@insiderfinance/totalfinance 0.1.0

package/modules/fixed-income/dist/convertible.js

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+/**
+ * Convertible bonds (spec §14.1, previously "later"). A convertible couples three risk factors —
+ * equity, rates, and credit — so it is priced by backward induction on an **equity binomial lattice**
+ * (`@insiderfinance/totalfinance/options`) with a **reduced-form hazard** credit model: at each node the bond may default
+ * over the step (probability `1 − e^{−λ·dt}`, recovering `R·face`), and the holder optimally converts,
+ * the issuer optimally calls, and the holder optionally puts.
+ *
+ * Credit comes from a {@link SurvivalCurve} (term-structured hazard) or a flat hazard rate. The result
+ * decomposes the value into the **bond floor** (the same risky bond with conversion switched off) and
+ * the embedded **equity option value** (`price − bondFloor`).
+ */
+import { ensureFiniteWhenPresent, ErrorCode, InputError, ensureFinite, ensureKnownKeys, ensurePositive, requireArgumentObject, CONVENTIONS_VERSION, } from '../../core/dist/index.js';
+import { ensureDayCountWhenPresent, ensureStepsPerYearWhenPresent } from './validate.js';
+import { equityLattice } from '../../options/dist/lattice.js';
+import { generateSchedule, yearFraction, } from './conventions.js';
+/** {@link ConvertibleBondSpecification} keys (Law 12 — mirrors the interface above; keep in sync). */
+const CONVERTIBLE_BOND_SPEC_KEYS = [
+    'issueDate',
+    'maturityDate',
+    'couponRate',
+    'frequency',
+    'faceValue',
+    'dayCount',
+    'conversionRatio',
+    'spot',
+    'volatility',
+    'dividendYield',
+    'riskFreeRate',
+    'survival',
+    'hazardRate',
+    'recovery',
+    'calls',
+    'puts',
+    'stepsPerYear',
+    'settlementDate',
+];
+/** Price a convertible bond on an equity lattice with reduced-form credit (spec §14.1). */
+export function convertibleBond(specification) {
+    requireArgumentObject('convertibleBond', 'specification', specification);
+    ensureKnownKeys('convertibleBond', 'specification', specification, CONVERTIBLE_BOND_SPEC_KEYS);
+    const functionName = 'convertibleBond';
+    ensureFiniteWhenPresent(specification.faceValue, 'faceValue', functionName);
+    ensureFiniteWhenPresent(specification.recovery, 'recovery', functionName);
+    if (specification.settlementDate !== undefined &&
+        (typeof specification.settlementDate !== 'string' || specification.settlementDate.length === 0)) {
+        throw new InputError(`${functionName}: settlementDate must be an ISO date string when provided. Received ${specification.settlementDate === null ? 'null' : typeof specification.settlementDate}.`, { code: ErrorCode.InputWrongType, context: { field: 'settlementDate' } });
+    }
+    ensureDayCountWhenPresent(specification.dayCount, functionName);
+    for (const optionField of ['calls', 'puts']) {
+        const value = specification[optionField];
+        if (value !== undefined && !Array.isArray(value)) {
+            throw new InputError(`${functionName}: ${optionField} must be an array of { date, price } options when provided. Received ${value === null ? 'null' : typeof value}.`, {
+                code: ErrorCode.InputWrongType,
+                context: { function: functionName, field: optionField, received: value },
+            });
+        }
+    }
+    const face = specification.faceValue ?? 100;
+    ensurePositive(face, 'faceValue', functionName);
+    ensurePositive(specification.spot, 'spot', functionName);
+    ensurePositive(specification.volatility, 'volatility', functionName);
+    ensurePositive(specification.conversionRatio, 'conversionRatio', functionName);
+    ensureFinite(specification.couponRate, 'couponRate', functionName);
+    ensureFinite(specification.riskFreeRate, 'riskFreeRate', functionName);
+    const recovery = specification.recovery ?? 0.4;
+    if (recovery < 0 || recovery >= 1) {
+        throw new InputError(`${functionName}: recovery must be in [0, 1), got ${recovery}.`, {
+            code: ErrorCode.InputOutOfRange,
+            context: { recovery },
+        });
+    }
+    if (specification.survival === undefined && specification.hazardRate === undefined) {
+        throw new InputError(`${functionName}: provide a survival curve or a flat hazardRate.`, {
+            code: ErrorCode.InputMissingField,
+            context: {},
+        });
+    }
+    if (specification.hazardRate !== undefined) {
+        ensureFinite(specification.hazardRate, 'hazardRate', functionName);
+        // A negative hazard makes `1 − e^{−λ·dt}` a negative "default probability", which inflates the
+        // continuation value above the risk-free bond and returns a nonsensically high price. Reject it.
