@insiderfinance/totalfinance 0.1.0

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

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+/**
+ * Exotic option engines (spec §9.3): barrier, Asian, and lookback options.
+ *
+ * Each family pairs a closed-form analytic price with a Monte-Carlo engine that converges to it, so
+ * the analytic value and the simulation independently corroborate one another:
+ *
+ *   • **barrier** — Reiner–Rubinstein / Haug single-barrier formulas (continuous monitoring), and a
+ *     Monte-Carlo engine with the **Brownian-bridge** crossing correction so discrete monitoring
+ *     converges to the continuous price;
+ *   • **asian** — the exact discrete *geometric*-average price, used both as a result and as the
+ *     control variate for the *arithmetic*-average Monte-Carlo (correlation ≈ 0.99 ⇒ huge variance
+ *     reduction);
+ *   • **lookback** — Conze–Viswanathan / Goldman–Sosin–Gatto floating- and fixed-strike formulas,
+ *     and a Monte-Carlo engine with the **Broadie–Glasserman–Kou** discrete-monitoring correction.
+ *
+ * Exotic results are value envelopes (`Computed<number>`); the Monte-Carlo variants add `result.mc`.
+ */
+import { type Computed, type OptionType } from '../../core/dist/index.js';
+import type { ExtendedGreeks, Greeks } from './types.js';
+import { type MonteCarloStatistics, type MonteCarloSamplingOptions } from './mc/core.js';
+/** A plain exotic-pricing result: value + assumptions + diagnostics. */
+export type ExoticResult = Computed<number>;
+/** A Monte-Carlo exotic result, enriched with the error statistics. */
+export interface ExoticMonteCarloResult extends Computed<number> {
+    monteCarlo: MonteCarloStatistics;
+}
+export type BarrierType = 'down-in' | 'down-out' | 'up-in' | 'up-out';
+export interface BarrierInput {
+    spot: number;
+    strike: number;
+    /** Barrier level H. */
+    barrier: number;
+    timeToExpiryYears: number;
+    riskFreeRate: number;
+    volatility: number;
+    dividendYield?: number;
+}
+export interface BarrierMonteCarloOptions extends MonteCarloSamplingOptions {
+    /** Monitoring steps per path (default 100). */
+    steps?: number;
+}
+export declare const barrier: {
+    /** Continuous-monitoring single-barrier price (Reiner–Rubinstein / Haug, zero rebate). */
+    readonly price: (input: BarrierInput & {
+        type: OptionType;
+        barrierType: BarrierType;
+    }) => ExoticResult;
+    /** Brownian-bridge-corrected Monte-Carlo barrier price (converges to the continuous analytic). */
+    readonly monteCarloPrice: (input: BarrierInput & {
+        type: OptionType;
+        barrierType: BarrierType;
+    }, options: BarrierMonteCarloOptions) => ExoticMonteCarloResult;
+};
+/** Market and contract inputs shared by arithmetic Asian Monte-Carlo pricing. */
+export interface AsianMonteCarloInput {
+    spot: number;
+    strike: number;
+    timeToExpiryYears: number;
+    riskFreeRate: number;
+    volatility: number;
+    dividendYield?: number;
+}
+/** Inputs for the exact discrete geometric-average Asian price. */
+export interface AsianInput extends AsianMonteCarloInput {
+    /** Number of equally-spaced averaging dates t_i = i·T/m, i = 1..m (default 50). */
+    averagingPoints?: number;
+}
+export interface AsianMonteCarloOptions extends MonteCarloSamplingOptions {
+    /** Number of equally-spaced averaging dates t_i = i·T/m, i = 1..m (default 50). */
+    averagingPoints?: number;
+}
+export declare const asian: {
+    /** Exact discrete geometric-average Asian price. */
+    readonly geometricPrice: (input: AsianInput & {
