@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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@@ -0,0 +1,77 @@
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/**
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* Fixed-income market conventions (spec §14): day counts, business-day adjustment, and coupon
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* schedule generation. These are the shared primitives every other module in `@insiderfinance/totalfinance/fixed-income`
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* builds on (bonds, curves, rates derivatives, credit).
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*
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* Pure and clock-free (design law #5): every function operates on explicit ISO `YYYY-MM-DD` inputs or
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* an injected {@link Calendar}; none read the system clock. The day-count layer extends the three
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* conventions in `@insiderfinance/totalfinance/core` (`ACT/365F`, `ACT/360`, `30/360`) with the two remaining standards
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* fixed income needs — `ACT/ACT` (ISDA) and `30E/360` (Eurobond).
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*/
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import { type Calendar, type DayCount as CoreDayCount } from '../../core/dist/index.js';
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/**
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* Day-count conventions supported by the fixed-income surface — the three from `@insiderfinance/totalfinance/core` plus
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14
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* `ACT/ACT` (ISDA, calendar-year split) and `30E/360` (the Eurobond 30/360 variant).
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*/
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export type FixedIncomeDayCount = CoreDayCount | 'ACT/ACT' | '30E/360';
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/** Gregorian leap-year test. */
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export declare function isLeapYear(year: number): boolean;
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/** Days in a Gregorian year (365 or 366). */
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export declare function daysInYear(year: number): number;
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/** Days in a given month (`month` is 1-12). */
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export declare function daysInMonth(year: number, month: number): number;
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/** Whether an ISO date is the last calendar day of its month. */
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+
export declare function isEndOfMonth(date: string): boolean;
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/**
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* Add `months` to an ISO date. The day-of-month is clamped to the target month's length; when
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27
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* `endOfMonth` is set the result snaps to the last day of the target month (the convention used when
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* a coupon schedule anchors on a month-end date).
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*/
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30
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+
export declare function addMonths(date: string, months: number, endOfMonth?: boolean): string;
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31
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/** Compare two ISO dates: negative if `a < b`, 0 if equal, positive if `a > b`. */
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+
export declare function compareDates(first: string, second: string): number;
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/**
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34
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* Year fraction between two ISO dates under a fixed-income day-count convention. `ACT/ACT` and
|
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35
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* `30E/360` are implemented here; the three core conventions delegate to `@insiderfinance/totalfinance/core`.
|
|
36
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+
*/
|
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|
+
export declare function yearFraction(from: string, to: string, dayCount?: FixedIncomeDayCount): number;
|
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38
|
+
/** Business-day roll conventions (spec §14). */
|
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|
+
export type BusinessDayConvention = 'unadjusted' | 'following' | 'modifiedFollowing' | 'preceding' | 'modifiedPreceding';
|
|
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+
export declare function adjustDate(date: string, convention?: BusinessDayConvention, calendar?: Calendar): string;
|
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|
+
/** Coupon payment frequency, named or as an explicit number of payments per year. */
|
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|
+
export type Frequency = 'annual' | 'semiannual' | 'quarterly' | 'bimonthly' | 'monthly' | number;
|
|
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+
/** Resolve a {@link Frequency} to an integer number of payments per year (must divide 12 evenly). */
|
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+
export declare function paymentsPerYear(frequency: Frequency): number;
|
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|
+
export interface ScheduleOptions {
|
|
46
|
+
/** First accrual date (dated/effective date). */
|
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|
+
effectiveDate: string;
|
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/** Final accrual date (maturity). */
|
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+
maturityDate: string;
|
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|
+
frequency: Frequency;
|
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/** Business-day roll applied to payment dates (default `modifiedFollowing`). */
|
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convention?: BusinessDayConvention;
|
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/** Calendar deciding business days (default weekends-only). */
|
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calendar?: Calendar;
|
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/** Force month-end rolling; defaults to auto-detect from whether `maturityDate` is a month end. */
|
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|
+
endOfMonth?: boolean;
|
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/** Business days between a period's accrual end and its payment (settlement lag). Default 0. */
|
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paymentLagDays?: number;
|
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}
|
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|
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export interface SchedulePeriod {
|
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/** Unadjusted accrual start (regular schedule date). */
|
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accrualStart: string;
|
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63
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/** Unadjusted accrual end (regular schedule date). */
|
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accrualEnd: string;
|
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65
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+
/** Business-day-adjusted payment date (accrual end rolled, plus any settlement lag). */
|
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paymentDate: string;
|
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|
+
/** True when this period is a short front stub (shorter than a regular coupon period). */
|
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+
isStub: boolean;
|
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|
+
}
|
|
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|
+
/**
|
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* Generate a coupon schedule by rolling backward from maturity at the coupon interval — the market
|
|
72
|
+
* default, which places any irregular ("stub") period at the front. Accrual boundaries are the
|
|
73
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+
* regular unadjusted dates (so coupon amounts use the true period length); payment dates are
|
|
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|
+
* business-day-adjusted and optionally lagged.