+        if (specification.hazardRate < 0) {
+            throw new InputError(`${functionName}: hazardRate must be ≥ 0, got ${specification.hazardRate}.`, {
+                code: ErrorCode.InputOutOfRange,
+                context: { hazardRate: specification.hazardRate },
+            });
+        }
+    }
+    const settlement = specification.settlementDate ?? specification.issueDate;
+    const dayCount = specification.dayCount ?? '30/360';
+    const T = yearFraction(settlement, specification.maturityDate, 'ACT/365F');
+    if (T <= 0) {
+        throw new InputError(`${functionName}: the bond matures on or before the valuation date.`, {
+            code: ErrorCode.InputOutOfRange,
+            context: { maturity: specification.maturityDate, settlement },
+        });
+    }
+    ensureFiniteWhenPresent(specification.stepsPerYear, 'stepsPerYear', functionName);
+    ensureStepsPerYearWhenPresent(specification.stepsPerYear, functionName);
+    if (specification.survival !== undefined &&
+        (specification.survival === null || typeof specification.survival !== 'object')) {
+        throw new InputError(`${functionName}: survival must be a survival-curve object when provided — build one with credit.flatHazard(...). Received ${specification.survival === null ? 'null' : typeof specification.survival}.`, { code: ErrorCode.InputWrongType, context: { field: 'survival' } });
+    }
+    const stepsPerYear = specification.stepsPerYear ?? 200;
+    const steps = Math.max(2, Math.ceil(stepsPerYear * T));
+    const lattice = equityLattice({
+        spot: specification.spot,
+        riskFreeRate: specification.riskFreeRate,
+        volatility: specification.volatility,
+        horizonYears: T,
+        steps,
+        ...(specification.dividendYield !== undefined
+            ? { dividendYield: specification.dividendYield }
+            : {}),
+    });
+    const timeStepYears = lattice.timeStepYears;
+    const snap = (t) => Math.min(steps, Math.max(0, Math.round(t / timeStepYears)));
+    // Coupons by step (from the regular coupon schedule).
+    const couponAt = new Array(steps + 1).fill(0);
+    const schedule = generateSchedule({
+        effectiveDate: specification.issueDate,
+        maturityDate: specification.maturityDate,
+        frequency: specification.frequency,
+    });
+    for (const p of schedule) {
+        const tEnd = yearFraction(settlement, p.accrualEnd, 'ACT/365F');
+        if (tEnd <= 0)
+            continue; // coupon already paid before settlement
+        const coupon = specification.couponRate * face * yearFraction(p.accrualStart, p.accrualEnd, dayCount);
+        couponAt[snap(tEnd)] += coupon;
+    }
+    const callAt = new Map();
+    for (const c of specification.calls ?? []) {
+        const t = yearFraction(settlement, c.date, 'ACT/365F');
+        if (t > 0)
+            callAt.set(snap(t), c.price);
+    }
+    const putAt = new Map();
+    for (const pu of specification.puts ?? []) {
+        const t = yearFraction(settlement, pu.date, 'ACT/365F');
+        if (t > 0)
+            putAt.set(snap(t), pu.price);
+    }
+    const hazardAt = (t) => specification.survival?.hazard(t) ?? specification.hazardRate ?? 0;
+    const recoveryValue = recovery * face;
+    const value = (conversionRatio) => lattice.rollback((sT) => Math.max(face, conversionRatio * sT) + couponAt[steps], (node) => {
+        const qd = 1 - Math.exp(-hazardAt(node.timeToExpiryYears) * node.timeStepYears); // default probability over the step
+        const survive = node.upProbability * node.up + (1 - node.upProbability) * node.down;
+        const cont = node.discount * ((1 - qd) * survive + qd * recoveryValue);
+        const convVal = conversionRatio * node.spot;
+        let v = Math.max(cont, convVal); // holder converts when worthwhile
+        const call = callAt.get(node.stepIndex);
+        if (call !== undefined)
+            v = Math.min(v, Math.max(call, convVal)); // issuer call (holder may convert)
