@insiderfinance/totalfinance 0.1.0

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Files changed (2495) hide show
  1. package/LICENSE +201 -0
  2. package/README.md +339 -0
  3. package/STABILITY.md +23 -0
  4. package/modules/backtest/dist/artifacts.d.ts +23 -0
  5. package/modules/backtest/dist/artifacts.d.ts.map +1 -0
  6. package/modules/backtest/dist/artifacts.js +22 -0
  7. package/modules/backtest/dist/artifacts.js.map +1 -0
  8. package/modules/backtest/dist/broker.d.ts +265 -0
  9. package/modules/backtest/dist/broker.d.ts.map +1 -0
  10. package/modules/backtest/dist/broker.js +1228 -0
  11. package/modules/backtest/dist/broker.js.map +1 -0
  12. package/modules/backtest/dist/costs.d.ts +67 -0
  13. package/modules/backtest/dist/costs.d.ts.map +1 -0
  14. package/modules/backtest/dist/costs.js +171 -0
  15. package/modules/backtest/dist/costs.js.map +1 -0
  16. package/modules/backtest/dist/cross-sectional/engine.d.ts +21 -0
  17. package/modules/backtest/dist/cross-sectional/engine.d.ts.map +1 -0
  18. package/modules/backtest/dist/cross-sectional/engine.js +1399 -0
  19. package/modules/backtest/dist/cross-sectional/engine.js.map +1 -0
  20. package/modules/backtest/dist/cross-sectional/folds.d.ts +134 -0
  21. package/modules/backtest/dist/cross-sectional/folds.d.ts.map +1 -0
  22. package/modules/backtest/dist/cross-sectional/folds.js +375 -0
  23. package/modules/backtest/dist/cross-sectional/folds.js.map +1 -0
  24. package/modules/backtest/dist/cross-sectional/grid.d.ts +142 -0
  25. package/modules/backtest/dist/cross-sectional/grid.d.ts.map +1 -0
  26. package/modules/backtest/dist/cross-sectional/grid.js +394 -0
  27. package/modules/backtest/dist/cross-sectional/grid.js.map +1 -0
  28. package/modules/backtest/dist/cross-sectional/index.d.ts +18 -0
  29. package/modules/backtest/dist/cross-sectional/index.d.ts.map +1 -0
  30. package/modules/backtest/dist/cross-sectional/index.js +15 -0
  31. package/modules/backtest/dist/cross-sectional/index.js.map +1 -0
  32. package/modules/backtest/dist/cross-sectional/types.d.ts +331 -0
  33. package/modules/backtest/dist/cross-sectional/types.d.ts.map +1 -0
  34. package/modules/backtest/dist/cross-sectional/types.js +12 -0
  35. package/modules/backtest/dist/cross-sectional/types.js.map +1 -0
  36. package/modules/backtest/dist/cross-sectional/validate.d.ts +22 -0
  37. package/modules/backtest/dist/cross-sectional/validate.d.ts.map +1 -0
  38. package/modules/backtest/dist/cross-sectional/validate.js +489 -0
  39. package/modules/backtest/dist/cross-sectional/validate.js.map +1 -0
  40. package/modules/backtest/dist/diagnostics.d.ts +16 -0
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  42. package/modules/backtest/dist/diagnostics.js +63 -0
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  44. package/modules/backtest/dist/environment/bench.d.ts +34 -0
  45. package/modules/backtest/dist/environment/bench.d.ts.map +1 -0
  46. package/modules/backtest/dist/environment/bench.js +724 -0
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  48. package/modules/backtest/dist/environment/environment.d.ts +5 -0
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  50. package/modules/backtest/dist/environment/environment.js +618 -0
  51. package/modules/backtest/dist/environment/environment.js.map +1 -0
  52. package/modules/backtest/dist/environment/episode.d.ts +4 -0
  53. package/modules/backtest/dist/environment/episode.d.ts.map +1 -0
  54. package/modules/backtest/dist/environment/episode.js +121 -0
  55. package/modules/backtest/dist/environment/episode.js.map +1 -0
  56. package/modules/backtest/dist/environment/episodes.d.ts +14 -0
  57. package/modules/backtest/dist/environment/episodes.d.ts.map +1 -0
  58. package/modules/backtest/dist/environment/episodes.js +644 -0
  59. package/modules/backtest/dist/environment/episodes.js.map +1 -0
  60. package/modules/backtest/dist/environment/features.d.ts +31 -0
  61. package/modules/backtest/dist/environment/features.d.ts.map +1 -0
  62. package/modules/backtest/dist/environment/features.js +157 -0
  63. package/modules/backtest/dist/environment/features.js.map +1 -0
  64. package/modules/backtest/dist/environment/index.d.ts +14 -0
  65. package/modules/backtest/dist/environment/index.d.ts.map +1 -0
  66. package/modules/backtest/dist/environment/index.js +12 -0
  67. package/modules/backtest/dist/environment/index.js.map +1 -0
  68. package/modules/backtest/dist/environment/limits.d.ts +63 -0
  69. package/modules/backtest/dist/environment/limits.d.ts.map +1 -0
  70. package/modules/backtest/dist/environment/limits.js +253 -0
  71. package/modules/backtest/dist/environment/limits.js.map +1 -0
  72. package/modules/backtest/dist/environment/reward.d.ts +5 -0
  73. package/modules/backtest/dist/environment/reward.d.ts.map +1 -0
  74. package/modules/backtest/dist/environment/reward.js +80 -0
  75. package/modules/backtest/dist/environment/reward.js.map +1 -0
  76. package/modules/backtest/dist/environment/types.d.ts +540 -0
  77. package/modules/backtest/dist/environment/types.d.ts.map +1 -0
  78. package/modules/backtest/dist/environment/types.js +2 -0
  79. package/modules/backtest/dist/environment/types.js.map +1 -0
  80. package/modules/backtest/dist/environment/validate.d.ts +23 -0
  81. package/modules/backtest/dist/environment/validate.d.ts.map +1 -0
  82. package/modules/backtest/dist/environment/validate.js +264 -0
  83. package/modules/backtest/dist/environment/validate.js.map +1 -0
  84. package/modules/backtest/dist/event-driven.d.ts +111 -0
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  86. package/modules/backtest/dist/event-driven.js +325 -0
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  88. package/modules/backtest/dist/execution/conformance.d.ts +33 -0
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  91. package/modules/backtest/dist/execution/conformance.js.map +1 -0
  92. package/modules/backtest/dist/execution/fill-models.d.ts +35 -0
  93. package/modules/backtest/dist/execution/fill-models.d.ts.map +1 -0
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  95. package/modules/backtest/dist/execution/fill-models.js.map +1 -0
  96. package/modules/backtest/dist/execution/fill-order.d.ts +55 -0
  97. package/modules/backtest/dist/execution/fill-order.d.ts.map +1 -0
  98. package/modules/backtest/dist/execution/fill-order.js +156 -0
  99. package/modules/backtest/dist/execution/fill-order.js.map +1 -0
  100. package/modules/backtest/dist/execution/index.d.ts +33 -0
