@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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/**
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* Gate C adapter for bonds priced from one named discount curve.
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*
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* This module contains no pricing mathematics. It maps Gate C's plain market observations onto the
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*/
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import { type Diagnostics, type EpochMs } from '../../core/dist/index.js';
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import { type Bond, type BondAssumptions } from './bonds.js';
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import { type CurveExtrapolation, type CurveInterpolation } from './curves.js';
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export declare const BOND_DISCOUNT_CURVE_PRICER_NAME = "fixed-income.bond-discount-curve";
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export declare const BOND_SETTLEMENT_DATE_PROJECTION: "UTC calendar date containing valuationInstant";
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export interface BondDiscountCurvePricerOptions {
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curveId: string;
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currency: string;
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interpolation: CurveInterpolation;
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export type BondDiscountCurvePricerAssumptions = BondAssumptions & {
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interpolation: CurveInterpolation;
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extrapolation: CurveExtrapolation;
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/** Resolved epoch milliseconds consumed from the valuation-instant observation. */
|
|
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|
+
valuationInstant: EpochMs;
|
|
29
|
+
/** The stored curve anchor, preserved exactly rather than silently rolled to valuation time. */
|
|
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|
+
curveReferenceDate: string;
|
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|
+
settlementDateProjection: typeof BOND_SETTLEMENT_DATE_PROJECTION;
|
|
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|
+
};
|
|
33
|
+
/**
|
|
34
|
+
* The complete direct `priceMultiCurve` result plus Gate C's scalar value and adapter disclosures.
|
|
35
|
+
*/
|
|
36
|
+
export interface BondDiscountCurvePriceResult {
|
|
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|
+
value: number;
|
|
38
|
+
dirtyPrice: number;
|
|
39
|
+
cleanPrice: number;
|
|
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|
+
accruedInterest: number;
|
|
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|
+
assumptions: BondDiscountCurvePricerAssumptions;
|
|
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|
+
diagnostics: Diagnostics;
|
|
43
|
+
}
|
|
44
|
+
/**
|
|
45
|
+
* Adapt the existing fixed-income discount-curve bond pricing path to Gate C.
|
|
46
|
+
*/
|
|
47
|
+
export declare function bondDiscountCurvePricer(options: BondDiscountCurvePricerOptions): Pricer<Bond, BondDiscountCurvePriceResult>;
|
|
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|
+
//# sourceMappingURL=pricer.d.ts.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"pricer.d.ts","sourceRoot":"","sources":["../src/pricer.ts"],"names":[],"mappings":"AAAA;;;;;GAKG;AAEH,OAAO,EAQL,KAAK,WAAW,EAChB,KAAK,OAAO,EAEb,MAAM,0BAAoB,CAAC;AAC5B,OAAO,EAKL,KAAK,MAAM,EAEZ,MAAM,4BAA4B,CAAC;AACpC,OAAO,EAAmB,KAAK,IAAI,EAAE,KAAK,eAAe,EAAE,MAAM,YAAY,CAAC;AAC9E,OAAO,EAAE,KAAK,kBAAkB,EAAE,KAAK,kBAAkB,EAAmB,MAAM,aAAa,CAAC;AAGhG,eAAO,MAAM,+BAA+B,qCAAqC,CAAC;AAClF,eAAO,MAAM,+BAA+B,EAC1C,+CAAwD,CAAC;AA2S3D,MAAM,WAAW,8BAA8B;IAC7C,OAAO,EAAE,MAAM,CAAC;IAChB,QAAQ,EAAE,MAAM,CAAC;IACjB,SAAS,EAAE,OAAO,GAAG,OAAO,CAAC;IAC7B,aAAa,EAAE,kBAAkB,CAAC;IAClC,aAAa,EAAE,kBAAkB,CAAC;CACnC;AAED,MAAM,MAAM,kCAAkC,GAAG,eAAe,GAAG;IACjE,uEAAuE;IACvE,SAAS,EAAE,OAAO,GAAG,OAAO,CAAC;IAC7B,OAAO,EAAE,MAAM,CAAC;IAChB,QAAQ,EAAE,MAAM,CAAC;IACjB,aAAa,EAAE,kBAAkB,CAAC;IAClC,aAAa,EAAE,kBAAkB,CAAC;IAClC,mFAAmF;IACnF,gBAAgB,EAAE,OAAO,CAAC;IAC1B,gGAAgG;IAChG,kBAAkB,EAAE,MAAM,CAAC;IAC3B,wBAAwB,EAAE,OAAO,+BAA+B,CAAC;CAClE,CAAC;AAEF;;GAEG;AACH,MAAM,WAAW,4BAA4B;IAC3C,KAAK,EAAE,MAAM,CAAC;IACd,UAAU,EAAE,MAAM,CAAC;IACnB,UAAU,EAAE,MAAM,CAAC;IACnB,eAAe,EAAE,MAAM,CAAC;IACxB,WAAW,EAAE,kCAAkC,CAAC;IAChD,WAAW,EAAE,WAAW,CAAC;CAC1B;AA0JD;;GAEG;AACH,wBAAgB,uBAAuB,CACrC,OAAO,EAAE,8BAA8B,GACtC,MAAM,CAAC,IAAI,EAAE,4BAA4B,CAAC,CAoG5C"}
|
|
@@ -0,0 +1,445 @@
|
|
|
1
|
+
/**
|
|
2
|
+
* Gate C adapter for bonds priced from one named discount curve.