+        const put = putAt.get(node.stepIndex);
+        if (put !== undefined)
+            v = Math.max(v, put); // holder put
+        return v + couponAt[node.stepIndex];
+    });
+    const price = value(specification.conversionRatio);
+    const bondFloor = value(0);
+    const conversionValue = specification.conversionRatio * specification.spot;
+    return {
+        price,
+        bondFloor,
+        conversionValue,
+        optionValue: price - bondFloor,
+        assumptions: {
+            conventionsVersion: CONVENTIONS_VERSION,
+            model: 'equity-lattice+reduced-form-credit',
+            stepsPerYear,
+            recovery,
+            creditModel: specification.survival
+                ? 'survivalCurve'
+                : specification.hazardRate !== undefined
+                    ? 'flatHazard'
+                    : 'none',
+        },
+        diagnostics: { method: 'equity-lattice', converged: true, warnings: [] },
+    };
+}
+//# sourceMappingURL=convertible.js.map

package/modules/fixed-income/dist/convertible.js.map

@@ -0,0 +1 @@
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package/modules/fixed-income/dist/credit.d.ts

@@ -0,0 +1,227 @@
+/**
+ * Credit (spec §14.4): hazard-rate / survival curves, CDS pricing (premium and protection legs with
+ * accrual-on-default), bootstrapping a survival curve from CDS par spreads, par-spread term structures,
+ * recovery, and the CDS-bond basis.
+ *
+ * A {@link SurvivalCurve} stores a piecewise-constant forward hazard `λ(t)` (so the survival probability
+ * `Q(t) = exp(−∫₀ᵗ λ)` is log-linear between pillars), mirroring the discount curve's structure. CDS
+ * cash flows are valued against an independent {@link YieldCurve} for discounting and the survival curve
+ * for default timing. Inputs are validated and bad data throws (no silent degradation).
+ */
+import { type Computed, type QuantWarning } from '../../core/dist/index.js';
+import { type FixedIncomeDayCount, type Frequency } from './conventions.js';
+import type { YieldCurve } from './curves.js';
+export interface SurvivalPillar {
+    date: string;
+    tenorYears: number;
+    /** Cumulative hazard H(t) = ∫₀ᵗ λ. */
+    cumulativeHazard: number;
+    /** Survival probability Q(t) = exp(−H(t)). */
+    survival: number;
+    /** Piecewise-constant forward hazard on the segment ending at this pillar. */
+    hazard: number;
+}
+export interface SurvivalCurveOptions {
+    /** Reference date (t = 0, where Q = 1). Default: the first pillar date. */
+    referenceDate?: string;
+    /** Day count mapping dates → year fractions. Default `ACT/365F`. */
+    dayCount?: FixedIncomeDayCount;
+}
+export interface SurvivalCurve {
+    readonly referenceDate: string;
+    readonly dayCount: FixedIncomeDayCount;
+    readonly pillars: readonly SurvivalPillar[];
+    timeTo(at: string | number): number;
+    /** Survival probability Q to a date or year fraction. */
+    survival(at: string | number): number;
+    /** Instantaneous (piecewise-constant) hazard rate at a date or year fraction. */
+    hazard(at: string | number): number;
+    /** Unconditional default probability in the window `[from, to]`: Q(from) − Q(to). */
+    defaultProbability(from: string | number, to: string | number): number;
+    /** Conditional default probability over `[from, to]` given survival to `from`: 1 − Q(to)/Q(from). */
+    conditionalDefaultProbability(from: string | number, to: string | number): number;
+}
+declare function survivalFromHazards(points: ReadonlyArray<readonly [string, number]>, options?: SurvivalCurveOptions): SurvivalCurve;
+/** Build a survival curve from `(date, survivalProbability)` pillars (monotone decreasing in (0,1]). */
+declare function survivalFromProbabilities(points: ReadonlyArray<readonly [string, number]>, options?: SurvivalCurveOptions): SurvivalCurve;
+/** A flat-hazard survival curve (constant default intensity). */
+export interface FlatHazardInput {
+    hazardRate: number;