  101. package/modules/backtest/dist/execution/index.d.ts.map +1 -0
  102. package/modules/backtest/dist/execution/index.js +27 -0
  103. package/modules/backtest/dist/execution/index.js.map +1 -0
  104. package/modules/backtest/dist/execution/intrabar.d.ts +46 -0
  105. package/modules/backtest/dist/execution/intrabar.d.ts.map +1 -0
  106. package/modules/backtest/dist/execution/intrabar.js +130 -0
  107. package/modules/backtest/dist/execution/intrabar.js.map +1 -0
  108. package/modules/backtest/dist/execution/normalized.d.ts +56 -0
  109. package/modules/backtest/dist/execution/normalized.d.ts.map +1 -0
  110. package/modules/backtest/dist/execution/normalized.js +154 -0
  111. package/modules/backtest/dist/execution/normalized.js.map +1 -0
  112. package/modules/backtest/dist/execution/policy.d.ts +84 -0
  113. package/modules/backtest/dist/execution/policy.d.ts.map +1 -0
  114. package/modules/backtest/dist/execution/policy.js +341 -0
  115. package/modules/backtest/dist/execution/policy.js.map +1 -0
  116. package/modules/backtest/dist/execution/types.d.ts +217 -0
  117. package/modules/backtest/dist/execution/types.d.ts.map +1 -0
  118. package/modules/backtest/dist/execution/types.js +8 -0
  119. package/modules/backtest/dist/execution/types.js.map +1 -0
  120. package/modules/backtest/dist/execution/validate.d.ts +35 -0
  121. package/modules/backtest/dist/execution/validate.d.ts.map +1 -0
  122. package/modules/backtest/dist/execution/validate.js +666 -0
  123. package/modules/backtest/dist/execution/validate.js.map +1 -0
  124. package/modules/backtest/dist/generated/validation-specs.d.ts +12 -0
  125. package/modules/backtest/dist/generated/validation-specs.d.ts.map +1 -0
  126. package/modules/backtest/dist/generated/validation-specs.js +1129 -0
  127. package/modules/backtest/dist/generated/validation-specs.js.map +1 -0
  128. package/modules/backtest/dist/index.d.ts +33 -0
  129. package/modules/backtest/dist/index.d.ts.map +1 -0
  130. package/modules/backtest/dist/index.js +28 -0
  131. package/modules/backtest/dist/index.js.map +1 -0
  132. package/modules/backtest/dist/options/chain.d.ts +68 -0
  133. package/modules/backtest/dist/options/chain.d.ts.map +1 -0
  134. package/modules/backtest/dist/options/chain.js +303 -0
  135. package/modules/backtest/dist/options/chain.js.map +1 -0
  136. package/modules/backtest/dist/options/engine.d.ts +28 -0
  137. package/modules/backtest/dist/options/engine.d.ts.map +1 -0
  138. package/modules/backtest/dist/options/engine.js +1859 -0
  139. package/modules/backtest/dist/options/engine.js.map +1 -0
  140. package/modules/backtest/dist/options/index.d.ts +23 -0
  141. package/modules/backtest/dist/options/index.d.ts.map +1 -0
  142. package/modules/backtest/dist/options/index.js +21 -0
  143. package/modules/backtest/dist/options/index.js.map +1 -0
  144. package/modules/backtest/dist/options/tearsheet.d.ts +77 -0
  145. package/modules/backtest/dist/options/tearsheet.d.ts.map +1 -0
  146. package/modules/backtest/dist/options/tearsheet.js +205 -0
  147. package/modules/backtest/dist/options/tearsheet.js.map +1 -0
  148. package/modules/backtest/dist/options/types.d.ts +571 -0
  149. package/modules/backtest/dist/options/types.d.ts.map +1 -0
  150. package/modules/backtest/dist/options/types.js +19 -0
  151. package/modules/backtest/dist/options/types.js.map +1 -0
  152. package/modules/backtest/dist/paper/index.d.ts +13 -0
  153. package/modules/backtest/dist/paper/index.d.ts.map +1 -0
  154. package/modules/backtest/dist/paper/index.js +12 -0
  155. package/modules/backtest/dist/paper/index.js.map +1 -0
  156. package/modules/backtest/dist/paper/paper.d.ts +8 -0
  157. package/modules/backtest/dist/paper/paper.d.ts.map +1 -0
  158. package/modules/backtest/dist/paper/paper.js +950 -0
  159. package/modules/backtest/dist/paper/paper.js.map +1 -0
  160. package/modules/backtest/dist/paper/types.d.ts +190 -0
  161. package/modules/backtest/dist/paper/types.d.ts.map +1 -0
  162. package/modules/backtest/dist/paper/types.js +3 -0
  163. package/modules/backtest/dist/paper/types.js.map +1 -0
  164. package/modules/backtest/dist/paper/validate.d.ts +9 -0
  165. package/modules/backtest/dist/paper/validate.d.ts.map +1 -0
  166. package/modules/backtest/dist/paper/validate.js +112 -0
  167. package/modules/backtest/dist/paper/validate.js.map +1 -0
  168. package/modules/backtest/dist/portfolio/adapters.d.ts +37 -0
  169. package/modules/backtest/dist/portfolio/adapters.d.ts.map +1 -0
  170. package/modules/backtest/dist/portfolio/adapters.js +555 -0
  171. package/modules/backtest/dist/portfolio/adapters.js.map +1 -0
  172. package/modules/backtest/dist/portfolio/engine.d.ts +35 -0
  173. package/modules/backtest/dist/portfolio/engine.d.ts.map +1 -0
  174. package/modules/backtest/dist/portfolio/engine.js +1300 -0
  175. package/modules/backtest/dist/portfolio/engine.js.map +1 -0
  176. package/modules/backtest/dist/portfolio/index.d.ts +12 -0
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  180. package/modules/backtest/dist/portfolio/types.d.ts +418 -0
  181. package/modules/backtest/dist/portfolio/types.d.ts.map +1 -0
  182. package/modules/backtest/dist/portfolio/types.js +8 -0
  183. package/modules/backtest/dist/portfolio/types.js.map +1 -0
  184. package/modules/backtest/dist/portfolio/validate.d.ts +26 -0
  185. package/modules/backtest/dist/portfolio/validate.d.ts.map +1 -0
  186. package/modules/backtest/dist/portfolio/validate.js +556 -0
  187. package/modules/backtest/dist/portfolio/validate.js.map +1 -0
  188. package/modules/backtest/dist/run-artifacts.d.ts +425 -0
  189. package/modules/backtest/dist/run-artifacts.d.ts.map +1 -0
  190. package/modules/backtest/dist/run-artifacts.js +1843 -0
  191. package/modules/backtest/dist/run-artifacts.js.map +1 -0
  192. package/modules/backtest/dist/signals.d.ts +110 -0
  193. package/modules/backtest/dist/signals.d.ts.map +1 -0
  194. package/modules/backtest/dist/signals.js +207 -0
  195. package/modules/backtest/dist/signals.js.map +1 -0
  196. package/modules/backtest/dist/tearsheet.d.ts +126 -0
  197. package/modules/backtest/dist/tearsheet.d.ts.map +1 -0
  198. package/modules/backtest/dist/tearsheet.js +266 -0
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  200. package/modules/backtest/dist/types.d.ts +175 -0
  201. package/modules/backtest/dist/types.d.ts.map +1 -0
  202. package/modules/backtest/dist/types.js +29 -0
  203. package/modules/backtest/dist/types.js.map +1 -0
