@insiderfinance/totalfinance 0.1.0

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

@@ -0,0 +1,580 @@
+/**
+ * Short-rate models (spec §14.3): Vasicek, Cox-Ingersoll-Ross (CIR), and Hull-White (extended
+ * Vasicek, fit to the initial curve) in closed form, plus a Hull-White / Black-Karasinski trinomial
+ * tree for the lognormal case that has no analytic bond price.
+ *
+ * The analytic models expose affine discount-bond prices `P(t,T) = A·e^{−B·r}`, zero rates, the moments
+ * of the short rate, and — for the Gaussian models — the analytic zero-coupon-bond option (Jamshidian)
+ * that yields caplet/floorlet prices. The trinomial tree calibrates its drift to reprice the input
+ * discount curve exactly (Hull-White forward induction), so Black-Karasinski inherits an
+ * arbitrage-free fit. All inputs are validated; bad parameters throw (no silent degradation).
+ */
+import { ConvergenceError, ErrorCode, InputError, ensureKnownKeys, ensureNonNegative, requireArgumentObject, requireFiniteFields, warning, } from '../../core/dist/index.js';
+import { brent, normalCdf } from '../../math/dist/index.js';
+/**
+ * Hard cap on trinomial-lattice steps (2026-08-23 review, P0): the tree's width grows with steps
+ * (jmax ∝ steps at a fixed horizon), so build + rollback cost is ~O(steps²) node visits of
+ * exp()-heavy math. 10,000 steps ≈ up to 10^8 visits — single-digit seconds on a laptop, 200× the
+ * 50-step default, and far past the O(1/steps) convergence of the discretization.
+ */
+const MAX_TREE_STEPS = 10_000;
+function requirePositive(name, value) {
+    if (!Number.isFinite(value) || value <= 0) {
+        throw new InputError(`${name} must be a positive finite number (got ${value}).`, {
+            code: ErrorCode.InputOutOfRange,
+            context: { field: name, value },
+        });
+    }
+}
+/**
+ * Curve-fitted models take a curve INSTANCE (from `curves.fromZeroRates(...)` / `curves.flat(...)` /
+ * `curves.bootstrap(...)`), not a raw object. A `{}` would die on the first `discount()` call —
+ * either immediately (the tree calibrates eagerly) or, worse, later inside a returned model method —
+ * so teach the fix at the construction boundary.
+ */
+function requireCurveArg(functionName, curve) {
+    requireArgumentObject(functionName, 'curve', curve);
+    const c = curve;
+    if (typeof c.discount !== 'function' || typeof c.instantaneousForward !== 'function') {
+        throw new InputError(`${functionName}: curve must be a yield curve built by curves.fromZeroRates(...) / curves.flat(...) / ` +
+            `curves.bootstrap(...) (an object with discount()/instantaneousForward()). ` +
+            `Build the curve first, then pass it here.`, { code: ErrorCode.InputWrongType, context: { function: functionName, field: 'curve' } });
+    }
+    // Curves are structurally typed artifacts; consumers may attach provenance or calibration IDs.
+    // Validate only the methods this model actually consumes.
