@insiderfinance/totalfinance 0.1.0
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/LICENSE +201 -0
- package/README.md +339 -0
- package/STABILITY.md +23 -0
- package/modules/backtest/dist/artifacts.d.ts +23 -0
- package/modules/backtest/dist/artifacts.d.ts.map +1 -0
- package/modules/backtest/dist/artifacts.js +22 -0
- package/modules/backtest/dist/artifacts.js.map +1 -0
- package/modules/backtest/dist/broker.d.ts +265 -0
- package/modules/backtest/dist/broker.d.ts.map +1 -0
- package/modules/backtest/dist/broker.js +1228 -0
- package/modules/backtest/dist/broker.js.map +1 -0
- package/modules/backtest/dist/costs.d.ts +67 -0
- package/modules/backtest/dist/costs.d.ts.map +1 -0
- package/modules/backtest/dist/costs.js +171 -0
- package/modules/backtest/dist/costs.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/engine.d.ts +21 -0
- package/modules/backtest/dist/cross-sectional/engine.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/engine.js +1399 -0
- package/modules/backtest/dist/cross-sectional/engine.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/folds.d.ts +134 -0
- package/modules/backtest/dist/cross-sectional/folds.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/folds.js +375 -0
- package/modules/backtest/dist/cross-sectional/folds.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/grid.d.ts +142 -0
- package/modules/backtest/dist/cross-sectional/grid.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/grid.js +394 -0
- package/modules/backtest/dist/cross-sectional/grid.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/index.d.ts +18 -0
- package/modules/backtest/dist/cross-sectional/index.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/index.js +15 -0
- package/modules/backtest/dist/cross-sectional/index.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/types.d.ts +331 -0
- package/modules/backtest/dist/cross-sectional/types.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/types.js +12 -0
- package/modules/backtest/dist/cross-sectional/types.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/validate.d.ts +22 -0
- package/modules/backtest/dist/cross-sectional/validate.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/validate.js +489 -0
- package/modules/backtest/dist/cross-sectional/validate.js.map +1 -0
- package/modules/backtest/dist/diagnostics.d.ts +16 -0
- package/modules/backtest/dist/diagnostics.d.ts.map +1 -0
- package/modules/backtest/dist/diagnostics.js +63 -0
- package/modules/backtest/dist/diagnostics.js.map +1 -0
- package/modules/backtest/dist/environment/bench.d.ts +34 -0
- package/modules/backtest/dist/environment/bench.d.ts.map +1 -0
- package/modules/backtest/dist/environment/bench.js +724 -0
- package/modules/backtest/dist/environment/bench.js.map +1 -0
- package/modules/backtest/dist/environment/environment.d.ts +5 -0
- package/modules/backtest/dist/environment/environment.d.ts.map +1 -0
- package/modules/backtest/dist/environment/environment.js +618 -0
- package/modules/backtest/dist/environment/environment.js.map +1 -0
- package/modules/backtest/dist/environment/episode.d.ts +4 -0
- package/modules/backtest/dist/environment/episode.d.ts.map +1 -0
- package/modules/backtest/dist/environment/episode.js +121 -0
- package/modules/backtest/dist/environment/episode.js.map +1 -0
- package/modules/backtest/dist/environment/episodes.d.ts +14 -0
- package/modules/backtest/dist/environment/episodes.d.ts.map +1 -0
- package/modules/backtest/dist/environment/episodes.js +644 -0
- package/modules/backtest/dist/environment/episodes.js.map +1 -0
- package/modules/backtest/dist/environment/features.d.ts +31 -0
- package/modules/backtest/dist/environment/features.d.ts.map +1 -0
- package/modules/backtest/dist/environment/features.js +157 -0
- package/modules/backtest/dist/environment/features.js.map +1 -0
- package/modules/backtest/dist/environment/index.d.ts +14 -0
- package/modules/backtest/dist/environment/index.d.ts.map +1 -0
- package/modules/backtest/dist/environment/index.js +12 -0
- package/modules/backtest/dist/environment/index.js.map +1 -0
- package/modules/backtest/dist/environment/limits.d.ts +63 -0
- package/modules/backtest/dist/environment/limits.d.ts.map +1 -0
- package/modules/backtest/dist/environment/limits.js +253 -0
- package/modules/backtest/dist/environment/limits.js.map +1 -0
- package/modules/backtest/dist/environment/reward.d.ts +5 -0