  204. package/modules/backtest/dist/validate.d.ts +13 -0
  205. package/modules/backtest/dist/validate.d.ts.map +1 -0
  206. package/modules/backtest/dist/validate.js +37 -0
  207. package/modules/backtest/dist/validate.js.map +1 -0
  208. package/modules/backtest/dist/vectorized.d.ts +53 -0
  209. package/modules/backtest/dist/vectorized.d.ts.map +1 -0
  210. package/modules/backtest/dist/vectorized.js +383 -0
  211. package/modules/backtest/dist/vectorized.js.map +1 -0
  212. package/modules/backtest/dist/walk-forward.d.ts +57 -0
  213. package/modules/backtest/dist/walk-forward.d.ts.map +1 -0
  214. package/modules/backtest/dist/walk-forward.js +125 -0
  215. package/modules/backtest/dist/walk-forward.js.map +1 -0
  216. package/modules/backtest/etc/backtest.api.md +139 -0
  217. package/modules/backtest/src/artifacts.ts +54 -0
  218. package/modules/backtest/src/broker.ts +1529 -0
  219. package/modules/backtest/src/costs.ts +225 -0
  220. package/modules/backtest/src/cross-sectional/engine.ts +1608 -0
  221. package/modules/backtest/src/cross-sectional/folds.ts +718 -0
  222. package/modules/backtest/src/cross-sectional/grid.ts +646 -0
  223. package/modules/backtest/src/cross-sectional/index.ts +76 -0
  224. package/modules/backtest/src/cross-sectional/types.ts +363 -0
  225. package/modules/backtest/src/cross-sectional/validate.ts +906 -0
  226. package/modules/backtest/src/diagnostics.ts +66 -0
  227. package/modules/backtest/src/environment/bench.ts +1022 -0
  228. package/modules/backtest/src/environment/environment.ts +766 -0
  229. package/modules/backtest/src/environment/episode.ts +146 -0
  230. package/modules/backtest/src/environment/episodes.ts +786 -0
  231. package/modules/backtest/src/environment/features.ts +184 -0
  232. package/modules/backtest/src/environment/index.ts +79 -0
  233. package/modules/backtest/src/environment/limits.ts +383 -0
  234. package/modules/backtest/src/environment/reward.ts +98 -0
  235. package/modules/backtest/src/environment/types.ts +595 -0
  236. package/modules/backtest/src/environment/validate.ts +415 -0
  237. package/modules/backtest/src/event-driven.ts +528 -0
  238. package/modules/backtest/src/execution/conformance.ts +346 -0
  239. package/modules/backtest/src/execution/fill-models.ts +410 -0
  240. package/modules/backtest/src/execution/fill-order.ts +261 -0
  241. package/modules/backtest/src/execution/index.ts +91 -0
  242. package/modules/backtest/src/execution/intrabar.ts +185 -0
  243. package/modules/backtest/src/execution/normalized.ts +216 -0
  244. package/modules/backtest/src/execution/policy.ts +447 -0
  245. package/modules/backtest/src/execution/types.ts +239 -0
  246. package/modules/backtest/src/execution/validate.ts +889 -0
  247. package/modules/backtest/src/generated/validation-specs.ts +1132 -0
  248. package/modules/backtest/src/index.ts +157 -0
  249. package/modules/backtest/src/options/chain.ts +410 -0
  250. package/modules/backtest/src/options/engine.ts +2240 -0
  251. package/modules/backtest/src/options/index.ts +68 -0
  252. package/modules/backtest/src/options/tearsheet.ts +327 -0
  253. package/modules/backtest/src/options/types.ts +573 -0
  254. package/modules/backtest/src/paper/index.ts +27 -0
  255. package/modules/backtest/src/paper/paper.ts +1288 -0
  256. package/modules/backtest/src/paper/types.ts +221 -0
  257. package/modules/backtest/src/paper/validate.ts +168 -0
  258. package/modules/backtest/src/portfolio/adapters.ts +651 -0
  259. package/modules/backtest/src/portfolio/engine.ts +1518 -0
  260. package/modules/backtest/src/portfolio/index.ts +64 -0
  261. package/modules/backtest/src/portfolio/types.ts +456 -0
  262. package/modules/backtest/src/portfolio/validate.ts +861 -0
  263. package/modules/backtest/src/run-artifacts.ts +2873 -0
  264. package/modules/backtest/src/signals.ts +267 -0
  265. package/modules/backtest/src/tearsheet.ts +425 -0
  266. package/modules/backtest/src/types.ts +200 -0
  267. package/modules/backtest/src/validate.ts +43 -0
  268. package/modules/backtest/src/vectorized.ts +541 -0
  269. package/modules/backtest/src/walk-forward.ts +215 -0
  270. package/modules/calendars/dist/cboe.d.ts +15 -0
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  298. package/modules/calendars/etc/calendars.api.md +22 -0
  299. package/modules/calendars/src/cboe.ts +17 -0
  300. package/modules/calendars/src/crypto.ts +17 -0
  301. package/modules/calendars/src/expirations.ts +200 -0
  302. package/modules/calendars/src/index.ts +23 -0
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@@ -0,0 +1,28 @@
1
+ /**
2
+ * Builder input guards (dx §1.3). Fixed-income specs are date-heavy: a missing `issueDate` used to
3
+ * surface as `Invalid ISO date "undefined"` — typed, but it never said WHICH field was missing.
4
+ * These guards run before any date parsing and name the field with a working example.
5
+ */
6
+ /**
7
+ * Optional-convention ladders (the 350c2796 ruling): a PRESENT dayCount/frequency/flag must be a
8
+ * member of its domain — null and truthy strings used to coalesce into the industry default and
9
+ * silently change the accrual math.
10
+ */
11
+ export declare function ensureDayCountWhenPresent(value: unknown, functionName: string): void;
12
+ export declare function ensureFrequencyWhenPresent(value: unknown, functionName: string): void;
13
+ /** A lattice resolution is a count, not a continuous frequency estimate. */
14
+ export declare function ensureStepsPerYearWhenPresent(value: unknown, functionName: string): void;
15
+ export declare function ensureBooleanWhenPresent(value: unknown, functionName: string, field: string): void;
16
+ /** Finite-number-when-present for a list of optional fields — one call per boundary. */
17
+ export declare function ensureFiniteFieldsWhenPresent(functionName: string, value: Record<string, unknown>, fields: readonly string[]): void;
18
+ /** The units and conventions a call shape cannot carry. */
19
+ export declare const FIELD_HINTS: Record<string, string>;
20
+ /** A complete, pasteable call to the function that threw, carrying every field it requires. */
21
+ export declare function specificationExampleCall(functionName: string, required: readonly string[]): string;
22
+ /**
23
+ * Throw a teaching error unless `specification` is an object carrying every `required` field. The error
24
+ * names the missing field (with an example) — or, when the whole specification is the wrong shape, echoes
25
+ * the expected shape and the keys the caller actually passed.