+}
+function vasicekB(a, tau) {
+    return (1 - Math.exp(-a * tau)) / a;
+}
+/** Construct a Vasicek model `dr = a(b − r)dt + σ dW`. */
+export function vasicek(parameters) {
+    requireArgumentObject('vasicek', 'parameters', parameters);
+    ensureKnownKeys('vasicek', 'parameters', parameters, ['a', 'b', 'sigma', 'r0']);
+    requireFiniteFields('vasicek', parameters, ['a', 'b', 'sigma', 'r0'], {
+        exampleCall: 'vasicek({ a: 0.2, b: 0.04, sigma: 0.01, r0: 0.03 })',
+    });
+    requireArgumentObject('vasicek', 'parameters', parameters);
+    const { a, b, sigma, r0 } = parameters;
+    requirePositive('a', a);
+    requirePositive('sigma', sigma);
+    const discountBond = (r, tau) => {
+        if (tau <= 0)
+            return 1;
+        const B = vasicekB(a, tau);
+        const lnA = ((B - tau) * (a * a * b - 0.5 * sigma * sigma)) / (a * a) - (sigma * sigma * B * B) / (4 * a);
+        return Math.exp(lnA - B * r);
+    };
+    const p0 = (tau) => discountBond(r0, tau);
+    const zeroCouponBondOption = ({ optionMaturity: tOption, bondMaturity: tBond, strike, right, }) => {
+        if (tBond <= tOption) {
+            throw new InputError('vasicek.zeroCouponBondOption requires bondMaturity > optionMaturity.', {
+                code: ErrorCode.InputOutOfRange,
+                context: { optionMaturity: tOption, bondMaturity: tBond },
+            });
+        }
+        const sigmaP = sigma * vasicekB(a, tBond - tOption) * Math.sqrt((1 - Math.exp(-2 * a * tOption)) / (2 * a));
+        const pB = p0(tBond);
+        const pO = p0(tOption);
+        if (sigmaP <= 0) {
+            const intrinsic = right === 'call' ? Math.max(pB - strike * pO, 0) : Math.max(strike * pO - pB, 0);
+            return intrinsic;
+        }
+        const h = Math.log(pB / (pO * strike)) / sigmaP + sigmaP / 2;
+        return right === 'call'
+            ? pB * normalCdf(h) - strike * pO * normalCdf(h - sigmaP)
+            : strike * pO * normalCdf(-h + sigmaP) - pB * normalCdf(-h);
+    };
+    const caplet = ({ optionMaturity: tOption, bondMaturity: tBond, strikeRate: capRate, accrualFraction: dcf, }) => {
+        // A caplet is (1 + capRate·τ) puts on the zero-coupon bond struck at 1/(1 + capRate·τ).
+        const k = 1 / (1 + capRate * dcf);
+        return ((1 + capRate * dcf) *
+            zeroCouponBondOption({
+                optionMaturity: tOption,
+                bondMaturity: tBond,
+                strike: k,
+                right: 'put',
+            }));
+    };
+    const floorlet = ({ optionMaturity: tOption, bondMaturity: tBond, strikeRate: floorRate, accrualFraction: dcf, }) => {
+        const k = 1 / (1 + floorRate * dcf);
+        return ((1 + floorRate * dcf) *
+            zeroCouponBondOption({
+                optionMaturity: tOption,
+                bondMaturity: tBond,
+                strike: k,
+                right: 'call',
+            }));
+    };
+    return {
+        discountBond,
+        zeroRate: (r, tau) => -Math.log(discountBond(r, tau)) / tau,
+        shortRateMoments: (t) => {
+            const mean = r0 * Math.exp(-a * t) + b * (1 - Math.exp(-a * t));
+            const variance = ((sigma * sigma) / (2 * a)) * (1 - Math.exp(-2 * a * t));
+            return { mean, variance, standardDeviation: Math.sqrt(variance) };
+        },
+        zeroCouponBondOption,
+        caplet,
+        floorlet,
+    };
+}
+/**
+ * Construct a CIR model `dr = a(b − r)dt + σ√r dW` (affine, non-negative rates).
+ *
+ * The Feller condition `2ab ≥ σ²` is what keeps the short rate strictly positive. Parameters that
+ * violate it are perfectly ACCEPTABLE — CIR fits to real curves routinely land there, and the
+ * affine bond price stays valid — but the model then puts mass at r = 0, which changes what the
+ * output means. Violation is therefore disclosed (`model.feller_condition_violated`), never thrown
+ * and never silently absorbed.
+ */
+export function cir(parameters) {
+    requireArgumentObject('cir', 'parameters', parameters);
+    // Law 12 + the field ladder: `{ r0: null }` used to flow into the affine bond price as NaN.