- package/modules/backtest/dist/environment/reward.d.ts.map +1 -0
- package/modules/backtest/dist/environment/reward.js +80 -0
- package/modules/backtest/dist/environment/reward.js.map +1 -0
- package/modules/backtest/dist/environment/types.d.ts +540 -0
- package/modules/backtest/dist/environment/types.d.ts.map +1 -0
- package/modules/backtest/dist/environment/types.js +2 -0
- package/modules/backtest/dist/environment/types.js.map +1 -0
- package/modules/backtest/dist/environment/validate.d.ts +23 -0
- package/modules/backtest/dist/environment/validate.d.ts.map +1 -0
- package/modules/backtest/dist/environment/validate.js +264 -0
- package/modules/backtest/dist/environment/validate.js.map +1 -0
- package/modules/backtest/dist/event-driven.d.ts +111 -0
- package/modules/backtest/dist/event-driven.d.ts.map +1 -0
- package/modules/backtest/dist/event-driven.js +325 -0
- package/modules/backtest/dist/event-driven.js.map +1 -0
- package/modules/backtest/dist/execution/conformance.d.ts +33 -0
- package/modules/backtest/dist/execution/conformance.d.ts.map +1 -0
- package/modules/backtest/dist/execution/conformance.js +269 -0
- package/modules/backtest/dist/execution/conformance.js.map +1 -0
- package/modules/backtest/dist/execution/fill-models.d.ts +35 -0
- package/modules/backtest/dist/execution/fill-models.d.ts.map +1 -0
- package/modules/backtest/dist/execution/fill-models.js +375 -0
- package/modules/backtest/dist/execution/fill-models.js.map +1 -0
- package/modules/backtest/dist/execution/fill-order.d.ts +55 -0
- package/modules/backtest/dist/execution/fill-order.d.ts.map +1 -0
- package/modules/backtest/dist/execution/fill-order.js +156 -0
- package/modules/backtest/dist/execution/fill-order.js.map +1 -0
- package/modules/backtest/dist/execution/index.d.ts +33 -0
- package/modules/backtest/dist/execution/index.d.ts.map +1 -0
- package/modules/backtest/dist/execution/index.js +27 -0
- package/modules/backtest/dist/execution/index.js.map +1 -0
- package/modules/backtest/dist/execution/intrabar.d.ts +46 -0
- package/modules/backtest/dist/execution/intrabar.d.ts.map +1 -0
- package/modules/backtest/dist/execution/intrabar.js +130 -0
- package/modules/backtest/dist/execution/intrabar.js.map +1 -0
- package/modules/backtest/dist/execution/normalized.d.ts +56 -0
- package/modules/backtest/dist/execution/normalized.d.ts.map +1 -0
- package/modules/backtest/dist/execution/normalized.js +154 -0
- package/modules/backtest/dist/execution/normalized.js.map +1 -0
- package/modules/backtest/dist/execution/policy.d.ts +84 -0
- package/modules/backtest/dist/execution/policy.d.ts.map +1 -0
- package/modules/backtest/dist/execution/policy.js +341 -0
- package/modules/backtest/dist/execution/policy.js.map +1 -0
- package/modules/backtest/dist/execution/types.d.ts +217 -0
- package/modules/backtest/dist/execution/types.d.ts.map +1 -0
- package/modules/backtest/dist/execution/types.js +8 -0
- package/modules/backtest/dist/execution/types.js.map +1 -0
- package/modules/backtest/dist/execution/validate.d.ts +35 -0
- package/modules/backtest/dist/execution/validate.d.ts.map +1 -0
- package/modules/backtest/dist/execution/validate.js +666 -0
- package/modules/backtest/dist/execution/validate.js.map +1 -0
- package/modules/backtest/dist/generated/validation-specs.d.ts +12 -0
- package/modules/backtest/dist/generated/validation-specs.d.ts.map +1 -0
- package/modules/backtest/dist/generated/validation-specs.js +1129 -0
- package/modules/backtest/dist/generated/validation-specs.js.map +1 -0
- package/modules/backtest/dist/index.d.ts +33 -0
- package/modules/backtest/dist/index.d.ts.map +1 -0
- package/modules/backtest/dist/index.js +28 -0
- package/modules/backtest/dist/index.js.map +1 -0
- package/modules/backtest/dist/options/chain.d.ts +68 -0
- package/modules/backtest/dist/options/chain.d.ts.map +1 -0
- package/modules/backtest/dist/options/chain.js +303 -0
- package/modules/backtest/dist/options/chain.js.map +1 -0
- package/modules/backtest/dist/options/engine.d.ts +28 -0
- package/modules/backtest/dist/options/engine.d.ts.map +1 -0
- package/modules/backtest/dist/options/engine.js +1859 -0
- package/modules/backtest/dist/options/engine.js.map +1 -0
- package/modules/backtest/dist/options/index.d.ts +23 -0
- package/modules/backtest/dist/options/index.d.ts.map +1 -0
- package/modules/backtest/dist/options/index.js +21 -0
- package/modules/backtest/dist/options/index.js.map +1 -0
