@insiderfinance/totalfinance 0.1.0

package/modules/options/dist/black76.js

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+/**
+ * `@insiderfinance/totalfinance/options/black76` — the Black-76 model for options on forwards/futures (spec §9.3).
+ *
+ * Black-76 prices an option on a forward price `F` with discounting at rate `r`. Greeks are taken
+ * with respect to the forward. Like the BSM facade, each function returns a plain value and throws on
+ * failure; `.explain()` returns the rich envelope.
+ */
+import { ErrorCode, ensureEnum, ensureFinite, ensurePositive, plausibilityWarnings, requireArgumentObject, requireFiniteFields, finiteOrNull, ensureKnownKeys, } from '../../core/dist/index.js';
+import { brent, normalCdf, normalPdf } from '../../math/dist/index.js';
+import { blackScholesExtendedGreeks, impliedVolatilityPriceTolerance, priceBoundSlack, } from './bsm.js';
+import { withLambdaDisclosure, analyticAssumptions, facade, impliedVolatilityFacadePair, } from './facade-util.js';
+const MODEL = 'black-76';
+const DAYS_PER_YEAR = 365;
+const OPTION_TYPES = ['call', 'put'];
+function d1d2({ forward: F, strike: K, timeToExpiryYears: T, volatility: sigma, }) {
+    const sqrtT = Math.sqrt(T);
+    const d1 = (Math.log(F / K) + 0.5 * sigma * sigma * T) / (sigma * sqrtT);
+    return { d1, d2: d1 - sigma * sqrtT, sqrtT };
+}
+/** The numeric fields of a Black-76 request, with a pasteable example for each. */
+const BLACK76_FIELDS = [
+    'forward',
+    'strike',
+    'timeToExpiryYears',
+    'riskFreeRate',
+    'volatility',
+];
+/** Law 12 allowlist. */
+const BLACK76_KEYS = ['type', ...BLACK76_FIELDS];
+const BLACK76_EXAMPLE_CALL = "black76Price({ type: 'call', forward: 100, strike: 105, timeToExpiryYears: 0.25, " +
+    'riskFreeRate: 0.04, volatility: 0.2 })';
+/** The solver's own required legs: the market plus the target `price` it inverts. */
+const B76_IV_FIELDS = ['price', 'forward', 'strike', 'timeToExpiryYears', 'riskFreeRate'];
+const B76_IV_EXAMPLE_CALL = "black76ImpliedVolatility({ type: 'call', price: 2.4, forward: 100, strike: 105, " +
+    'timeToExpiryYears: 0.25, riskFreeRate: 0.04 })';
+const BLACK76_HINTS = {
+    forward: 'the forward/futures price, not spot',
+    volatility: 'annualized decimal, not 20',
+    riskFreeRate: 'annualized decimal',
+    timeToExpiryYears: 'in years — 0.25 is three months',
+};
+/**
+ * @internal File-private, unchecked. The implied-vol solver below evaluates this once per Brent
+ * iteration, and re-validating five fields on every bracket step buys nothing: the solver validates
+ * them once at its own boundary. File-private rather than exported because `./black76` is a public
+ * subpath, and an exported `…Unchecked` there would publish an unguarded pricer as API.
+ */
+function black76PriceUnchecked(input) {
+    const { type, forward: F, strike: K, timeToExpiryYears: T, riskFreeRate: r } = input;
+    const { d1, d2 } = d1d2(input);
+    const df = Math.exp(-r * T);
+    return type === 'call'
+        ? df * (F * normalCdf(d1) - K * normalCdf(d2))
+        : df * (K * normalCdf(-d2) - F * normalCdf(-d1));
+}
+/**
+ * Black-76 price.
+ *
+ * The second seed defect named in the spec, and the same shape as the first: omitting `volatility`
+ * made `sigma` `undefined`, `d1` `NaN`, and the returned price `NaN` — a success-typed wrong number.
+ */
+export function black76Price(input) {
+    requireArgumentObject('black76Price', 'input', input);
+    // `type` is a meaning-changing string: unvalidated garbage would silently price the other leg.