+    ensureKnownKeys('cir', 'parameters', parameters, ['a', 'b', 'sigma', 'r0']);
+    requireFiniteFields('cir', parameters, ['a', 'b', 'sigma', 'r0'], {
+        exampleCall: 'cir({ a: 0.2, b: 0.04, sigma: 0.05, r0: 0.03 })',
+    });
+    const { a, b, sigma, r0 } = parameters;
+    requirePositive('a', a);
+    requirePositive('sigma', sigma);
+    requirePositive('b', b);
+    if (r0 < 0) {
+        throw new InputError('cir: CIR requires r0 ≥ 0.', {
+            code: ErrorCode.InputOutOfRange,
+            context: { r0 },
+        });
+    }
+    const gamma = Math.sqrt(a * a + 2 * sigma * sigma);
+    const warnings = [];
+    if (2 * a * b < sigma * sigma) {
+        warnings.push(warning(ErrorCode.ModelFellerConditionViolated, `CIR parameters violate the Feller condition (2ab = ${(2 * a * b).toPrecision(4)} < σ² = ` +
+            `${(sigma * sigma).toPrecision(4)}): the short rate can reach 0, so simulated paths touch ` +
+            'the boundary and the strictly-positive-rate interpretation no longer holds. Bond prices ' +
+            'remain valid; raise a or b, or lower sigma, to restore 2ab ≥ σ².', 'warn', { meanReversion: a, longRunMean: b, sigma, feller: 2 * a * b - sigma * sigma }));
+    }
+    const discountBond = (r, tau) => {
+        if (tau <= 0)
+            return 1;
+        const eg = Math.exp(gamma * tau);
+        const denom = (gamma + a) * (eg - 1) + 2 * gamma;
+        const B = (2 * (eg - 1)) / denom;
+        const A = Math.pow((2 * gamma * Math.exp(((a + gamma) * tau) / 2)) / denom, (2 * a * b) / (sigma * sigma));
+        return A * Math.exp(-B * r);
+    };
+    return {
+        discountBond,
+        zeroRate: (r, tau) => -Math.log(discountBond(r, tau)) / tau,
+        shortRateMoments: (t) => {
+            const mean = r0 * Math.exp(-a * t) + b * (1 - Math.exp(-a * t));
+            const variance = r0 * ((sigma * sigma) / a) * (Math.exp(-a * t) - Math.exp(-2 * a * t)) +
+                b * ((sigma * sigma) / (2 * a)) * Math.pow(1 - Math.exp(-a * t), 2);
+            return { mean, variance, standardDeviation: Math.sqrt(variance) };
+        },
+        diagnostics: { warnings },
+    };
+}
+const DISCOUNT_BOND_FIELDS = ['valuationTime', 'timeToMaturity', 'shortRate'];
+const DISCOUNT_BOND_EXAMPLE_CALL = 'hullWhite(curve, { a: 0.03, sigma: 0.01 }).discountBond({ valuationTime: 0, timeToMaturity: 5, shortRate: 0.03 })';
+/**
+ * G2++ needs its OWN example: it is a two-factor model with a different constructor and different
+ * state (`x`/`y`, not `shortRate`). Sharing Hull-White's example told a caller who omitted
+ * `timeToMaturity` on `g2pp.discountBond` to go build a one-factor Hull-White model instead.
+ */
+const G2PP_DISCOUNT_BOND_EXAMPLE_CALL = 'g2pp(curve, { a: 0.03, sigma: 0.01, b: 0.1, eta: 0.008, rho: -0.7 })' +
+    '.discountBond({ valuationTime: 0, timeToMaturity: 5 })';
+const DISCOUNT_BOND_HINTS = {
+    valuationTime: 'years from today (t)',
+    timeToMaturity: 'years from t to T, i.e. T - t',
+    shortRate: 'the short rate r at t, decimal',
+};
+/** {@link HullWhiteParameters} keys (Law 12 — mirrors the interface above; keep in sync). */
+const HULL_WHITE_PARAMS_KEYS = ['a', 'sigma'];
+/** Construct a Hull-White model `dr = (θ(t) − a·r)dt + σ dW`, with θ implied by `curve`. */
+export function hullWhite(curve, parameters) {
+    requireArgumentObject('hullWhite', 'parameters', parameters);
+    ensureKnownKeys('hullWhite', 'parameters', parameters, HULL_WHITE_PARAMS_KEYS);
+    requireCurveArg('hullWhite', curve);
+    const { a, sigma } = parameters;
+    requirePositive('a', a);
+    requirePositive('sigma', sigma);
+    const Pm = (t) => curve.discount(t);
+    const fwd = (t) => curve.instantaneousForward(t);
+    const B = (tau) => vasicekB(a, tau);
+    const discountBond = (input) => {
+        // A short-rate reconstruction with an absent leg returned NaN, and `P(t,T) = NaN` propagates
+        // straight into every discounted cashflow above it.
