@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/math/etc/math.api.md ADDED
@@ -0,0 +1,178 @@
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+ # @insiderfinance/totalfinance/math — 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 (171)
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+
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+ - `const chiSquare`: { readonly cdf: (x: number, degreesOfFreedom: number) => number; readonly inverseCdf: (probability: number, degreesOfFreedom: number) => number; }
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+ - `const gamma`: { readonly cdf: (x: number, shape: number, theta?: number) => number; readonly inverseCdf: (probability: number, shape: number, theta?: number) => number; }
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+ - `const normal`: { readonly pdf: (x: number) => number; readonly cdf: (x: number) => number; readonly inverseCdf: (probability: number) => number; readonly survivalFunction: (x: number) => number; readonly logPdf: (x: number) => number; readonly logCdf: (x: number) => number; readonly logSurvivalFunction: (x: number) => number; }
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+ - `const SOBOL_MAX_DIMENSIONS`: 1111
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+ - `const studentT`: { readonly pdf: (x: number, degreesOfFreedom: number) => number; readonly cdf: (x: number, degreesOfFreedom: number) => number; readonly survivalFunction: (x: number, degreesOfFreedom: number) => number; readonly inverseCdf: (probability: number, degreesOfFreedom: number) => number; }
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+ - `function acf`: (series: number[], maxLag: number) => number[]
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+ - `function adaptiveSimpson`: (integrand: ScalarFunction, lowerBound: number, upperBound: number, options?: AdaptiveSimpsonOptions) => number
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+ - `function adaptiveSimpsonSafe`: (integrand: ScalarFunction, lowerBound: number, upperBound: number, options?: AdaptiveSimpsonOptions) => AdaptiveSimpsonResult
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+ - `function antitheticSampler`: (payoff: (normals: number[]) => number, dimensions: number) => (randomNumberGenerator: RandomNumberGenerator) => number
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+ - `function augmentedDickeyFullerTest`: (series: number[], options?: AugmentedDickeyFullerOptions) => TestResult
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+ - `function bfgs`: (objective: MultivariateFunction, start: number[], options?: MultiMinOptions) => MultiMinResult
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+ - `function bicubicInterp`: (xs: ArrayLike<number>, ys: ArrayLike<number>, z: number[][], x: number, y: number) => number
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+ - `function bilinearInterp`: (xs: ArrayLike<number>, ys: ArrayLike<number>, z: number[][], x: number, y: number) => number
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+ - `function bisection`: (objective: ScalarFunction, a0: number, b0: number, options?: SolverOptions) => SolverResult
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+ - `function bivariateNormalCdf`: (a: number, b: number, rho: number) => number
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+ - `function bootstrap`: (data: ArrayLike<number>, statistic: (sample: number[]) => number, options: BootstrapOptions) => BootstrapResult
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+ - `function bracketExpand`: (objective: ScalarFunction, a0: number, b0: number, options?: BracketExpandOptions) => Bracket