|
|
3
|
+
*
|
|
4
|
+
* This module contains no pricing mathematics. It maps Gate C's plain market observations onto the
|
|
5
|
+
* existing fixed-income curve builder and `priceMultiCurve`, then preserves that direct result.
|
|
6
|
+
*/
|
|
7
|
+
import { ErrorCode, InputError, UnsupportedError, ensureEnum, isQuantError, missingFieldError, resolveAsOf, } from '../../core/dist/index.js';
|
|
8
|
+
import { definePricer, requireObservationValue, } from '../../core/dist/pricing.js';
|
|
9
|
+
import { priceMultiCurve } from './bonds.js';
|
|
10
|
+
import {} from './curves.js';
|
|
11
|
+
import { yieldCurveFromRateCurve } from './curve-mappers.js';
|
|
12
|
+
export const BOND_DISCOUNT_CURVE_PRICER_NAME = 'fixed-income.bond-discount-curve';
|
|
13
|
+
export const BOND_SETTLEMENT_DATE_PROJECTION = 'UTC calendar date containing valuationInstant';
|
|
14
|
+
const PRICER_VERSION = '0.0.1';
|
|
15
|
+
const FACTORY_KEYS = [
|
|
16
|
+
'curveId',
|
|
17
|
+
'currency',
|
|
18
|
+
'priceType',
|
|
19
|
+
'interpolation',
|
|
20
|
+
'extrapolation',
|
|
21
|
+
];
|
|
22
|
+
const PRICE_KEYS = ['instrument', 'observations', 'request'];
|
|
23
|
+
const REQUEST_KEYS = ['greeks', 'seed'];
|
|
24
|
+
const PRICE_TYPES = ['clean', 'dirty'];
|
|
25
|
+
const INTERPOLATIONS = [
|
|
26
|
+
'logLinearDiscount',
|
|
27
|
+
'linearZero',
|
|
28
|
+
'linearDiscount',
|
|
29
|
+
'cubicZero',
|
|
30
|
+
'pchipZero',
|
|
31
|
+
];
|
|
32
|
+
const EXTRAPOLATIONS = [
|
|
33
|
+
'flatForward',
|
|
34
|
+
'flatZero',
|
|
35
|
+
'throw',
|
|
36
|
+
];
|
|
37
|
+
const SUPPORTED_KINDS = ['fixed', 'zero', 'amortizing'];
|
|
38
|
+
const CURRENCY_CODE_PATTERN = /^[A-Z]{3}$/;
|
|
39
|
+
const FACTORY_EXAMPLE_VALUES = {
|
|
40
|
+
curveId: "curveId: 'USD.treasury'",
|
|
41
|
+
currency: "currency: 'USD'",
|
|
42
|
+
priceType: "priceType: 'dirty'",
|
|
43
|
+
interpolation: "interpolation: 'logLinearDiscount'",
|
|
44
|
+
extrapolation: "extrapolation: 'flatForward'",
|
|
45
|
+
};
|
|
46
|
+
function factoryExampleFor(functionName, field) {
|
|
47
|
+
const keys = [field, ...FACTORY_KEYS.filter((key) => key !== field)];
|
|
48
|
+
return `${functionName}({ ${keys.map((key) => FACTORY_EXAMPLE_VALUES[key]).join(', ')} })`;
|
|
49
|
+
}
|
|
50
|
+
function describeContainer(value) {
|
|
51
|
+
if (value === null)
|
|
52
|
+
return 'null';
|
|
53
|
+
if (Array.isArray(value))
|
|
54
|
+
return 'array';
|
|
55
|
+
return typeof value;
|
|
56
|
+
}
|
|
57
|
+
function isPlainRecord(value) {
|
|
58
|
+
const prototype = Object.getPrototypeOf(value);
|
|
59
|
+
return prototype === Object.prototype || prototype === null;
|
|
60
|
+
}
|
|
61
|
+
/**
|
|
62
|
+
* Snapshot a request or stored-data shell through own descriptors only. The returned plain record
|
|
63
|
+
* is the only object later validation reads, so an accessor or coercion hook on caller input can
|
|
64
|
+
* never run merely because the adapter is trying to explain a malformed call.