+        type: OptionType;
+    }) => ExoticResult;
+    /** Arithmetic-average Asian price by Monte-Carlo, with the geometric Asian as control variate. */
+    readonly monteCarloPrice: (input: AsianMonteCarloInput & {
+        type: OptionType;
+    }, options: AsianMonteCarloOptions) => ExoticMonteCarloResult;
+};
+export type LookbackStrike = 'floating' | 'fixed';
+export interface LookbackInput {
+    spot: number;
+    /** Strike (fixed-strike lookbacks only). */
+    strike?: number;
+    timeToExpiryYears: number;
+    riskFreeRate: number;
+    volatility: number;
+    dividendYield?: number;
+    /** Running minimum observed so far (default = spot, a newly-issued option). */
+    runningMin?: number;
+    /** Running maximum observed so far (default = spot). */
+    runningMax?: number;
+}
+export interface LookbackMonteCarloOptions extends MonteCarloSamplingOptions {
+    /** Monitoring steps per path (default 150). */
+    steps?: number;
+}
+export declare const lookback: {
+    /** Continuous-monitoring lookback price (Conze–Viswanathan / Goldman–Sosin–Gatto). */
+    readonly price: (input: LookbackInput & {
+        type: OptionType;
+        strikeType: LookbackStrike;
+    }) => ExoticResult;
+    /** Monte-Carlo lookback price with the Broadie–Glasserman–Kou discrete-monitoring correction. */
+    readonly monteCarloPrice: (input: LookbackInput & {
+        type: OptionType;
+        strikeType: LookbackStrike;
+    }, options: LookbackMonteCarloOptions) => ExoticMonteCarloResult;
+};
+export interface SpreadInput {
+    spot1: number;
+    spot2: number;
+    /** Strike on `S1 − S2`. May be negative; Kirk requires `F2 + K > 0`. */
+    strike: number;
+    timeToExpiryYears: number;
+    riskFreeRate: number;
+    /**
+     * Per-asset volatilities.
+     *
+     * These were `vol1`/`vol2` under a retired rule ("flat inputs use `vol`") that survived in this
+     * comment long after the rule went. The denylist has forbidden `vol` since N0 — the digit is what
+     * hid these two, which is the whole reason the tokenizer now tests the letter run in front of a
+     * numeric suffix.
+     */
+    volatility1: number;
+    volatility2: number;
+    /** Correlation between the two assets, in [-1, 1]. */
+    correlation: number;
+    dividendYield1?: number;
+    dividendYield2?: number;
+}
+export declare const spread: {
+    /** Kirk's-approximation analytic price of an option on `S1 − S2`. */
+    readonly price: (input: SpreadInput & {
+        type: OptionType;
+    }) => ExoticResult;
+    /** Monte-Carlo price of the spread option (validator for, and generalization of, Kirk). */
+    readonly monteCarloPrice: (input: SpreadInput & {
+        type: OptionType;
+    }, options: MonteCarloSamplingOptions) => ExoticMonteCarloResult;
+};
+export interface QuantoInput {
+    /** Foreign-asset spot (in foreign currency). */
+    spot: number;
+    strike: number;
+    timeToExpiryYears: number;
+    /** Domestic discount rate. */
+    domesticRate: number;
+    /** Foreign risk-free rate. */
+    foreignRate: number;
+    /** Asset volatility. */
+    volatility: number;
+    /** Volatility of the domestic/foreign FX rate. */
+    fxVolatility: number;
+    /** Correlation between the asset and the FX rate, in [-1, 1]. */
+    correlation: number;
+    dividendYield?: number;
+}
+export declare const quanto: {
+    /**
+     * Quanto option paying `(S_foreign(T) − K)⁺` in domestic currency at a fixed FX rate. The asset's
+     * drift is adjusted by `−ρ·σ_S·σ_FX` (the quanto correction) and discounting is domestic.