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+ - `function brent`: (objective: ScalarFunction, a0: number, b0: number, options?: SolverOptions) => SolverResult
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+ - `function brentMin`: (objective: ScalarFunction, a0: number, b0: number, options?: MinOptions) => MinResult
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+ - `function brownianBridge`: (normals: ArrayLike<number>, stepSize: number) => number[]
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+ - `function cholesky`: (matrix: Matrix) => Matrix
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+ - `function choleskySolve`: (L: Matrix, b: number[]) => number[]
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+ - `function controlVariateEstimate`: (samples: ArrayLike<number>, controls: ArrayLike<number>, controlMean: number) => number
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+ - `function correlatedNormalSampler`: (covarianceOrCorrelation: Matrix) => (randomNumberGenerator: RandomNumberGenerator) => number[]
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+ - `function correlation`: (xs: ArrayLike<number>, ys: ArrayLike<number>, options?: StatisticsOptions) => number
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+ - `function covariance`: (xs: ArrayLike<number>, ys: ArrayLike<number>, options?: VarianceOptions) => number
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+ - `function covarianceMatrix`: (series: number[][], options?: PopulationOptions) => Matrix
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+ - `function determinant`: (matrix: Matrix) => number
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+ - `function differentialEvolution`: (objective: MultivariateFunction, bounds: ReadonlyArray<readonly [number, number]>, options?: DifferentialEvolutionOptions) => MultiMinResult
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+ - `function eigen`: (matrix: Matrix) => GeneralEigenResult
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+ - `function eigenvalues`: (matrix: Matrix) => Complex[]
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+ - `function engleGranger`: (dependent: number[], independent: number[]) => EngleGrangerResult
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+ - `function estimateCovariance`: (series: number[][], options?: EstimateCovarianceOptions) => CovarianceEstimate
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+ - `function findRoot`: (objective: ScalarFunction, lowerBound: number, upperBound: number, options?: SolverOptions) => SolverResult
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+ - `function gaussLegendre`: (integrand: ScalarFunction, lowerBound: number, upperBound: number, nodeCount?: number) => number
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+ - `function gaussLegendreNodes`: (nodeCount: number) => Quadrature
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+ - `function goldenSectionMin`: (objective: ScalarFunction, lowerBound: number, upperBound: number, options?: MinOptions) => MinResult
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+ - `function halley`: (objective: FunctionWithDerivatives, x0: number, options?: SolverOptions) => SolverResult
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+ - `function haltonPoint`: (index: number, dimensions: number) => number[]
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+ - `function haltonSequence`: (count: number, dimensions: number, options?: { start?: number; }) => number[][]
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+ - `function householder`: (objective: FunctionWithDerivatives, x0: number, options?: SolverOptions) => SolverResult