|
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+
*/
|
|
76
|
+
export declare function generateSchedule(options: ScheduleOptions): SchedulePeriod[];
|
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+
//# sourceMappingURL=conventions.d.ts.map
|
|
@@ -0,0 +1 @@
|
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1
|
+
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|
|
@@ -0,0 +1,266 @@
|
|
|
1
|
+
/**
|
|
2
|
+
* Fixed-income market conventions (spec §14): day counts, business-day adjustment, and coupon
|
|
3
|
+
* schedule generation. These are the shared primitives every other module in `@insiderfinance/totalfinance/fixed-income`
|
|
4
|
+
* builds on (bonds, curves, rates derivatives, credit).
|
|
5
|
+
*
|
|
6
|
+
* Pure and clock-free (design law #5): every function operates on explicit ISO `YYYY-MM-DD` inputs or
|
|
7
|
+
* an injected {@link Calendar}; none read the system clock. The day-count layer extends the three
|
|
8
|
+
* conventions in `@insiderfinance/totalfinance/core` (`ACT/365F`, `ACT/360`, `30/360`) with the two remaining standards
|
|
9
|
+
* fixed income needs — `ACT/ACT` (ISDA) and `30E/360` (Eurobond).
|
|
10
|
+
*/
|
|
11
|
+
import { ensureKnownKeys, InputError, ErrorCode, isoDateToEpochMs, parseIsoDate, weekendsOnly, yearFraction as coreYearFraction, ymd, requireArgumentObject, } from '../../core/dist/index.js';
|
|
12
|
+
const MS_PER_DAY = 86_400_000;
|
|
13
|
+
/**
|
|
14
|
+
* Hard cap on the settlement lag (2026-08-23 review, P0): every lag day is one business-day walk
|
|
15
|
+
* step per schedule period — through whatever Calendar the caller supplied, capped or not — so an
|
|
16
|
+
* astronomical "integer" made schedule generation effectively non-terminating. 260 business days
|
|
17
|
+
* is a full year; real settlement conventions are 0–5.
|
|
18
|
+
*/
|
|
19
|
+
const MAX_PAYMENT_LAG_DAYS = 260;
|
|
20
|
+
/** The day counts handled directly here (everything else delegates to `@insiderfinance/totalfinance/core`). */
|
|
21
|
+
const FI_DAY_COUNTS = new Set([
|
|
22
|
+
'ACT/365F',
|
|
23
|
+
'ACT/360',
|
|
24
|
+
'30/360',
|
|
25
|
+
'ACT/ACT',
|
|
26
|
+
'30E/360',
|
|
27
|
+
]);
|
|
28
|
+
// ---------------------------------------------------------------------------------------------------
|
|
29
|
+
// Calendar arithmetic helpers (UTC, no clock reads)
|
|
30
|
+
// ---------------------------------------------------------------------------------------------------
|
|
31
|
+
/** Gregorian leap-year test. */
|
|
32
|
+
export function isLeapYear(year) {
|
|
33
|
+
return (year % 4 === 0 && year % 100 !== 0) || year % 400 === 0;
|
|
34
|
+
}
|
|
35
|
+
/** Days in a Gregorian year (365 or 366). */
|
|
36
|
+
export function daysInYear(year) {
|
|
37
|
+
return isLeapYear(year) ? 366 : 365;
|
|
38
|
+
}
|
|
39
|
+
/** Days in a given month (`month` is 1-12). */
|
|
40
|
+
export function daysInMonth(year, month) {
|
|
41
|
+
return new Date(Date.UTC(year, month, 0)).getUTCDate();
|
|
42
|
+
}
|
|
43
|
+
/** Whether an ISO date is the last calendar day of its month. */
|
|
44
|
+
export function isEndOfMonth(date) {
|
|
45
|
+
const { year, month, day } = parseIsoDate(date);
|
|
46
|
+
return day === daysInMonth(year, month);
|
|
47
|
+
}
|
|
48
|
+
/**
|
|
49
|
+
* Add `months` to an ISO date. The day-of-month is clamped to the target month's length; when
|
|
50
|
+
* `endOfMonth` is set the result snaps to the last day of the target month (the convention used when
|
|
51
|
+
* a coupon schedule anchors on a month-end date).