+     */
+    readonly price: (input: QuantoInput & {
+        type: OptionType;
+    }) => ExoticResult;
+};
+export interface MultiAssetInput {
+    spots: number[];
+    strike: number;
+    timeToExpiryYears: number;
+    riskFreeRate: number;
+    volatilities: number[];
+    /** Correlation matrix (n × n, symmetric, unit diagonal, positive definite). */
+    correlation: number[][];
+    dividendYields?: number[];
+}
+export interface BasketInput extends MultiAssetInput {
+    /** Basket weights (one per asset). */
+    weights: number[];
+}
+export declare const basket: {
+    /** Levy moment-matched lognormal approximation (closed form) for a weighted-basket option. */
+    readonly approximatePrice: (input: BasketInput & {
+        type: OptionType;
+    }) => ExoticResult;
+    /** Monte-Carlo price of a weighted-basket option (exact; corroborates the Levy approximation). */
+    readonly monteCarloPrice: (input: BasketInput & {
+        type: OptionType;
+    }, options: MonteCarloSamplingOptions) => ExoticMonteCarloResult;
+};
+export type RainbowKind = 'max' | 'min';
+export declare const rainbow: {
+    /** Monte-Carlo price of a rainbow option on the max or min of several assets. */
+    readonly monteCarloPrice: (input: MultiAssetInput & {
+        type: OptionType;
+        kind: RainbowKind;
+    }, options: MonteCarloSamplingOptions) => ExoticMonteCarloResult;
+};
+export interface AutocallableInput {
+    spot: number;
+    /** Strictly-increasing observation times in years; the last is maturity. */
+    observationTimes: number[];
+    riskFreeRate: number;
+    volatility: number;
+    dividendYield?: number;
+    /** Autocall trigger level: if `S(tᵢ) ≥ autocallBarrier`, the note redeems early. */
+    autocallBarrier: number;
+    /** Coupon per elapsed period (fraction of notional), paid cumulatively on redemption. */
+    couponRate: number;
+    /** Downside knock-in level checked at maturity (capital is at risk below it). */
+    knockInBarrier: number;
+    /** Notional. Default 100. */
+    notional?: number;
+}
+export declare const autocallable: {
+    /**
+     * Monte-Carlo price of a canonical autocallable note: on each observation date the note redeems at
+     * `notional·(1 + couponRate·periods)` if the spot is at or above `autocallBarrier`; if it never does,
+     * at maturity it returns the notional when `S(T) ≥ knockInBarrier`, else the loss-bearing
+     * `notional·S(T)/S(0)`. The payoff is discounted at the per-path redemption time.
+     */
+    readonly monteCarloPrice: (input: AutocallableInput, options: MonteCarloSamplingOptions) => ExoticMonteCarloResult;
+};
+export declare const varianceSwap: {
+    /**
+     * Fair variance strike under Heston: `θ + (v₀ − θ)·(1 − e^{−κT})/(κT)`. Depends only on the
+     * mean-reversion `κ`, long-run variance `θ`, and initial variance `v₀` (not on vol-of-vol/ρ).
+     */
+    readonly hestonFairVariance: (parameters: {
+        v0: number;
+        kappa: number;
+        theta: number;
+    }, timeToExpiryYears: number) => number;
+    /** Present value of a variance swap: `e^{−rT}·varianceNotional·(realizedVariance − strikeVariance)`. */
+    readonly value: (input: {
+        realizedVariance: number;
+        strikeVariance: number;
+        varianceNotional?: number;
+        riskFreeRate: number;
+        timeToExpiryYears: number;
+    }) => number;
+};
+export declare const volatilitySwap: {
+    /**
+     * Brockhaus–Long convexity-adjusted fair vol:
+     * `K_vol ≈ √K_var·(1 − Var[realized variance]/(8·K_var²))`. With no variance-of-variance it reduces
+     * to `√K_var`; the adjustment captures the (downward) Jensen gap between √E[var] and E[√var].
+     */
+    readonly approximateFairVolatility: (input: {
+        fairVariance: number;
+        varianceOfVariance?: number;
+    }) => number;
+};
+export type DigitalKind = 'cash-or-nothing' | 'asset-or-nothing';
+export interface DigitalInput {
+    spot: number;
+    strike: number;
+    timeToExpiryYears: number;
+    riskFreeRate: number;
+    volatility: number;
+    dividendYield?: number;
+    /** Fixed payout for `cash-or-nothing` (ignored by `asset-or-nothing`); default 1. */
+    cash?: number;
+}
+export declare const digital: {
+    /** European binary price (closed form). A vanilla call ≡ asset-or-nothing call − K·cash-or-nothing call. */
+    readonly price: (input: DigitalInput & {
+        type: OptionType;
+        kind: DigitalKind;
+    }) => ExoticResult;
+    /** Monte-Carlo binary price (discount the terminal indicator payoff); converges to the analytic. */
+    readonly monteCarloPrice: (input: DigitalInput & {
+        type: OptionType;
+        kind: DigitalKind;
+    }, options: MonteCarloSamplingOptions) => ExoticMonteCarloResult;
+    /**
+     * Closed-form greeks (delta, gamma, vega, theta, rho) for the European binary. Every greek is an exact
+     * derivative of the `digital.price` closed form — pinned to a finite-difference bump in the tests. Units
+     * match the package: `vega` per vol point, `theta` per calendar day, `rho` per 1% (echoed in
+     * `assumptions.units`). A cash-or-nothing's delta spikes and gamma flips sign across the strike (pin
+     * risk); the asset-or-nothing's gamma/vega are exactly `0` at `d₂ = 0`. See `docs/specs/digital-greeks.md`.