+        ensureKnownKeys('hullWhite.discountBond', 'input', input, DISCOUNT_BOND_FIELDS);
+        requireFiniteFields('hullWhite.discountBond', input, DISCOUNT_BOND_FIELDS, {
+            exampleCall: DISCOUNT_BOND_EXAMPLE_CALL,
+            hints: DISCOUNT_BOND_HINTS,
+        });
+        const { valuationTime: t, timeToMaturity: tau, shortRate: r } = input;
+        if (tau <= 0)
+            return 1;
+        const Bt = B(tau);
+        const lnRatio = Math.log(Pm(t + tau) / Pm(t));
+        const adj = Bt * fwd(t) - ((sigma * sigma) / (4 * a)) * (1 - Math.exp(-2 * a * t)) * Bt * Bt;
+        return Math.exp(lnRatio + adj - Bt * r);
+    };
+    const zeroCouponBondOption = ({ optionMaturity: tOption, bondMaturity: tBond, strike, right, }) => {
+        if (tBond <= tOption) {
+            throw new InputError('hullWhite.zeroCouponBondOption requires bondMaturity > optionMaturity.', {
+                code: ErrorCode.InputOutOfRange,
+                context: { optionMaturity: tOption, bondMaturity: tBond },
+            });
+        }
+        const sigmaP = sigma * B(tBond - tOption) * Math.sqrt((1 - Math.exp(-2 * a * tOption)) / (2 * a));
+        const pB = Pm(tBond);
+        const pO = Pm(tOption);
+        if (sigmaP <= 0) {
+            return right === 'call' ? Math.max(pB - strike * pO, 0) : Math.max(strike * pO - pB, 0);
+        }
+        const h = Math.log(pB / (pO * strike)) / sigmaP + sigmaP / 2;
+        return right === 'call'
+            ? pB * normalCdf(h) - strike * pO * normalCdf(h - sigmaP)
+            : strike * pO * normalCdf(-h + sigmaP) - pB * normalCdf(-h);
+    };
+    return {
+        discountBond,
+        zeroCouponBondOption,
+        caplet: ({ optionMaturity, bondMaturity, strikeRate, accrualFraction }) => (1 + strikeRate * accrualFraction) *
+            zeroCouponBondOption({
+                optionMaturity,
+                bondMaturity,
+                strike: 1 / (1 + strikeRate * accrualFraction),
+                right: 'put',
+            }),
+        floorlet: ({ optionMaturity, bondMaturity, strikeRate, accrualFraction }) => (1 + strikeRate * accrualFraction) *
+            zeroCouponBondOption({
+                optionMaturity,
+                bondMaturity,
+                strike: 1 / (1 + strikeRate * accrualFraction),
+                right: 'call',
+            }),
+        shortRateStandardDeviation: (t) => sigma * Math.sqrt((1 - Math.exp(-2 * a * t)) / (2 * a)),
+    };
+}
+/** {@link ShortRateTreeOptions} keys (Law 12 — mirrors the interface above; keep in sync). */
+const SHORT_RATE_TREE_OPTIONS_KEYS = [
+    'meanReversion',
+    'sigma',
+    'model',
+    'horizonYears',
+    'steps',
+];
+/**
+ * Build a Hull-White / Black-Karasinski trinomial tree calibrated to `curve` via forward induction
+ * (Hull's two-stage procedure). Stage 1 lays out a symmetric mean-reverting tree for the transformed
+ * state `x`; stage 2 shifts each time slice by `α(t)` so the tree reprices every grid discount factor.
+ * For Black-Karasinski the short rate is `exp(x)`, so `α` is solved numerically per step.