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+ - `function hurstExponent`: (series: number[]) => number
50
+ - `function identity`: (size: number) => Matrix
51
+ - `function jacobiEigen`: (input: Matrix, options?: { maximumIterations?: number; tolerance?: number; }) => EigenResult
52
+ - `function kalmanFilter`: (model: KalmanModel, observations: KalmanObservation[]) => KalmanFilterResult
53
+ - `function kalmanLogLikelihood`: (model: KalmanModel, observations: KalmanObservation[]) => number
54
+ - `function kalmanSmooth`: (model: KalmanModel, observations: KalmanObservation[]) => KalmanSmoothResult
55
+ - `function kpssTest`: (series: number[], options?: KpssOptions) => TestResult
56
+ - `function kurtosis`: (xs: ArrayLike<number>, options?: KurtosisOptions) => number
57
+ - `function ledoitWolfShrinkage`: (series: number[][], options?: LedoitWolfOptions) => LedoitWolfResult
58
+ - `function levenbergMarquardt`: (residuals: (p: number[]) => number[], p0: number[], options?: LMOptions) => LevenbergMarquardtResult
59
+ - `function lgamma`: (x: number) => number
60
+ - `function linearInterp`: (xs: ArrayLike<number>, ys: ArrayLike<number>, x: number, options?: InterpolateOptions) => number
61
+ - `function ljungBox`: (series: number[], lags: number, options?: LjungBoxOptions) => TestResult
62
+ - `function luDecompose`: (matrix: Matrix) => LuResult
63
+ - `function luSolve`: (result: LuResult, b: number[]) => number[]
64
+ - `function makeBicubicInterpolator`: (xs: ArrayLike<number>, ys: ArrayLike<number>, z: number[][]) => (x: number, y: number) => number
65
+ - `function makeLinearInterpolator`: (xs: ArrayLike<number>, ys: ArrayLike<number>, options?: InterpolateOptions & AxisOptions) => (x: number) => number
66
+ - `function makeNaturalCubicSpline`: (xs: ArrayLike<number>, ys: ArrayLike<number>, options?: AxisOptions) => (x: number) => number
67
+ - `function makePchipInterpolator`: (xs: ArrayLike<number>, ys: ArrayLike<number>, options?: AxisOptions) => (x: number) => number
68
+ - `function matrixMultiply`: (left: Matrix, right: Matrix) => Matrix
69
+ - `function matrixVectorProduct`: (matrix: Matrix, vector: number[]) => number[]
70
+ - `function max`: (xs: ArrayLike<number>, options?: StatisticsOptions) => number
71
+ - `function mean`: (xs: ArrayLike<number>, options?: StatisticsOptions) => number
72
+ - `function median`: (xs: ArrayLike<number>, options?: StatisticsOptions) => number
73
+ - `function medianAbsoluteDeviation`: (xs: ArrayLike<number>, options?: MedianAbsoluteDeviationOptions) => number
74
+ - `function min`: (xs: ArrayLike<number>, options?: StatisticsOptions) => number
75
+ - `function monteCarlo`: (sampler: (randomNumberGenerator: RandomNumberGenerator) => number, options: MonteCarloOptions) => MonteCarloResult
76
+ - `function mulberry32`: (seed: number) => RandomNumberGenerator
77
+ - `function nearestCorrelation`: (matrix: Matrix) => Matrix
78
+ - `function nearestPsd`: (matrix: Matrix) => Matrix
79
+ - `function nelderMead`: (objective: MultivariateFunction, start: number[], options?: MultiMinOptions) => MultiMinResult
80
+ - `function newton`: (objective: FunctionWithDerivatives, x0: number, options?: SolverOptions) => SolverResult
81
+ - `function normalCdf`: (x: number) => number
82
+ - `function normalInverseCdf`: (probability: number) => number
83
+ - `function normalLogCdf`: (x: number) => number
84
+ - `function normalLogPdf`: (x: number) => number
85
+ - `function normalLogSurvivalFunction`: (x: number) => number
86
+ - `function normalPdf`: (x: number) => number
87
+ - `function normalSample`: (randomNumberGenerator: RandomNumberGenerator, mu?: number, sigma?: number) => number