+    ensureEnum(input.type, OPTION_TYPES, 'type', 'black76Price');
+    ensureKnownKeys('black76Price', 'input', input, BLACK76_KEYS);
+    requireFiniteFields('black76Price', input, BLACK76_FIELDS, {
+        exampleCall: BLACK76_EXAMPLE_CALL,
+        hints: BLACK76_HINTS,
+    });
+    return black76PriceUnchecked(input);
+}
+/** Black-76 first-order Greeks (theta/day, vega/1%, rho/1%; delta/gamma w.r.t. the forward). */
+export function black76Greeks(input) {
+    requireArgumentObject('black76Greeks', 'input', input);
+    const { type, forward: F, timeToExpiryYears: T, riskFreeRate: r, volatility: sigma } = input;
+    ensureEnum(type, OPTION_TYPES, 'type', 'black76Greeks');
+    const { d1, sqrtT } = d1d2(input);
+    const df = Math.exp(-r * T);
+    const pdf = normalPdf(d1);
+    const price = black76Price(input);
+    const delta = type === 'call' ? df * normalCdf(d1) : -df * normalCdf(-d1);
+    const gamma = (df * pdf) / (F * sigma * sqrtT);
+    const vegaWhole = df * F * pdf * sqrtT;
+    const thetaYear = r * price - (df * F * pdf * sigma) / (2 * sqrtT);
+    const rhoWhole = -T * price;
+    return {
+        delta,
+        gamma,
+        theta: thetaYear / DAYS_PER_YEAR,
+        vega: vegaWhole / 100,
+        rho: rhoWhole / 100,
+    };
+}
+/**
+ * Black-76 higher-order Greeks (w.r.t. the forward `F`). The forward-price derivatives (vanna, charm,
+ * vomma, speed, color, zomma, veta, ultima) coincide with BSM's at `S = F`, `q = r` — Black-76 has the
+ * same `d1`/`d2` and discount as that BSM instance — so they are borrowed from {@link blackScholesExtendedGreeks};
+ * the forward-model-specific ones are computed directly:
+ *   - `vera` = ∂rho/∂σ = ∂(−T·price)/∂σ = −T·vega,
+ *   - `phi`  = 0 (the forward model has no dividend yield; carry is embedded in `F`),
+ *   - `lambda` = Δ·F/V.
+ * First-order fields (theta/rho) come from {@link black76Greeks}, which are the Black-76 conventions.
+ */
+export function black76ExtendedGreeks(input) {
+    requireArgumentObject('black76ExtendedGreeks', 'input', input);
+    const { type, forward: F, strike: K, timeToExpiryYears: T, riskFreeRate: r, volatility: sigma, } = input;
+    ensureEnum(type, OPTION_TYPES, 'type', 'black76ExtendedGreeks');
+    const first = black76Greeks(input);
+    const fwd = blackScholesExtendedGreeks({
+        type,
+        spot: F,
+        strike: K,
+        timeToExpiryYears: T,
+        riskFreeRate: r,
+        dividendYield: r,
+        volatility: sigma,
+    }); // S=F, q=r ⇒ identical forward derivatives
+    const { d1, sqrtT } = d1d2(input);
+    const vegaRaw = Math.exp(-r * T) * F * normalPdf(d1) * sqrtT; // per 1.00 σ
+    return {
+        ...first,
+        vanna: fwd.vanna,
+        charm: fwd.charm,
+        vomma: fwd.vomma,
+        speed: fwd.speed,
+        color: fwd.color,
+        zomma: fwd.zomma,
+        veta: fwd.veta,
+        ultima: fwd.ultima,
+        vera: -T * vegaRaw, // ∂rho/∂σ, since Black-76 rho = −T·price
+        phi: 0, // no dividend yield in the forward model
+        lambda: finiteOrNull((first.delta * F) / black76Price(input)), // Δ·F/V; null at V=0
+    };
+}
+/** No-arbitrage price bounds for Black-76. */
+export function black76PriceBounds(input) {
+    requireArgumentObject('black76PriceBounds', 'input', input);
+    // The same field ladder blackScholesPriceBounds runs; key closure deliberately absent —
+    // bound kernels are consumed compositionally with wider structurally-typed inputs.
