@insiderfinance/totalfinance 0.1.0

package/modules/foreign-exchange/dist/spot.js

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+/**
+ * FC5 — spot foreign exchange: the currency-pair quote contract, quote inversion, cross rates
+ * through one common currency, conversion, and pip values. One law above all: a pair always
+ * identifies its base and quote currency, and `quotePerBase` is units of QUOTE currency per ONE
+ * unit of BASE currency. Nothing here guesses a direction, a pip size, or a missing pair — every
+ * inversion is explicit and disclosed in the result's assumptions.
+ */
+import { requireFiniteComputation } from './internal.js';
+import { requireRepresentableResult, ErrorCode, InputError, ensureKnownKeys, requireArgumentObject, requireFiniteFields, } from '../../core/dist/index.js';
+/** {@link CurrencyPairQuote} keys (Law 12 — mirrors the interface above; keep in sync). */
+const CURRENCY_PAIR_QUOTE_KEYS = ['baseCurrency', 'quoteCurrency', 'quotePerBase'];
+const CURRENCY_CODE_PATTERN = /^[A-Z]{3}$/;
+/** The literal a shared guard's derived example plugs in for the quote slot. */
+const EXAMPLE_QUOTE = "{ baseCurrency: 'EUR', quoteCurrency: 'USD', quotePerBase: 1.08 }";
+const exampleQuoteCall = (functionName, label) => `${functionName}({ …, ${label}: ${EXAMPLE_QUOTE} })`;
+/**
+ * Validate one currency-code field at a public boundary: a string matching `/^[A-Z]{3}$/`
+ * (uppercase three-letter ISO-4217 style). A lowercase spelling is answered with the exact
+ * uppercase fix rather than a bare rejection.
+ */
+export function requireCurrencyCode(functionName, field, value) {
+    if (typeof value !== 'string') {
+        throw new InputError(`${functionName}: ${field} must be an uppercase three-letter currency code string (e.g. 'EUR'). Received ${value === null ? 'null' : typeof value}.`, { code: ErrorCode.InputWrongType, context: { function: functionName, field } });
+    }
+    if (!CURRENCY_CODE_PATTERN.test(value)) {
+        const uppercased = value.toUpperCase();
+        const fix = CURRENCY_CODE_PATTERN.test(uppercased) ? ` — write it as '${uppercased}'` : '';
+        throw new InputError(`${functionName}: ${field} must be an uppercase three-letter ISO-style currency code matching /^[A-Z]{3}$/ (e.g. 'EUR'). Received ${JSON.stringify(value)}${fix}.`, { code: ErrorCode.InputOutOfRange, context: { function: functionName, field, value } });
+    }
+}
+/**
+ * Validate a {@link CurrencyPairQuote} at a public boundary (Law 12 closed request): known keys,
+ * two DISTINCT uppercase currency codes, and a finite `quotePerBase` > 0. The guard validates its
+ * own `functionName` and `label` first — invoked without them, every error it teaches would blame
+ * "undefined" (see `requireFundamentalPeriod` for the precedent).