- package/modules/backtest/dist/options/tearsheet.d.ts +77 -0
- package/modules/backtest/dist/options/tearsheet.d.ts.map +1 -0
- package/modules/backtest/dist/options/tearsheet.js +205 -0
- package/modules/backtest/dist/options/tearsheet.js.map +1 -0
- package/modules/backtest/dist/options/types.d.ts +571 -0
- package/modules/backtest/dist/options/types.d.ts.map +1 -0
- package/modules/backtest/dist/options/types.js +19 -0
- package/modules/backtest/dist/options/types.js.map +1 -0
- package/modules/backtest/dist/paper/index.d.ts +13 -0
- package/modules/backtest/dist/paper/index.d.ts.map +1 -0
- package/modules/backtest/dist/paper/index.js +12 -0
- package/modules/backtest/dist/paper/index.js.map +1 -0
- package/modules/backtest/dist/paper/paper.d.ts +8 -0
- package/modules/backtest/dist/paper/paper.d.ts.map +1 -0
- package/modules/backtest/dist/paper/paper.js +950 -0
- package/modules/backtest/dist/paper/paper.js.map +1 -0
- package/modules/backtest/dist/paper/types.d.ts +190 -0
- package/modules/backtest/dist/paper/types.d.ts.map +1 -0
- package/modules/backtest/dist/paper/types.js +3 -0
- package/modules/backtest/dist/paper/types.js.map +1 -0
- package/modules/backtest/dist/paper/validate.d.ts +9 -0
- package/modules/backtest/dist/paper/validate.d.ts.map +1 -0
- package/modules/backtest/dist/paper/validate.js +112 -0
- package/modules/backtest/dist/paper/validate.js.map +1 -0
- package/modules/backtest/dist/portfolio/adapters.d.ts +37 -0
- package/modules/backtest/dist/portfolio/adapters.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/adapters.js +555 -0
- package/modules/backtest/dist/portfolio/adapters.js.map +1 -0
- package/modules/backtest/dist/portfolio/engine.d.ts +35 -0
- package/modules/backtest/dist/portfolio/engine.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/engine.js +1300 -0
- package/modules/backtest/dist/portfolio/engine.js.map +1 -0
- package/modules/backtest/dist/portfolio/index.d.ts +12 -0
- package/modules/backtest/dist/portfolio/index.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/index.js +11 -0
- package/modules/backtest/dist/portfolio/index.js.map +1 -0
- package/modules/backtest/dist/portfolio/types.d.ts +418 -0
- package/modules/backtest/dist/portfolio/types.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/types.js +8 -0
- package/modules/backtest/dist/portfolio/types.js.map +1 -0
- package/modules/backtest/dist/portfolio/validate.d.ts +26 -0
- package/modules/backtest/dist/portfolio/validate.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/validate.js +556 -0
- package/modules/backtest/dist/portfolio/validate.js.map +1 -0
- package/modules/backtest/dist/run-artifacts.d.ts +425 -0
- package/modules/backtest/dist/run-artifacts.d.ts.map +1 -0
- package/modules/backtest/dist/run-artifacts.js +1843 -0
- package/modules/backtest/dist/run-artifacts.js.map +1 -0
- package/modules/backtest/dist/signals.d.ts +110 -0
- package/modules/backtest/dist/signals.d.ts.map +1 -0
- package/modules/backtest/dist/signals.js +207 -0
- package/modules/backtest/dist/signals.js.map +1 -0
- package/modules/backtest/dist/tearsheet.d.ts +126 -0
- package/modules/backtest/dist/tearsheet.d.ts.map +1 -0
- package/modules/backtest/dist/tearsheet.js +266 -0
- package/modules/backtest/dist/tearsheet.js.map +1 -0
- package/modules/backtest/dist/types.d.ts +175 -0
- package/modules/backtest/dist/types.d.ts.map +1 -0
- package/modules/backtest/dist/types.js +29 -0
- package/modules/backtest/dist/types.js.map +1 -0
- package/modules/backtest/dist/validate.d.ts +13 -0
- package/modules/backtest/dist/validate.d.ts.map +1 -0
- package/modules/backtest/dist/validate.js +37 -0
- package/modules/backtest/dist/validate.js.map +1 -0
- package/modules/backtest/dist/vectorized.d.ts +53 -0
- package/modules/backtest/dist/vectorized.d.ts.map +1 -0
- package/modules/backtest/dist/vectorized.js +383 -0
- package/modules/backtest/dist/vectorized.js.map +1 -0
- package/modules/backtest/dist/walk-forward.d.ts +57 -0
- package/modules/backtest/dist/walk-forward.d.ts.map +1 -0
- package/modules/backtest/dist/walk-forward.js +125 -0
- package/modules/backtest/dist/walk-forward.js.map +1 -0
- package/modules/backtest/etc/backtest.api.md +139 -0
- package/modules/backtest/src/artifacts.ts +54 -0
- package/modules/backtest/src/broker.ts +1529 -0
- package/modules/backtest/src/costs.ts +225 -0
- package/modules/backtest/src/cross-sectional/engine.ts +1608 -0