+    requireFiniteFields('black76PriceBounds', input, ['forward', 'strike', 'timeToExpiryYears', 'riskFreeRate'], {
+        exampleCall: "black76PriceBounds({ type: 'call', forward: 100, strike: 105, timeToExpiryYears: 0.25, riskFreeRate: 0.04 })",
+    });
+    const { type, forward: F, strike: K, timeToExpiryYears: T, riskFreeRate: r } = input;
+    ensureEnum(type, OPTION_TYPES, 'type', 'black76PriceBounds');
+    const df = Math.exp(-r * T);
+    return type === 'call'
+        ? { lower: Math.max(0, df * (F - K)), upper: df * F }
+        : { lower: Math.max(0, df * (K - F)), upper: df * K };
+}
+/**
+ * Solve Black-76 implied volatility. Reports failure honestly; never fabricates a value. Bounds and
+ * endpoint acceptance follow the same RELATIVE-tolerance rules as the BSM kernel (see
+ * {@link impliedVolatilityPriceTolerance}): a target below the σ→0 price floor fails as
+ * `price_below_resolvable`, and a target at the σ→∞ upper bound as `above_max_bound`.
+ */
+export function black76ImpliedVolatility(input) {
+    requireArgumentObject('black76ImpliedVolatility', 'input', input);
+    ensureEnum(input.type, OPTION_TYPES, 'type', 'black76ImpliedVolatility');
+    /**
+     * ONCE, BEFORE the bounds and the objective — the precondition the unchecked kernel below relies on.
+     *
+     * RV1 routed the Brent objective to `black76PriceUnchecked` and left a comment claiming the solver
+     * "validated its own legs at the boundary". It did not: only the container and the enum were
+     * checked. So `forward: "100"` reached the arithmetic through string coercion and the solver
+     * returned `converged: true` with a plausible-looking 0.2197 — a silently wrong number reported as
+     * a successful solve, which is the exact defect class this phase exists to kill. Omitting `strike`
+     * came back as `max_iterations`, blaming the solver for a missing field.
+     *
+     * The bounds are computed from these fields too, so validation has to precede them, not just the
+     * objective.
+     */
+    ensureKnownKeys('black76ImpliedVolatility', 'input', input, B76_IV_KEYS);
+    requireFiniteFields('black76ImpliedVolatility', input, B76_IV_FIELDS, {
+        exampleCall: B76_IV_EXAMPLE_CALL,
+        hints: BLACK76_HINTS,
+    });
+    const { type, price, forward: F, strike: K, timeToExpiryYears: T, riskFreeRate: r } = input;
+    const { lower, upper } = black76PriceBounds(input);
+    if (price < lower - priceBoundSlack(lower))
+        return { value: NaN, converged: false, iterations: 0, reason: 'below_intrinsic' };
+    // `df·F` / `df·K` is the σ→∞ supremum, never attained — a price at it is matched by every large
+    // σ, so no single σ may be reported (defect-fix wave, finding 8).
+    if (price >= upper - priceBoundSlack(upper))
+        return { value: NaN, converged: false, iterations: 0, reason: 'above_max_bound' };
+    // Unchecked: the solver validated its own legs at the boundary; this runs per Brent iteration.
+    const f = (sigma) => black76PriceUnchecked({
+        type,
+        forward: F,
+        strike: K,
+        timeToExpiryYears: T,
+        riskFreeRate: r,
+        volatility: sigma,
+    }) - price;
+    const lo = 1e-7;
+    let hi = 5;
+    const ptol = impliedVolatilityPriceTolerance(price);
+    const flo = f(lo);
+    if (Math.abs(flo) <= ptol)
+        return { value: lo, converged: true, iterations: 0 };
+    // Target below the model price at the lowest representable σ ⇒ no σ ≥ lo reproduces it.
+    if (flo > 0)
+        return { value: NaN, converged: false, iterations: 0, reason: 'price_below_resolvable' };
+    let fhi = f(hi);
+    let exp = 0;
+    while (fhi < 0 && exp < 12) {
+        hi *= 2;
+        fhi = f(hi);
+        exp++;
+    }
+    if (Math.abs(fhi) <= ptol)
+        return { value: hi, converged: true, iterations: 0 };
+    if (fhi < 0)
+        return { value: NaN, converged: false, iterations: 0, reason: 'no_bracket' };
+    const res = brent(f, lo, hi, { tolerance: 1e-12, maximumIterations: 100 });
+    return res.converged
+        ? { value: res.value, converged: true, iterations: res.iterations }
+        : { value: NaN, converged: false, iterations: res.iterations, reason: 'max_iterations' };
+}
+// ---- facade ----
+const B76_KEYS = ['forward', 'strike', 'timeToExpiryYears', 'riskFreeRate', 'volatility'];
+const B76_TYPED_KEYS = [...B76_KEYS, 'type'];
+/**
+ * A SOLVER does not accept the quantity it solves for.
