAt) {
|
|
329
|
+
throw new InputError(`${functionName}: contract.expiry "${expiry}" resolves to ${fromLabel} but contract.expiresAt is ` +
|
|
330
|
+
`${expiresAt} — the contract was mutated after construction. Rebuild it with the option ` +
|
|
331
|
+
'builders instead of editing fields.', {
|
|
332
|
+
code: ErrorCode.InputWrongShape,
|
|
333
|
+
context: { function: functionName, expiry, expiresAt, fromLabel },
|
|
334
|
+
});
|
|
335
|
+
}
|
|
336
|
+
}
|
|
337
|
+
/**
|
|
338
|
+
* Resolve an expiry label to the REQUIRED contract fields (E2): the spreadable
|
|
339
|
+
* `{ expiresAt, expiryConvention }` pair for constructing an `OptionContract` from a label —
|
|
340
|
+
* the same resolution the option builders stamp. Prefer the builders for user-facing code;
|
|
341
|
+
* this exists for adapters and tests assembling contracts inline.
|
|
342
|
+
*/
|
|
343
|
+
export function resolvedExpiry(expiry) {
|
|
344
|
+
return {
|
|
345
|
+
expiresAt: optionExpiryToMs(expiry),
|
|
346
|
+
expiryConvention: DATE_ONLY.test(expiry) ? 'us-equity-close' : 'explicit-instant',
|
|
347
|
+
};
|
|
348
|
+
}
|
|
349
|
+
//# sourceMappingURL=time.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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@@ -0,0 +1,24 @@
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1
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+
/**
|
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2
|
+
* Package-private source of truth for boundary-validation codes. Keep these literals out of the
|
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3
|
+
* public domain registry's dependency path so tiny guards do not retain unrelated domain codes.
|
|
4
|
+
* `ErrorCode` exposes these same values; this module is deliberately absent from public barrels.
|
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5
|
+
* Named constants also let static namespace imports discard individual unused codes without
|
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6
|
+
* allocating a second registry object when the public registry itself is retained.
|
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7
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+
*/
|
|
8
|
+
export declare const InputNaN = "input.nan";
|
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9
|
+
export declare const InputNotFinite = "input.not_finite";
|
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10
|
+
export declare const InputNegativeSpot = "input.negative_spot";
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11
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+
export declare const InputNegativeStrike = "input.negative_strike";
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12
|
+
export declare const InputNegativeVolatility = "input.negative_volatility";
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13
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+
export declare const InputNegativeTime = "input.negative_time";
|
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14
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+
export declare const InputOutOfRange = "input.out_of_range";
|
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15
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+
export declare const InputInvalidEnum = "input.invalid_enum";
|
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16
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+
export declare const InputMissingField = "input.missing_field";
|
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17
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+
export declare const InputUnknownField = "input.unknown_field";
|
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18
|
+
export declare const InputWrongType = "input.wrong_type";
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19
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+
export declare const InputWrongShape = "input.wrong_shape";
|
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20
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+
export declare const InputLengthMismatch = "input.length_mismatch";
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21
|
+
export declare const PostconditionNonFinite = "postcondition.non_finite_result";
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22
|
+
export declare const InputSuspiciousCouponRate = "input.suspicious_coupon_rate";
|
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23
|
+
export declare const InputSuspiciousYield = "input.suspicious_yield";
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24
|
+
//# sourceMappingURL=validation-codes.d.ts.map
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@@ -0,0 +1 @@
|
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1
|
+
{"version":3,"file":"validation-codes.d.ts","sourceRoot":"","sources":["../src/validation-codes.ts"],"names":[],"mappings":"AAAA;;;;;;GAMG;AACH,eAAO,MAAM,QAAQ,cAAc,CAAC;AACpC,eAAO,MAAM,cAAc,qBAAqB,CAAC;AACjD,eAAO,MAAM,iBAAiB,wBAAwB,CAAC;AACvD,eAAO,MAAM,mBAAmB,0BAA0B,CAAC;AAC3D,eAAO,MAAM,uBAAuB,8BAA8B,CAAC;AACnE,eAAO,MAAM,iBAAiB,wBAAwB,CAAC;AACvD,eAAO,MAAM,eAAe,uBAAuB,CAAC;AACpD,eAAO,MAAM,gBAAgB,uBAAuB,CAAC;AACrD,eAAO,MAAM,iBAAiB,wBAAwB,CAAC;AACvD,eAAO,MAAM,iBAAiB,wBAAwB,CAAC;AACvD,eAAO,MAAM,cAAc,qBAAqB,CAAC;AACjD,eAAO,MAAM,eAAe,sBAAsB,CAAC;AACnD,eAAO,MAAM,mBAAmB,0BAA0B,CAAC;AAC3D,eAAO,MAAM,sBAAsB,oCAAoC,CAAC;AACxE,eAAO,MAAM,yBAAyB,iCAAiC,CAAC;AACxE,eAAO,MAAM,oBAAoB,2BAA2B,CAAC"}
|
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@@ -0,0 +1,24 @@
|
|
|
1
|
+
/**
|
|
2
|
+
* Package-private source of truth for boundary-validation codes. Keep these literals out of the
|
|
3
|
+
* public domain registry's dependency path so tiny guards do not retain unrelated domain codes.