+     */
+    readonly greeks: (input: DigitalInput & {
+        type: OptionType;
+        kind: DigitalKind;
+    }) => Computed<Greeks>;
+    /**
+     * The full higher-order (extended) Greek set for the European binary — completing {@link digital.greeks}
+     * with vanna, charm, vomma, speed, color, phi, zomma, veta, vera, ultima, and lambda. The binary price is
+     * a smooth function of `(S, σ, r, q, T)` for `T > 0`, so the higher-order Greeks are taken by central
+     * finite differences of the exact `digital.price` closed form (the shared `finiteDifferenceExtendedGreeks`
+     * helper); the first-order fields are the exact analytic Greeks of {@link digital.greeks}. Units match the
+     * package (higher-order raw; `phi` per 1% dividend yield; `lambda` dimensionless). Near the strike a
+     * binary's Greeks spike (pin risk) — they stay finite for `T > 0`, but very close to expiry-at-the-pin the
+     * higher-order finite differences lose precision; widen `t` or read the sign/scale rather than the digit.
+     * See `docs/specs/digital-extended-greeks.md`.
+     */
+    readonly extendedGreeks: (input: DigitalInput & {
+        type: OptionType;
+        kind: DigitalKind;
+    }) => Computed<ExtendedGreeks>;
+};
+export type TouchKind = 'one-touch' | 'no-touch';
+export interface TouchInput {
+    spot: number;
+    /** Barrier level `H`; below spot ⇒ a down-touch, above ⇒ an up-touch. */
+    barrier: number;
+    timeToExpiryYears: number;
+    riskFreeRate: number;
+    volatility: number;
+    dividendYield?: number;
+    /** Rebate paid on the touch outcome; default 1. */
+    cash?: number;
+    /** When a `one-touch` pays: `'expiry'` (default) or `'hit'` (immediate). Not applicable to `no-touch`. */
+    payAt?: 'expiry' | 'hit';
+}
+export interface TouchMonteCarloOptions extends MonteCarloSamplingOptions {
+    /** Monitoring steps per path (default 100). */
+    steps?: number;
+}
+export declare const touch: {
+    /**
+     * One-touch (pays if `H` is ever touched) / no-touch (pays if it never is), continuous monitoring.
+     * `one-touch` settles at expiry by default or at the hit (`payAt: 'hit'`, Reiner–Rubinstein);
+     * `no-touch` is always expiry-settled. An already-touched spot (`S = H`) short-circuits to the
+     * certain payoff. See `docs/specs/digital-touch.md`.
+     */
+    readonly price: (input: TouchInput & {
+        kind: TouchKind;
+    }) => ExoticResult;
+    /**
+     * First-order greeks (delta, gamma, vega, theta, rho) for the one-touch / no-touch binary, by central
+     * finite-difference of the exact `touch.price` (the analytic greeks are a research-grade first-passage
+     * series). Units match the package (vega/1%, theta/day, rho/1%; echoed in `assumptions.units`). The spot
+     * bump is shrunk near the barrier so it never straddles it. Pinned to the exact identity that a one-touch
+     * (pay-at-expiry) and a no-touch greek sum to the `cash·e^{−rT}` greeks. See `docs/specs/touch-greeks.md`.