- package/modules/backtest/src/cross-sectional/folds.ts +718 -0
- package/modules/backtest/src/cross-sectional/grid.ts +646 -0
- package/modules/backtest/src/cross-sectional/index.ts +76 -0
- package/modules/backtest/src/cross-sectional/types.ts +363 -0
- package/modules/backtest/src/cross-sectional/validate.ts +906 -0
- package/modules/backtest/src/diagnostics.ts +66 -0
- package/modules/backtest/src/environment/bench.ts +1022 -0
- package/modules/backtest/src/environment/environment.ts +766 -0
- package/modules/backtest/src/environment/episode.ts +146 -0
- package/modules/backtest/src/environment/episodes.ts +786 -0
- package/modules/backtest/src/environment/features.ts +184 -0
- package/modules/backtest/src/environment/index.ts +79 -0
- package/modules/backtest/src/environment/limits.ts +383 -0
- package/modules/backtest/src/environment/reward.ts +98 -0
- package/modules/backtest/src/environment/types.ts +595 -0
- package/modules/backtest/src/environment/validate.ts +415 -0
- package/modules/backtest/src/event-driven.ts +528 -0
- package/modules/backtest/src/execution/conformance.ts +346 -0
- package/modules/backtest/src/execution/fill-models.ts +410 -0
- package/modules/backtest/src/execution/fill-order.ts +261 -0
- package/modules/backtest/src/execution/index.ts +91 -0
- package/modules/backtest/src/execution/intrabar.ts +185 -0
- package/modules/backtest/src/execution/normalized.ts +216 -0
- package/modules/backtest/src/execution/policy.ts +447 -0
- package/modules/backtest/src/execution/types.ts +239 -0
- package/modules/backtest/src/execution/validate.ts +889 -0
- package/modules/backtest/src/generated/validation-specs.ts +1132 -0
- package/modules/backtest/src/index.ts +157 -0
- package/modules/backtest/src/options/chain.ts +410 -0
- package/modules/backtest/src/options/engine.ts +2240 -0
- package/modules/backtest/src/options/index.ts +68 -0
- package/modules/backtest/src/options/tearsheet.ts +327 -0
- package/modules/backtest/src/options/types.ts +573 -0
- package/modules/backtest/src/paper/index.ts +27 -0
- package/modules/backtest/src/paper/paper.ts +1288 -0
- package/modules/backtest/src/paper/types.ts +221 -0
- package/modules/backtest/src/paper/validate.ts +168 -0
- package/modules/backtest/src/portfolio/adapters.ts +651 -0
- package/modules/backtest/src/portfolio/engine.ts +1518 -0
- package/modules/backtest/src/portfolio/index.ts +64 -0
- package/modules/backtest/src/portfolio/types.ts +456 -0
- package/modules/backtest/src/portfolio/validate.ts +861 -0
- package/modules/backtest/src/run-artifacts.ts +2873 -0
- package/modules/backtest/src/signals.ts +267 -0
- package/modules/backtest/src/tearsheet.ts +425 -0
- package/modules/backtest/src/types.ts +200 -0
- package/modules/backtest/src/validate.ts +43 -0
- package/modules/backtest/src/vectorized.ts +541 -0
- package/modules/backtest/src/walk-forward.ts +215 -0
- package/modules/calendars/dist/cboe.d.ts +15 -0
- package/modules/calendars/dist/cboe.d.ts.map +1 -0
- package/modules/calendars/dist/cboe.js +16 -0
- package/modules/calendars/dist/cboe.js.map +1 -0
- package/modules/calendars/dist/crypto.d.ts +15 -0
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- package/modules/calendars/dist/crypto.js +16 -0
- package/modules/calendars/dist/crypto.js.map +1 -0
- package/modules/calendars/dist/expirations.d.ts +35 -0
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- package/modules/calendars/dist/nyse.d.ts +11 -0
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- package/modules/calendars/src/us-market.ts +86 -0
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- package/modules/cli/src/exit-codes.ts +21 -0
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- package/modules/commodities/src/internal.ts +6 -0
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- package/modules/core/dist/artifacts/analysis-artifact.d.ts +140 -0
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@@ -0,0 +1,28 @@
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1
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+
/**
|
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2
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+
* Builder input guards (dx §1.3). Fixed-income specs are date-heavy: a missing `issueDate` used to
|
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3
|
+
* surface as `Invalid ISO date "undefined"` — typed, but it never said WHICH field was missing.
