@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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package/modules/fixed-income/etc/fixed-income.api.md ADDED
@@ -0,0 +1,195 @@
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+ # @insiderfinance/totalfinance/fixed-income — public API
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+
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+ > Generated by `tools/api-report`. Do not edit by hand. Run `pnpm api:update` after intentional
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+ > public API changes; `pnpm api:check` fails on undocumented drift.
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+
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+ ## Exports (188)
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+
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+ - `const bonds`: { fixedRate: (specification: FixedRateBondSpecification) => Bond; zeroCoupon: (specification: ZeroCouponBondSpecification) => Bond; floatingRateNote: (specification: FloatingRateNoteSpecification) => Bond; amortizing: (specification: AmortizingBondSpecification) => Bond; inflationLinked: (specification: InflationLinkedBondSpecification) => Bond; }
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+ - `const cdsParSpread`: CdsParSpreadFacade
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+ - `const credit`: { survivalFromHazards: (points: ReadonlyArray<readonly [string, number]>, options?: SurvivalCurveOptions) => SurvivalCurve; survivalFromProbabilities: (points: ReadonlyArray<readonly [string, number]>, options?: SurvivalCurveOptions) => SurvivalCurve; flatHazard: (input: FlatHazardInput) => SurvivalCurve; bootstrapHazardFromCds: (quotes: CdsQuote[], options: HazardBootstrapOptions) => SurvivalCurve; creditSpreadCurve: CreditSpreadCurveFacade; creditTriangleHazard: (input: CreditTriangleHazardInput) => CreditTriangleHazardResult; cdsBasis: (input: CdsBasisInput) => number; }
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+ - `const creditSpreadCurve`: CreditSpreadCurveFacade
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+ - `const curveMetrics`: BondFacade<[bond: Bond, curve: YieldCurve, options: CurvePricingOptions], CurveMetrics, CurveMetrics>
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+ - `const curves`: { fromZeroRates: (points: ReadonlyArray<readonly [string, number]>, options?: CurveOptions) => YieldCurve; fromDiscountFactors: (points: ReadonlyArray<readonly [string, number]>, options?: CurveOptions) => YieldCurve; flat: (input: FlatCurveInput) => YieldCurve; bootstrap: (instruments: BootstrapInstrument[], options: BootstrapOptions) => YieldCurve; bootstrapProjection: (instruments: BootstrapInstrument[], options: ProjectionBootstrapOptions) => YieldCurve; bootstrapMultiCurve: (options: MultiCurveBootstrapOptions) => MultiCurve; discountFactor: (points: ReadonlyArray<readonly [string, number]>, options?: CurveOptions) => YieldCurve; }
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+ - `const priceFromYield`: BondFacade<[bond: Bond, options: PriceFromYieldOptions], BondPrice, BondPrice>
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+ - `const swapRate`: SwapRateFacade
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+ - `const yieldMetrics`: BondFacade<[bond: Bond, options: YieldMetricsOptions], YieldMetrics, YieldMetrics>
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+ - `const yieldToCall`: YieldToCallFacade
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+ - `const yieldToMaturity`: BondFacade<[bond: Bond, options: YieldFromPriceOptions], number, number>
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+ - `function addMonths`: (date: string, months: number, endOfMonth?: boolean) => string
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+ - `function adjustDate`: (date: string, convention?: BusinessDayConvention, calendar?: Calendar) => string
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+ - `function bermudanSwaption`: (specification: BermudanSwaptionSpecification) => BermudanSwaptionResult
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+ - `function bondFuture`: (input: BondFutureInput) => BondFutureResult
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+ - `function bondFutureCtdFrontier`: (input: BondFutureCtdFrontierInput) => BondFutureCtdFrontierResult