+     */
+    readonly greeks: (input: TouchInput & {
+        kind: TouchKind;
+    }) => Computed<Greeks>;
+    /**
+     * Monte-Carlo one-touch / no-touch. Pay-at-expiry reuses the Brownian-bridge survival so discrete
+     * monitoring converges to the continuous analytic; pay-at-hit detects the first crossing on the grid
+     * and discounts at the hit time.
+     */
+    readonly monteCarloPrice: (input: TouchInput & {
+        kind: TouchKind;
+    }, options: TouchMonteCarloOptions) => ExoticMonteCarloResult;
+};
+export interface ForwardStartInput {
+    spot: number;
+    /** Strike multiplier α: the strike is set to `α·S(t₁)` at the reset (α=1 ⇒ at-the-money-at-reset). Default 1. */
+    strikeMultiplier?: number;
+    /** Reset time `t₁` (years) at which the strike is fixed; must be in `(0, t)`. */
+    resetTime: number;
+    /** Expiry `T` (years). */
+    timeToExpiryYears: number;
+    riskFreeRate: number;
+    volatility: number;
+    dividendYield?: number;
+}
+export declare const forwardStart: {
+    /** Closed-form forward-start price (Rubinstein 1991); the value scales with today's spot. */
+    readonly price: (input: ForwardStartInput & {
+        type: OptionType;
+    }) => ExoticResult;
+    /** Two-step-GBM Monte-Carlo forward-start price (converges to the analytic). */
+    readonly monteCarloPrice: (input: ForwardStartInput & {
+        type: OptionType;
+    }, options: MonteCarloSamplingOptions) => ExoticMonteCarloResult;
+};
+export interface CliquetInput {
+    spot: number;
+    /** Reset times `t₁…tₙ` (years, strictly increasing, > 0); `t₀ = 0` (today), `tₙ = maturity`. */
+    resetTimes: number[];
+    riskFreeRate: number;
+    volatility: number;
+    dividendYield?: number;
+    /** Per-period return floor; default 0 (lock in non-negative gains). Must be ≥ −1. */
+    localFloor?: number;
+    /** Per-period return cap; default `+∞` (uncapped). Must be > `localFloor`. */
+    localCap?: number;
+    /** Global (summed) floor; default `−∞`. Requires `monteCarloPrice`. */
+    globalFloor?: number;
+    /** Global (summed) cap; default `+∞`. Requires `monteCarloPrice`. */
+    globalCap?: number;
+    /** Notional multiplier; default 1. */
+    notional?: number;
+}
+export declare const cliquet: {
+    /**
+     * Closed-form cliquet (a strip of forward-start caplets), valid when there is NO global cap/floor —
+     * the value is then the discounted sum of the per-period expected clipped returns (Black-76 on each
+     * period return). A global cap/floor makes the total path-dependent; this throws and points to
+     * `monteCarloPrice`. See `docs/specs/cliquet.md`.
+     */
+    readonly price: (input: CliquetInput) => ExoticResult;
+    /** General Monte-Carlo cliquet (local + global caps/floors); converges to the analytic in the no-global case. */
+    readonly monteCarloPrice: (input: CliquetInput, options: MonteCarloSamplingOptions) => ExoticMonteCarloResult;
+};
+/** Input for {@link napoleon} and {@link reverseCliquet} (same shape; the coupon is degraded differently). */
+export interface NapoleonInput {
+    spot: number;
+    /** Reset times `t₁…tₙ` (years, strictly increasing, > 0); `t₀ = 0` (today), `tₙ = maturity`. */
+    resetTimes: number[];
+    riskFreeRate: number;
+    volatility: number;
+    dividendYield?: number;
+    /** The fixed coupon degraded by the period returns. */
+    coupon: number;
+    /** Floor on the payoff. Default 0 (the note cannot pay less than 0). */
+    globalFloor?: number;
+    /** Notional multiplier. Default 1. */
+    notional?: number;
+}
+/** Reverse cliquet takes the same inputs as {@link napoleon}; the coupon is degraded by `Σ min(rᵢ, 0)`. */
+export type ReverseCliquetInput = NapoleonInput;
+export declare const napoleon: {
+    /**
+     * Napoleon option: pays the coupon plus the **single worst** period return, `max(floor, C + minᵢ rᵢ)`.