26
+ */
27
+ export declare function requireSpecification(functionName: string, specification: unknown, required: readonly string[]): void;
28
+ //# sourceMappingURL=validate.d.ts.map
@@ -0,0 +1 @@
1
+ {"version":3,"file":"validate.d.ts","sourceRoot":"","sources":["../src/validate.ts"],"names":[],"mappings":"AAAA;;;;GAIG;AAsBH;;;;GAIG;AACH,wBAAgB,yBAAyB,CAAC,KAAK,EAAE,OAAO,EAAE,YAAY,EAAE,MAAM,GAAG,IAAI,CAWpF;AAED,wBAAgB,0BAA0B,CAAC,KAAK,EAAE,OAAO,EAAE,YAAY,EAAE,MAAM,GAAG,IAAI,CAWrF;AAED,4EAA4E;AAC5E,wBAAgB,6BAA6B,CAAC,KAAK,EAAE,OAAO,EAAE,YAAY,EAAE,MAAM,GAAG,IAAI,CAqBxF;AAED,wBAAgB,wBAAwB,CACtC,KAAK,EAAE,OAAO,EACd,YAAY,EAAE,MAAM,EACpB,KAAK,EAAE,MAAM,GACZ,IAAI,CAWN;AAED,wFAAwF;AACxF,wBAAgB,6BAA6B,CAC3C,YAAY,EAAE,MAAM,EACpB,KAAK,EAAE,MAAM,CAAC,MAAM,EAAE,OAAO,CAAC,EAC9B,MAAM,EAAE,SAAS,MAAM,EAAE,GACxB,IAAI,CAIN;AAsBD,2DAA2D;AAC3D,eAAO,MAAM,WAAW,EAAE,MAAM,CAAC,MAAM,EAAE,MAAM,CAG9C,CAAC;AAEF,+FAA+F;AAC/F,wBAAgB,wBAAwB,CACtC,YAAY,EAAE,MAAM,EACpB,QAAQ,EAAE,SAAS,MAAM,EAAE,GAC1B,MAAM,CAGR;AAED;;;;GAIG;AACH,wBAAgB,oBAAoB,CAClC,YAAY,EAAE,MAAM,EACpB,aAAa,EAAE,OAAO,EACtB,QAAQ,EAAE,SAAS,MAAM,EAAE,GAC1B,IAAI,CAeN"}
@@ -0,0 +1,123 @@
1
+ /**
2
+ * Builder input guards (dx §1.3). Fixed-income specs are date-heavy: a missing `issueDate` used to
3
+ * surface as `Invalid ISO date "undefined"` — typed, but it never said WHICH field was missing.
4
+ * These guards run before any date parsing and name the field with a working example.
5
+ */
6
+ import { ensureFiniteWhenPresent, ErrorCode, InputError, missingFieldError, wrongShapeError, } from '../../core/dist/index.js';
7
+ /**
8
+ * The whole runtime day-count domain, compiler-checked against the declared union — a missing or
9
+ * misspelled member is a type error here, so the ladder cannot drift from the type it teaches.
10
+ */
11
+ const DAY_COUNT_DOMAIN = ['ACT/365F', 'ACT/360', '30/360', 'ACT/ACT', '30E/360'];
12
+ /** Named coupon frequencies; the union also admits an explicit payments-per-year number. */
13
+ const NAMED_FREQUENCIES = ['annual', 'semiannual', 'quarterly', 'bimonthly', 'monthly'];
14
+ /** Generous semantic ceiling; each caller also applies its tighter tree/path-product cap. */
15
+ const MAX_STEPS_PER_YEAR = 1_000_000;
16
+ /**
17
+ * Optional-convention ladders (the 350c2796 ruling): a PRESENT dayCount/frequency/flag must be a
18
+ * member of its domain — null and truthy strings used to coalesce into the industry default and
19
+ * silently change the accrual math.
20
+ */
21
+ export function ensureDayCountWhenPresent(value, functionName) {
22
+ if (value === undefined)
23
+ return;
24
+ if (typeof value !== 'string' || !DAY_COUNT_DOMAIN.includes(value)) {
25
+ throw new InputError(`${functionName}: dayCount must be one of ${DAY_COUNT_DOMAIN.join(' | ')} when provided — omit the field to use the documented default. Received ${value === null ? 'null' : typeof value === 'string' ? `"${value}"` : typeof value}.`, {
26
+ code: ErrorCode.InputInvalidEnum,
27
+ context: { function: functionName, field: 'dayCount', received: value },
28
+ });
29
+ }
30
+ }
31
+ export function ensureFrequencyWhenPresent(value, functionName) {
32
+ if (value === undefined)
33
+ return;
34
+ if (typeof value === 'number' && Number.isFinite(value) && value > 0)
35
+ return;
36
+ if (typeof value === 'string' && NAMED_FREQUENCIES.includes(value))
37
+ return;
38
+ throw new InputError(`${functionName}: frequency must be ${NAMED_FREQUENCIES.join(' | ')} or a positive number of payments per year when provided. Received ${value === null ? 'null' : typeof value === 'string' ? `"${value}"` : String(value)}.`, {
39
+ code: ErrorCode.InputInvalidEnum,
40
+ context: { function: functionName, field: 'frequency', received: value },
41
+ });
42
+ }
43
+ /** A lattice resolution is a count, not a continuous frequency estimate. */
44
+ export function ensureStepsPerYearWhenPresent(value, functionName) {
45
+ if (value === undefined)
46
+ return;
47
+ if (typeof value !== 'number' ||
48
+ !Number.isSafeInteger(value) ||
49
+ value < 1 ||
50
+ value > MAX_STEPS_PER_YEAR) {
51
+ throw new InputError(`${functionName}: stepsPerYear must be a positive safe integer ≤ ${MAX_STEPS_PER_YEAR.toLocaleString('en-US')} (a lattice resolution count; the derived tree or paths×steps cap may be lower). Received ${String(value)}.`, {
52
+ code: ErrorCode.InputOutOfRange,
53
+ context: {
54
+ function: functionName,
55
+ field: 'stepsPerYear',
56
+ received: value,
57
+ max: MAX_STEPS_PER_YEAR,
58
+ },
59
+ });
60
+ }
61
+ }
62
+ export function ensureBooleanWhenPresent(value, functionName, field) {
63
+ if (value === undefined)
64
+ return;
65
+ if (typeof value !== 'boolean') {
66
+ throw new InputError(`${functionName}: ${field} must be a boolean when provided — omit the field to use the default. Received ${value === null ? 'null' : typeof value}.`, {
67
+ code: ErrorCode.InputWrongType,
68
+ context: { function: functionName, field, received: value },
69
+ });
70
+ }
71
+ }
72
+ /** Finite-number-when-present for a list of optional fields — one call per boundary. */
73
+ export function ensureFiniteFieldsWhenPresent(functionName, value, fields) {
74
+ for (const field of fields) {
75
+ ensureFiniteWhenPresent(value[field], field, functionName);
76
+ }
77
+ }
78
+ /**
79
+ * FIELD VALUES, assembled into a runnable call — not shown to the caller on their own.