|
|
65
|
+
*/
|
|
66
|
+
function snapshotStoredRecord(value, options) {
|
|
67
|
+
const { functionName, label, allowedKeys, requiredKeys = [] } = options;
|
|
68
|
+
if (value === null || typeof value !== 'object' || Array.isArray(value)) {
|
|
69
|
+
throw new InputError(`${functionName}: ${label} must be a plain object of named stored fields, got ${describeContainer(value)}.`, {
|
|
70
|
+
code: ErrorCode.InputWrongType,
|
|
71
|
+
context: { function: functionName, field: label, received: describeContainer(value) },
|
|
72
|
+
});
|
|
73
|
+
}
|
|
74
|
+
const object = value;
|
|
75
|
+
if (!isPlainRecord(object)) {
|
|
76
|
+
throw new InputError(`${functionName}: ${label} must be a plain object with own stored fields — class instances and custom prototypes are not accepted here.`, {
|
|
77
|
+
code: ErrorCode.InputWrongType,
|
|
78
|
+
context: { function: functionName, field: label },
|
|
79
|
+
});
|
|
80
|
+
}
|
|
81
|
+
const result = {};
|
|
82
|
+
for (const key of Reflect.ownKeys(object)) {
|
|
83
|
+
if (typeof key !== 'string') {
|
|
84
|
+
throw new InputError(`${functionName}: ${label} contains a symbol key; this boundary accepts enumerable string fields only.`, {
|
|
85
|
+
code: ErrorCode.InputUnknownField,
|
|
86
|
+
context: { function: functionName, field: label, keyType: 'symbol' },
|
|
87
|
+
});
|
|
88
|
+
}
|
|
89
|
+
if (allowedKeys !== undefined && !allowedKeys.includes(key)) {
|
|
90
|
+
throw new InputError(`${functionName}: unknown field ${JSON.stringify(key)} in ${label}. Allowed fields: ${allowedKeys.join(', ')}.`, {
|
|
91
|
+
code: ErrorCode.InputUnknownField,
|
|
92
|
+
context: { function: functionName, field: label, key },
|
|
93
|
+
});
|
|
94
|
+
}
|
|
95
|
+
const descriptor = Object.getOwnPropertyDescriptor(object, key);
|
|
96
|
+
if (descriptor === undefined || !descriptor.enumerable || !('value' in descriptor)) {
|
|
97
|
+
throw new InputError(`${functionName}: ${label}.${key} must be an enumerable own data property — accessors and hidden members are not accepted.`, {
|
|
98
|
+
code: ErrorCode.InputWrongType,
|
|
99
|
+
context: { function: functionName, field: `${label}.${key}` },
|
|
100
|
+
});
|
|
101
|
+
}
|
|
102
|
+
Object.defineProperty(result, key, {
|
|
103
|
+
configurable: true,
|
|
104
|
+
enumerable: true,
|
|
105
|
+
value: descriptor.value,
|
|
106
|
+
writable: true,
|
|
107
|
+
});
|
|
108
|
+
}
|
|
109
|
+
for (const key of requiredKeys) {
|
|
110
|
+
if (!Object.prototype.hasOwnProperty.call(result, key) || result[key] === undefined) {
|
|
111
|
+
throw new InputError(`${functionName}: ${label}.${key} is required.`, {
|
|
112
|
+
code: ErrorCode.InputMissingField,
|
|
113
|
+
context: { function: functionName, field: `${label}.${key}` },
|
|
114
|
+
});
|
|
115
|
+
}
|
|
116
|
+
}
|
|
117
|
+
return Object.freeze(result);
|
|
118
|
+
}
|
|
119
|
+
/** Snapshot a plain dense array without reading accessor-backed slots or allocating for holes. */