|
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4
|
+
* These guards run before any date parsing and name the field with a working example.
|
|
5
|
+
*/
|
|
6
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+
/**
|
|
7
|
+
* Optional-convention ladders (the 350c2796 ruling): a PRESENT dayCount/frequency/flag must be a
|
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8
|
+
* member of its domain — null and truthy strings used to coalesce into the industry default and
|
|
9
|
+
* silently change the accrual math.
|
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10
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+
*/
|
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11
|
+
export declare function ensureDayCountWhenPresent(value: unknown, functionName: string): void;
|
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12
|
+
export declare function ensureFrequencyWhenPresent(value: unknown, functionName: string): void;
|
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13
|
+
/** A lattice resolution is a count, not a continuous frequency estimate. */
|
|
14
|
+
export declare function ensureStepsPerYearWhenPresent(value: unknown, functionName: string): void;
|
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15
|
+
export declare function ensureBooleanWhenPresent(value: unknown, functionName: string, field: string): void;
|
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16
|
+
/** Finite-number-when-present for a list of optional fields — one call per boundary. */
|
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17
|
+
export declare function ensureFiniteFieldsWhenPresent(functionName: string, value: Record<string, unknown>, fields: readonly string[]): void;
|
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18
|
+
/** The units and conventions a call shape cannot carry. */
|
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19
|
+
export declare const FIELD_HINTS: Record<string, string>;
|
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20
|
+
/** A complete, pasteable call to the function that threw, carrying every field it requires. */
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21
|
+
export declare function specificationExampleCall(functionName: string, required: readonly string[]): string;
|
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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;
|
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28
|
+
//# sourceMappingURL=validate.d.ts.map
|
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@@ -0,0 +1 @@
|
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|
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 ${String(value)}.`, {
|
|
52
|
+
code: ErrorCode.InputOutOfRange,
|
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+
context: {
|
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54
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+
function: functionName,
|
|
55
|
+
field: 'stepsPerYear',
|
|
56
|
+
received: value,
|
|
57
|
+
max: MAX_STEPS_PER_YEAR,
|
|
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+
},
|
|
59
|
+
});
|
|
60
|
+
}
|
|
61
|
+
}
|
|
62
|
+
export function ensureBooleanWhenPresent(value, functionName, field) {
|
|
63
|
+
if (value === undefined)
|
|
64
|
+
return;
|
|
65
|
+
if (typeof value !== 'boolean') {
|
|
66
|
+
throw new InputError(`${functionName}: ${field} must be a boolean when provided — omit the field to use the default. Received ${value === null ? 'null' : typeof value}.`, {
|
|
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|
+
code: ErrorCode.InputWrongType,
|
|
68
|
+
context: { function: functionName, field, received: value },
|
|
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|
+
});
|
|
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|
+
}
|
|
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|
+
}
|
|
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|
+
/** Finite-number-when-present for a list of optional fields — one call per boundary. */
|
|
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|
+
export function ensureFiniteFieldsWhenPresent(functionName, value, fields) {
|
|
74
|
+
for (const field of fields) {
|
|
75
|
+
ensureFiniteWhenPresent(value[field], field, functionName);
|
|
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|
+
}
|
|
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) {
|
|
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|
+
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
|
+
}
|
|
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|
+
}
|
|
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|
+
//# sourceMappingURL=validate.js.map
|
|
@@ -0,0 +1 @@
|
|
|
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 @@
|
|
|
1
|
+
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/**
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* Counterparty valuation adjustments — CVA / DVA / FVA (spec §14.4, previously "later"). A Hull-White
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* one-factor **exposure simulator** drives them: simulate the short rate forward (exact Ornstein-
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* Uhlenbeck transitions) along a pathwise stochastic discount factor, value the remaining swap
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* **analytically** at each exposure date (the Hull-White bond reconstruction — no regression needed),
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* and aggregate the discounted expected positive/negative exposure against the counterparty / own
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* survival curves and recovery.