80
+ *
81
+ * These were the whole example, so `bonds.fixedRate` answered a missing field with
82
+ * `e.g. issueDate: '2026-01-15'` — a fragment, the exact shape RV2 replaced everywhere it could see.
83
+ * It survived here because the gate built to catch it scanned `requireFiniteFields` and a literal
84
+ * `missingFieldError` argument, and this emitter is a SHARED helper reached with a variable field.
85
+ * A gate's blind spot is where the class it was built for keeps living.
86
+ */
87
+ const FIELD_VALUES = {
88
+ issueDate: "'2026-01-15'",
89
+ maturityDate: "'2031-01-15'",
90
+ couponRate: '0.05',
91
+ frequency: '2',
92
+ settlement: "'2026-07-06'",
93
+ notional: '1_000_000',
94
+ faceValue: '1000',
95
+ settlementDate: "'2026-07-06'",
96
+ };
97
+ /** The units and conventions a call shape cannot carry. */
98
+ export const FIELD_HINTS = {
99
+ couponRate: 'annualized decimal',
100
+ frequency: 'coupons per year',
101
+ };
102
+ /** A complete, pasteable call to the function that threw, carrying every field it requires. */
103
+ export function specificationExampleCall(functionName, required) {
104
+ const body = required.map((f) => `${f}: ${FIELD_VALUES[f] ?? '…'}`).join(', ');
105
+ return `${functionName}({ ${body} })`;
106
+ }
107
+ /**
108
+ * Throw a teaching error unless `specification` is an object carrying every `required` field. The error
109
+ * names the missing field (with an example) — or, when the whole specification is the wrong shape, echoes
110
+ * the expected shape and the keys the caller actually passed.
111
+ */
112
+ export function requireSpecification(functionName, specification, required) {
113
+ if (specification === null || typeof specification !== 'object') {
114
+ throw wrongShapeError(functionName, `{ ${required.join(', ')}, … }`, specification);
115
+ }
116
+ const obj = specification;
117
+ for (const field of required) {
118
+ if (obj[field] === undefined || obj[field] === null) {
119
+ throw missingFieldError(functionName, field, specificationExampleCall(functionName, required), FIELD_HINTS[field]);
120
+ }
121
+ }
122
+ }
123
+ //# sourceMappingURL=validate.js.map
@@ -0,0 +1 @@
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@@ -0,0 +1,88 @@
1
+ /**
2
+ * Counterparty valuation adjustments — CVA / DVA / FVA (spec §14.4, previously "later"). A Hull-White
3
+ * one-factor **exposure simulator** drives them: simulate the short rate forward (exact Ornstein-
4
+ * Uhlenbeck transitions) along a pathwise stochastic discount factor, value the remaining swap
5
+ * **analytically** at each exposure date (the Hull-White bond reconstruction — no regression needed),
6
+ * and aggregate the discounted expected positive/negative exposure against the counterparty / own
7
+ * survival curves and recovery.
8
+ *
9
+ * - **CVA** = `(1 − R꜀) · Σ DiscEPE(tₖ) · [Q꜀(tₖ₋₁) − Q꜀(tₖ)]` — the cost of the counterparty defaulting.
10
+ * - **DVA** = `(1 − Rₒ) · Σ DiscENE(tₖ) · [Qₒ(tₖ₋₁) − Qₒ(tₖ)]` — the symmetric own-default benefit.
11
+ * - **FVA** ≈ `fundingSpread · Σ DiscEPE(tₖ) · Δtₖ` — the funding cost of the expected positive exposure.
12
+ *
13
+ * Seeded and deterministic; the simulator is validated by an internal martingale check (the simulated
14
+ * stochastic discount factor reprices a zero-coupon bond).
15
+ */
16
+ import { type Diagnostics } from '../../core/dist/index.js';
17
+ import { type FixedIncomeDayCount, type Frequency } from './conventions.js';
18
+ import type { SurvivalCurve } from './credit.js';
19
+ import type { YieldCurve } from './curves.js';
20
+ export interface XvaSwapSpecification {
21
+ /** Discount/forecast curve (single-curve); its reference date is the valuation date. */
22
+ curve: YieldCurve;
23
+ startDate: string;
24
+ maturityDate: string;
25
+ fixedRate: number;
26
+ /** `payer` = we pay fixed; `receiver` = we receive fixed. */
27
+ optionType: 'payer' | 'receiver';
28
+ notional?: number;
29
+ fixedFrequency?: Frequency;
30
+ fixedDayCount?: FixedIncomeDayCount;
31
+ }
32
+ export interface XvaParameters {
33
+ /** Hull-White mean reversion and short-rate volatility. */
34
+ meanReversion: number;
35
+ sigma: number;
36
+ /** Counterparty survival curve (drives CVA). */
37
+ counterpartySurvival: SurvivalCurve;
38
+ /** Own survival curve (drives DVA); omit to skip DVA. */
39
+ ownSurvival?: SurvivalCurve;
40
+ /** Counterparty recovery (default 0.4). */
41
+ recovery?: number;
42
+ /** Own recovery (default 0.4). */
43
+ ownRecovery?: number;
44
+ /** Funding spread over the risk-free curve for FVA (default 0 ⇒ FVA = 0). */
45
+ fundingSpread?: number;
46
+ /** Seed for the deterministic PRNG. */
47
+ seed: number;
48
+ /** Number of simulated paths (default 5000). */
49
+ paths?: number;
50
+ /** Simulation steps per year (default 24, hard outer maximum 1,000,000; paths×steps cap may be lower). */
51
+ stepsPerYear?: number;
52
+ }
53
+ export interface ExposurePoint {
54
+ tenorYears: number;
55
+ /** Expected positive exposure `E[max(V, 0)]` (undiscounted). */
56
+ epe: number;
57
+ /** Expected negative exposure `E[max(−V, 0)]` (undiscounted). */
58
+ ene: number;
59
+ /** 95% potential future exposure (95th percentile of the swap value). */
60
+ pfe95: number;
61
+ }
62
+ export interface XvaResult {
63
+ cva: number;
64
+ dva: number;
65
+ fva: number;
66
+ /** Bilateral CVA: `cva − dva`. */
67
+ bilateralCva: number;
68
+ /** The exposure profile across the measurement dates. */
69
+ exposure: ExposurePoint[];
70
+ /** Echoed reproducibility knobs (R2): the seed, paths, and grid resolution actually used. */
71
+ assumptions: {
72
+ conventionsVersion: string;
73
+ model: 'hull-white';
74
+ seed: number;
75
+ paths: number;
76
+ stepsPerYear: number;
77
+ };
78
+ /**
79
+ * Honest computation report (R2). `repricingError` is the worst zero-coupon repricing error of
80
+ * the simulator (martingale check) — the honesty signal for the whole exposure profile.