|
|
120
|
+
function snapshotDenseArray(value, functionName, label) {
|
|
121
|
+
if (!Array.isArray(value) || Object.getPrototypeOf(value) !== Array.prototype) {
|
|
122
|
+
throw new InputError(`${functionName}: ${label} must be a plain dense array.`, {
|
|
123
|
+
code: ErrorCode.InputWrongType,
|
|
124
|
+
context: { function: functionName, field: label },
|
|
125
|
+
});
|
|
126
|
+
}
|
|
127
|
+
const lengthDescriptor = Object.getOwnPropertyDescriptor(value, 'length');
|
|
128
|
+
if (lengthDescriptor === undefined ||
|
|
129
|
+
!('value' in lengthDescriptor) ||
|
|
130
|
+
!Number.isSafeInteger(lengthDescriptor.value) ||
|
|
131
|
+
lengthDescriptor.value < 0) {
|
|
132
|
+
throw new InputError(`${functionName}: ${label} has an invalid length descriptor.`, {
|
|
133
|
+
code: ErrorCode.InputWrongType,
|
|
134
|
+
context: { function: functionName, field: `${label}.length` },
|
|
135
|
+
});
|
|
136
|
+
}
|
|
137
|
+
const length = lengthDescriptor.value;
|
|
138
|
+
let indexCount = 0;
|
|
139
|
+
for (const key of Reflect.ownKeys(value)) {
|
|
140
|
+
if (key === 'length')
|
|
141
|
+
continue;
|
|
142
|
+
if (typeof key !== 'string' || !/^(0|[1-9][0-9]*)$/.test(key)) {
|
|
143
|
+
throw new InputError(`${functionName}: ${label} contains a non-index member; observation arrays contain dense elements only.`, {
|
|
144
|
+
code: ErrorCode.InputUnknownField,
|
|
145
|
+
context: { function: functionName, field: label },
|
|
146
|
+
});
|
|
147
|
+
}
|
|
148
|
+
const index = Number(key);
|
|
149
|
+
const descriptor = Object.getOwnPropertyDescriptor(value, key);
|
|
150
|
+
if (!Number.isSafeInteger(index) ||
|
|
151
|
+
index < 0 ||
|
|
152
|
+
index >= length ||
|
|
153
|
+
descriptor === undefined ||
|
|
154
|
+
!descriptor.enumerable ||
|
|
155
|
+
!('value' in descriptor)) {
|
|
156
|
+
throw new InputError(`${functionName}: ${label}[${key}] must be an enumerable stored element — sparse arrays, accessors, and hidden slots are not accepted.`, {
|
|
157
|
+
code: ErrorCode.InputWrongType,
|
|
158
|
+
context: { function: functionName, field: `${label}[${key}]` },
|
|
159
|
+
});
|
|
160
|
+
}
|
|
161
|
+
indexCount += 1;
|
|
162
|
+
}
|
|
163
|
+
if (indexCount !== length) {
|
|
164
|
+
throw new InputError(`${functionName}: ${label} must be dense; its length is ${length} but it stores ${indexCount} elements.`, {
|
|
165
|
+
code: ErrorCode.InputWrongType,
|
|
166
|
+
context: { function: functionName, field: label, length, storedElements: indexCount },
|
|
167
|
+
});
|
|
168
|
+
}
|
|
169
|
+
const result = new Array(length);
|
|
170
|
+
for (let index = 0; index < length; index++) {
|
|
171
|
+
const descriptor = Object.getOwnPropertyDescriptor(value, String(index));
|
|
172
|
+
// The complete descriptor pass above proved this branch. Keep the postcondition explicit so a
|
|
173
|
+
// hostile proxy cannot turn a missing slot into an untyped crash between the two reads.