+ */
+export function shortRateTree(curve, options) {
+    requireArgumentObject('shortRateTree', 'options', options);
+    ensureKnownKeys('shortRateTree', 'options', options, SHORT_RATE_TREE_OPTIONS_KEYS);
+    requireCurveArg('shortRateTree', curve);
+    if (options.model === undefined) {
+        throw new InputError("shortRateTree: model is required — 'hull-white' | 'black-karasinski'. A complete call: shortRateTree(curve, { model: 'hull-white', meanReversion: 0.05, sigma: 0.01, horizonYears: 5 }).", { code: ErrorCode.InputMissingField, context: { field: 'model' } });
+    }
+    if (options.steps !== undefined &&
+        (typeof options.steps !== 'number' || !Number.isFinite(options.steps))) {
+        throw new InputError(`shortRateTree: steps must be a finite number when provided. Received ${options.steps === null ? 'null' : typeof options.steps}.`, { code: ErrorCode.InputWrongType, context: { field: 'steps' } });
+    }
+    if (options.model !== undefined &&
+        options.model !== 'hull-white' &&
+        options.model !== 'black-karasinski') {
+        throw new InputError(`shortRateTree: model must be 'hull-white' | 'black-karasinski' when provided. Received ${options.model === null ? 'null' : JSON.stringify(options.model)}.`, { code: ErrorCode.InputInvalidEnum, context: { field: 'model' } });
+    }
+    const { meanReversion, sigma, model, horizonYears } = options;
+    requirePositive('meanReversion', meanReversion);
+    requirePositive('sigma', sigma);
+    requirePositive('horizonYears', horizonYears);
+    const steps = options.steps ?? 50;
+    // Safe integer AND a work cap (2026-08-23 review, P0): steps drives the trinomial lattice, whose
+    // node count grows ~quadratically (jmax ∝ steps at fixed horizon), so an "integer" of 1e308 was
+    // unbounded allocation and above 2^53 a non-terminating build. 10,000 steps is up to ~10^8 node
+    // visits of exp()-dominated math — single-digit seconds on a laptop and 200× the 50-step default;
+    // trinomial-tree convergence is O(1/steps), long exhausted before that.
+    if (!Number.isSafeInteger(steps) || steps < 1 || steps > MAX_TREE_STEPS) {
+        throw new InputError(`shortRateTree: steps must be a positive integer ≤ ${MAX_TREE_STEPS.toLocaleString('en-US')} — the lattice materializes O(steps × width) nodes with width growing with steps, so the cap keeps the largest tree single-digit seconds of synchronous work (the default is 50).`, {
+            code: ErrorCode.InputOutOfRange,
+            context: { steps, max: MAX_TREE_STEPS },
+        });
+    }
+    const timeStepYears = horizonYears / steps;
+    const dx = sigma * Math.sqrt(3 * timeStepYears);
+    const jmax = Math.max(1, Math.ceil(0.184 / (meanReversion * timeStepYears)));
+    // Branching method and probabilities for level j (Hull-White trinomial), returning the three child
+    // levels and their probabilities. Interior nodes branch centrally; the extremes switch to keep
+    // probabilities valid under mean reversion.
+    const branch = (j) => {
+        const aj = meanReversion * j * timeStepYears;
+        const aj2 = aj * aj;
+        if (j === jmax) {
+            // Downward branching to j, j−1, j−2.
+            return {
+                children: [j, j - 1, j - 2],
+                probs: [7 / 6 + (aj2 - 3 * aj) / 2, -1 / 3 - aj2 + 2 * aj, 1 / 6 + (aj2 - aj) / 2],
+            };
+        }
+        if (j === -jmax) {
+            // Upward branching to j+2, j+1, j.
+            return {
+                children: [j + 2, j + 1, j],
+                probs: [1 / 6 + (aj2 + aj) / 2, -1 / 3 - aj2 - 2 * aj, 7 / 6 + (aj2 + 3 * aj) / 2],
+            };
+        }
+        // Central branching to j+1, j, j−1.
+        return {
+            children: [j + 1, j, j - 1],
+            probs: [1 / 6 + (aj2 - aj) / 2, 2 / 3 - aj2, 1 / 6 + (aj2 + aj) / 2],
+        };
+    };
+    const idx = (j) => j + jmax; // shift level into array index
+    const width = 2 * jmax + 1;
+    // Stage 2: forward-induct Arrow-Debreu prices Q and solve the slice shift α at each step.
+    const alpha = [];
+    const xStar = (j) => j * dx;
+    const rateOf = (alphaI, j) => model === 'hull-white' ? alphaI + xStar(j) : Math.exp(alphaI + xStar(j));
+    // Q[i] holds Arrow-Debreu prices over reachable levels at step i.