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*
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* - **CVA** = `(1 − R꜀) · Σ DiscEPE(tₖ) · [Q꜀(tₖ₋₁) − Q꜀(tₖ)]` — the cost of the counterparty defaulting.
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* - **DVA** = `(1 − Rₒ) · Σ DiscENE(tₖ) · [Qₒ(tₖ₋₁) − Qₒ(tₖ)]` — the symmetric own-default benefit.
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* - **FVA** ≈ `fundingSpread · Σ DiscEPE(tₖ) · Δtₖ` — the funding cost of the expected positive exposure.
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*
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* Seeded and deterministic; the simulator is validated by an internal martingale check (the simulated
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* stochastic discount factor reprices a zero-coupon bond).
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*/
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import { ErrorCode, InputError, ensureFinite, ensureKnownKeys, ensurePositive, requireArgumentObject, CONVENTIONS_VERSION, } from '../../core/dist/index.js';
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import { ensureDayCountWhenPresent, ensureFrequencyWhenPresent, ensureStepsPerYearWhenPresent, } from './validate.js';
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import { mulberry32, normalInverseCdf, quantile } from '../../math/dist/index.js';
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import { generateSchedule, yearFraction, } from './conventions.js';
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import { hullWhite } from './models.js';
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/**
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* Hard caps on the exposure simulation (2026-08-23 review, P0): `paths` and the time grid drive a
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* synchronous paths × steps Monte-Carlo where each step is Hull-White bond math and each exposure
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* date a full remaining-swap re-valuation — heavy per unit, so the bounds sit well below a naive
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* 10^7-ish loop cap. 100,000 paths is 20× the 5,000 default (MC error ∝ 1/√n gains nothing real
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* beyond it), and 10^7 total path-steps is ~8× the default workload — single-digit seconds on a
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* laptop at the ~µs-per-step cost measured for this kind of exp()-dominated math.
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*/
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const MAX_XVA_PATHS = 100_000;
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const MAX_XVA_PATH_STEPS = 10_000_000;
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/** {@link XvaSwapSpecification} keys (Law 12 — mirrors the interface above; keep in sync). */
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const XVA_SWAP_SPEC_KEYS = [
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'curve',
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'startDate',
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'maturityDate',
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'fixedRate',
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'optionType',
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'notional',
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'fixedFrequency',
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'fixedDayCount',
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];
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/** {@link XvaParameters} keys (Law 12 — mirrors the interface above; keep in sync). */
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const XVA_PARAMS_KEYS = [
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'meanReversion',
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'sigma',
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'counterpartySurvival',
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'ownSurvival',
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'recovery',
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'ownRecovery',
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'fundingSpread',
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'seed',
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'paths',
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'stepsPerYear',
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];
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/** Compute CVA / DVA / FVA for an interest-rate swap via a Hull-White exposure simulation. */
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export function swapXva(specification, parameters) {
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requireArgumentObject('swapXva', 'specification', specification);
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const optionTypeValue = specification['optionType'];
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// optionType is DECLARED REQUIRED and decides the sign of every exposure: an omitted optionType
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// used to fail the `=== 'payer'` test and silently value the RECEIVER leg.