|
|
174
|
+
if (descriptor === undefined || !descriptor.enumerable || !('value' in descriptor)) {
|
|
175
|
+
throw new InputError(`${functionName}: ${label}[${index}] changed during validation.`, {
|
|
176
|
+
code: ErrorCode.InputWrongType,
|
|
177
|
+
context: { function: functionName, field: `${label}[${index}]` },
|
|
178
|
+
});
|
|
179
|
+
}
|
|
180
|
+
result[index] = descriptor.value;
|
|
181
|
+
}
|
|
182
|
+
return Object.freeze(result);
|
|
183
|
+
}
|
|
184
|
+
function copyStoredRecord(source, replacements = {}) {
|
|
185
|
+
const result = {};
|
|
186
|
+
for (const key of Object.keys(source)) {
|
|
187
|
+
Object.defineProperty(result, key, {
|
|
188
|
+
configurable: true,
|
|
189
|
+
enumerable: true,
|
|
190
|
+
value: Object.prototype.hasOwnProperty.call(replacements, key)
|
|
191
|
+
? replacements[key]
|
|
192
|
+
: source[key],
|
|
193
|
+
writable: true,
|
|
194
|
+
});
|
|
195
|
+
}
|
|
196
|
+
return Object.freeze(result);
|
|
197
|
+
}
|
|
198
|
+
function snapshotRateCurve(value, functionName, label) {
|
|
199
|
+
const curve = snapshotStoredRecord(value, { functionName, label });
|
|
200
|
+
const replacements = {};
|
|
201
|
+
const rawPoints = curve['points'];
|
|
202
|
+
if (rawPoints !== undefined) {
|
|
203
|
+
const points = snapshotDenseArray(rawPoints, functionName, `${label}.points`);
|
|
204
|
+
replacements['points'] = Object.freeze(points.map((point, index) => snapshotStoredRecord(point, {
|
|
205
|
+
functionName,
|
|
206
|
+
label: `${label}.points[${index}]`,
|
|
207
|
+
})));
|
|
208
|
+
}
|
|
209
|
+
const rawCompounding = curve['compounding'];
|
|
210
|
+
if (rawCompounding !== null &&
|
|
211
|
+
typeof rawCompounding === 'object' &&
|
|
212
|
+
!Array.isArray(rawCompounding)) {
|
|
213
|
+
replacements['compounding'] = snapshotStoredRecord(rawCompounding, {
|
|
214
|
+
functionName,
|
|
215
|
+
label: `${label}.compounding`,
|
|
216
|
+
});
|
|
217
|
+
}
|
|
218
|
+
return copyStoredRecord(curve, replacements);
|
|
219
|
+
}
|
|
220
|
+
function snapshotObservations(value, functionName) {
|
|
221
|
+
const observations = snapshotDenseArray(value, functionName, 'input.observations');
|
|
222
|
+
return Object.freeze(observations.map((rawObservation, index) => {
|
|
223
|
+
const label = `input.observations[${index}]`;
|
|
224
|
+
const observation = snapshotStoredRecord(rawObservation, {
|
|
225
|
+
functionName,
|
|
226
|
+
label,
|
|
227
|
+
allowedKeys: ['requirement', 'value'],
|
|
228
|
+
requiredKeys: ['requirement', 'value'],
|
|
229
|
+
});
|
|
230
|
+
const requirement = snapshotStoredRecord(observation['requirement'], {
|
|
231
|
+
functionName,
|
|
232
|
+
label: `${label}.requirement`,
|
|
233
|
+
});
|
|
234
|
+
const valueSnapshot = requirement['kind'] === 'discountCurve'
|
|
235
|
+
? snapshotRateCurve(observation['value'], functionName, `${label}.value`)
|
|
236
|
+
: observation['value'];
|
|
237
|
+
return Object.freeze({ requirement, value: valueSnapshot });
|
|
238
|
+
}));
|
|
239
|
+
}
|
|
240
|
+
function requireNonEmptyString(functionName, field, value) {
|
|
241
|
+
if (value === undefined) {
|
|
242
|
+
throw missingFieldError(functionName, field, factoryExampleFor(functionName, field));
|
|
243
|
+
}
|
|
244