81
+ */
82
+ diagnostics: Diagnostics & {
83
+ repricingError: number;
84
+ };
85
+ }
86
+ /** Compute CVA / DVA / FVA for an interest-rate swap via a Hull-White exposure simulation. */
87
+ export declare function swapXva(specification: XvaSwapSpecification, parameters: XvaParameters): XvaResult;
88
+ //# sourceMappingURL=xva.d.ts.map
@@ -0,0 +1 @@
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@@ -0,0 +1,316 @@
1
+ /**
2
+ * Counterparty valuation adjustments — CVA / DVA / FVA (spec §14.4, previously "later"). A Hull-White
3
+ * one-factor **exposure simulator** drives them: simulate the short rate forward (exact Ornstein-
4
+ * Uhlenbeck transitions) along a pathwise stochastic discount factor, value the remaining swap
5
+ * **analytically** at each exposure date (the Hull-White bond reconstruction — no regression needed),
6
+ * and aggregate the discounted expected positive/negative exposure against the counterparty / own
7
+ * survival curves and recovery.
8
+ *
9
+ * - **CVA** = `(1 − R꜀) · Σ DiscEPE(tₖ) · [Q꜀(tₖ₋₁) − Q꜀(tₖ)]` — the cost of the counterparty defaulting.
10
+ * - **DVA** = `(1 − Rₒ) · Σ DiscENE(tₖ) · [Qₒ(tₖ₋₁) − Qₒ(tₖ)]` — the symmetric own-default benefit.
11
+ * - **FVA** ≈ `fundingSpread · Σ DiscEPE(tₖ) · Δtₖ` — the funding cost of the expected positive exposure.
12
+ *
13
+ * Seeded and deterministic; the simulator is validated by an internal martingale check (the simulated
14
+ * stochastic discount factor reprices a zero-coupon bond).
15
+ */
16
+ import { ErrorCode, InputError, ensureFinite, ensureKnownKeys, ensurePositive, requireArgumentObject, CONVENTIONS_VERSION, } from '../../core/dist/index.js';
17
+ import { ensureDayCountWhenPresent, ensureFrequencyWhenPresent, ensureStepsPerYearWhenPresent, } from './validate.js';
18
+ import { mulberry32, normalInverseCdf, quantile } from '../../math/dist/index.js';
19
+ import { generateSchedule, yearFraction, } from './conventions.js';
20
+ import { hullWhite } from './models.js';
21
+ /**
22
+ * Hard caps on the exposure simulation (2026-08-23 review, P0): `paths` and the time grid drive a
23
+ * synchronous paths × steps Monte-Carlo where each step is Hull-White bond math and each exposure
24
+ * date a full remaining-swap re-valuation — heavy per unit, so the bounds sit well below a naive
25
+ * 10^7-ish loop cap. 100,000 paths is 20× the 5,000 default (MC error ∝ 1/√n gains nothing real
26
+ * beyond it), and 10^7 total path-steps is ~8× the default workload — single-digit seconds on a
27
+ * laptop at the ~µs-per-step cost measured for this kind of exp()-dominated math.
28
+ */
29
+ const MAX_XVA_PATHS = 100_000;
30
+ const MAX_XVA_PATH_STEPS = 10_000_000;
31
+ /** {@link XvaSwapSpecification} keys (Law 12 — mirrors the interface above; keep in sync). */
32
+ const XVA_SWAP_SPEC_KEYS = [
33
+ 'curve',
34
+ 'startDate',
35
+ 'maturityDate',
36
+ 'fixedRate',
37
+ 'optionType',
38
+ 'notional',
39
+ 'fixedFrequency',
40
+ 'fixedDayCount',
41
+ ];
42
+ /** {@link XvaParameters} keys (Law 12 — mirrors the interface above; keep in sync). */
43
+ const XVA_PARAMS_KEYS = [
44
+ 'meanReversion',
45
+ 'sigma',
46
+ 'counterpartySurvival',
47
+ 'ownSurvival',
48
+ 'recovery',
49
+ 'ownRecovery',
50
+ 'fundingSpread',
51
+ 'seed',
52
+ 'paths',
53
+ 'stepsPerYear',
54
+ ];
55
+ /** Compute CVA / DVA / FVA for an interest-rate swap via a Hull-White exposure simulation. */
56
+ export function swapXva(specification, parameters) {
57
+ requireArgumentObject('swapXva', 'specification', specification);
58
+ const optionTypeValue = specification['optionType'];
59
+ // optionType is DECLARED REQUIRED and decides the sign of every exposure: an omitted optionType
60
+ // used to fail the `=== 'payer'` test and silently value the RECEIVER leg.
61
+ if (optionTypeValue === undefined) {
62
+ throw new InputError(`swapXva: optionType is required ('payer' | 'receiver' — which leg the counterparty risk is on).\n e.g. swapXva({ optionType: 'payer', notional: 1_000_000, fixedRate: 0.03, maturityYears: 5, curve }, { recovery: 0.4 })`, { code: ErrorCode.InputMissingField, context: { field: 'optionType' } });
63
+ }
64
+ if (optionTypeValue !== 'payer' && optionTypeValue !== 'receiver') {
65
+ throw new InputError(`swapXva: optionType must be 'payer' | 'receiver'. Received ${optionTypeValue === null ? 'null' : JSON.stringify(optionTypeValue)}.`, { code: ErrorCode.InputInvalidEnum, context: { field: 'optionType' } });
66
+ }
67
+ ensureDayCountWhenPresent(specification.fixedDayCount, 'swapXva');
68
+ ensureFrequencyWhenPresent(specification.fixedFrequency, 'swapXva');
69
+ ensureDayCountWhenPresent(specification['floatDayCount'], 'swapXva');
70
+ ensureFrequencyWhenPresent(specification['floatFrequency'], 'swapXva');
71
+ if (specification.notional !== undefined &&
72
+ (typeof specification.notional !== 'number' || !Number.isFinite(specification.notional))) {
73
+ throw new InputError(`swapXva: notional must be a finite number when provided. Received ${specification.notional === null ? 'null' : typeof specification.notional}.`, { code: ErrorCode.InputWrongType, context: { field: 'notional' } });
74
+ }
75
+ requireArgumentObject('swapXva', 'parameters', parameters);
76
+ ensureKnownKeys('swapXva', 'parameters', parameters, XVA_PARAMS_KEYS);
77
+ for (const numField of [
78
+ 'recovery',
79
+ 'ownRecovery',
80
+ 'fundingSpread',
81
+ 'paths',
82
+ 'stepsPerYear',
83
+ ]) {
84
+ const numValue = parameters[numField];
85
+ if (numValue !== undefined && (typeof numValue !== 'number' || !Number.isFinite(numValue))) {
86
+ throw new InputError(`swapXva: ${numField} must be a finite number when provided. Received ${numValue === null ? 'null' : typeof numValue}.`, { code: ErrorCode.InputWrongType, context: { field: numField } });
87
+ }
88
+ }
89
+ requireArgumentObject('swapXva', 'specification', specification);
90
+ ensureKnownKeys('swapXva', 'specification', specification, XVA_SWAP_SPEC_KEYS);
91
+ const functionName = 'swapXva';
92
+ // spec.curve drives every discount/forward read; a missing or raw object would die on the first
93
+ // curve method call inside the simulator — teach the fix at the boundary instead.