+    let Q = new Array(width).fill(0);
+    Q[idx(0)] = 1;
+    let reach = 0; // current half-width of reachable levels
+    const gridTimes = [];
+    for (let i = 0; i <= steps; i++)
+        gridTimes.push(i * timeStepYears);
+    for (let i = 0; i < steps; i++) {
+        const targetDf = curve.discount((i + 1) * timeStepYears);
+        // Solve α_i so Σ_j Q(i,j)·exp(−r(α_i,j)·dt) = P(0, t_{i+1}).
+        let alphaI;
+        if (model === 'hull-white') {
+            let s = 0;
+            for (let j = -reach; j <= reach; j++)
+                s += Q[idx(j)] * Math.exp(-xStar(j) * timeStepYears);
+            alphaI = Math.log(s / targetDf) / timeStepYears;
+        }
+        else {
+            const f = (al) => {
+                let s = 0;
+                for (let j = -reach; j <= reach; j++)
+                    s += Q[idx(j)] * Math.exp(-Math.exp(al + xStar(j)) * timeStepYears);
+                return s - targetDf;
+            };
+            const res = brent(f, -10, 5, { stepTolerance: 1e-12, maximumIterations: 200 });
+            if (!res.converged) {
+                throw new ConvergenceError(`Black-Karasinski tree calibration failed at step ${i}.`, {
+                    code: ErrorCode.SolverNoConvergence,
+                    context: { step: i, reason: res.reason },
+                });
+            }
+            alphaI = res.value;
+        }
+        alpha.push(alphaI);
+        // Propagate Q to step i+1.
+        const nextReach = Math.min(reach + 1, jmax);
+        const Qn = new Array(width).fill(0);
+        for (let j = -reach; j <= reach; j++) {
+            const discount = Math.exp(-rateOf(alphaI, j) * timeStepYears);
+            const { children, probs } = branch(j);
+            for (let c = 0; c < 3; c++) {
+                Qn[idx(children[c])] += Q[idx(j)] * probs[c] * discount;
+            }
+        }
+        Q = Qn;
+        reach = nextReach;
+    }
+    const shortRate = (i, j) => {
+        if (i < 0 || i > steps) {
+            throw new InputError(`shortRate: Tree step ${i} out of range [0, ${steps}].`, {
+                code: ErrorCode.InputOutOfRange,
+                context: { i, steps },
+            });
+        }
+        const al = i < alpha.length ? alpha[i] : alpha[alpha.length - 1];
+        return rateOf(al, j);
+    };
+    const reachAt = (k) => Math.min(k, jmax);
+    /** Backward induction from `terminalStep` to the root (see {@link ShortRateTree.rollback}). */
+    const rollback = (terminalStep, terminal, atNode) => {
+        // Safe integer (2026-08-23 review, P0): the ≤ steps bound already rejects any unsafe
+        // magnitude, but the rollback loop's start index must be exact in its own right.
+        if (!Number.isSafeInteger(terminalStep) || terminalStep < 0 || terminalStep > steps) {
+            throw new InputError(`rollback: terminalStep ${terminalStep} out of range [0, ${steps}].`, {
+                code: ErrorCode.InputOutOfRange,
+                context: { terminalStep, steps },
+            });
+        }
+        let values = new Array(width).fill(0);
+        const rT = reachAt(terminalStep);
+        for (let j = -rT; j <= rT; j++)
+            values[idx(j)] = terminal(j);
+        for (let i = terminalStep - 1; i >= 0; i--) {
+            const r = reachAt(i);
+            const next = new Array(width).fill(0);
+            for (let j = -r; j <= r; j++) {
+                const { children, probs } = branch(j);
+                let cont = 0;
+                for (let c = 0; c < 3; c++)
+                    cont += probs[c] * values[idx(children[c])];
+                cont *= Math.exp(-shortRate(i, j) * timeStepYears);
+                next[idx(j)] = atNode ? atNode(i, j, cont) : cont;
+            }
+            values = next;
+        }
+        return values[idx(0)];
+    };
+    const stepOf = (t) => {
+        const m = Math.round(t / timeStepYears);
+        if (m < 0 || m > steps || Math.abs(m * timeStepYears - t) > 1e-6 * Math.max(1, timeStepYears)) {
+            throw new InputError(`stepOf: time ${t} must land on the tree grid (timeStepYears=${timeStepYears}).`, {
+                code: ErrorCode.InputOutOfRange,
+                context: { timeYears: t, timeStepYears, steps },
+            });
+        }
+        return m;
+    };
+    // Discount bond by rolling a unit payoff back through the calibrated tree.