|
|
52
|
+
*/
|
|
53
|
+
export function addMonths(date, months, endOfMonth = false) {
|
|
54
|
+
const { year, month, day } = parseIsoDate(date);
|
|
55
|
+
const total = year * 12 + (month - 1) + months;
|
|
56
|
+
const ny = Math.floor(total / 12);
|
|
57
|
+
const nm = (total % 12) + 1;
|
|
58
|
+
const last = daysInMonth(ny, nm);
|
|
59
|
+
const nd = endOfMonth ? last : Math.min(day, last);
|
|
60
|
+
return ymd(ny, nm, nd);
|
|
61
|
+
}
|
|
62
|
+
/** Compare two ISO dates: negative if `a < b`, 0 if equal, positive if `a > b`. */
|
|
63
|
+
export function compareDates(first, second) {
|
|
64
|
+
return isoDateToEpochMs(first) - isoDateToEpochMs(second);
|
|
65
|
+
}
|
|
66
|
+
/** Actual elapsed days between two ISO dates (signed). */
|
|
67
|
+
function actualDays(from, to) {
|
|
68
|
+
return (isoDateToEpochMs(to) - isoDateToEpochMs(from)) / MS_PER_DAY;
|
|
69
|
+
}
|
|
70
|
+
// ---------------------------------------------------------------------------------------------------
|
|
71
|
+
// Day-count year fractions
|
|
72
|
+
// ---------------------------------------------------------------------------------------------------
|
|
73
|
+
/** ACT/ACT (ISDA): each calendar year's actual days divided by that year's actual day basis. */
|
|
74
|
+
function actActIsda(from, to) {
|
|
75
|
+
if (compareDates(from, to) > 0)
|
|
76
|
+
return -actActIsda(to, from);
|
|
77
|
+
const a = parseIsoDate(from);
|
|
78
|
+
const b = parseIsoDate(to);
|
|
79
|
+
if (a.year === b.year)
|
|
80
|
+
return actualDays(from, to) / daysInYear(a.year);
|
|
81
|
+
// Stub at the start (from → end of its year), whole years between, stub at the end.
|
|
82
|
+
let frac = actualDays(from, ymd(a.year + 1, 1, 1)) / daysInYear(a.year);
|
|
83
|
+
for (let y = a.year + 1; y < b.year; y++)
|
|
84
|
+
frac += 1;
|
|
85
|
+
frac += actualDays(ymd(b.year, 1, 1), to) / daysInYear(b.year);
|
|
86
|
+
return frac;
|
|
87
|
+
}
|
|
88
|
+
/** 30E/360 (Eurobond): both day numbers capped at 30, then the 30/360 linear formula. */
|
|
89
|
+
function thirtyE360(from, to) {
|
|
90
|
+
const a = parseIsoDate(from);
|
|
91
|
+
const b = parseIsoDate(to);
|
|
92
|
+
const d1 = Math.min(a.day, 30);
|
|
93
|
+
const d2 = Math.min(b.day, 30);
|
|
94
|
+
return (360 * (b.year - a.year) + 30 * (b.month - a.month) + (d2 - d1)) / 360;
|
|
95
|
+
}
|
|
96
|
+
/**
|
|
97
|
+
* Year fraction between two ISO dates under a fixed-income day-count convention. `ACT/ACT` and
|
|
98
|
+
* `30E/360` are implemented here; the three core conventions delegate to `@insiderfinance/totalfinance/core`.