+     * The investor is SHORT the volatility of the minimum return — a higher `volatility` LOWERS the value. No clean
+     * closed form (the minimum of `n` dependent lognormals), so Monte-Carlo only. See
+     * `docs/specs/napoleon-reverse-cliquet.md`.
+     */
+    readonly monteCarloPrice: (input: NapoleonInput, options: MonteCarloSamplingOptions) => ExoticMonteCarloResult;
+};
+export declare const reverseCliquet: {
+    /**
+     * Reverse cliquet: pays the coupon eroded by the **sum of the negative** period returns,
+     * `max(floor, C + Σᵢ min(rᵢ, 0))`. Up-periods don't help, down-periods subtract — the investor is short
+     * downside vol, so a higher `volatility` LOWERS the value. Path-dependent (the floored sum) ⇒ Monte-Carlo. See
+     * `docs/specs/napoleon-reverse-cliquet.md`.
+     */
+    readonly monteCarloPrice: (input: ReverseCliquetInput, options: MonteCarloSamplingOptions) => ExoticMonteCarloResult;
+    /**
+     * Closed-form reverse-cliquet value **ignoring the global floor**: `df·notional·(C + Σᵢ E[min(rᵢ, 0)])`,
+     * with `E[min(rᵢ, 0)] = (e^{b·τᵢ} − 1) − returnCaplet(1, τᵢ, b, σ)` (reusing the cliquet caplet). Exact for
+     * an unfloored note (`globalFloor = −∞`) and a fast lower bound for the floored one (large coupon ⇒ the
+     * floor rarely binds ⇒ this ≈ the MC price). See `docs/specs/napoleon-reverse-cliquet.md`.
+     */
+    readonly floorlessValue: (input: ReverseCliquetInput) => ExoticResult;
+};
+export type DoubleTouchKind = 'double-no-touch' | 'double-one-touch';
+export interface DoubleTouchInput {
+    spot: number;
+    /** Lower barrier `L` (> 0). */
+    lower: number;
+    /** Upper barrier `U` (> L). */
+    upper: number;
+    timeToExpiryYears: number;
+    riskFreeRate: number;
+    volatility: number;
+    dividendYield?: number;
+    /** Payout on the winning outcome; default 1. */
+    cash?: number;
+}
+export declare const doubleTouch: {
+    /**
+     * Double no-touch (pays if `S` stays in `(L, U)` the whole life) / double one-touch (pays if it ever
+     * leaves), continuous monitoring, settled at expiry. The image-series survival `P_stay` drives both:
+     * `DNT = cash·e^{−rT}·P_stay`, `DOT = cash·e^{−rT}·(1 − P_stay)`, so `DNT + DOT = cash·e^{−rT}`. A spot
+     * already outside the corridor short-circuits (DNT = 0, DOT = cash·e^{−rT}). See
+     * `docs/specs/double-touch.md`.
+     */
+    readonly price: (input: DoubleTouchInput & {
+        kind: DoubleTouchKind;
+    }) => ExoticResult;
+    /**
+     * First-order greeks (delta, gamma, vega, theta, rho) for the double-no-touch / double-one-touch corridor
+     * binary, by central finite-difference of the exact `doubleTouch.price` (the image-series precludes clean
+     * analytic greeks). Units match the package (vega/1%, theta/day, rho/1%; echoed in `assumptions.units`).
+     * The spot bump is shrunk near either barrier so it never straddles the corridor edge. Pinned to the exact
+     * `DNT + DOT = cash·e^{−rT}` greek identity. See `docs/specs/touch-greeks.md`.
+     */
+    readonly greeks: (input: DoubleTouchInput & {
+        kind: DoubleTouchKind;
+    }) => Computed<Greeks>;
+    /**
+     * Monte-Carlo double-no-touch / double-one-touch. The corridor survival per path is the product of the
+     * two single-barrier Brownian-bridge survivals (lower down × upper up), so discrete monitoring converges
+     * to the continuous analytic.