94
+ const specCurve = specification.curve;
95
+ if (specCurve === null ||
96
+ typeof specCurve !== 'object' ||
97
+ typeof specCurve.discount !== 'function' ||
98
+ typeof specCurve.referenceDate !== 'string') {
99
+ throw new InputError(`${functionName}: specification.curve must be a yield curve built by curves.fromZeroRates(...) / curves.flat(...) / ` +
100
+ `curves.bootstrap(...) (an object with discount() and a referenceDate). ` +
101
+ `Build the curve first, then pass it in the swap specification.`, { code: ErrorCode.InputWrongType, context: { function: functionName, field: 'spec.curve' } });
102
+ }
103
+ // The survival curves drive the default-probability increments — same boundary rule.
104
+ for (const [field, sc] of [
105
+ ['counterpartySurvival', parameters.counterpartySurvival],
106
+ ...(parameters.ownSurvival !== undefined
107
+ ? [['ownSurvival', parameters.ownSurvival]]
108
+ : []),
109
+ ]) {
110
+ const s = sc;
111
+ if (s === null ||
112
+ s === undefined ||
113
+ typeof s !== 'object' ||
114
+ typeof s.survival !== 'function') {
115
+ throw new InputError(`${functionName}: parameters.${field} must be a survival curve built by credit.flatHazard(...) / ` +
116
+ `credit.survivalFromHazards(...) / credit.bootstrapHazardFromCds(...) (an object with survival()).`, {
117
+ code: ErrorCode.InputWrongType,
118
+ context: { function: functionName, field: `parameters.${field}` },
119
+ });
120
+ }
121
+ }
122
+ ensurePositive(parameters.meanReversion, 'meanReversion', functionName);
123
+ ensurePositive(parameters.sigma, 'sigma', functionName);
124
+ // The seed drives the exposure PRNG; require an integer so a run is bit-for-bit reproducible.
125
+ // Safe integer (2026-08-23 review, P0): above 2^53 adjacent integers collide, so two "different"
126
+ // seeds silently reproduce the same exposure paths.
127
+ if (!Number.isSafeInteger(parameters.seed)) {
128
+ throw new InputError(`${functionName}: seed must be an integer within ±(2^53 − 1) (a safe integer) for reproducibility, got ${parameters.seed}.`, {
129
+ code: ErrorCode.InputOutOfRange,
130
+ context: { seed: parameters.seed },
131
+ });
132
+ }
133
+ ensureFinite(specification.fixedRate, 'fixedRate', functionName);
134
+ const recovery = parameters.recovery ?? 0.4;
135
+ const ownRecovery = parameters.ownRecovery ?? 0.4;
136
+ for (const [name, R] of [
137
+ ['recovery', recovery],
138
+ ['ownRecovery', ownRecovery],
139
+ ]) {
140
+ if (R < 0 || R >= 1) {
141
+ throw new InputError(`${functionName}: ${name} must be in [0, 1), got ${R}.`, {
142
+ code: ErrorCode.InputOutOfRange,
143
+ context: { [name]: R },
144
+ });
145
+ }
146
+ }
147
+ const paths = parameters.paths ?? 5000;
148
+ // Safe integer AND a work cap (2026-08-23 review, P0): paths sizes the per-date sample matrices
149
+ // and multiplies the whole simulation — `Number.isInteger(1e308)` is `true`, and above 2^53 the
150
+ // path counter stops advancing, so the old gate licensed a non-terminating simulation. 100,000
151
+ // paths is 20× the 5,000 default; XVA Monte-Carlo error ∝ 1/√n gains nothing real beyond that,
152
+ // and the paths × steps PRODUCT is bounded separately below where the grid is known.
153
+ if (!Number.isSafeInteger(paths) || paths < 2 || paths > MAX_XVA_PATHS) {
154
+ throw new InputError(`${functionName}: paths must be an integer in [2, ${MAX_XVA_PATHS.toLocaleString('en-US')}] — every path simulates the full short-rate grid and re-values the remaining swap at each exposure date, so the cap (20× the 5,000 default) keeps the largest request seconds of synchronous work, got ${paths}.`, {
155
+ code: ErrorCode.InputOutOfRange,
156
+ context: { paths, max: MAX_XVA_PATHS },
157
+ });
158
+ }
159
+ const notional = specification.notional ?? 1;
160
+ const curve = specification.curve;
161
+ const settlement = curve.referenceDate;
162
+ const maturityYf = yearFraction(settlement, specification.maturityDate, 'ACT/365F');
163
+ const startYf = yearFraction(settlement, specification.startDate, 'ACT/365F');
164
+ const stepsPerYear = parameters.stepsPerYear ?? 24;
165
+ // 2026-08-23 review, P0: stepsPerYear was only checked finite — a zero/negative value silently
166
+ // collapsed the grid to the 2-step floor (a degenerate simulation presented as a result), and an
167
+ // enormous one made N explode. Positive here; the paths × N product bound below prices the rest.
168
+ ensureStepsPerYearWhenPresent(stepsPerYear, functionName);
169
+ const N = Math.max(2, Math.ceil(stepsPerYear * maturityYf));
170
+ // Bound the PRODUCT paths × N (2026-08-23 review, P0): the simulation loop runs exactly
171
+ // paths × N steps, each an OU evolution plus (at exposure dates) a full remaining-swap
172
+ // re-valuation — either factor alone can be reasonable while the product explodes
173
+ // (100,000 paths × a 50y daily grid ≈ 1.8·10^9 heavy steps). 10^7 path-steps is ~8× the default
174
+ // work (5,000 paths × a 10y monthly-ish grid ≈ 1.2·10^6) and stays single-digit seconds on a
175
+ // laptop at the ~µs-per-step cost of Hull-White bond math.
176
+ if (paths * N > MAX_XVA_PATH_STEPS) {
177
+ throw new InputError(`${functionName}: paths × timeSteps = ${paths.toLocaleString('en-US')} × ${N.toLocaleString('en-US')} = ${(paths * N).toLocaleString('en-US')} exceeds the ${MAX_XVA_PATH_STEPS.toLocaleString('en-US')} cap on total simulation steps — each step evolves the short rate and (at exposure dates) re-values the remaining swap, so the cap keeps the largest request single-digit seconds of synchronous work. Lower paths or stepsPerYear (the grid is ceil(stepsPerYear × yearsToMaturity)).`, {
178
+ code: ErrorCode.InputOutOfRange,
179
+ context: { paths, timeSteps: N, stepsPerYear, max: MAX_XVA_PATH_STEPS },
180
+ });
181
+ }
182
+ const timeStepYears = maturityYf / N;
183
+ const { meanReversion, sigma } = parameters;
184
+ const hw = hullWhite(curve, { a: meanReversion, sigma });
185
+ // φ-adjusted short-rate level α(t) = f^M(0,t) + σ²/(2a²)(1 − e^{−at})².