88
+ - `function normalSurvivalFunction`: (x: number) => number
89
+ - `function ols`: (response: number[], design: number[][], options?: OlsOptions) => OlsResult
90
+ - `function ouHalfLife`: (series: number[]) => number
91
+ - `function pacf`: (series: number[], maxLag: number) => number[]
92
+ - `function pseudoInverse`: (matrix: Matrix, options?: { rcond?: number; }) => Matrix
93
+ - `function qrDecompose`: (matrix: Matrix) => QrResult
94
+ - `function qrSolve`: (matrix: Matrix, b: number[], options?: { rcond?: number; }) => number[]
95
+ - `function quantile`: (xs: ArrayLike<number>, probability: number, options?: StatisticsOptions) => number
96
+ - `function regularizedBeta`: (a: number, b: number, x: number) => number
97
+ - `function regularizedGammaP`: (a: number, x: number) => number
98
+ - `function restoreRandomNumberGenerator`: (snapshot: RandomNumberGeneratorState) => RandomNumberGenerator
99
+ - `function ridder`: (objective: ScalarFunction, a0: number, b0: number, options?: SolverOptions) => SolverResult
100
+ - `function rollingCorrelation`: (xs: ArrayLike<number>, ys: ArrayLike<number>, window: number) => number[]
101
+ - `function rollingCovariance`: (xs: ArrayLike<number>, ys: ArrayLike<number>, window: number, options?: PopulationOptions) => number[]
102
+ - `function rollingMean`: (xs: ArrayLike<number>, window: number) => number[]
103
+ - `function rollingStandardDeviation`: (xs: ArrayLike<number>, window: number, options?: PopulationOptions) => number[]
104
+ - `function secant`: (objective: ScalarFunction, x0: number, x1: number, options?: SolverOptions) => SolverResult
105
+ - `function skewness`: (xs: ArrayLike<number>, options?: StatisticsOptions) => number
106
+ - `function sobolSequence`: (count: number, dimensions: number) => number[][]
107
+ - `function solveAll`: (problems: RootProblem[], options?: SolverOptions) => SolverResult[]
108
+ - `function standardDeviation`: (xs: ArrayLike<number>, options?: VarianceOptions) => number
109
+ - `function stratifiedUniforms`: (randomNumberGenerator: RandomNumberGenerator, count: number) => number[]
110
+ - `function sum`: (xs: ArrayLike<number>, options?: StatisticsOptions) => number
111
+ - `function svd`: (matrix: Matrix, options?: { maxSweeps?: number; tolerance?: number; }) => SvdResult
112
+ - `function transpose`: (matrix: Matrix) => Matrix
113
+ - `function trimmedMean`: (xs: ArrayLike<number>, options?: TrimmedMeanOptions) => number
114
+ - `function uniformSamples`: (randomNumberGenerator: RandomNumberGenerator, count: number) => Float64Array
115
+ - `function validateInterpolationData`: (xs: ArrayLike<number>, ys: ArrayLike<number>, options?: AxisOptions) => { xs: number[]; ys: number[]; }
116
+ - `function variance`: (xs: ArrayLike<number>, options?: VarianceOptions) => number
117
+ - `function welfordVariance`: (xs: ArrayLike<number>, options?: VarianceOptions) => number
118
+ - `function winsorize`: (xs: ArrayLike<number>, options?: WinsorizeOptions) => number[]
119
+ - `function xoshiro128ss`: (seed: number) => RandomNumberGenerator
120
+ - `interface AdaptiveSimpsonOptions`: AdaptiveSimpsonOptions
121
+ - `interface AdaptiveSimpsonResult`: AdaptiveSimpsonResult
122
+ - `interface AugmentedDickeyFullerOptions`: AugmentedDickeyFullerOptions
123
+ - `interface AxisOptions`: AxisOptions
124
+ - `interface BootstrapOptions`: BootstrapOptions
125
+ - `interface BootstrapResult`: BootstrapResult
126
+ - `interface Bracket`: Bracket
127
+ - `interface BracketExpandOptions`: BracketExpandOptions
128
+ - `interface Complex`: Complex
129
+ - `interface CovarianceEstimate`: CovarianceEstimate
130