+ */
+export function requireCurrencyPairQuote(functionName, label, quote) {
+    if (typeof functionName !== 'string' || functionName.length === 0) {
+        throw new InputError(`requireCurrencyPairQuote: functionName must be a non-empty string (the public boundary being validated). Received ${functionName === null ? 'null' : functionName === undefined ? 'undefined' : typeof functionName === 'string' ? "''" : typeof functionName}.`, { code: ErrorCode.InputWrongType, context: { field: 'functionName' } });
+    }
+    if (typeof label !== 'string' || label.length === 0) {
+        throw new InputError(`requireCurrencyPairQuote: label must be a non-empty string (the caller's name for the quote field being validated). Received ${label === null ? 'null' : label === undefined ? 'undefined' : typeof label === 'string' ? "''" : typeof label}.`, { code: ErrorCode.InputWrongType, context: { field: 'label' } });
+    }
+    requireArgumentObject(functionName, label, quote);
+    ensureKnownKeys(functionName, label, quote, CURRENCY_PAIR_QUOTE_KEYS);
+    requireCurrencyCode(functionName, `${label}.baseCurrency`, quote.baseCurrency);
+    requireCurrencyCode(functionName, `${label}.quoteCurrency`, quote.quoteCurrency);
+    requireFiniteFields(functionName, quote, ['quotePerBase'], {
+        exampleCall: () => exampleQuoteCall(functionName, label),
+        path: label,
+    });
+    if (quote.quotePerBase <= 0) {
+        throw new InputError(`${functionName}: ${label}.quotePerBase must be > 0 — it prices ONE unit of ${quote.baseCurrency} in ${quote.quoteCurrency}, and a price of ${quote.quotePerBase} is not a price.\n  e.g. ${exampleQuoteCall(functionName, label)}`, {
+            code: ErrorCode.InputOutOfRange,
+            context: {
+                function: functionName,
+                field: `${label}.quotePerBase`,
+                value: quote.quotePerBase,
+            },
+        });
+    }
+    if (quote.baseCurrency === quote.quoteCurrency) {
+        throw new InputError(`${functionName}: ${label} prices ${quote.baseCurrency} in itself — baseCurrency and quoteCurrency must differ. A same-currency "pair" carries no exchange-rate information; drop the quote instead.\n  e.g. ${exampleQuoteCall(functionName, label)}`, {
+            code: ErrorCode.InputOutOfRange,
+            context: { function: functionName, field: label, value: quote.baseCurrency },
+        });
+    }
+}
+/** Render a pair for prose in errors and derivations: `EUR/USD`. */
+function pairLabel(quote) {
+    return `${quote.baseCurrency}/${quote.quoteCurrency}`;
+}
+/** True when `quote` connects the two currencies, in either orientation. */
+function connectsCurrencies(quote, first, second) {
+    return ((quote.baseCurrency === first && quote.quoteCurrency === second) ||
+        (quote.baseCurrency === second && quote.quoteCurrency === first));
+}
+/**
+ * Price of ONE unit of `currency` in `inCurrency`, read off `quote` in whichever orientation
+ * connects them. The caller has already established the connection.
+ */
+function priceOfOneUnit(quote, currency, inCurrency) {
+    if (quote.baseCurrency === currency && quote.quoteCurrency === inCurrency) {
+        return { price: quote.quotePerBase, orientation: 'direct' };
+    }
+    return { price: 1 / quote.quotePerBase, orientation: 'inverted' };
+}
+/**
+ * Flip a quote's direction: EUR/USD 1.08 becomes USD/EUR 1/1.08. Inverting twice returns the
+ * original pair (the quote-direction identity, tested at 1e-12).
+ */
+export function invertCurrencyPairQuote(input) {
+    requireArgumentObject('invertCurrencyPairQuote', 'input', input);
+    ensureKnownKeys('invertCurrencyPairQuote', 'input', input, ['quote']);
+    requireCurrencyPairQuote('invertCurrencyPairQuote', 'quote', input.quote);
+    return requireRepresentableResult('invertCurrencyPairQuote', {
+        quote: {
+            baseCurrency: input.quote.quoteCurrency,
+            quoteCurrency: input.quote.baseCurrency,
+            quotePerBase: 1 / input.quote.quotePerBase,
+        },
+        assumptions: { inversion: '1 / quotePerBase' },
+        diagnostics: { warnings: [] },
+    });
+}
+const CROSS_RATE_KEYS = [
+    'firstQuote',
+    'secondQuote',
+    'crossBaseCurrency',
+    'crossQuoteCurrency',
+];
+const CROSS_RATE_EXAMPLE = "crossRate({ firstQuote: { baseCurrency: 'EUR', quoteCurrency: 'USD', quotePerBase: 1.08 }, secondQuote: { baseCurrency: 'USD', quoteCurrency: 'JPY', quotePerBase: 147.5 }, crossBaseCurrency: 'EUR', crossQuoteCurrency: 'JPY' })";
+/**
+ * Derive a cross pair through the ONE currency the two supplied quotes share (EUR/USD × USD/JPY →
+ * EUR/JPY). Every orientation case is handled by explicit inversion, and the derivation prose in
+ * the assumptions shows each leg's price, source quote, and orientation. Quotes sharing zero or
+ * both currencies are rejected with the currencies named — there is no cross to derive.