186
+ const alpha = (t) => curve.instantaneousForward(t) +
187
+ ((sigma * sigma) / (2 * meanReversion * meanReversion)) *
188
+ Math.pow(1 - Math.exp(-meanReversion * t), 2);
189
+ // Fixed-leg pay times of the swap.
190
+ const fixedSchedule = generateSchedule({
191
+ effectiveDate: specification.startDate,
192
+ maturityDate: specification.maturityDate,
193
+ frequency: specification.fixedFrequency ?? 'semiannual',
194
+ });
195
+ const fixedDc = specification.fixedDayCount ?? '30/360';
196
+ const payTimes = fixedSchedule.map((p) => ({
197
+ end: yearFraction(settlement, p.accrualEnd, 'ACT/365F'),
198
+ tau: yearFraction(p.accrualStart, p.accrualEnd, fixedDc),
199
+ }));
200
+ /** Remaining-swap value per unit notional at time `ti`, given short rate `r`. */
201
+ const swapValueAt = (ti, r) => {
202
+ let annuity = 0;
203
+ for (const p of payTimes)
204
+ if (p.end > ti + 1e-9) {
205
+ annuity +=
206
+ p.tau * hw.discountBond({ valuationTime: ti, timeToMaturity: p.end - ti, shortRate: r });
207
+ }
208
+ const floatStart = Math.max(startYf, ti);
209
+ const floatPv = hw.discountBond({
210
+ valuationTime: ti,
211
+ timeToMaturity: Math.max(0, floatStart - ti),
212
+ shortRate: r,
213
+ }) - hw.discountBond({ valuationTime: ti, timeToMaturity: maturityYf - ti, shortRate: r });
214
+ const payer = floatPv - specification.fixedRate * annuity;
215
+ return specification.optionType === 'payer' ? payer : -payer;
216
+ };
217
+ // Exposure measurement dates ≈ monthly, snapped onto the finer simulation grid.
218
+ const everyK = Math.max(1, Math.round(N / Math.max(1, Math.ceil(12 * maturityYf))));
219
+ const exposureIdx = [];
220
+ for (let m = everyK; m <= N; m += everyK)
221
+ exposureIdx.push(m);
222
+ if (exposureIdx[exposureIdx.length - 1] !== N)
223
+ exposureIdx.push(N);
224
+ const exposureTimes = exposureIdx.map((m) => m * timeStepYears);
225
+ const K = exposureIdx.length;
226
+ const sdStep = sigma * Math.sqrt((1 - Math.exp(-2 * meanReversion * timeStepYears)) / (2 * meanReversion)); // OU step std-dev
227
+ const meanRev = Math.exp(-meanReversion * timeStepYears);
228
+ // Accumulators.
229
+ const sumEpe = new Array(K).fill(0);
230
+ const sumEne = new Array(K).fill(0);
231
+ const sumDiscEpe = new Array(K).fill(0);
232
+ const sumDiscEne = new Array(K).fill(0);
233
+ const sumDiscBondMartingale = new Array(K).fill(0); // E[B(0,tk)·P(tk, T; r)]
234
+ const vSamples = Array.from({ length: K }, () => new Array(paths));
235
+ const randomNumberGenerator = mulberry32(parameters.seed);
236
+ const exposureAt = new Map(exposureIdx.map((m, k) => [m, k]));
237
+ for (let path = 0; path < paths; path++) {
238
+ let x = 0;
239
+ let rPrev = alpha(0);
240
+ let logB = 0; // ln of the stochastic discount factor B(0, t)
241
+ for (let m = 1; m <= N; m++) {
242
+ x = x * meanRev + sdStep * normalInverseCdf(randomNumberGenerator.next());
243
+ const t = m * timeStepYears;
244
+ const r = x + alpha(t);
245
+ logB += -0.5 * (rPrev + r) * timeStepYears; // trapezoidal ∫ r timeStepYears
246
+ rPrev = r;
247
+ const k = exposureAt.get(m);
248
+ if (k !== undefined) {
249
+ const B = Math.exp(logB);
250
+ const v = notional * swapValueAt(t, r);
251
+ const pos = Math.max(v, 0);
252
+ const neg = Math.max(-v, 0);
253
+ sumEpe[k] += pos;
254
+ sumEne[k] += neg;
255
+ sumDiscEpe[k] += B * pos;
256
+ sumDiscEne[k] += B * neg;
257
+ sumDiscBondMartingale[k] +=
258
+ B * hw.discountBond({ valuationTime: t, timeToMaturity: maturityYf - t, shortRate: r });
259
+ vSamples[k][path] = v;
260
+ }
261
+ }
262
+ }
263
+ // Profiles + XVA aggregation.
264
+ const exposure = [];
265
+ let cva = 0;
266
+ let dva = 0;
267
+ let fva = 0;
268
+ let repricingError = 0;
269
+ const cpSurv = parameters.counterpartySurvival;
270
+ const ownSurv = parameters.ownSurvival;
271
+ const fundingSpread = parameters.fundingSpread ?? 0;
272
+ for (let k = 0; k < K; k++) {
273
+ const t = exposureTimes[k];
274
+ const tPrev = k === 0 ? 0 : exposureTimes[k - 1];
275
+ exposure.push({
276
+ tenorYears: t,
277
+ epe: sumEpe[k] / paths,
278
+ ene: sumEne[k] / paths,
279
+ // PFE is the high quantile of *positive* exposure max(V, 0) — always ≥ 0.
280
+ pfe95: quantile(vSamples[k].map((v) => Math.max(v, 0)), 0.95),
281
+ });
282
+ const discEpe = sumDiscEpe[k] / paths;
283
+ const discEne = sumDiscEne[k] / paths;
284
+ const cpDefault = cpSurv.survival(tPrev) - cpSurv.survival(t);
285
+ cva += (1 - recovery) * discEpe * cpDefault;
286
+ if (ownSurv) {
287
+ const ownDefault = ownSurv.survival(tPrev) - ownSurv.survival(t);
288
+ dva += (1 - ownRecovery) * discEne * ownDefault;
289
+ }
290
+ fva += fundingSpread * discEpe * (t - tPrev);
291
+ // Martingale check: E[B(0,t)·P(t, T)] should equal the curve's P(0, T).
292
+ const reprice = sumDiscBondMartingale[k] / paths;
293
+ repricingError = Math.max(repricingError, Math.abs(reprice - curve.discount(maturityYf)));
294
+ }
295
+ return {
296
+ cva,
297
+ dva,
298
+ fva,
299
+ bilateralCva: cva - dva,
300
+ exposure,
301
+ assumptions: {
302
+ conventionsVersion: CONVENTIONS_VERSION,
303
+ model: 'hull-white',
304
+ seed: parameters.seed,
305
+ paths,
306
+ stepsPerYear,
307
+ },
308
+ diagnostics: {
309
+ method: 'hull-white-mc',
310
+ converged: true,
311
+ warnings: [],
312
+ repricingError,
313
+ },
314
+ };
315
+ }
316
+ //# sourceMappingURL=xva.js.map