+    const discountBond = (maturity) => {
+        const m = stepOf(maturity);
+        if (m === 0)
+            return 1;
+        return rollback(m, () => 1);
+    };
+    return {
+        model,
+        steps,
+        timeStepYears,
+        shortRate,
+        discountBond,
+        gridTimes,
+        stepOf,
+        reachAt,
+        rollback,
+    };
+}
+/** {@link G2ppParameters} keys (Law 12 — mirrors the interface above; keep in sync). */
+const G2PP_PARAMS_KEYS = ['a', 'sigma', 'b', 'eta', 'rho'];
+/**
+ * G2++ (two-additive-factor Gaussian) short-rate model `r(t) = φ(t) + x(t) + y(t)` with correlated
+ * Ornstein-Uhlenbeck factors, fit to the initial `curve` (Brigo–Mercurio). Two factors give a richer,
+ * de-correlating term structure of volatility than one-factor Hull-White, while keeping analytic
+ * discount bonds and (Gaussian) zero-coupon-bond options. Reduces to Hull-White when `eta = 0`.
+ */
+export function g2pp(curve, parameters) {
+    requireArgumentObject('g2pp', 'parameters', parameters);
+    ensureKnownKeys('g2pp', 'parameters', parameters, G2PP_PARAMS_KEYS);
+    requireFiniteFields('g2pp', parameters, G2PP_PARAMS_KEYS, {
+        exampleCall: 'g2pp(curve, { a: 0.5, sigma: 0.008, b: 0.05, eta: 0.006, rho: -0.7 })',
+    });
+    requireArgumentObject('g2pp', 'parameters', parameters);
+    ensureKnownKeys('g2pp', 'parameters', parameters, G2PP_PARAMS_KEYS);
+    requireCurveArg('g2pp', curve);
+    const { a, b, sigma, eta, rho } = parameters;
+    requirePositive('a', a);
+    requirePositive('b', b);
+    requirePositive('sigma', sigma);
+    // `eta = 0` is the documented Hull-White reduction, so it must be REACHABLE: the doc promised it
+    // while the guard rejected it, and a caller collapsing the second factor to compare against
+    // one-factor Hull-White was told 0 is not a positive finite number. Every η-weighted term
+    // (`V(τ)`'s second and cross terms, `Σₚ²`, the short-rate variance) carries η as a factor, so
+    // η = 0 zeroes them cleanly — `b` stays strictly positive, so no `1/b` ever degenerates.
+    ensureNonNegative(eta, 'eta', 'g2pp');
+    if (rho < -1 || rho > 1) {
+        throw new InputError('g2pp: rho must be in [-1, 1].', {
+            code: ErrorCode.InputOutOfRange,
+            context: { rho },
+        });
+    }
+    const Pm = (t) => curve.discount(t);
+    const Ba = (tau) => (1 - Math.exp(-a * tau)) / a;
+    const Bb = (tau) => (1 - Math.exp(-b * tau)) / b;
+    // V(τ): variance of the integral of the short rate over a horizonYears τ (Brigo–Mercurio eq. 4.10).
+    const Vtau = (tau) => {
+        const t1 = ((sigma * sigma) / (a * a)) *
+            (tau + (2 / a) * Math.exp(-a * tau) - (1 / (2 * a)) * Math.exp(-2 * a * tau) - 3 / (2 * a));
+        const t2 = ((eta * eta) / (b * b)) *
+            (tau + (2 / b) * Math.exp(-b * tau) - (1 / (2 * b)) * Math.exp(-2 * b * tau) - 3 / (2 * b));
+        const t3 = ((2 * rho * sigma * eta) / (a * b)) *
+            (tau +
+                (Math.exp(-a * tau) - 1) / a +
+                (Math.exp(-b * tau) - 1) / b -
+                (Math.exp(-(a + b) * tau) - 1) / (a + b));
+        return t1 + t2 + t3;
+    };
+    const discountBond = (input) => {
+        // `x`/`y` default to 0 (the curve), so only the two time legs are required.