+    referenceDate: string;
+    options?: Omit<SurvivalCurveOptions, 'referenceDate'>;
+}
+declare function flatHazard(input: FlatHazardInput): SurvivalCurve;
+export interface CdsSpecification {
+    effectiveDate: string;
+    maturityDate: string;
+    /** Running premium (coupon) rate, e.g. 0.01 = 100 bp. */
+    spread: number;
+    /** Recovery rate on default. Default 0.4. */
+    recovery?: number;
+    notional?: number;
+    /** Premium payment frequency. Default quarterly. */
+    frequency?: Frequency;
+    /** Premium accrual day count. Default `ACT/360`. */
+    dayCount?: FixedIncomeDayCount;
+    /** Pay premium accrued since the last coupon on default. Default true. */
+    accrualOnDefault?: boolean;
+    /** Subdivisions per premium period for the protection-leg integral. Default 4. */
+    protectionSteps?: number;
+}
+export interface CdsCurves {
+    discountCurve: YieldCurve;
+    survivalCurve: SurvivalCurve;
+}
+export interface CdsValuation {
+    /** Applied conventions, echoed (Law 2 report grammar). */
+    assumptions: {
+        conventionsVersion: string;
+        [k: string]: unknown;
+    };
+    /** Structured warnings; always present (possibly empty). */
+    diagnostics: {
+        warnings: QuantWarning[];
+    };
+    /** PV to the protection buyer (pays premium, receives default protection). */
+    value: number;
+    protectionLeg: number;
+    premiumLeg: number;
+    /** Risky annuity / PV01 basis: Σ τᵢ·DF·Q (+ accrual-on-default), per unit spread × notional. */
+    riskyAnnuity: number;
+    parSpread: number;
+    /** Upfront value as a fraction of notional (protection-buyer sign). */
+    upfront: number;
+}
+/** Value a CDS off discount and survival curves (PV to the protection buyer). */
+export declare function cdsValue(specification: CdsSpecification, curves: CdsCurves): CdsValuation;
+/** Par CDS spread (the running coupon that makes the CDS value zero). */
+/**
+ * A par-spread request: a {@link CdsSpecification} WITHOUT `spread` (H02) — the par spread is the
+ * ANSWER, so requiring a current spread demanded an input the calculation never reads. Passing one
+ * anyway teaches (Law 12: accepted-but-ignored implies it mattered).
+ */
+export type ParCdsSpecification = Omit<CdsSpecification, 'spread'>;
+/**
+ * The par (breakeven) CDS spread: protection leg / risky annuity. Facade (H02): the plain call
+ * returns the scalar; `.explain()` discloses the leg decomposition and every applied convention.
+ */
+/** The conventions `cdsParSpread.explain` echoes (FI day-count vocabulary — wider than core's
+ *  `Assumptions` enum, so the facade construction below carries the same type-level-only cast as
+ *  `bondFacade`; the runtime shape is exactly the core envelope). */
+export interface CdsParSpreadAssumptions {
+    conventionsVersion: string;
+    effectiveDate: string;
+    maturityDate: string;
+    recovery: number;
+    notional: number;
+    frequency: Frequency;
+    dayCount: FixedIncomeDayCount;
+    accrualOnDefault: boolean;
+    protectionSteps: number;
+}
+export type CdsParSpreadFacade = ((specification: ParCdsSpecification, curves: CdsCurves) => number) & {
+    explain: (specification: ParCdsSpecification, curves: CdsCurves) => Omit<Computed<number>, 'assumptions'> & {
+        assumptions: CdsParSpreadAssumptions;
+    };
+};
+export declare const cdsParSpread: CdsParSpreadFacade;
+export interface CdsQuote {
+    maturity: string;
+    /** Par spread quote (e.g. 0.012 = 120 bp). */
+    spread: number;
+}
+export interface HazardBootstrapOptions {
+    referenceDate: string;
+    discountCurve: YieldCurve;
+    recovery?: number;
+    frequency?: Frequency;
+    dayCount?: FixedIncomeDayCount;
+    accrualOnDefault?: boolean;
+    protectionSteps?: number;
+}
+/**
+ * Bootstrap a survival curve from a CDS par-spread term structure. Hazard is piecewise-constant
+ * between quote maturities; each segment is solved so the CDS to that tenor prices to par.