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+ - `function bondFutureHedge`: (input: BondFutureHedgeInput) => BondFutureHedgeResult
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+ - `function bootstrapHazardFromCds`: (quotes: CdsQuote[], options: HazardBootstrapOptions) => SurvivalCurve
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+ - `function breakevenInflation`: (input: BreakevenInflationInput) => BreakevenInflationResult
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+ - `function callableBond`: (specification: CallableBondSpecification) => CallableBondResult
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+ - `function capFloorPrice`: (specification: CapFloorSpecification, curves: SwapCurves) => CapFloorResult
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+ - `function cdsBasis`: (input: CdsBasisInput) => number
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+ - `function cdsValue`: (specification: CdsSpecification, curves: CdsCurves) => CdsValuation
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+ - `function cir`: (parameters: CirParameters) => CirModel
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+ - `function cmsConvexityAdjustment`: (specification: CmsConvexityInput) => CmsConvexityResult
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+ - `function compareDates`: (first: string, second: string) => number
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+ - `function conversionFactor`: (input: ConversionFactorInput) => ConversionFactorResult
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+ - `function convertibleBond`: (specification: ConvertibleBondSpecification) => ConvertibleBondResult
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+ - `function cpiSeasonality`: (input: CpiSeasonalityInput) => CpiSeasonalityResult
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+ - `function creditTriangleHazard`: (input: CreditTriangleHazardInput) => CreditTriangleHazardResult
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+ - `function crossCurrencyBasisCurve`: (input: CrossCurrencyBasisInput) => CrossCurrencyBasisResult
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+ - `function daysInMonth`: (year: number, month: number) => number
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+ - `function daysInYear`: (year: number) => number
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+ - `function discountFromZero`: (zero: number, years: number, compounding: InterestCompounding) => number
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+ - `function forwardCmsRate`: (specification: CmsSpecification, curves: SwapCurves) => CmsResult
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+ - `function forwardSwap`: (specification: ForwardSwapSpecification, curves: SwapCurves) => ForwardSwapResult
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+ - `function fraValue`: (specification: FraSpecification, options: { curve: YieldCurve; }) => FraResult
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+ - `function g2pp`: (curve: YieldCurve, parameters: G2ppParameters) => G2ppModel
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+ - `function generateSchedule`: (options: ScheduleOptions) => SchedulePeriod[]
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+ - `function hullWhite`: (curve: YieldCurve, parameters: HullWhiteParameters) => HullWhiteModel
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+ - `function impliedCrossCurrencyBasis`: (input: ImpliedCrossCurrencyBasisInput) => ImpliedCrossCurrencyBasisResult
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+ - `function isEndOfMonth`: (date: string) => boolean
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+ - `function isLeapYear`: (year: number) => boolean
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+ - `function oasAnalytics`: (specification: OasAnalyticsSpecification) => OasAnalyticsResult
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+ - `function paymentsPerYear`: (frequency: Frequency) => number
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+ - `function priceMultiCurve`: (bond: Bond, options: { settlementDate: string; discountCurve: YieldCurve; forecastCurve?: YieldCurve; knownFixingRate?: number; }) => BondPrice
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+ - `function rateCurveFromYieldCurve`: (input: { curve: YieldCurve; currency: string; }) => RateCurve