|
|
4
|
+
* `ErrorCode` exposes these same values; this module is deliberately absent from public barrels.
|
|
5
|
+
* Named constants also let static namespace imports discard individual unused codes without
|
|
6
|
+
* allocating a second registry object when the public registry itself is retained.
|
|
7
|
+
*/
|
|
8
|
+
export const InputNaN = 'input.nan';
|
|
9
|
+
export const InputNotFinite = 'input.not_finite';
|
|
10
|
+
export const InputNegativeSpot = 'input.negative_spot';
|
|
11
|
+
export const InputNegativeStrike = 'input.negative_strike';
|
|
12
|
+
export const InputNegativeVolatility = 'input.negative_volatility';
|
|
13
|
+
export const InputNegativeTime = 'input.negative_time';
|
|
14
|
+
export const InputOutOfRange = 'input.out_of_range';
|
|
15
|
+
export const InputInvalidEnum = 'input.invalid_enum';
|
|
16
|
+
export const InputMissingField = 'input.missing_field';
|
|
17
|
+
export const InputUnknownField = 'input.unknown_field';
|
|
18
|
+
export const InputWrongType = 'input.wrong_type';
|
|
19
|
+
export const InputWrongShape = 'input.wrong_shape';
|
|
20
|
+
export const InputLengthMismatch = 'input.length_mismatch';
|
|
21
|
+
export const PostconditionNonFinite = 'postcondition.non_finite_result';
|
|
22
|
+
export const InputSuspiciousCouponRate = 'input.suspicious_coupon_rate';
|
|
23
|
+
export const InputSuspiciousYield = 'input.suspicious_yield';
|
|
24
|
+
//# sourceMappingURL=validation-codes.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"validation-codes.js","sourceRoot":"","sources":["../src/validation-codes.ts"],"names":[],"mappings":"AAAA;;;;;;GAMG;AACH,MAAM,CAAC,MAAM,QAAQ,GAAG,WAAW,CAAC;AACpC,MAAM,CAAC,MAAM,cAAc,GAAG,kBAAkB,CAAC;AACjD,MAAM,CAAC,MAAM,iBAAiB,GAAG,qBAAqB,CAAC;AACvD,MAAM,CAAC,MAAM,mBAAmB,GAAG,uBAAuB,CAAC;AAC3D,MAAM,CAAC,MAAM,uBAAuB,GAAG,2BAA2B,CAAC;AACnE,MAAM,CAAC,MAAM,iBAAiB,GAAG,qBAAqB,CAAC;AACvD,MAAM,CAAC,MAAM,eAAe,GAAG,oBAAoB,CAAC;AACpD,MAAM,CAAC,MAAM,gBAAgB,GAAG,oBAAoB,CAAC;AACrD,MAAM,CAAC,MAAM,iBAAiB,GAAG,qBAAqB,CAAC;AACvD,MAAM,CAAC,MAAM,iBAAiB,GAAG,qBAAqB,CAAC;AACvD,MAAM,CAAC,MAAM,cAAc,GAAG,kBAAkB,CAAC;AACjD,MAAM,CAAC,MAAM,eAAe,GAAG,mBAAmB,CAAC;AACnD,MAAM,CAAC,MAAM,mBAAmB,GAAG,uBAAuB,CAAC;AAC3D,MAAM,CAAC,MAAM,sBAAsB,GAAG,iCAAiC,CAAC;AACxE,MAAM,CAAC,MAAM,yBAAyB,GAAG,8BAA8B,CAAC;AACxE,MAAM,CAAC,MAAM,oBAAoB,GAAG,wBAAwB,CAAC"}
|
|
@@ -0,0 +1,117 @@
|
|
|
1
|
+
/**
|
|
2
|
+
* The reusable closed-request validator (spec 3B.1b, first checkbox): ONE contract for required
|
|
3
|
+
* object, exact closed keys, primitive/container type, finite numeric input, nested consumed
|
|
4
|
+
* fields, and discriminated-union branch validation.