+ - `interface Derivatives`: Derivatives
131
+ - `interface DifferentialEvolutionOptions`: DifferentialEvolutionOptions
132
+ - `interface EigenResult`: EigenResult
133
+ - `interface EngleGrangerResult`: EngleGrangerResult
134
+ - `interface EstimateCovarianceOptions`: EstimateCovarianceOptions
135
+ - `interface GeneralEigenResult`: GeneralEigenResult
136
+ - `interface InterpolateOptions`: InterpolateOptions
137
+ - `interface KalmanFilterResult`: KalmanFilterResult
138
+ - `interface KalmanModel`: KalmanModel
139
+ - `interface KalmanSmoothResult`: KalmanSmoothResult
140
+ - `interface KpssOptions`: KpssOptions
141
+ - `interface KurtosisOptions`: KurtosisOptions
142
+ - `interface LedoitWolfOptions`: LedoitWolfOptions
143
+ - `interface LedoitWolfResult`: LedoitWolfResult
144
+ - `interface LevenbergMarquardtResult`: LevenbergMarquardtResult
145
+ - `interface LjungBoxOptions`: LjungBoxOptions
146
+ - `interface LMOptions`: LMOptions
147
+ - `interface LuResult`: LuResult
148
+ - `interface MedianAbsoluteDeviationOptions`: MedianAbsoluteDeviationOptions
149
+ - `interface MinOptions`: MinOptions
150
+ - `interface MinResult`: MinResult
151
+ - `interface MonteCarloOptions`: MonteCarloOptions
152
+ - `interface MonteCarloResult`: MonteCarloResult
153
+ - `interface MultiMinOptions`: MultiMinOptions
154
+ - `interface MultiMinResult`: MultiMinResult
155
+ - `interface OlsHacOptions`: OlsHacOptions
156
+ - `interface OlsOptions`: OlsOptions
157
+ - `interface OlsResult`: OlsResult
158
+ - `interface PopulationOptions`: PopulationOptions
159
+ - `interface QrResult`: QrResult
160
+ - `interface RandomNumberGenerator`: RandomNumberGenerator
161
+ - `interface RootProblem`: RootProblem
162
+ - `interface SolverOptions`: SolverOptions
163
+ - `interface SolverResult`: SolverResult
164
+ - `interface StatisticsOptions`: StatisticsOptions
165
+ - `interface SvdResult`: SvdResult
166
+ - `interface TestResult`: TestResult
167
+ - `interface VarianceOptions`: VarianceOptions
168
+ - `interface WinsorizeOptions`: WinsorizeOptions
169
+ - `type CovarianceMethod`: CovarianceMethod
170
+ - `type ExtrapolationPolicy`: ExtrapolationPolicy
171
+ - `type FunctionWithDerivatives`: FunctionWithDerivatives
172
+ - `type KalmanObservation`: KalmanObservation
173
+ - `type Matrix`: Matrix
174
+ - `type MultivariateFunction`: MultivariateFunction
175
+ - `type NanPolicy`: NanPolicy
176
+ - `type RandomNumberGeneratorState`: RandomNumberGeneratorState
177
+ - `type ScalarFunction`: ScalarFunction
178
+ - `type SolverFailureReason`: SolverFailureReason
package/modules/math/src/bivariate.ts ADDED
@@ -0,0 +1,124 @@
1
+ /**
2
+ * Cumulative bivariate normal distribution.
3
+ *
4
+ * `bivariateNormalCdf(a, b, rho)` returns P(X ≤ a, Y ≤ b) for a standard bivariate normal (X, Y)
5
+ * with correlation `rho`. This is the kernel behind the Bjerksund–Stensland (2002) American
6
+ * approximation, spread/exchange options, and any two-asset payoff.
7
+ *
8
+ * The implementation is Alan Genz's `BVU` routine (the standard high-accuracy method, ~1e-15),
9
+ * which switches between a direct Gauss–Legendre integration of the bivariate density and a
10
+ * near-singular expansion as |ρ| → 1. Node/weight order scales with |ρ|.
11
+ */
12
+
13
+ import { normalCdf } from './normal.js';
14
+
15
+ const TWO_PI = 2 * Math.PI;
16
+
17
+ // Gauss–Legendre nodes/weights (positive halves; the routine mirrors them). 6-, 12-, 20-point sets.
18
+ const GL6_X = [0.9324695142031522, 0.6612093864662647, 0.238619186083197] as const;
19
+ const GL6_W = [0.1713244923791705, 0.3607615730481384, 0.4679139345726904] as const;
20
+
21
+ const GL12_X = [
22