|
+
if (typeof value !== 'string' || value.trim() === '') {
|
|
245
|
+
throw new InputError(`${functionName}: ${field} must be a non-empty string.`, {
|
|
246
|
+
code: ErrorCode.InputWrongType,
|
|
247
|
+
context: { function: functionName, field },
|
|
248
|
+
});
|
|
249
|
+
}
|
|
250
|
+
return value;
|
|
251
|
+
}
|
|
252
|
+
function requireFactoryOptions(rawOptions) {
|
|
253
|
+
const functionName = 'bondDiscountCurvePricer';
|
|
254
|
+
const options = snapshotStoredRecord(rawOptions, {
|
|
255
|
+
functionName,
|
|
256
|
+
label: 'options',
|
|
257
|
+
allowedKeys: FACTORY_KEYS,
|
|
258
|
+
});
|
|
259
|
+
const curveId = requireNonEmptyString(functionName, 'curveId', options['curveId']);
|
|
260
|
+
const currency = requireNonEmptyString(functionName, 'currency', options['currency']);
|
|
261
|
+
if (!CURRENCY_CODE_PATTERN.test(currency)) {
|
|
262
|
+
const uppercased = currency.toUpperCase();
|
|
263
|
+
const fix = CURRENCY_CODE_PATTERN.test(uppercased) ? ` — write it as '${uppercased}'` : '';
|
|
264
|
+
throw new InputError(`${functionName}: currency must be an uppercase three-letter ISO-style currency code matching /^[A-Z]{3}$/ (e.g. 'USD'). Received ${JSON.stringify(currency)}${fix}.`, {
|
|
265
|
+
code: ErrorCode.InputOutOfRange,
|
|
266
|
+
context: { function: functionName, field: 'currency', value: currency },
|
|
267
|
+
});
|
|
268
|
+
}
|
|
269
|
+
if (options['priceType'] === undefined) {
|
|
270
|
+
throw missingFieldError(functionName, 'priceType', factoryExampleFor(functionName, 'priceType'));
|
|
271
|
+
}
|
|
272
|
+
if (options['interpolation'] === undefined) {
|
|
273
|
+
throw missingFieldError(functionName, 'interpolation', factoryExampleFor(functionName, 'interpolation'));
|
|
274
|
+
}
|
|
275
|
+
if (options['extrapolation'] === undefined) {
|
|
276
|
+
throw missingFieldError(functionName, 'extrapolation', factoryExampleFor(functionName, 'extrapolation'));
|
|
277
|
+
}
|
|
278
|
+
ensureEnum(options['priceType'], PRICE_TYPES, 'priceType', functionName);
|
|
279
|
+
ensureEnum(options['interpolation'], INTERPOLATIONS, 'interpolation', functionName);
|
|
280
|
+
ensureEnum(options['extrapolation'], EXTRAPOLATIONS, 'extrapolation', functionName);
|
|
281
|
+
return Object.freeze({
|
|
282
|
+
curveId,
|
|
283
|
+
currency,
|
|
284
|
+
priceType: options['priceType'],
|
|
285
|
+
interpolation: options['interpolation'],
|
|
286
|
+
extrapolation: options['extrapolation'],
|
|
287
|
+
});
|
|
288
|
+
}
|
|
289
|
+
function requirementsFor(options) {
|
|
290
|
+
return Object.freeze([
|
|
291
|
+
Object.freeze({ kind: 'valuationInstant' }),
|
|
292
|
+
Object.freeze({
|
|
293
|
+
kind: 'discountCurve',
|
|
294
|
+
curveId: options.curveId,
|
|
295
|
+
currency: options.currency,
|
|
296
|
+
}),
|
|
297
|
+
]);
|
|
298
|
+
}
|
|
299
|
+
/**
|
|
300
|
+
* Build the pricer's discount curve through the PUBLIC mapper (`yieldCurveFromRateCurve` — Stage
|
|
301
|
+
* 4.5 made the former private builder public; one engine). The pricer keeps its own taxonomy: a
|
|
302
|
+
* refusal the mapper voices as an input error is re-thrown here as `pricer.observation_invalid`
|
|
303
|
+
* with the curve identity, so a caller of the pricer still reads one protocol.