|
|
5
|
+
*
|
|
6
|
+
* The SPEC DATA is generated from the checker-derived contract inventory
|
|
7
|
+
* (`pnpm validation:update` → `packages/<pkg>/src/generated/validation-specs.ts`), never
|
|
8
|
+
* hand-authored: a hand-written key list and the declaration it mirrors are two artifacts that
|
|
9
|
+
* drift, and the drift is exactly a silently-accepted field or a rejected valid call. What stays
|
|
10
|
+
* hand-authored is the TEACHING — the worked example call and per-field unit hints — because a
|
|
11
|
+
* generator may not invent financial semantics (C03).
|
|
12
|
+
*
|
|
13
|
+
* Codes are the library's standing taxonomy (C11), one per distinct mistake:
|
|
14
|
+
*
|
|
15
|
+
* unknown key input.unknown_field did-you-mean + the allowed list
|
|
16
|
+
* missing required input.missing_field the worked example call
|
|
17
|
+
* null (non-nullable) input.invalid_enum on an enum field (null is not a member)
|
|
18
|
+
* input.wrong_type everywhere else (null is not omission)
|
|
19
|
+
* wrong primitive input.wrong_type
|
|
20
|
+
* outside enum domain input.invalid_enum
|
|
21
|
+
* NaN input.nan
|
|
22
|
+
* ±Infinity input.not_finite
|
|
23
|
+
* no union branch fits input.wrong_shape every declared alternative, rendered
|
|
24
|
+
*
|
|
25
|
+
* Union resolution is DISCRIMINANT-FIRST (the `phi: {}` lesson: a missing discriminant must never
|
|
26
|
+
* fall through to whichever branch a key-set match happens to pick): when a discriminant key is
|
|
27
|
+
* present its value is checked against the union of every branch's literals before any branch is
|
|
28
|
+
* entered. Branches without a literal discriminant — `Amortization`'s `{ principalByPeriod }` arm —
|
|
29
|
+
* are selected structurally by their required keys.
|
|
30
|
+
*
|
|
31
|
+
* HOT PATHS: validate ONCE at the public boundary, then call unchecked internals. The walk is
|
|
32
|
+
* O(declared fields) over static generated data; per-spec derived lookups (allowed-key arrays)
|
|
33
|
+
* are cached in a module WeakMap so repeated calls allocate nothing.
|
|
34
|
+
*/
|
|
35
|
+
/** What the validator checks for a field, projected from the inventory's richer kind vocabulary. */
|
|
36
|
+
export type ValidationFieldKind = 'numeric' | 'enum' | 'boolean' | 'string' | 'array' | 'object' | 'callback' | 'unchecked';
|
|
37
|
+
export interface ValidationFieldSpecification {
|
|
38
|
+
readonly name: string;
|
|
39
|
+
readonly kind: ValidationFieldKind;
|
|
40
|
+
readonly optional?: boolean;
|
|
41
|
+
/** The declared union admits `null`; anywhere else a `null` is a wrong-typed value, not omission. */
|
|
42
|
+
readonly nullable?: boolean;
|
|
43
|
+
/**
|
|
44
|
+
* A documented IEEE BOUND field: ±Infinity is the spelled "unbounded" (`localCap: Infinity`,
|
|
45
|
+
* `globalFloor: -Infinity`). CURATED per contract in the validation roster, never inferred —
|
|
46
|
+
* the checker sees `number` either way, and which numbers mean "no bound" is financial
|
|
47
|
+
* semantics (C03). `NaN` stays rejected: no bound is ever spelled NaN.
|
|
48
|
+
*/
|
|
49
|
+
readonly allowsInfinity?: boolean;
|
|
50
|
+
/**
|
|
51
|
+
* This numeric field is a synchronous resource count and must be a positive safe integer no
|
|
52
|
+
* larger than this operation-level ceiling. Generated only where the declaration-derived resource
|
|
53
|
+
* inventory owns the semantic classification; ordinary numeric magnitudes never receive it.