+ *
+ * This list used to be `[...B76_TYPED_KEYS, 'price']`, which inherited `volatility` from the PRICING
+ * contract — so `black76ImpliedVolatility({ ...priced, volatility: 0.2 })` was accepted and the
+ * volatility silently ignored. A caller who passes it has made a conceptual error (they think they
+ * are pricing), and Law 12 exists to say so rather than return a number that answers a different
+ * question. Written out rather than derived, because the derivation is what introduced the bug.
+ */
+const B76_IV_KEYS = [
+    'type',
+    'price',
+    'forward',
+    'strike',
+    'timeToExpiryYears',
+    'riskFreeRate',
+];
+function validate(input, functionName) {
+    // Law 12 — the untyped facades (black76.call/put) own the convention; `type` is unknown here.
+    ensureKnownKeys(functionName, 'input', input, B76_KEYS);
+    ensurePositive(input.forward, 'forward', functionName);
+    ensurePositive(input.strike, 'strike', functionName, ErrorCode.InputNegativeStrike);
+    ensurePositive(input.timeToExpiryYears, 'timeToExpiryYears', functionName, ErrorCode.InputNegativeTime);
+    ensurePositive(input.volatility, 'volatility', functionName, ErrorCode.InputNegativeVolatility);
+    ensureFinite(input.riskFreeRate, 'riskFreeRate', functionName);
+}
+function validateTyped(input, functionName) {
+    ensureKnownKeys(functionName, 'input', input, B76_TYPED_KEYS);
+    // `type: 'Call'` must teach, not silently price the other leg (design law #4).
+    ensureEnum(input.type, OPTION_TYPES, 'type', functionName);
+    const { type: _type, ...rest } = input;
+    ensurePositive(rest.forward, 'forward', functionName);
+    ensurePositive(rest.strike, 'strike', functionName, ErrorCode.InputNegativeStrike);
+    ensurePositive(rest.timeToExpiryYears, 'timeToExpiryYears', functionName, ErrorCode.InputNegativeTime);
+    ensurePositive(rest.volatility, 'volatility', functionName, ErrorCode.InputNegativeVolatility);
+    ensureFinite(rest.riskFreeRate, 'riskFreeRate', functionName);
+}
+function assumptions(t) {
+    return analyticAssumptions({ model: MODEL, timeToExpiryYears: t });
+}
+function closedForm(input) {
+    // Black-76 vol is a lognormal decimal like BSM's, so `.explain()` surfaces the same unit footguns
+    // (vol as percent, t as day count) — the plain-value path stays silent-and-correct.
+    return {
+        engine: MODEL,
+        method: 'closed-form',
+        converged: true,
+        warnings: input ? plausibilityWarnings(input) : [],
+    };
+}
+function priceTyped(input, functionName) {
+    validateTyped(input, functionName);
+    return black76Price(input);
+}
+// Wrapper construction is side-effect-free; expert imports must not retain unused facades.