+     */
+    readonly monteCarloPrice: (input: DoubleTouchInput & {
+        kind: DoubleTouchKind;
+    }, options: TouchMonteCarloOptions) => ExoticMonteCarloResult;
+};
+/** Input for the {@link compo} composite option. */
+export interface CompoInput {
+    /** Foreign-asset spot (in foreign currency). */
+    spot: number;
+    /** FX rate — units of domestic currency per unit of foreign (`X₀`). */
+    fxSpot: number;
+    /** Strike, in DOMESTIC currency. */
+    strike: number;
+    timeToExpiryYears: number;
+    /** Domestic discount / growth rate. */
+    domesticRate: number;
+    /** Foreign-asset volatility `σ_S`. */
+    volatility: number;
+    /** FX volatility `σ_X`. */
+    fxVolatility: number;
+    /** Correlation between the asset and the FX rate, in `[−1, 1]`. */
+    correlation: number;
+    /** Foreign dividend yield `q`. Default 0. */
+    dividendYield?: number;
+}
+/** The compo's multi-factor risk. */
+export interface CompoGreeks {
+    /** `∂C/∂S_f` — foreign-asset delta. */
+    assetDelta: number;
+    /** `∂C/∂X` — FX delta. */
+    fxDelta: number;
+    /** `∂²C/∂S_f²` — foreign-asset gamma. */
+    assetGamma: number;
+    /** `∂C/∂σ_S`, per vol point. */
+    assetVega: number;
+    /** `∂C/∂σ_X`, per vol point. */
+    fxVega: number;
+    /** `∂C/∂ρ`, per 0.01 of correlation — the distinctive compo greek (long correlation). */
+    correlationVega: number;
+    /** Per calendar day. */
+    theta: number;
+    /** Domestic, per 1% rate. */
+    rho: number;
+}
+/** Monte-Carlo options for {@link compo.monteCarloPrice}. */
+export interface CompoMonteCarloOptions extends MonteCarloSamplingOptions {
+    /** Foreign rate used only to split the two-factor drift; the price is invariant to it. Default = `domesticRate`. */
+    foreignRate?: number;
+}
+export declare const compo: {
+    /**
+     * Composite option paying `(S_f(T)·X(T) − K_d)⁺` in domestic currency — the foreign asset at the
+     * FLOATING FX rate against a domestic strike. The domestic value `A = S_f·X` is a domestic asset
+     * drifting at `r_d − q`, so this is exactly `BSM(A₀ = S_f·X, K_d, T, r_d, q, σ_A)` with the composite
+     * vol `σ_A = √(σ_S² + σ_X² + 2ρσ_Sσ_X)`. The foreign rate drops out. See `docs/specs/compo-option.md`.
+     */
+    readonly price: (input: CompoInput & {
+        type: OptionType;
+    }) => ExoticResult;
+    /**
+     * The compo's multi-factor risk: foreign-asset and FX deltas, foreign-asset gamma, the asset and FX
+     * vegas, the **correlation vega** (a compo is long correlation), plus theta and domestic rho — all
+     * exact chain-rule derivatives of the composite BSM greeks through `A₀ = S_f·X` and `σ_A`.
+     */
+    readonly greeks: (input: CompoInput & {
+        type: OptionType;
+    }) => Computed<CompoGreeks>;
+    /**
+     * Two-factor Monte-Carlo: simulate `S_f` and `X` as correlated GBMs under the domestic measure and
+     * price `(S_f(T)·X(T) − K)⁺` discounted at `r_d`. Converges to the closed form, corroborating the `σ_A`
+     * combination. `options.foreignRate` (default `domesticRate`) only splits the two drifts — the price is
+     * invariant to it.
+     */
+    readonly monteCarloPrice: (input: CompoInput & {
+        type: OptionType;
+    }, options: CompoMonteCarloOptions) => ExoticMonteCarloResult;
+};
+/** Input for the {@link inverseOption} coin-settled option. */
+export interface InverseOptionInput {
+    /** Underlying spot, quote per coin (e.g. BTC/USD). */
+    spot: number;
+    /** Strike, in the QUOTE currency (USD). */
+    strike: number;
+    timeToExpiryYears: number;
+    /** USD (quote-currency) risk-free rate. */
+    riskFreeRate: number;
+    /** Coin (base-currency) yield — lending/staking. Default 0. Enters the forward as the dividend yield. */
+    coinYield?: number;
+    /** Volatility. */
+    volatility: number;
+}
+/** An inverse option's risk in both denominations. */
+export interface InverseGreeks {
+    /**
+     * Coin-denominated greeks — derivatives of the coin premium `V_usd/S`. delta/gamma are raw (per $1
+     * move in spot), vega/1%, theta/day, rho/1%. The delta carries the `−V_coin/S` correction (the
+     * embedded short-coin from paying premium in the coin), so it is NOT the Black–Scholes delta.