+ 0.9815606342467191, 0.904117256370475, 0.769902674194305, 0.5873179542866175, 0.3678314989981802,
23
+ 0.1252334085114692,
24
+ ] as const;
25
+ const GL12_W = [
26
+ 0.04717533638651177, 0.1069393259953183, 0.1600783285433464, 0.2031674267230659,
27
+ 0.2334925365383547, 0.2491470458134029,
28
+ ] as const;
29
+
30
+ const GL20_X = [
31
+ 0.9931285991850949, 0.9639719272779138, 0.9122344282513259, 0.8391169718222188,
32
+ 0.7463319064601508, 0.636053680726515, 0.5108670019508271, 0.3737060887154196, 0.2277858511416451,
33
+ 0.07652652113349733,
34
+ ] as const;
35
+ const GL20_W = [
36
+ 0.01761400713915212, 0.04060142980038694, 0.06267204833410906, 0.08327674157670475,
37
+ 0.1019301198172404, 0.1181945319615184, 0.1316886384491766, 0.1420961093183821,
38
+ 0.1491729864726037, 0.1527533871307259,
39
+ ] as const;
40
+
41
+ function nodesFor(absR: number): { x: readonly number[]; w: readonly number[] } {
42
+ if (absR < 0.3) return { x: GL6_X, w: GL6_W };
43
+ if (absR < 0.75) return { x: GL12_X, w: GL12_W };
44
+ return { x: GL20_X, w: GL20_W };
45
+ }
46
+
47
+ /** Genz BVU: P(X > sh, Y > sk) for standard bivariate normal with correlation `r`. */
48
+ function bvu(sh: number, sk: number, r: number): number {
49
+ const h = sh;
50
+ let k = sk;
51
+ let hk = h * k;
52
+ let bvn = 0;
53
+ const { x, w } = nodesFor(Math.abs(r));
54
+
55
+ if (Math.abs(r) < 0.925) {
56
+ const hs = (h * h + k * k) / 2;
57
+ const asr = Math.asin(r);
58
+ for (let i = 0; i < x.length; i++) {
59
+ for (let is = -1; is <= 1; is += 2) {
60
+ const sn = Math.sin((asr * (is * x[i]! + 1)) / 2);
61
+ bvn += w[i]! * Math.exp((sn * hk - hs) / (1 - sn * sn));
62
+ }
63
+ }
64
+ bvn = (bvn * asr) / (2 * TWO_PI) + normalCdf(-h) * normalCdf(-k);
65
+ return bvn;
66
+ }
67
+
68
+ if (r < 0) {
69
+ k = -k;
70
+ hk = -hk;
71
+ }
72
+ if (Math.abs(r) < 1) {
73
+ const as = (1 - r) * (1 + r);
74
+ let a = Math.sqrt(as);
75
+ const bs = (h - k) ** 2;
76
+ const c = (4 - hk) / 8;
77
+ const d = (12 - hk) / 16;
78
+ let asr = -(bs / as + hk) / 2;
79
+ if (asr > -100) {
80
+ bvn =
81
+ a * Math.exp(asr) * (1 - (c * (bs - as) * (1 - (d * bs) / 5)) / 3 + (c * d * as * as) / 5);
82
+ }
83
+ if (-hk < 100) {
84
+ const b = Math.sqrt(bs);
85
+ bvn -=
86
+ Math.exp(-hk / 2) *
87
+ Math.sqrt(TWO_PI) *
88
+ normalCdf(-b / a) *
89
+ b *
90
+ (1 - (c * bs * (1 - (d * bs) / 5)) / 3);
91
+ }
92
+ a /= 2;
93
+ for (let i = 0; i < x.length; i++) {
94
+ for (let is = -1; is <= 1; is += 2) {
95
+ const xs = (a * (is * x[i]! + 1)) ** 2;
96
+ const rs = Math.sqrt(1 - xs);
97
+ asr = -(bs / xs + hk) / 2;
98
+ if (asr > -100) {
99
+ const sp = 1 + c * xs * (1 + d * xs);
100
+ const ep = Math.exp((-hk * xs) / (2 * (1 + rs) ** 2)) / rs;
101
+ bvn += a * w[i]! * Math.exp(asr) * (ep - sp);
102
+ }
103
+ }
104
+ }
105
+ bvn = -bvn / TWO_PI;
106
+ }
107
+ if (r > 0) return bvn + normalCdf(-Math.max(h, k));
108
+ return -bvn + Math.max(0, normalCdf(-h) - normalCdf(-k));
109
+ }
110
+
111
+ /**
112
+ * Cumulative bivariate normal: P(X ≤ a, Y ≤ b) where (X, Y) is standard bivariate normal with
113
+ * correlation `rho ∈ [-1, 1]`. Returns `NaN` if any argument is `NaN` or `|rho| > 1`.
114
+ */
115
+ export function bivariateNormalCdf(a: number, b: number, rho: number): number {
116
+ if (Number.isNaN(a) || Number.isNaN(b) || Number.isNaN(rho) || Math.abs(rho) > 1) return NaN;
117
+ if (a === Infinity) return normalCdf(b);
118
+ if (b === Infinity) return normalCdf(a);
119
+ if (a === -Infinity || b === -Infinity) return 0;
120
+ if (rho === 0) return normalCdf(a) * normalCdf(b);
121
+ // P(X ≤ a, Y ≤ b) = P(-X ≥ -a, -Y ≥ -b); (-X, -Y) keeps correlation rho.
122
+ const p = bvu(-a, -b, rho);
123
+ return p < 0 ? 0 : p > 1 ? 1 : p;
124
+ }