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if (optionTypeValue === undefined) {
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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' } });
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}
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if (optionTypeValue !== 'payer' && optionTypeValue !== 'receiver') {
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throw new InputError(`swapXva: optionType must be 'payer' | 'receiver'. Received ${optionTypeValue === null ? 'null' : JSON.stringify(optionTypeValue)}.`, { code: ErrorCode.InputInvalidEnum, context: { field: 'optionType' } });
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}
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ensureDayCountWhenPresent(specification.fixedDayCount, 'swapXva');
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ensureFrequencyWhenPresent(specification.fixedFrequency, 'swapXva');
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ensureDayCountWhenPresent(specification['floatDayCount'], 'swapXva');
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ensureFrequencyWhenPresent(specification['floatFrequency'], 'swapXva');
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if (specification.notional !== undefined &&
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(typeof specification.notional !== 'number' || !Number.isFinite(specification.notional))) {
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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' } });
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}
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requireArgumentObject('swapXva', 'parameters', parameters);
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ensureKnownKeys('swapXva', 'parameters', parameters, XVA_PARAMS_KEYS);
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for (const numField of [
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'recovery',
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'ownRecovery',
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'fundingSpread',
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'paths',
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'stepsPerYear',
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]) {
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const numValue = parameters[numField];
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if (numValue !== undefined && (typeof numValue !== 'number' || !Number.isFinite(numValue))) {
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throw new InputError(`swapXva: ${numField} must be a finite number when provided. Received ${numValue === null ? 'null' : typeof numValue}.`, { code: ErrorCode.InputWrongType, context: { field: numField } });
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}
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}
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requireArgumentObject('swapXva', 'specification', specification);
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ensureKnownKeys('swapXva', 'specification', specification, XVA_SWAP_SPEC_KEYS);
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const functionName = 'swapXva';
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// spec.curve drives every discount/forward read; a missing or raw object would die on the first
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// curve method call inside the simulator — teach the fix at the boundary instead.
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const specCurve = specification.curve;
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if (specCurve === null ||
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typeof specCurve !== 'object' ||
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typeof specCurve.discount !== 'function' ||
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typeof specCurve.referenceDate !== 'string') {
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throw new InputError(`${functionName}: specification.curve must be a yield curve built by curves.fromZeroRates(...) / curves.flat(...) / ` +
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`curves.bootstrap(...) (an object with discount() and a referenceDate). ` +
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`Build the curve first, then pass it in the swap specification.`, { code: ErrorCode.InputWrongType, context: { function: functionName, field: 'spec.curve' } });
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}
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// The survival curves drive the default-probability increments — same boundary rule.
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for (const [field, sc] of [
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['counterpartySurvival', parameters.counterpartySurvival],
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...(parameters.ownSurvival !== undefined
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? [['ownSurvival', parameters.ownSurvival]]
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: []),
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]) {
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const s = sc;
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if (s === null ||
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s === undefined ||
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typeof s !== 'object' ||
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typeof s.survival !== 'function') {
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throw new InputError(`${functionName}: parameters.${field} must be a survival curve built by credit.flatHazard(...) / ` +
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`credit.survivalFromHazards(...) / credit.bootstrapHazardFromCds(...) (an object with survival()).`, {
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code: ErrorCode.InputWrongType,
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context: { function: functionName, field: `parameters.${field}` },
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});
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}
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}
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ensurePositive(parameters.meanReversion, 'meanReversion', functionName);
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ensurePositive(parameters.sigma, 'sigma', functionName);
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// The seed drives the exposure PRNG; require an integer so a run is bit-for-bit reproducible.
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// Safe integer (2026-08-23 review, P0): above 2^53 adjacent integers collide, so two "different"
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// seeds silently reproduce the same exposure paths.
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if (!Number.isSafeInteger(parameters.seed)) {
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throw new InputError(`${functionName}: seed must be an integer within ±(2^53 − 1) (a safe integer) for reproducibility, got ${parameters.seed}.`, {
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code: ErrorCode.InputOutOfRange,
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context: { seed: parameters.seed },
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});
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}
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ensureFinite(specification.fixedRate, 'fixedRate', functionName);
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const recovery = parameters.recovery ?? 0.4;
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const ownRecovery = parameters.ownRecovery ?? 0.4;
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for (const [name, R] of [
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['recovery', recovery],
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138
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['ownRecovery', ownRecovery],
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]) {
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if (R < 0 || R >= 1) {
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throw new InputError(`${functionName}: ${name} must be in [0, 1), got ${R}.`, {
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code: ErrorCode.InputOutOfRange,
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context: { [name]: R },
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+
});
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145
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+
}
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+
}
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+
const paths = parameters.paths ?? 5000;
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148
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// Safe integer AND a work cap (2026-08-23 review, P0): paths sizes the per-date sample matrices
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149
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+
// and multiplies the whole simulation — `Number.isInteger(1e308)` is `true`, and above 2^53 the
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150
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+
// path counter stops advancing, so the old gate licensed a non-terminating simulation. 100,000
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151
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+
// paths is 20× the 5,000 default; XVA Monte-Carlo error ∝ 1/√n gains nothing real beyond that,
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152
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+
// and the paths × steps PRODUCT is bounded separately below where the grid is known.