|
|
99
|
+
*/
|
|
100
|
+
export function yearFraction(from, to, dayCount = 'ACT/ACT') {
|
|
101
|
+
switch (dayCount) {
|
|
102
|
+
case 'ACT/ACT':
|
|
103
|
+
return actActIsda(from, to);
|
|
104
|
+
case '30E/360':
|
|
105
|
+
return thirtyE360(from, to);
|
|
106
|
+
case 'ACT/365F':
|
|
107
|
+
case 'ACT/360':
|
|
108
|
+
case '30/360':
|
|
109
|
+
return coreYearFraction(from, to, dayCount);
|
|
110
|
+
default:
|
|
111
|
+
throw new InputError(`yearFraction: Unknown day-count convention "${String(dayCount)}".`, {
|
|
112
|
+
code: ErrorCode.InputOutOfRange,
|
|
113
|
+
context: { field: 'dayCount', value: dayCount, supported: [...FI_DAY_COUNTS] },
|
|
114
|
+
});
|
|
115
|
+
}
|
|
116
|
+
}
|
|
117
|
+
/**
|
|
118
|
+
* Roll a date to a good business day under `convention`, using `calendar` to decide which days are
|
|
119
|
+
* business days (defaults to weekends-only, so callers need no holiday data to get sane results).
|
|
120
|
+
*
|
|
121
|
+
* - `following` / `preceding` roll forward / backward to the nearest business day.
|
|
122
|
+
* - The `modified` variants roll the same way but reverse direction if the roll would cross into a
|
|
123
|
+
* different calendar month (the standard swap-market rule).
|
|
124
|
+
*/
|
|
125
|
+
const BUSINESS_DAY_CONVENTIONS = [
|
|
126
|
+
'unadjusted',
|
|
127
|
+
'following',
|
|
128
|
+
'preceding',
|
|
129
|
+
'modifiedFollowing',
|
|
130
|
+
'modifiedPreceding',
|
|
131
|
+
];
|
|
132
|
+
export function adjustDate(date, convention = 'modifiedFollowing', calendar = weekendsOnly) {
|
|
133
|
+
// Positional front door: an omitted date used to crash deep in parseIsoDate, and a misspelled
|
|
134
|
+
// convention fell through the switch and returned the date UNADJUSTED as if it had rolled.
|
|
135
|
+
if (typeof date !== 'string' || date.length === 0) {
|
|
136
|
+
throw new InputError(`adjustDate: date must be an ISO date string — adjustDate('2026-01-17', 'modifiedFollowing'). Received ${date === undefined ? 'undefined' : date === null ? 'null' : typeof date}.`, { code: ErrorCode.InputWrongType, context: { function: 'adjustDate', field: 'date' } });
|
|
137
|
+
}
|
|
138
|
+
if (!BUSINESS_DAY_CONVENTIONS.includes(convention)) {
|
|
139
|
+
throw new InputError(`adjustDate: convention must be one of ${BUSINESS_DAY_CONVENTIONS.join(' | ')}. Received ${convention === null ? 'null' : JSON.stringify(convention)}.`, {
|
|
140
|
+
code: ErrorCode.InputInvalidEnum,
|
|
141
|
+
context: { function: 'adjustDate', field: 'convention', received: convention },
|
|
142
|
+
});
|
|
143
|
+
}
|
|
144
|
+
if (convention === 'unadjusted' || calendar.isBusinessDay(date)) {
|
|
145
|
+
if (convention === 'unadjusted')
|
|
146
|
+
return date;
|
|
147
|
+
if (calendar.isBusinessDay(date))
|
|
148
|
+
return date;
|
|
149
|
+
}
|
|
150
|
+
switch (convention) {
|
|
151
|
+
case 'following':
|
|
152
|
+
return calendar.nextBusinessDay(date);
|
|
153
|
+
case 'preceding':
|
|
154
|
+
return calendar.previousBusinessDay(date);
|
|
155
|
+
case 'modifiedFollowing': {
|
|
156
|
+
const next = calendar.nextBusinessDay(date);
|
|
157
|
+
return parseIsoDate(next).month !== parseIsoDate(date).month
|
|
158
|
+
? calendar.previousBusinessDay(date)
|
|
159
|
+
: next;
|
|
160
|
+
}
|
|
161
|
+
case 'modifiedPreceding': {
|
|
162
|
+
const prev = calendar.previousBusinessDay(date);
|
|
163
|
+
return parseIsoDate(prev).month !== parseIsoDate(date).month
|
|
164
|
+
? calendar.nextBusinessDay(date)
|
|
165
|
+
: prev;
|
|
166
|
+
}
|
|
167
|
+
default:
|
|
168
|
+
throw new InputError(`adjustDate: Unknown business-day convention "${String(convention)}".`, {
|
|
169
|
+
code: ErrorCode.InputOutOfRange,
|
|
170
|
+
context: { field: 'convention', value: convention },
|
|
171
|
+
});
|
|
172
|
+
}
|
|
173
|
+
}
|
|
174
|
+
/** Resolve a {@link Frequency} to an integer number of payments per year (must divide 12 evenly). */
|
|
175
|
+
export function paymentsPerYear(frequency) {
|
|
176
|
+
const n = typeof frequency === 'number'
|
|
177
|
+
? frequency
|
|
178
|
+
: { annual: 1, semiannual: 2, quarterly: 4, bimonthly: 6, monthly: 12 }[frequency];
|
|
179
|
+
// isSafeInteger for uniformity (2026-08-23 review, P0) — `12 % n !== 0` already rejects any
|
|
180
|
+
// unsafe magnitude (12 % 2^53 = 12), so n is pinned to {1, 2, 3, 4, 6, 12}.