+ */
+export function crossRate(input) {
+    requireArgumentObject('crossRate', 'input', input);
+    ensureKnownKeys('crossRate', 'input', input, CROSS_RATE_KEYS);
+    requireCurrencyPairQuote('crossRate', 'firstQuote', input.firstQuote);
+    requireCurrencyPairQuote('crossRate', 'secondQuote', input.secondQuote);
+    requireCurrencyCode('crossRate', 'crossBaseCurrency', input.crossBaseCurrency);
+    requireCurrencyCode('crossRate', 'crossQuoteCurrency', input.crossQuoteCurrency);
+    const { firstQuote, secondQuote, crossBaseCurrency, crossQuoteCurrency } = input;
+    const firstCurrencies = [firstQuote.baseCurrency, firstQuote.quoteCurrency];
+    const secondCurrencies = [secondQuote.baseCurrency, secondQuote.quoteCurrency];
+    const commonCurrencies = firstCurrencies.filter((currency) => secondCurrencies.includes(currency));
+    if (commonCurrencies.length === 0) {
+        throw new InputError(`crossRate: firstQuote (${pairLabel(firstQuote)}) and secondQuote (${pairLabel(secondQuote)}) share no common currency — a cross rate needs exactly one shared leg to go through.\n  e.g. ${CROSS_RATE_EXAMPLE}`, {
+            code: ErrorCode.InputOutOfRange,
+            context: {
+                function: 'crossRate',
+                firstQuoteCurrencies: firstCurrencies,
+                secondQuoteCurrencies: secondCurrencies,
+            },
+        });
+    }
+    if (commonCurrencies.length === 2) {
+        throw new InputError(`crossRate: firstQuote (${pairLabel(firstQuote)}) and secondQuote (${pairLabel(secondQuote)}) share BOTH currencies (${commonCurrencies.join(', ')}) — they quote the same pair, so no third currency exists to cross into. Use invertCurrencyPairQuote for direction changes.\n  e.g. ${CROSS_RATE_EXAMPLE}`, {
+            code: ErrorCode.InputOutOfRange,
+            context: { function: 'crossRate', commonCurrencies },
+        });
+    }
+    const throughCurrency = commonCurrencies[0];
+    const firstOtherCurrency = firstCurrencies.find((currency) => currency !== throughCurrency);
+    const secondOtherCurrency = secondCurrencies.find((currency) => currency !== throughCurrency);
+    const derivableCurrencies = [firstOtherCurrency, secondOtherCurrency];
+    if (!derivableCurrencies.includes(crossBaseCurrency) ||
+        !derivableCurrencies.includes(crossQuoteCurrency) ||
+        crossBaseCurrency === crossQuoteCurrency) {
+        throw new InputError(`crossRate: the supplied quotes derive the pair ${firstOtherCurrency}/${secondOtherCurrency} (through ${throughCurrency}); crossBaseCurrency and crossQuoteCurrency must name those two currencies in the desired orientation. Received crossBaseCurrency '${crossBaseCurrency}', crossQuoteCurrency '${crossQuoteCurrency}'.\n  e.g. ${CROSS_RATE_EXAMPLE}`, {
+            code: ErrorCode.InputOutOfRange,
+            context: {
+                function: 'crossRate',
+                derivableCurrencies,
+                crossBaseCurrency,
+                crossQuoteCurrency,
+            },
+        });
+    }
+    // Leg one: ONE crossBase unit priced in the through currency, from whichever quote holds it.
+    const legOneQuote = firstOtherCurrency === crossBaseCurrency ? firstQuote : secondQuote;
+    const legOneLabel = legOneQuote === firstQuote ? 'firstQuote' : 'secondQuote';
+    const legOne = priceOfOneUnit(legOneQuote, crossBaseCurrency, throughCurrency);
+    // Leg two: ONE through unit priced in the cross quote currency, from the other quote.