+        ensureKnownKeys('g2pp.discountBond', 'input', input, [
+            'valuationTime',
+            'timeToMaturity',
+            'x',
+            'y',
+        ]);
+        requireFiniteFields('g2pp.discountBond', input, ['valuationTime', 'timeToMaturity'], {
+            exampleCall: G2PP_DISCOUNT_BOND_EXAMPLE_CALL,
+            hints: DISCOUNT_BOND_HINTS,
+        });
+        for (const factor of ['x', 'y']) {
+            const value = input[factor];
+            if (value !== undefined && (typeof value !== 'number' || !Number.isFinite(value))) {
+                throw new InputError(`g2pp.discountBond: ${factor} must be a finite factor level when provided — omit it for the curve (0). Received ${value === null ? 'null' : typeof value}.`, { code: ErrorCode.InputWrongType, context: { field: factor } });
+            }
+        }
+        const { valuationTime: t, timeToMaturity: tau, x = 0, y = 0 } = input;
+        if (tau <= 0)
+            return 1;
+        const T = t + tau;
+        const A = 0.5 * (Vtau(tau) - Vtau(T) + Vtau(t)) - Ba(tau) * x - Bb(tau) * y;
+        return (Pm(T) / Pm(t)) * Math.exp(A);
+    };
+    const zeroCouponBondOption = ({ optionMaturity: tOption, bondMaturity: tBond, strike, right, }) => {
+        if (tBond <= tOption) {
+            throw new InputError('g2pp.zeroCouponBondOption requires bondMaturity > optionMaturity.', {
+                code: ErrorCode.InputOutOfRange,
+                context: { optionMaturity: tOption, bondMaturity: tBond },
+            });
+        }
+        const T = tOption;
+        const S = tBond;
+        const sigmaP2 = ((sigma * sigma) / (2 * a * a * a)) *
+            Math.pow(1 - Math.exp(-a * (S - T)), 2) *
+            (1 - Math.exp(-2 * a * T)) +
+            ((eta * eta) / (2 * b * b * b)) *
+                Math.pow(1 - Math.exp(-b * (S - T)), 2) *
+                (1 - Math.exp(-2 * b * T)) +
+            ((2 * rho * sigma * eta) / (a * b * (a + b))) *
+                (1 - Math.exp(-a * (S - T))) *
+                (1 - Math.exp(-b * (S - T))) *
+                (1 - Math.exp(-(a + b) * T));
+        const Sigma = Math.sqrt(Math.max(0, sigmaP2));
+        const pB = Pm(S);
+        const pO = Pm(T);
+        if (Sigma <= 0) {
+            return right === 'call' ? Math.max(pB - strike * pO, 0) : Math.max(strike * pO - pB, 0);
+        }
+        const h = Math.log(pB / (pO * strike)) / Sigma + Sigma / 2;
+        return right === 'call'
+            ? pB * normalCdf(h) - strike * pO * normalCdf(h - Sigma)
+            : strike * pO * normalCdf(-h + Sigma) - pB * normalCdf(-h);
+    };
+    return {
+        discountBond,
+        zeroCouponBondOption,
+        caplet: ({ optionMaturity, bondMaturity, strikeRate, accrualFraction }) => (1 + strikeRate * accrualFraction) *
+            zeroCouponBondOption({
+                optionMaturity,
+                bondMaturity,
+                strike: 1 / (1 + strikeRate * accrualFraction),
+                right: 'put',
+            }),
+        floorlet: ({ optionMaturity, bondMaturity, strikeRate, accrualFraction }) => (1 + strikeRate * accrualFraction) *
+            zeroCouponBondOption({
+                optionMaturity,
+                bondMaturity,
+                strike: 1 / (1 + strikeRate * accrualFraction),
+                right: 'call',
+            }),
+        shortRateVariance: (t) => ((sigma * sigma) / (2 * a)) * (1 - Math.exp(-2 * a * t)) +
+            ((eta * eta) / (2 * b)) * (1 - Math.exp(-2 * b * t)) +
+            ((2 * rho * sigma * eta) / (a + b)) * (1 - Math.exp(-(a + b) * t)),
+    };
+}
+//# sourceMappingURL=models.js.map

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

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