|
|
54
|
+
*/
|
|
55
|
+
readonly safeIntegerMaximum?: number;
|
|
56
|
+
/** The array's elements are resource counts governed by the same positive-safe-integer ladder. */
|
|
57
|
+
readonly safeIntegerElementsMaximum?: number;
|
|
58
|
+
/** The closed literal domain of an `enum` field. */
|
|
59
|
+
readonly literals?: readonly (string | number | boolean)[];
|
|
60
|
+
/**
|
|
61
|
+
* OPEN primitive alternatives beside the literal domain — a MIXED union such as
|
|
62
|
+
* `Frequency = 'annual' | 'semiannual' | … | number`, where a value is valid when it is a listed
|
|
63
|
+
* literal OR any value of an open kind (numeric runs the finite ladder). Projected from the
|
|
64
|
+
* declaration's arms; without it the collapsed kind rejected the named spellings.
|
|
65
|
+
*/
|
|
66
|
+
readonly openKinds?: readonly ValidationFieldKind[];
|
|
67
|
+
/** Nested closed object contract. */
|
|
68
|
+
readonly fields?: readonly ValidationFieldSpecification[];
|
|
69
|
+
/** Declared union alternatives. A field has `branches` OR `fields`, never both. */
|
|
70
|
+
readonly branches?: readonly ValidationBranchSpecification[];
|
|
71
|
+
}
|
|
72
|
+
export interface ValidationBranchSpecification {
|
|
73
|
+
readonly fields: readonly ValidationFieldSpecification[];
|
|
74
|
+
}
|
|
75
|
+
export interface ClosedRequestSpecification {
|
|
76
|
+
/** The stable contract identity this spec was generated from — drift gates compare through it. */
|
|
77
|
+
readonly contract: string;
|
|
78
|
+
readonly fields: readonly ValidationFieldSpecification[];
|
|
79
|
+
/**
|
|
80
|
+
* ROOT union alternatives — the whole argument is a discriminated union (`phiValue`'s `SSVIPhi`).
|
|
81
|
+
* When present, `fields` holds the arms' COMMON members (the discriminant) and resolution runs
|
|
82
|
+
* discriminant-first over these arms exactly as a union FIELD's branches do.
|
|
83
|
+
*/
|
|
84
|
+
readonly branches?: readonly ValidationBranchSpecification[];
|
|
85
|
+
}
|
|
86
|
+
export interface ClosedRequestTeaching {
|
|
87
|
+
/** The argument's own label in container errors — defaults to `input`. */
|
|
88
|
+
readonly argumentName?: string;
|
|
89
|
+
/**
|
|
90
|
+
* This argument IS the request — field paths stay bare (`volatility`, `issueDate`) even under a
|
|
91
|
+
* domain-specific argument name like `specification`. Secondary arguments (an options bag beside
|
|
92
|
+
* a subject) omit it and get prefixed paths so a two-object call says which object to fix.
|
|
93
|
+
*/
|
|
94
|
+
readonly subject?: boolean;
|
|
95
|
+
/**
|
|
96
|
+
* ONE complete, runnable call for this boundary, or a thunk so the string is only built on the
|
|
97
|
+
* failing path. Hand-authored at the call site: the generator knows the keys, never the values.
|
|
98
|
+
*/
|
|
99
|
+
readonly exampleCall: string | (() => string);
|
|
100
|
+
/** Per-field unit-trap notes, keyed by BARE field name (`volatility: 'annualized decimal'`). */
|
|
101
|
+
readonly hints?: Readonly<Record<string, string>>;
|
|
102
|
+
/**
|
|
103
|
+
* The argument is an OPEN structural artifact per its manifest policy (Law 12): every consumed
|
|
104
|
+
* field runs its ladder, but unknown keys are PRESERVED decoration, never rejected — a fit
|
|
105
|
+
* result or market snapshot a user hands back may legitimately carry their own annotations.
|
|
106
|
+
* Curated from the manifest's per-argument `inputPolicies`; closed remains the default.
|
|
107
|
+
*/
|
|
108
|
+
readonly open?: boolean;
|
|
109
|
+
}
|
|
110
|
+
/**
|
|
111
|
+
* Validate one public closed request against its GENERATED contract spec. Call ONCE at the public
|
|
112
|
+
* boundary; internals stay unchecked. Domain semantics (positivity, coordinate relationships,
|
|
113
|
+
* plausibility) remain the boundary's own code — this enforces shape, presence, type, finiteness,
|
|
114
|
+
* domain literals, and closedness, with the exact code each mistake owns.
|
|
115
|
+
*/
|
|
116
|
+
export declare function validateClosedRequest(functionName: string, value: unknown, specification: ClosedRequestSpecification, teaching: ClosedRequestTeaching): void;
|
|
117
|
+
//# sourceMappingURL=validation.d.ts.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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