+    const legTwoQuote = legOneQuote === firstQuote ? secondQuote : firstQuote;
+    const legTwoLabel = legTwoQuote === firstQuote ? 'firstQuote' : 'secondQuote';
+    const legTwo = priceOfOneUnit(legTwoQuote, throughCurrency, crossQuoteCurrency);
+    const quotePerBase = legOne.price * legTwo.price;
+    const derivation = `1 ${crossBaseCurrency} = ${legOne.price} ${throughCurrency} (${legOneLabel}, ${legOne.orientation}); 1 ${throughCurrency} = ${legTwo.price} ${crossQuoteCurrency} (${legTwoLabel}, ${legTwo.orientation}); quotePerBase = ${legOne.price} × ${legTwo.price} = ${quotePerBase}.`;
+    return requireRepresentableResult('crossRate', {
+        quote: {
+            baseCurrency: crossBaseCurrency,
+            quoteCurrency: crossQuoteCurrency,
+            quotePerBase,
+        },
+        assumptions: { throughCurrency, derivation },
+        diagnostics: { warnings: [] },
+    });
+}
+const CONVERT_CURRENCY_KEYS = ['amount', 'fromCurrency', 'toCurrency', 'spotRate'];
+const CONVERT_CURRENCY_EXAMPLE = "convertCurrency({ amount: 1_000, fromCurrency: 'EUR', toCurrency: 'USD', spotRate: { baseCurrency: 'EUR', quoteCurrency: 'USD', quotePerBase: 1.08 } })";
+/**
+ * Convert an amount between two currencies at the supplied spot quote. The quote must connect the
+ * two currencies; when it is oriented the other way the conversion divides instead of multiplies
+ * and the result discloses `orientation: 'inverted'`. Converting there and back with the same
+ * quote returns the original amount (the round-trip identity, tested at 1e-12). A same-currency
+ * conversion with a quote supplied is rejected — the identity conversion needs no quote.
+ */
+export function convertCurrency(input) {
+    requireArgumentObject('convertCurrency', 'input', input);
+    ensureKnownKeys('convertCurrency', 'input', input, CONVERT_CURRENCY_KEYS);
+    requireFiniteFields('convertCurrency', input, ['amount'], {
+        exampleCall: CONVERT_CURRENCY_EXAMPLE,
+    });
+    requireCurrencyCode('convertCurrency', 'fromCurrency', input.fromCurrency);
+    requireCurrencyCode('convertCurrency', 'toCurrency', input.toCurrency);
+    if (input.fromCurrency === input.toCurrency) {
+        throw new InputError(`convertCurrency: fromCurrency and toCurrency are both '${input.fromCurrency}' — the identity conversion needs no quote; the amount is already in the target currency. Drop the call (or the quote) instead.\n  e.g. ${CONVERT_CURRENCY_EXAMPLE}`, {
+            code: ErrorCode.InputOutOfRange,
+            context: { function: 'convertCurrency', fromCurrency: input.fromCurrency },
+        });
+    }
+    requireCurrencyPairQuote('convertCurrency', 'spotRate', input.spotRate);
+    if (!connectsCurrencies(input.spotRate, input.fromCurrency, input.toCurrency)) {
+        throw new InputError(`convertCurrency: spotRate (${pairLabel(input.spotRate)}) does not connect fromCurrency '${input.fromCurrency}' to toCurrency '${input.toCurrency}' — supply a quote whose base and quote currencies are exactly those two, in either orientation.\n  e.g. ${CONVERT_CURRENCY_EXAMPLE}`, {
+            code: ErrorCode.InputOutOfRange,
+            context: {
+                function: 'convertCurrency',
+                spotRateCurrencies: [input.spotRate.baseCurrency, input.spotRate.quoteCurrency],
+                fromCurrency: input.fromCurrency,
+                toCurrency: input.toCurrency,
+            },
+        });
+    }
+    const orientation = input.spotRate.baseCurrency === input.fromCurrency ? 'direct' : 'inverted';
+    const convertedAmount = orientation === 'direct'
+        ? input.amount * input.spotRate.quotePerBase
+        : input.amount / input.spotRate.quotePerBase;
+    return requireFiniteComputation('convertCurrency', {
+        convertedAmount,
+        assumptions: {
+            fromCurrency: input.fromCurrency,
+            toCurrency: input.toCurrency,
+            quoteUsed: { ...input.spotRate },
+            orientation,
+        },
+        diagnostics: { warnings: [] },
+    });
+}
+const PIP_VALUE_KEYS = ['quote', 'pipSize', 'notionalAmount', 'notionalCurrency'];
+const PIP_VALUE_EXAMPLE = "pipValue({ quote: { baseCurrency: 'EUR', quoteCurrency: 'USD', quotePerBase: 1.08 }, pipSize: 0.0001, notionalAmount: 100_000, notionalCurrency: 'EUR' })";
+/**
+ * Value of one pip for a position. A pip moves `quotePerBase` by `pipSize`, so a notional of `N`
+ * BASE units gains/loses `pipSize × N` quote-currency units per pip; a notional stated in the
+ * quote currency is first restated in base units at the supplied spot quote. `pipSize` is always
+ * explicit — a symbol's spelling never decides it.