|
|
181
|
+
if (n === undefined || !Number.isSafeInteger(n) || n < 1 || 12 % n !== 0) {
|
|
182
|
+
throw new InputError(`paymentsPerYear: Invalid coupon frequency "${String(frequency)}" (expected a name or a divisor of 12).`, { code: ErrorCode.InputOutOfRange, context: { field: 'frequency', value: frequency } });
|
|
183
|
+
}
|
|
184
|
+
return n;
|
|
185
|
+
}
|
|
186
|
+
/**
|
|
187
|
+
* Generate a coupon schedule by rolling backward from maturity at the coupon interval — the market
|
|
188
|
+
* default, which places any irregular ("stub") period at the front. Accrual boundaries are the
|
|
189
|
+
* regular unadjusted dates (so coupon amounts use the true period length); payment dates are
|
|
190
|
+
* business-day-adjusted and optionally lagged.
|
|
191
|
+
*/
|
|
192
|
+
export function generateSchedule(options) {
|
|
193
|
+
requireArgumentObject('generateSchedule', 'options', options);
|
|
194
|
+
ensureKnownKeys('generateSchedule', 'options', options, [
|
|
195
|
+
'effectiveDate',
|
|
196
|
+
'maturityDate',
|
|
197
|
+
'frequency',
|
|
198
|
+
'convention',
|
|
199
|
+
'calendar',
|
|
200
|
+
'endOfMonth',
|
|
201
|
+
'paymentLagDays',
|
|
202
|
+
]);
|
|
203
|
+
const endOfMonthOption = options['endOfMonth'];
|
|
204
|
+
if (endOfMonthOption !== undefined && typeof endOfMonthOption !== 'boolean') {
|
|
205
|
+
throw new InputError(`generateSchedule: endOfMonth must be a boolean when provided. Received ${endOfMonthOption === null ? 'null' : typeof endOfMonthOption}.`, { code: ErrorCode.InputWrongType, context: { field: 'endOfMonth' } });
|
|
206
|
+
}
|
|
207
|
+
const calendarOption = options['calendar'];
|
|
208
|
+
if (calendarOption !== undefined &&
|
|
209
|
+
(calendarOption === null || typeof calendarOption !== 'object')) {
|
|
210
|
+
throw new InputError(`generateSchedule: calendar must be a Calendar object when provided. Received ${calendarOption === null ? 'null' : typeof calendarOption}.`, { code: ErrorCode.InputWrongType, context: { field: 'calendar' } });
|
|
211
|
+
}
|
|
212
|
+
requireArgumentObject('generateSchedule', 'options', options);
|
|
213
|
+
const { effectiveDate, maturityDate, frequency, convention = 'modifiedFollowing', calendar = weekendsOnly, paymentLagDays = 0, } = options;
|
|
214
|
+
if (compareDates(effectiveDate, maturityDate) >= 0) {
|
|
215
|
+
throw new InputError('generateSchedule: Schedule requires effectiveDate < maturityDate.', {
|
|
216
|
+
code: ErrorCode.InputOutOfRange,
|
|
217
|
+
context: { effectiveDate, maturityDate },
|
|
218
|
+
});
|
|
219
|
+
}
|
|
220
|
+
// Safe integer AND a work cap (2026-08-23 review, P0): paymentLagDays drives a one-day-at-a-time
|
|
221
|
+
// business-day walk PER PERIOD (calendar.addBusinessDays — including caller-supplied calendars
|
|
222
|
+
// with no cap of their own), so `Number.isInteger(1e15)` passing made one schedule a
|
|
223
|
+
// non-terminating loop. 260 is a full year of business days — real settlement lags are 0–5, so
|
|
224
|
+
// the cap is ~50× any convention while keeping the walk trivially cheap per period.