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+ - `function shortRateTree`: (curve: YieldCurve, options: ShortRateTreeOptions) => ShortRateTree
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+ - `function swaptionPrice`: (specification: SwaptionSpecification, curves: SwapCurves) => SwaptionResult
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+ - `function swapValue`: (specification: SwapSpecification, curves: SwapCurves) => SwapValuation
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+ - `function swapXva`: (specification: XvaSwapSpecification, parameters: XvaParameters) => XvaResult
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+ - `function tipsIndexRatio`: (input: TipsIndexRatioInput) => TipsIndexRatioResult
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+ - `function vasicek`: (parameters: VasicekParameters) => GaussianShortRateModel
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+ - `function yearFraction`: (from: string, to: string, dayCount?: FixedIncomeDayCount) => number
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+ - `function yieldCurveFromRateCurve`: (input: { curve: RateCurve; interpolation: CurveInterpolation; extrapolation: CurveExtrapolation; }) => YieldCurve
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+ - `function zeroCouponInflationSwap`: (input: ZeroCouponInflationSwapInput) => ZeroCouponInflationSwapResult
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+ - `function zeroFromDiscount`: (discountFactor: number, years: number, compounding: InterestCompounding) => number
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+ - `interface AmortizingBondSpecification`: AmortizingBondSpecification
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+ - `interface BaseSpecification`: BaseSpecification
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+ - `interface BermudanSwaptionResult`: BermudanSwaptionResult
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+ - `interface BermudanSwaptionSpecification`: BermudanSwaptionSpecification
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+ - `interface Bond`: Bond
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+ - `interface BondComputed`: BondComputed<T>
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+ - `interface BondFutureCtdFrontierInput`: BondFutureCtdFrontierInput
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+ - `interface BondFutureCtdFrontierResult`: BondFutureCtdFrontierResult
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+ - `interface BondFutureHedgeInput`: BondFutureHedgeInput
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+ - `interface BondFutureHedgeResult`: BondFutureHedgeResult
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+ - `interface BondFutureInput`: BondFutureInput
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+ - `interface BondFutureResult`: BondFutureResult
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+ - `interface BondOption`: BondOption
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+ - `interface BondPrice`: BondPrice
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+ - `interface BootstrapOptions`: BootstrapOptions
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+ - `interface BreakevenInflationInput`: BreakevenInflationInput
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+ - `interface BreakevenInflationResult`: BreakevenInflationResult
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+ - `interface CallableBondResult`: CallableBondResult
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+ - `interface CallableBondSpecification`: CallableBondSpecification
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+ - `interface CallFeature`: CallFeature
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+ - `interface CapFloorResult`: CapFloorResult
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+ - `interface CapFloorSpecification`: CapFloorSpecification
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+ - `interface CapletResult`: CapletResult
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+ - `interface CashFlow`: CashFlow
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+ - `interface CdsCurves`: CdsCurves
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+ - `interface CdsQuote`: CdsQuote