|
|
304
|
+
*/
|
|
305
|
+
function buildDiscountCurve(observed, options, functionName) {
|
|
306
|
+
try {
|
|
307
|
+
const curve = yieldCurveFromRateCurve({
|
|
308
|
+
curve: observed,
|
|
309
|
+
interpolation: options.interpolation,
|
|
310
|
+
extrapolation: options.extrapolation,
|
|
311
|
+
});
|
|
312
|
+
return { curve, referenceDate: curve.referenceDate };
|
|
313
|
+
}
|
|
314
|
+
catch (error) {
|
|
315
|
+
if (isQuantError(error)) {
|
|
316
|
+
throw new InputError(`${functionName}: ${error.message.replace(/^yieldCurveFromRateCurve: /, '')}`, {
|
|
317
|
+
code: ErrorCode.PricerObservationInvalid,
|
|
318
|
+
context: {
|
|
319
|
+
function: functionName,
|
|
320
|
+
curveId: options.curveId,
|
|
321
|
+
field: 'discountCurve',
|
|
322
|
+
...(error.context ?? {}),
|
|
323
|
+
},
|
|
324
|
+
cause: error,
|
|
325
|
+
});
|
|
326
|
+
}
|
|
327
|
+
throw error;
|
|
328
|
+
}
|
|
329
|
+
}
|
|
330
|
+
function storedBondKind(instrument) {
|
|
331
|
+
if (instrument === null ||
|
|
332
|
+
typeof instrument !== 'object' ||
|
|
333
|
+
Array.isArray(instrument) ||
|
|
334
|
+
!isPlainRecord(instrument)) {
|
|
335
|
+
return undefined;
|
|
336
|
+
}
|
|
337
|
+
let kind;
|
|
338
|
+
let hasKind = false;
|
|
339
|
+
for (const key of Reflect.ownKeys(instrument)) {
|
|
340
|
+
if (typeof key !== 'string')
|
|
341
|
+
return undefined;
|
|
342
|
+
const descriptor = Object.getOwnPropertyDescriptor(instrument, key);
|
|
343
|
+
if (descriptor === undefined || !descriptor.enumerable || !('value' in descriptor)) {
|
|
344
|
+
return undefined;
|
|
345
|
+
}
|
|
346
|
+
if (key === 'kind') {
|
|
347
|
+
hasKind = true;
|
|
348
|
+
kind = descriptor.value;
|
|
349
|
+
}
|
|
350
|
+
}
|
|
351
|
+
return hasKind && typeof kind === 'string' ? kind : undefined;
|
|
352
|
+
}
|
|
353
|
+
function isSupportedBond(instrument) {
|
|
354
|
+
const kind = storedBondKind(instrument);
|
|
355
|
+
return kind !== undefined && SUPPORTED_KINDS.includes(kind);
|
|
356
|
+
}
|
|
357
|
+
/**
|
|
358
|
+
* Adapt the existing fixed-income discount-curve bond pricing path to Gate C.
|
|
359
|
+
*/
|
|
360
|
+
export function bondDiscountCurvePricer(options) {
|
|
361
|
+
const checked = requireFactoryOptions(options);
|
|
362
|
+
const requirements = requirementsFor(checked);
|
|
363
|
+
const functionName = 'bondDiscountCurvePricer.price';
|
|
364
|
+
return definePricer({
|
|
365
|
+
name: BOND_DISCOUNT_CURVE_PRICER_NAME,
|
|
366
|
+
version: PRICER_VERSION,
|
|
367
|
+
capabilities: { greeks: 'none', randomness: 'none', batch: false },
|
|
368
|
+
supports: isSupportedBond,
|
|
369
|
+
requirements: () => requirements,
|
|
370
|
+
price: (rawInput) => {
|
|
371
|
+
const input = snapshotStoredRecord(rawInput, {
|
|
372
|
+
functionName,
|
|
373
|
+
label: 'input',
|
|
374
|
+
allowedKeys: PRICE_KEYS,
|
|
375
|
+
requiredKeys: ['instrument', 'observations'],
|
|
376
|
+
});
|
|
377
|
+
const instrument = input['instrument'];
|
|
378
|
+
const rawRequest = input['request'];
|
|
379
|
+
if (rawRequest !== undefined) {
|
|
380
|
+
const request = snapshotStoredRecord(rawRequest, {
|
|
381
|
+
functionName,
|
|
382
|
+
label: 'input.request',
|
|
383
|
+
allowedKeys: REQUEST_KEYS,
|
|
384
|
+
});
|
|
385
|
+
if (request['greeks'] !== undefined && typeof request['greeks'] !== 'boolean') {
|
|
386
|
+