+     */
+    coin: Greeks;
+    /** USD-linear greeks — equal to the vanilla BSM greeks, since the inverse option's USD payoff is a vanilla's. */
+    usd: Greeks;
+}
+/** Monte-Carlo options for {@link inverseOption.monteCarloPrice}. */
+export type InverseOptionMonteCarloOptions = MonteCarloSamplingOptions;
+export declare const inverseOption: {
+    /**
+     * The **coin (base-currency) premium** of a Deribit-style inverse option, settling `(±(S_T−K))⁺/S_T` in
+     * the coin. The USD payoff is a vanilla's, so the coin premium is exactly `blackScholesPrice/spot`. `value·spot`
+     * recovers the USD premium. `rate` is the USD/quote rate; `coinYield` the coin lending/staking yield.
+     * See `docs/specs/inverse-option.md`.
+     */
+    readonly price: (input: InverseOptionInput & {
+        type: OptionType;
+    }) => ExoticResult;
+    /**
+     * The inverse option's risk in **both** denominations. The `coin` greeks are the exact derivatives of
+     * the coin premium `V_usd/S`: delta and gamma carry the numeraire corrections (`Δ_coin = Δ_usd/S −
+     * V_usd/S²`, `Γ_coin = Γ_usd/S − 2Δ_usd/S² + 2V_usd/S³`), while vega/theta/rho scale by `1/S`. The `usd`
+     * greeks equal the vanilla BSM greeks. The `−V_coin/S` delta term is the embedded short-coin from the
+     * coin-denominated premium — an inverse option is NOT hedged at its Black–Scholes delta.
+     */
+    readonly greeks: (input: InverseOptionInput & {
+        type: OptionType;
+    }) => Computed<InverseGreeks>;
+    /**
+     * One-factor **coin-numeraire** Monte-Carlo: under the coin money-market numeraire the spot drifts at the
+     * self-quanto rate `r − q + σ²`, and the coin premium is `E[e^{−qT}·(±(S_T−K))⁺/S_T]`. Converges to the
+     * closed-form coin premium, corroborating the `V_usd/S` identity from the other measure.
+     */
+    readonly monteCarloPrice: (input: InverseOptionInput & {
+        type: OptionType;
+    }, options: InverseOptionMonteCarloOptions) => ExoticMonteCarloResult;
+    /**
+     * The **coin premium** of a coin-settled (inverse) **binary**. Every coin-settled exotic obeys the same
+     * universal identity as the vanilla: a coin payoff `H(S_T)/S_T` is worth `H(S_T)` USD at expiry (1 coin =
+     * `S_T` USD then), so its USD price is the vanilla's and its coin premium is exactly `vanillaUsd/spot`.
+     * A `cash-or-nothing` therefore settles its `cash` USD-equivalent in the coin, an `asset-or-nothing`
+     * settles 1 coin if in-the-money. `value·spot` recovers the USD premium. See `docs/specs/inverse-option.md`.
+     */
+    readonly digital: (input: InverseOptionInput & {
+        type: OptionType;
+        kind: DigitalKind;
+        cash?: number;
+    }) => ExoticResult;
+    /**
+     * The **coin premium** of a coin-settled (inverse) **barrier** (continuous monitoring, zero rebate). By the
+     * same universal identity, the coin premium is the vanilla barrier's USD price divided by spot. `value·spot`
+     * recovers the USD premium. See `docs/specs/inverse-option.md`.
+     */
+    readonly barrier: (input: InverseOptionInput & {
+        type: OptionType;
+        barrierType: BarrierType;
+        barrier: number;
+    }) => ExoticResult;
+};
+//# sourceMappingURL=exotics.d.ts.map

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

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