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153
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+
if (!Number.isSafeInteger(paths) || paths < 2 || paths > MAX_XVA_PATHS) {
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154
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throw new InputError(`${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}.`, {
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155
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+
code: ErrorCode.InputOutOfRange,
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156
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+
context: { paths, max: MAX_XVA_PATHS },
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157
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+
});
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158
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+
}
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159
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+
const notional = specification.notional ?? 1;
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160
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+
const curve = specification.curve;
|
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161
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+
const settlement = curve.referenceDate;
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162
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+
const maturityYf = yearFraction(settlement, specification.maturityDate, 'ACT/365F');
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163
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+
const startYf = yearFraction(settlement, specification.startDate, 'ACT/365F');
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164
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+
const stepsPerYear = parameters.stepsPerYear ?? 24;
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165
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+
// 2026-08-23 review, P0: stepsPerYear was only checked finite — a zero/negative value silently
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166
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+
// collapsed the grid to the 2-step floor (a degenerate simulation presented as a result), and an
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167
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+
// enormous one made N explode. Positive here; the paths × N product bound below prices the rest.
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168
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+
ensureStepsPerYearWhenPresent(stepsPerYear, functionName);
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169
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+
const N = Math.max(2, Math.ceil(stepsPerYear * maturityYf));
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170
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+
// Bound the PRODUCT paths × N (2026-08-23 review, P0): the simulation loop runs exactly
|
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171
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+
// paths × N steps, each an OU evolution plus (at exposure dates) a full remaining-swap
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172
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+
// re-valuation — either factor alone can be reasonable while the product explodes
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173
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+
// (100,000 paths × a 50y daily grid ≈ 1.8·10^9 heavy steps). 10^7 path-steps is ~8× the default
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174
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+
// work (5,000 paths × a 10y monthly-ish grid ≈ 1.2·10^6) and stays single-digit seconds on a
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175
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+
// laptop at the ~µs-per-step cost of Hull-White bond math.
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176
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+
if (paths * N > MAX_XVA_PATH_STEPS) {
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177
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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)).`, {
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178
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+
code: ErrorCode.InputOutOfRange,
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179
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+
context: { paths, timeSteps: N, stepsPerYear, max: MAX_XVA_PATH_STEPS },
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180
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+
});
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181
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+
}
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182
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+
const timeStepYears = maturityYf / N;
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183
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+
const { meanReversion, sigma } = parameters;
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184
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+
const hw = hullWhite(curve, { a: meanReversion, sigma });
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185
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+
// φ-adjusted short-rate level α(t) = f^M(0,t) + σ²/(2a²)(1 − e^{−at})².
|
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186
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+
const alpha = (t) => curve.instantaneousForward(t) +
|
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187
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+
((sigma * sigma) / (2 * meanReversion * meanReversion)) *
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188
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+
Math.pow(1 - Math.exp(-meanReversion * t), 2);
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189
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+
// Fixed-leg pay times of the swap.
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190
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+
const fixedSchedule = generateSchedule({
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191
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+
effectiveDate: specification.startDate,
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192
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+
maturityDate: specification.maturityDate,
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193
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+
frequency: specification.fixedFrequency ?? 'semiannual',
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194
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+
});
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195
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+
const fixedDc = specification.fixedDayCount ?? '30/360';
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196
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+
const payTimes = fixedSchedule.map((p) => ({
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197
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+
end: yearFraction(settlement, p.accrualEnd, 'ACT/365F'),
|
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198
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+
tau: yearFraction(p.accrualStart, p.accrualEnd, fixedDc),
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199
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+
}));
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200
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+
/** Remaining-swap value per unit notional at time `ti`, given short rate `r`. */
|
|
201
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+
const swapValueAt = (ti, r) => {
|
|
202
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+
let annuity = 0;
|
|
203
|
+
for (const p of payTimes)
|
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204
|
+
if (p.end > ti + 1e-9) {
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205
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+
annuity +=
|
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206
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+
p.tau * hw.discountBond({ valuationTime: ti, timeToMaturity: p.end - ti, shortRate: r });
|
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207
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+
}
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208
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+
const floatStart = Math.max(startYf, ti);
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209
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+
const floatPv = hw.discountBond({
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210
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+
valuationTime: ti,
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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
|