+const call = /* @__PURE__ */ facade('black76.call', (i) => (validate(i, 'black76.call'),
+    priceTyped({ ...i, type: 'call' }, 'black76.call')), (i) => (validate(i, 'black76.call'),
+    {
+        value: priceTyped({ ...i, type: 'call' }, 'black76.call'),
+        assumptions: assumptions(i.timeToExpiryYears),
+        diagnostics: closedForm({
+            volatility: i.volatility,
+            timeToExpiryYears: i.timeToExpiryYears,
+            riskFreeRate: i.riskFreeRate,
+        }),
+    }));
+const put = /* @__PURE__ */ facade('black76.put', (i) => (validate(i, 'black76.put'),
+    priceTyped({ ...i, type: 'put' }, 'black76.put')), (i) => (validate(i, 'black76.put'),
+    {
+        value: priceTyped({ ...i, type: 'put' }, 'black76.put'),
+        assumptions: assumptions(i.timeToExpiryYears),
+        diagnostics: closedForm({
+            volatility: i.volatility,
+            timeToExpiryYears: i.timeToExpiryYears,
+            riskFreeRate: i.riskFreeRate,
+        }),
+    }));
+const price = /* @__PURE__ */ facade('black76.price', (i) => priceTyped(i, 'black76.price'), (i) => ({
+    value: priceTyped(i, 'black76.price'),
+    assumptions: assumptions(i.timeToExpiryYears),
+    diagnostics: closedForm({
+        volatility: i.volatility,
+        timeToExpiryYears: i.timeToExpiryYears,
+        riskFreeRate: i.riskFreeRate,
+    }),
+}));
+const greeks = /* @__PURE__ */ facade('black76.greeks', (i) => {
+    validateTyped(i, 'black76.greeks');
+    return black76Greeks(i);
+}, (i) => {
+    validateTyped(i, 'black76.greeks');
+    return {
+        value: black76Greeks(i),
+        assumptions: assumptions(i.timeToExpiryYears),
+        diagnostics: closedForm({
+            volatility: i.volatility,
+            timeToExpiryYears: i.timeToExpiryYears,
+            riskFreeRate: i.riskFreeRate,
+        }),
+    };
+});
+const extendedGreeks = /* @__PURE__ */ facade('black76.extendedGreeks', (i) => {
+    validateTyped(i, 'black76.extendedGreeks');
+    return black76ExtendedGreeks(i);
+}, (i) => {
+    validateTyped(i, 'black76.extendedGreeks');
+    const value = black76ExtendedGreeks(i);
+    return {
+        value,
+        assumptions: assumptions(i.timeToExpiryYears),
+        diagnostics: withLambdaDisclosure(closedForm({
+            volatility: i.volatility,
+            timeToExpiryYears: i.timeToExpiryYears,
+            riskFreeRate: i.riskFreeRate,
+        }), value),
+    };
+});
+function impliedVolatilityExplain(i) {
+    // Law 12 at the SHARED entry, so the plain facade and `.explain()` reject identically.
+    ensureKnownKeys('black76.impliedVolatility', 'input', i, B76_IV_KEYS);
+    ensureEnum(i.type, OPTION_TYPES, 'type', 'black76.impliedVolatility');
+    ensurePositive(i.price, 'price', 'black76.impliedVolatility');
+    ensurePositive(i.forward, 'forward', 'black76.impliedVolatility');
+    ensurePositive(i.strike, 'strike', 'black76.impliedVolatility', ErrorCode.InputNegativeStrike);
+    ensurePositive(i.timeToExpiryYears, 'timeToExpiryYears', 'black76.impliedVolatility', ErrorCode.InputNegativeTime);
+    ensureFinite(i.riskFreeRate, 'riskFreeRate', 'black76.impliedVolatility');
+    const res = black76ImpliedVolatility(i);
+    const a = assumptions(i.timeToExpiryYears);
+    // No vol input here, but the day-count-as-year-fraction footgun on `t` still deserves a flag.