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+ - `interface CdsSpecification`: CdsSpecification
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+ - `interface CdsValuation`: CdsValuation
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+ - `interface CirModel`: CirModel
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+ - `interface CirParameters`: CirParameters
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+ - `interface CmsConvexityInput`: CmsConvexityInput
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+ - `interface CmsConvexityResult`: CmsConvexityResult
97
+ - `interface CmsResult`: CmsResult
98
+ - `interface CmsSpecification`: CmsSpecification
99
+ - `interface ConversionFactorInput`: ConversionFactorInput
100
+ - `interface ConversionFactorResult`: ConversionFactorResult
101
+ - `interface ConvertibleBondOption`: ConvertibleBondOption
102
+ - `interface ConvertibleBondResult`: ConvertibleBondResult
103
+ - `interface ConvertibleBondSpecification`: ConvertibleBondSpecification
104
+ - `interface CpiSeasonalityInput`: CpiSeasonalityInput
105
+ - `interface CpiSeasonalityResult`: CpiSeasonalityResult
106
+ - `interface CreditSpreadCurveAssumptions`: CreditSpreadCurveAssumptions
107
+ - `interface CreditSpreadPoint`: CreditSpreadPoint
108
+ - `interface CreditTriangleHazardResult`: CreditTriangleHazardResult
109
+ - `interface CrossCurrencyBasisInput`: CrossCurrencyBasisInput
110
+ - `interface CrossCurrencyBasisResult`: CrossCurrencyBasisResult
111
+ - `interface CtdFrontierScenario`: CtdFrontierScenario
112
+ - `interface CtdSwitch`: CtdSwitch
113
+ - `interface CurveMetrics`: CurveMetrics
114
+ - `interface CurveOptions`: CurveOptions
115
+ - `interface CurvePillar`: CurvePillar
116
+ - `interface CurvePricingOptions`: CurvePricingOptions
117
+ - `interface DeliverableAnalysis`: DeliverableAnalysis
118
+ - `interface DeliverableBond`: DeliverableBond
119
+ - `interface DeliverableRisk`: DeliverableRisk
120
+ - `interface DepositInstrument`: DepositInstrument
121
+ - `interface ExposurePoint`: ExposurePoint
122
+ - `interface FloatingRateNoteSpecification`: FloatingRateNoteSpecification
123
+ - `interface ForwardSwapResult`: ForwardSwapResult
124
+ - `interface FraInstrument`: FraInstrument
125
+ - `interface FraResult`: FraResult
126
+ - `interface FraSpecification`: FraSpecification
127
+ - `interface FutureInstrument`: FutureInstrument
128
+ - `interface G2ppModel`: G2ppModel
129
+ - `interface G2ppParameters`: G2ppParameters
130
+ - `interface GaussianShortRateModel`: GaussianShortRateModel
131
+ - `interface HazardBootstrapOptions`: HazardBootstrapOptions
132
+ - `interface HullWhiteModel`: HullWhiteModel
133
+ - `interface HullWhiteParameters`: HullWhiteParameters
134
+ - `interface ImpliedCrossCurrencyBasisInput`: ImpliedCrossCurrencyBasisInput
135
+ - `interface ImpliedCrossCurrencyBasisResult`: ImpliedCrossCurrencyBasisResult
136
+ - `interface InflationLinkedBondSpecification`: InflationLinkedBondSpecification
137
+ - `interface MultiCurve`: MultiCurve
138
+ - `interface MultiCurveBootstrapOptions`: MultiCurveBootstrapOptions
139
+ - `interface OasAnalyticsResult`: OasAnalyticsResult
140
+ - `interface OasAnalyticsSpecification`: OasAnalyticsSpecification
141
+ - `interface PriceFromYieldOptions`: PriceFromYieldOptions
142
+ - `interface ProjectionBootstrapOptions`: ProjectionBootstrapOptions
143
+ - `interface ProjectionContext`: ProjectionContext
144
+ - `interface ScheduleOptions`: ScheduleOptions
145
+ - `interface SchedulePeriod`: SchedulePeriod
146
+ - `interface ShortRateModel`: ShortRateModel
147
+ - `interface ShortRateMoments`: ShortRateMoments
148
+ - `interface ShortRateTree`: ShortRateTree
149
+ - `interface ShortRateTreeOptions`: ShortRateTreeOptions
150
+ - `interface SurvivalCurve`: SurvivalCurve
151
+ - `interface SurvivalCurveOptions`: SurvivalCurveOptions
152
+ - `interface SurvivalPillar`: SurvivalPillar
153
+ - `interface SwapCurves`: SwapCurves
154
+ - `interface SwapInstrument`: SwapInstrument
155
+ - `interface SwapRateAssumptions`: SwapRateAssumptions
156
+ - `interface SwapSpecification`: SwapSpecification
157
+ - `interface SwaptionResult`: SwaptionResult
158
+ - `interface SwaptionSpecification`: SwaptionSpecification
159
+ - `interface SwapValuation`: SwapValuation
160
+ - `interface TipsIndexRatioInput`: TipsIndexRatioInput
161