+ */
+export declare function bootstrapHazardFromCds(quotes: CdsQuote[], options: HazardBootstrapOptions): SurvivalCurve;
+/** Par CDS spread term structure implied by a survival + discount curve, one entry per tenor. */
+/** One tenor of a {@link creditSpreadCurve}: the maturity and its par (breakeven) CDS spread. */
+export interface CreditSpreadPoint {
+    maturity: string;
+    parSpread: number;
+}
+/** The conventions `creditSpreadCurve.explain` echoes (H03) — every knob the per-tenor CDS runs on. */
+export interface CreditSpreadCurveAssumptions {
+    conventionsVersion: string;
+    referenceDate: string;
+    recovery: number;
+    frequency: Frequency;
+    dayCount: FixedIncomeDayCount;
+    accrualOnDefault: boolean;
+    /** Subdivisions per premium period in the protection-leg integral. */
+    protectionSteps: number;
+}
+export type CreditSpreadCurveFacade = ((tenors: string[], options: HazardBootstrapOptions & {
+    survivalCurve: SurvivalCurve;
+}) => CreditSpreadPoint[]) & {
+    explain: (tenors: string[], options: HazardBootstrapOptions & {
+        survivalCurve: SurvivalCurve;
+    }) => Omit<Computed<CreditSpreadPoint[]>, 'assumptions'> & {
+        assumptions: CreditSpreadCurveAssumptions;
+    };
+};
+/**
+ * Par CDS spreads at each tenor off the survival/discount curves. Facade (H03): the plain call
+ * returns the points; `.explain()` echoes every convention the per-tenor CDS actually ran on —
+ * the wave that landed the propagation fix proved `accrualOnDefault`/`protectionSteps` are
+ * MATERIAL (the round trip missed its own quotes by ~0.24bp when they were dropped).
+ */
+export declare const creditSpreadCurve: CreditSpreadCurveFacade;
+/** The credit-triangle envelope: the implied hazard plus the recovery it assumed (Law 2). */
+export interface CreditTriangleHazardResult {
+    /** Implied flat hazard rate λ (per year). */
+    value: number;
+    /** Applied conventions, echoed (Law 2 envelope grammar). */
+    assumptions: {
+        conventionsVersion: string;
+        recovery: number;
+        approximation: 'continuous-premium credit triangle';
+    };
+    /** Structured warnings; always present (possibly empty). */
+    diagnostics: {
+        warnings: QuantWarning[];
+    };
+}
+/**
+ * The credit-triangle approximation of the hazard rate implied by a flat par spread:
+ * `λ ≈ spread / (1 − recovery)`. Exact only in the continuous-premium, flat-curve limit. Returns a
+ * Law-2 envelope: the hazard in `value` plus the recovery assumption and a warnings channel.
+ */
+export interface CreditTriangleHazardInput {
+    spread: number;
+    recovery?: number;
+}
+export declare function creditTriangleHazard(input: CreditTriangleHazardInput): CreditTriangleHazardResult;
+/** CDS-bond basis: the CDS par spread minus the bond-implied credit spread (positive = CDS rich). */
+export interface CdsBasisInput {
+    cdsParSpread: number;
+    bondImpliedSpread: number;
+}
+/**
+ * CDS–bond basis: `cdsParSpread − bondImpliedSpread`, both DECIMAL annualized spreads (H01,
+ * ratified plain). **Positive = the CDS is rich relative to the bond** (protection costs more
+ * than the bond's credit spread pays); negative = the bond is cheap to the CDS.
+ */
+export declare function cdsBasis(input: CdsBasisInput): number;
+/** Survival-curve constructors and credit analytics (spec §14.4). */
+export declare const credit: {
+    survivalFromHazards: typeof survivalFromHazards;
+    survivalFromProbabilities: typeof survivalFromProbabilities;
+    flatHazard: typeof flatHazard;
+    bootstrapHazardFromCds: typeof bootstrapHazardFromCds;
+    creditSpreadCurve: CreditSpreadCurveFacade;
+    creditTriangleHazard: typeof creditTriangleHazard;
+    cdsBasis: typeof cdsBasis;
+};
+export {};
+//# sourceMappingURL=credit.d.ts.map

package/modules/fixed-income/dist/credit.d.ts.map

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