throw new InputError(`${functionName}: input.request.greeks must be a boolean.`, {
|
|
387
|
+
code: ErrorCode.InputWrongType,
|
|
388
|
+
context: { function: functionName, field: 'input.request.greeks' },
|
|
389
|
+
});
|
|
390
|
+
}
|
|
391
|
+
const seed = request['seed'];
|
|
392
|
+
if (seed !== undefined && typeof seed !== 'number') {
|
|
393
|
+
throw new InputError(`${functionName}: input.request.seed must be a number when supplied.`, {
|
|
394
|
+
code: ErrorCode.InputWrongType,
|
|
395
|
+
context: { function: functionName, field: 'input.request.seed' },
|
|
396
|
+
});
|
|
397
|
+
}
|
|
398
|
+
if (seed !== undefined && (!Number.isSafeInteger(seed) || seed < 0)) {
|
|
399
|
+
throw new InputError(`${functionName}: input.request.seed must be a non-negative safe integer when supplied.`, {
|
|
400
|
+
code: ErrorCode.InputOutOfRange,
|
|
401
|
+
context: { function: functionName, field: 'input.request.seed' },
|
|
402
|
+
});
|
|
403
|
+
}
|
|
404
|
+
}
|
|
405
|
+
const bondKind = storedBondKind(instrument);
|
|
406
|
+
if (bondKind === undefined || !SUPPORTED_KINDS.includes(bondKind)) {
|
|
407
|
+
const receivedKind = bondKind === undefined ? 'an invalid stored kind' : JSON.stringify(bondKind);
|
|
408
|
+
throw new UnsupportedError(`${functionName}: bond kind ${receivedKind} is not supported; use a fixed-rate, zero-coupon, or fixed-amortizing bond. Floating-rate and inflation-linked bonds require market observations this adapter does not declare.`, {
|
|
409
|
+
code: ErrorCode.EngineUnsupportedContract,
|
|
410
|
+
context: { function: functionName, bondKind: bondKind ?? 'invalid' },
|
|
411
|
+
});
|
|
412
|
+
}
|
|
413
|
+
const observations = snapshotObservations(input['observations'], functionName);
|
|
414
|
+
const valuationInstant = resolveAsOf(requireObservationValue(functionName, observations, { kind: 'valuationInstant' }), functionName);
|
|
415
|
+
const observedCurve = requireObservationValue(functionName, observations, {
|
|
416
|
+
kind: 'discountCurve',
|
|
417
|
+
curveId: checked.curveId,
|
|
418
|
+
currency: checked.currency,
|
|
419
|
+
});
|
|
420
|
+
const { curve, referenceDate } = buildDiscountCurve(observedCurve, checked, functionName);
|
|
421
|
+
const settlementDate = new Date(valuationInstant).toISOString().slice(0, 10);
|
|
422
|
+
const direct = priceMultiCurve(instrument, { settlementDate, discountCurve: curve });
|
|
423
|
+
const result = {
|
|
424
|
+
value: checked.priceType === 'clean' ? direct.cleanPrice : direct.dirtyPrice,
|
|
425
|
+
dirtyPrice: direct.dirtyPrice,
|
|
426
|
+
cleanPrice: direct.cleanPrice,
|
|
427
|
+
accruedInterest: direct.accruedInterest,
|
|
428
|
+
assumptions: {
|
|
429
|
+
...direct.assumptions,
|
|
430
|
+
priceType: checked.priceType,
|
|
431
|
+
curveId: checked.curveId,
|
|
432
|
+
currency: checked.currency,
|
|
433
|
+
interpolation: checked.interpolation,
|
|
434
|
+
extrapolation: checked.extrapolation,
|
|
435
|
+
valuationInstant,
|
|
436
|
+
curveReferenceDate: referenceDate,
|
|
437
|
+
settlementDateProjection: BOND_SETTLEMENT_DATE_PROJECTION,
|
|
438
|
+
},
|
|
439
|
+
diagnostics: direct.diagnostics,
|
|
440
|
+
};
|
|
441
|
+
return result;
|
|
442
|
+
},
|
|
443
|
+
});
|
|
444
|
+
}
|
|
445
|
+
//# sourceMappingURL=pricer.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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