+ */
+export function pipValue(input) {
+    requireArgumentObject('pipValue', 'input', input);
+    ensureKnownKeys('pipValue', 'input', input, PIP_VALUE_KEYS);
+    requireCurrencyPairQuote('pipValue', 'quote', input.quote);
+    requireFiniteFields('pipValue', input, ['pipSize', 'notionalAmount'], {
+        exampleCall: PIP_VALUE_EXAMPLE,
+        hints: {
+            pipSize: 'quote-currency units per base unit — e.g. 0.0001 for EUR/USD; never guessed from symbol spelling',
+        },
+    });
+    if (input.pipSize <= 0) {
+        throw new InputError(`pipValue: pipSize must be > 0 (quote-currency units per base unit — e.g. 0.0001 for EUR/USD). Received ${input.pipSize}.`, {
+            code: ErrorCode.InputOutOfRange,
+            context: { function: 'pipValue', field: 'pipSize', value: input.pipSize },
+        });
+    }
+    requireCurrencyCode('pipValue', 'notionalCurrency', input.notionalCurrency);
+    const { quote } = input;
+    if (input.notionalCurrency !== quote.baseCurrency &&
+        input.notionalCurrency !== quote.quoteCurrency) {
+        throw new InputError(`pipValue: notionalCurrency '${input.notionalCurrency}' is neither side of the pair ${pairLabel(quote)} — the notional must be stated in the pair's base or quote currency.\n  e.g. ${PIP_VALUE_EXAMPLE}`, {
+            code: ErrorCode.InputOutOfRange,
+            context: {
+                function: 'pipValue',
+                notionalCurrency: input.notionalCurrency,
+                pairCurrencies: [quote.baseCurrency, quote.quoteCurrency],
+            },
+        });
+    }
+    const notionalCurrencyRole = input.notionalCurrency === quote.baseCurrency ? 'base' : 'quote';
+    const notionalInBaseUnits = notionalCurrencyRole === 'base'
+        ? input.notionalAmount
+        : input.notionalAmount / quote.quotePerBase;
+    const pipValueInQuoteCurrency = input.pipSize * notionalInBaseUnits;
+    const pipValueInBaseCurrency = pipValueInQuoteCurrency / quote.quotePerBase;
+    return requireRepresentableResult('pipValue', {
+        pipValueInQuoteCurrency,
+        pipValueInBaseCurrency,
+        assumptions: {
+            pipSize: input.pipSize,
+            pipSizeSource: 'explicit',
+            notionalCurrency: input.notionalCurrency,
+            notionalCurrencyRole,
+            baseConversion: 'pip value in base currency = pip value in quote currency / quotePerBase (converted at the supplied spot quote)',
+        },
+        diagnostics: { warnings: [] },
+    });
+}
+//# sourceMappingURL=spot.js.map

package/modules/foreign-exchange/dist/spot.js.map

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package/modules/foreign-exchange/etc/foreign-exchange.api.md

@@ -0,0 +1,52 @@
+# @insiderfinance/totalfinance/foreign-exchange — public API
+
+> Generated by `tools/api-report`. Do not edit by hand. Run `pnpm api:update` after intentional
+> public API changes; `pnpm api:check` fails on undocumented drift.