+    const suspicious = plausibilityWarnings({
+        timeToExpiryYears: i.timeToExpiryYears,
+        riskFreeRate: i.riskFreeRate,
+    });
+    if (res.converged) {
+        return {
+            value: res.value,
+            assumptions: a,
+            diagnostics: {
+                engine: MODEL,
+                method: 'brent',
+                converged: true,
+                iterations: res.iterations,
+                warnings: suspicious,
+            },
+        };
+    }
+    const code = res.reason === 'below_intrinsic'
+        ? ErrorCode.ImpliedVolatilityBelowIntrinsic
+        : res.reason === 'above_max_bound'
+            ? ErrorCode.ImpliedVolatilityAboveMax
+            : res.reason === 'price_below_resolvable'
+                ? ErrorCode.ImpliedVolatilityPriceBelowResolvable
+                : ErrorCode.ImpliedVolatilityNoConvergence;
+    return {
+        value: null,
+        assumptions: a,
+        diagnostics: {
+            engine: MODEL,
+            method: 'brent',
+            converged: false,
+            iterations: res.iterations,
+            warnings: [
+                { code, message: `Black-76 implied vol failed (${res.reason})`, severity: 'error' },
+                ...suspicious,
+            ],
+        },
+    };
+}
+/** The Black-76 facade namespace. */
+export const black76 = /* @__PURE__ */ (() => ({
+    call,
+    put,
+    price,
+    greeks,
+    extendedGreeks,
+    impliedVolatility: impliedVolatilityFacadePair('black76.impliedVolatility', impliedVolatilityExplain, [ErrorCode.ImpliedVolatilityBelowIntrinsic, ErrorCode.ImpliedVolatilityAboveMax], 'implied vol did not converge'),
+}))();
+//# sourceMappingURL=black76.js.map

package/modules/options/dist/black76.js.map

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package/modules/options/dist/bsm.d.ts

@@ -0,0 +1,120 @@
+/**
+ * The pure Black–Scholes–Merton kernel (spec §9.3 analytical engine).
+ *
+ * These functions assume already-validated inputs (S, K, T, σ all > 0). They are the single source
+ * of truth for BSM math: the facade, the pro API, the engines, and the MCP server all route here —
+ * no duplicate implementations (spec §18.1).
+ */
+import { type OptionType } from '../../core/dist/index.js';
+import type { ExtendedGreeks, Greeks } from './types.js';
+export interface BlackScholesPriceBoundsInput {
+    type: OptionType;
+    spot: number;
+    strike: number;
+    timeToExpiryYears: number;
+    riskFreeRate: number;
+    dividendYield: number;
+}
+export interface BlackScholesKernelInput extends BlackScholesPriceBoundsInput {
+    volatility: number;
+}
+/**
+ * The unchecked kernel: pure arithmetic, no validation.
+ *
+ * It exists so validation can live at the boundary WITHOUT being paid per row. `blackScholesPriceManyInto`
+ * validates its columns once and then runs this 100,000 times; routing that loop through the public
+ * facade would re-check six fields per row for no added safety, which spec 3B.1b forbids outright.
+ *
+ * @internal PACKAGE-private, not file-private: `batch.ts` is its one legitimate caller and the package
+ * index deliberately does not re-export it, so it never reaches the public surface or the API report.
+ * The contract it must keep is that every path reaching it has already been validated — a caller that
+ * forgets is exactly the seed defect, reintroduced one layer down.
+ */
+export declare function blackScholesPriceUnchecked(input: BlackScholesKernelInput): number;
+/**
+ * Black–Scholes–Merton price for a European call/put with continuous dividend yield `q`.
+ *
+ * This is the seed defect Phase 3B was opened on. It validated the object and the `type` enum, then
+ * destructured six numeric fields and checked none of them: omitting `volatility` made `sigma`
+ * `undefined`, `d1` `NaN`, and the returned PRICE `NaN` — handed back as a success, through a
+ * declaration that said the field was required. A pricing function that answers `NaN` is worse than
+ * one that throws, because every layer above it treats the answer as a number.
+ */
+export declare function blackScholesPrice(input: BlackScholesKernelInput): number;
+/** First-order Greeks in TotalFinance default units (theta/day, vega/1%, rho/1%). */
+export declare function blackScholesGreeks(input: BlackScholesKernelInput): Greeks;
+/**
+ * Higher-order Greeks under BSM (spec §9.4), analytic and exact. First-order fields (`delta`…`rho`)
+ * carry the same default units as {@link blackScholesGreeks}; the second/third-order fields are in raw units:
+ *   - `vanna` = ∂Δ/∂σ = ∂²V/∂S∂σ  (per 1.00 σ, per $),
+ *   - `vomma` = ∂(vega)/∂σ = ∂²V/∂σ²  (per 1.00 σ²; vega here is per 1.00 σ),
+ *   - `charm` = ∂Δ/∂T  (delta drift per added year of time-to-expiry),
+ *   - `speed` = ∂Γ/∂S = ∂³V/∂S³,
+ *   - `color` = ∂Γ/∂T  (gamma drift per added year of time-to-expiry),
+ *   - `phi`   = ε = ∂V/∂q  (dividend rho, per 1% dividend yield — scaled like rho),
+ *   - `zomma` = ∂Γ/∂σ = ∂³V/∂S²∂σ,
+ *   - `veta`  = ∂vega/∂T  (per year of time-to-expiry; the ∂/∂T sibling of vega),
+ *   - `vera`  = ∂rho/∂σ = ∂²V/∂r∂σ,
+ *   - `ultima`= ∂vomma/∂σ = ∂³V/∂σ³,
+ *   - `lambda`= Δ·S/V  (elasticity / effective leverage, dimensionless).