|
|
225
|
+
if (!Number.isSafeInteger(paymentLagDays) ||
|
|
226
|
+
paymentLagDays < 0 ||
|
|
227
|
+
paymentLagDays > MAX_PAYMENT_LAG_DAYS) {
|
|
228
|
+
throw new InputError(`generateSchedule: paymentLagDays must be a non-negative integer ≤ ${MAX_PAYMENT_LAG_DAYS} (a full year of business days — settlement lags are 0–5 in every real convention, and each lag day is one calendar-walk step per period), got ${paymentLagDays}.`, {
|
|
229
|
+
code: ErrorCode.InputOutOfRange,
|
|
230
|
+
context: { field: 'paymentLagDays', value: paymentLagDays, max: MAX_PAYMENT_LAG_DAYS },
|
|
231
|
+
});
|
|
232
|
+
}
|
|
233
|
+
const monthsPerPeriod = 12 / paymentsPerYear(frequency);
|
|
234
|
+
const eom = options.endOfMonth ?? isEndOfMonth(maturityDate);
|
|
235
|
+
// Roll backward from maturity, collecting unadjusted accrual boundaries. EVERY boundary is
|
|
236
|
+
// computed from the maturity ANCHOR — `addMonths(maturityDate, −i·step)` — never from the
|
|
237
|
+
// previously computed boundary. An iterative back-roll inherits February's day clamp FOREVER:
|
|
238
|
+
// a 29th-anchored semiannual schedule stepping through a non-leap February emitted 02-28 and
|
|
239
|
+
// then carried the 28th backwards, so the next leap February produced 02-28 instead of 02-29
|
|
240
|
+
// and every earlier date lost the 29th anchor (silently corrupting accruals for bonds, swaps,
|
|
241
|
+
// CDS, caps, and XVA, and inventing a front stub where the term was exactly regular).
|
|
242
|
+
// Clamping and the month-end rule are therefore re-applied PER BOUNDARY against the anchor, so
|
|
243
|
+
// boundary `i` is a pure function of (maturityDate, i, step, endOfMonth).
|
|
244
|
+
const boundaries = [maturityDate];
|
|
245
|
+
let stub = false;
|
|
246
|
+
for (let i = 1;; i++) {
|
|
247
|
+
const prev = addMonths(maturityDate, -i * monthsPerPeriod, eom);
|
|
248
|
+
const cmp = compareDates(prev, effectiveDate);
|
|
249
|
+
if (cmp <= 0) {
|
|
250
|
+
boundaries.unshift(effectiveDate);
|
|
251
|
+
stub = cmp < 0; // a true stub only when the regular date lands before the effective date
|
|
252
|
+
break;
|
|
253
|
+
}
|
|
254
|
+
boundaries.unshift(prev);
|
|
255
|
+
}
|
|
256
|
+
const periods = [];
|
|
257
|
+
for (let i = 0; i < boundaries.length - 1; i++) {
|
|
258
|
+
const accrualStart = boundaries[i];
|
|
259
|
+
const accrualEnd = boundaries[i + 1];
|
|
260
|
+
const rolled = adjustDate(accrualEnd, convention, calendar);
|
|
261
|
+
const paymentDate = paymentLagDays > 0 ? calendar.addBusinessDays(rolled, paymentLagDays) : rolled;
|
|
262
|
+
periods.push({ accrualStart, accrualEnd, paymentDate, isStub: i === 0 && stub });
|
|
263
|
+
}
|
|
264
|
+
return periods;
|
|
265
|
+
}
|
|
266
|
+
//# sourceMappingURL=conventions.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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@@ -0,0 +1,76 @@
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1
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/**
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2
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* Convertible bonds (spec §14.1, previously "later"). A convertible couples three risk factors —
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3
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* equity, rates, and credit — so it is priced by backward induction on an **equity binomial lattice**
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4
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* (`@insiderfinance/totalfinance/options`) with a **reduced-form hazard** credit model: at each node the bond may default
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5
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* over the step (probability `1 − e^{−λ·dt}`, recovering `R·face`), and the holder optimally converts,
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6
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* the issuer optimally calls, and the holder optionally puts.