+
+## Exports (45)
+
+- `const HEDGED_PROFIT_AND_LOSS_DECOMPOSITION`: 'totalProfitAndLossInQuoteCurrency = (1 − hedgedFraction) × (finalSpotRate.quotePerBase − initialSpotRate.quotePerBase) × notionalBaseAmount + hedgedFraction × (forwardRateAtHedge.quotePerBase − initialSpotRate.quotePerBase) × notionalBaseAmount, every term in the quote currency'
+- `function convertCurrency`: (input: ConvertCurrencyInput) => ConvertCurrencyResult
+- `function coveredInterestParityForward`: (input: CoveredInterestParityForwardInput) => CoveredInterestParityForwardResult
+- `function crossRate`: (input: CrossRateInput) => CrossRateResult
+- `function currencyExposure`: (input: CurrencyExposureInput) => CurrencyExposureResult
+- `function foreignExchangeForwardPoints`: (input: ForeignExchangeForwardPointsInput) => ForeignExchangeForwardPointsResult
+- `function foreignExchangeForwardValue`: (input: ForeignExchangeForwardValueInput) => ForeignExchangeForwardValueResult
+- `function foreignExchangeSwapValue`: (input: ForeignExchangeSwapValueInput) => ForeignExchangeSwapValueResult
+- `function hedgeRatio`: (input: HedgeRatioInput) => HedgeRatioResult
+- `function invertCurrencyPairQuote`: (input: InvertCurrencyPairQuoteInput) => InvertCurrencyPairQuoteResult
+- `function nonDeliverableForwardValue`: (input: NonDeliverableForwardValueInput) => NonDeliverableForwardValueResult
+- `function pipValue`: (input: PipValueInput) => PipValueResult
+- `function requireCurrencyCode`: (functionName: string, field: string, value: unknown) => asserts value is string
+- `function requireCurrencyPairQuote`: (functionName: string, label: string, quote: CurrencyPairQuote) => asserts quote is CurrencyPairQuote
+- `function spotForwardHedgedProfitAndLoss`: (input: SpotForwardHedgedProfitAndLossInput) => SpotForwardHedgedProfitAndLossResult
+- `interface ConvertCurrencyInput`: ConvertCurrencyInput
+- `interface ConvertCurrencyResult`: ConvertCurrencyResult
+- `interface CoveredInterestParityForwardInput`: CoveredInterestParityForwardInput
+- `interface CoveredInterestParityForwardResult`: CoveredInterestParityForwardResult
+- `interface CrossRateInput`: CrossRateInput
+- `interface CrossRateResult`: CrossRateResult
+- `interface CurrencyExposureInput`: CurrencyExposureInput
+- `interface CurrencyExposurePosition`: CurrencyExposurePosition
+- `interface CurrencyExposureQuoteUse`: CurrencyExposureQuoteUse
+- `interface CurrencyExposureResult`: CurrencyExposureResult
+- `interface CurrencyExposureRow`: CurrencyExposureRow
+- `interface CurrencyPairQuote`: CurrencyPairQuote
+- `interface ExcludedCurrencyExposurePosition`: ExcludedCurrencyExposurePosition
+- `interface ForeignExchangeDiagnostics`: ForeignExchangeDiagnostics
+- `interface ForeignExchangeForwardPointsInput`: ForeignExchangeForwardPointsInput
+- `interface ForeignExchangeForwardPointsResult`: ForeignExchangeForwardPointsResult
+- `interface ForeignExchangeForwardValueInput`: ForeignExchangeForwardValueInput
+- `interface ForeignExchangeForwardValueResult`: ForeignExchangeForwardValueResult
+- `interface ForeignExchangeSwapValueInput`: ForeignExchangeSwapValueInput
+- `interface ForeignExchangeSwapValueResult`: ForeignExchangeSwapValueResult
+- `interface HedgeRatioInput`: HedgeRatioInput
+- `interface HedgeRatioResult`: HedgeRatioResult
+- `interface InvertCurrencyPairQuoteInput`: InvertCurrencyPairQuoteInput
+- `interface InvertCurrencyPairQuoteResult`: InvertCurrencyPairQuoteResult
+- `interface NonDeliverableForwardValueInput`: NonDeliverableForwardValueInput
+- `interface NonDeliverableForwardValueResult`: NonDeliverableForwardValueResult
+- `interface PipValueInput`: PipValueInput
+- `interface PipValueResult`: PipValueResult
+- `interface SpotForwardHedgedProfitAndLossInput`: SpotForwardHedgedProfitAndLossInput
+- `interface SpotForwardHedgedProfitAndLossResult`: SpotForwardHedgedProfitAndLossResult