+ - `interface TipsIndexRatioResult`: TipsIndexRatioResult
162
+ - `interface VasicekParameters`: VasicekParameters
163
+ - `interface XvaParameters`: XvaParameters
164
+ - `interface XvaResult`: XvaResult
165
+ - `interface XvaSwapSpecification`: XvaSwapSpecification
166
+ - `interface YieldCurve`: YieldCurve
167
+ - `interface YieldFromPriceOptions`: YieldFromPriceOptions
168
+ - `interface YieldMetrics`: YieldMetrics
169
+ - `interface YieldMetricsOptions`: YieldMetricsOptions
170
+ - `interface ZeroCouponBondSpecification`: ZeroCouponBondSpecification
171
+ - `interface ZeroCouponInflationSwapInput`: ZeroCouponInflationSwapInput
172
+ - `interface ZeroCouponInflationSwapResult`: ZeroCouponInflationSwapResult
173
+ - `type Amortization`: Amortization
174
+ - `type BondAssumptions`: BondAssumptions
175
+ - `type BondFacade`: BondFacade<Args, Out, EOut>
176
+ - `type BondKind`: BondKind
177
+ - `type BootstrapInstrument`: BootstrapInstrument
178
+ - `type BusinessDayConvention`: BusinessDayConvention
179
+ - `type CreditSpreadCurveFacade`: CreditSpreadCurveFacade
180
+ - `type CurveExtrapolation`: CurveExtrapolation
181
+ - `type CurveInterpolation`: CurveInterpolation
182
+ - `type FixedIncomeDayCount`: FixedIncomeDayCount
183
+ - `type FixedRateBondSpecification`: BaseSpecification
184
+ - `type ForwardSwapSpecification`: ForwardSwapSpecification
185
+ - `type Frequency`: Frequency
186
+ - `type InterestCompounding`: InterestCompounding
187
+ - `type OptionRight`: OptionRight
188
+ - `type ParCdsSpecification`: ParCdsSpecification
189
+ - `type ParSwapSpecification`: ParSwapSpecification
190
+ - `type RatesVolatilityModel`: RatesVolatilityModel
191
+ - `type SwapRateFacade`: SwapRateFacade
192
+ - `type TreeModel`: TreeModel
193
+ - `type YieldShiftGrid`: YieldShiftGrid
194
+ - `type YieldToCallAssumptions`: YieldToCallAssumptions
195
+ - `type YieldToCallFacade`: YieldToCallFacade
package/modules/fixed-income/src/artifacts.ts ADDED
@@ -0,0 +1,60 @@
1
+ /**
2
+ * `@insiderfinance/totalfinance/fixed-income/artifacts` — Stage 4.5's fitted-model artifacts for the curve bootstraps
3
+ * (spec `docs/specs/calibration-research-artifacts.md`, Decisions 1–3 and 5–9): discount,
4
+ * projection, multi-curve, and hazard curves, stored as their data and restored exactly.
5
+ *
6
+ * A subpath on purpose (never the package root, never the umbrella): these verbs ride the Gate B
7
+ * spine, and a bundle that only bootstraps must not pay for serialization.
8
+ *
9
+ * ```ts
10
+ * import { curves, rateCurveFromYieldCurve } from '@insiderfinance/totalfinance/fixed-income';
11
+ * import { fittedModelArtifact, readFittedModel, evaluateFittedModel } from '@insiderfinance/totalfinance/fixed-income/artifacts';
12
+ *
13
+ * const curve = curves.bootstrap(instruments, { referenceDate: '2026-01-01' });
14
+ * const artifact = fittedModelArtifact({ family: 'discount-curve', fit: curve, calibration: { instruments, options: { referenceDate: '2026-01-01' } }, currency: 'USD' });
15
+ * const { report } = readFittedModel({ artifact });
16
+ * evaluateFittedModel({ model: report, at: { dates: ['2028-06-30'], measure: 'discount' } });
17
+ * ```
18
+ */
19
+
20
+ export {
21
+ FIXED_INCOME_FITTED_MODEL_ARTIFACT_TYPE,
22
+ compareFittedModels,
23
+ evaluateFittedModel,
24
+ fittedModelArtifact,
25
+ fittedModelHoldout,
26
+ readFittedModel,
27
+ replayFittedModel,
28
+ } from './fitted-model-artifacts.js';
29
+ export type {
30
+ CurveEvaluationDifference,
31
+ CurveFittedModelReport,
32
+ FittedModelArtifactInput,
33
+ FittedModelArtifactLimits,
34
+ FittedModelComparison,
35
+ FittedModelEvaluation,
36
+ FittedModelHoldoutInput,
37
+ FittedModelHoldoutReport,
38
+ FittedModelHoldoutSelection,
39
+ FittedModelReplay,
40
+ ParameterDelta,
41
+ ReadFittedModelResult,
42
+ } from './fitted-model-artifacts.js';
43
+ export { CURVE_MODEL_FAMILIES, FITTED_MODEL_FAMILIES } from './fitted-model-families.js';
44
+ export type {
45
+ CalibrationOf,
46
+ CurveCalibrations,
47
+ CurveEvaluations,
48
+ CurveFits,
49
+ CurveLiveFits,
50
+ CurveModelFamily,
51
+ CurveStoredCalibrations,
52
+ EvaluationOf,
53
+ FitOf,
54
+ FittedModelFamilyDescriptor,
55
+ LiveFitOf,
56
+ StoredCalibrationOf,
57
+ SurvivalCurveMeasure,
58
+ YieldCurveMeasure,
59
+ } from './fitted-model-families.js';
60
+ export type { SurvivalCurveData, YieldCurveData, ZeroRateAtOrigin } from './curve-data.js';