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*
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8
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* Credit comes from a {@link SurvivalCurve} (term-structured hazard) or a flat hazard rate. The result
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9
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* decomposes the value into the **bond floor** (the same risky bond with conversion switched off) and
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10
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* the embedded **equity option value** (`price − bondFloor`).
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11
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*/
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12
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import { type Diagnostics } from '../../core/dist/index.js';
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13
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import { type FixedIncomeDayCount, type Frequency } from './conventions.js';
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14
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import type { SurvivalCurve } from './credit.js';
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15
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export interface ConvertibleBondOption {
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16
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date: string;
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17
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/** Strike per the bond's face value (e.g. 102). */
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18
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price: number;
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}
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20
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export interface ConvertibleBondSpecification {
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21
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issueDate: string;
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22
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maturityDate: string;
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23
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/** Annualized coupon rate (0 for a zero-coupon convertible). */
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24
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couponRate: number;
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25
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+
frequency: Frequency;
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26
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+
faceValue?: number;
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27
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+
/** Coupon accrual day count (default `30/360`). */
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28
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+
dayCount?: FixedIncomeDayCount;
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29
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+
/** Shares received per bond on conversion. */
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30
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+
conversionRatio: number;
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31
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+
/** Current share price. */
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32
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+
spot: number;
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33
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+
/** Equity volatility. */
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34
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+
volatility: number;
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35
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+
/** Continuous dividend yield on the share (default 0). */
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36
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+
dividendYield?: number;
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37
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+
/** Flat continuously-compounded risk-free rate used for lattice discounting. */
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38
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+
riskFreeRate: number;
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39
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+
/** Term-structured hazard (credit) — provide this or `hazardRate`. */
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40
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+
survival?: SurvivalCurve;
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41
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+
/** Flat hazard rate alternative to `survival`. */
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42
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+
hazardRate?: number;
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43
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+
/** Recovery on default, as a fraction of face (default 0.4). */
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44
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+
recovery?: number;
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45
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+
/** Issuer call schedule. */
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46
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+
calls?: ConvertibleBondOption[];
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47
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+
/** Holder put schedule. */
|
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48
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+
puts?: ConvertibleBondOption[];
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49
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+
/** Lattice steps per year (default 200, hard outer maximum 1,000,000; tree cap may be lower). */
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50
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+
stepsPerYear?: number;
|
|
51
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+
/** Valuation date (default = issue date). */
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52
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+
settlementDate?: string;
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53
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+
}
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54
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+
export interface ConvertibleBondResult {
|
|
55
|
+
/** Convertible value. */
|
|
56
|
+
price: number;
|
|
57
|
+
/** Value of the otherwise-identical risky bond with conversion disabled (the bond floor). */
|
|
58
|
+
bondFloor: number;
|
|
59
|
+
/** Current conversion (parity) value `conversionRatio · spot`. */
|
|
60
|
+
conversionValue: number;
|
|
61
|
+
/** Embedded equity-option value: `price − bondFloor`. */
|
|
62
|
+
optionValue: number;
|
|
63
|
+
/** Applied conventions and model knobs, echoed (R2). */
|
|
64
|
+
assumptions: {
|
|
65
|
+
conventionsVersion: string;
|
|
66
|
+
model: 'equity-lattice+reduced-form-credit';
|
|
67
|
+
stepsPerYear: number;
|
|
68
|
+
recovery: number;
|
|
69
|
+
creditModel: 'survivalCurve' | 'flatHazard' | 'none';
|
|
70
|
+
};
|
|
71
|
+
/** Honest computation report (R2). */
|
|
72
|
+
diagnostics: Diagnostics;
|
|
73
|
+
}
|
|
74
|
+
/** Price a convertible bond on an equity lattice with reduced-form credit (spec §14.1). */
|
|
75
|
+
export declare function convertibleBond(specification: ConvertibleBondSpecification): ConvertibleBondResult;
|
|
76
|
+
//# sourceMappingURL=convertible.d.ts.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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