+ * All are validated against finite differences of the first-order Greeks / the price.
+ */
+export declare function blackScholesExtendedGreeks(input: BlackScholesKernelInput): ExtendedGreeks;
+/** No-arbitrage price bounds for a vanilla under BSM (forward intrinsic ≤ price ≤ discounted spot/strike). */
+export declare function blackScholesPriceBounds(input: BlackScholesPriceBoundsInput): {
+    lower: number;
+    upper: number;
+};
+export type ImpliedVolatilityReason = 'below_intrinsic' | 'above_max_bound'
+/**
+ * The target premium is smaller than the model price at the lowest σ the solver represents, so no
+ * volatility in the bracket reproduces it (the σ→0 floor sits ABOVE the target). Distinct from
+ * `below_intrinsic` (a no-arbitrage violation) and from `no_bracket` (a bracketing failure with a
+ * root that exists): here the inverse simply has no solution at this price scale.
+ */
+ | 'price_below_resolvable' | 'no_bracket' | 'max_iterations';
+export interface BlackScholesImpliedVolatilityResult {
+    value: number;
+    converged: boolean;
+    iterations: number;
+    error?: number;
+    reason?: ImpliedVolatilityReason;
+}
+export interface BlackScholesImpliedVolatilityOptions {
+    /** Lower σ bracket (default `1e-7`). */
+    lowerVolatilityBound?: number;
+    /** Upper σ bracket before expansion (default `5`). */
+    upperVolatilityBound?: number;
+}
+export interface BlackScholesImpliedVolatilityKernelInput extends BlackScholesPriceBoundsInput, BlackScholesImpliedVolatilityOptions {
+    price: number;
+}
+/**
+ * Slack for comparing a target premium against a no-arbitrage price BOUND. Relative to the bound,
+ * never a bare absolute epsilon: at `S = 1e6` an absolute `1e-12` sits far below float noise, and at
+ * `S = 1e-3` it is a large fraction of the whole price scale. Shared by the three IV kernels and the
+ * method suite so every entry point draws the bounds in the same place.
+ */
+export declare function priceBoundSlack(bound: number): number;
+/**
+ * Acceptance tolerance for "the model price at this σ IS the target price".
+ *
+ * RELATIVE to the target (1e-8 of it), floored only at the IEEE-754 limit. An ABSOLUTE tolerance
+ * (`1e-8·max(1, price)`) silently turns into "any price ≤ 1e-8 matches anything": a 1e-8 target is
+ * "reproduced" by the σ = lo bracket endpoint, so the solver reports `converged: true` with an
+ * arbitrary volatility, and a target 1% larger falls off a cliff into a completely different σ. A
+ * relative tolerance makes the endpoint acceptance mean what it says — the endpoint is a genuine
+ * root — at every price scale (defect-fix wave, finding 1).
+ */
+export declare function impliedVolatilityPriceTolerance(price: number): number;
+/**
+ * Solve implied volatility from a price using Brent with no-arbitrage bound checks.
+ *
+ * Returns `converged: false` with a machine-readable `reason` on failure — never a fabricated value
+ * (design law #4). Three ways there is no answer, reported apart: the price violates the intrinsic
+ * floor (`below_intrinsic`), it sits at or above the upper no-arbitrage bound, which is a SUPREMUM
+ * attained only as σ→∞ (`above_max_bound`), or it is below the model price at the lowest σ in the
+ * bracket (`price_below_resolvable`).
+ */
+export declare function blackScholesImpliedVolatility(input: BlackScholesImpliedVolatilityKernelInput): BlackScholesImpliedVolatilityResult;
+//# sourceMappingURL=bsm.d.ts.map

package/modules/options/dist/bsm.d.ts.map

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