@insiderfinance/totalfinance 0.1.0

package/modules/options/dist/iv.js

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+/**
+ * Implied-volatility method suite (spec §9.5).
+ *
+ * Multiple solver methods over the Black–Scholes–Merton model, all returning rich diagnostics:
+ *   - `brent` — the bracketed reference path (always converges when a solution exists);
+ *   - `newton` / `halley` / `householder` — derivative methods (1st/2nd/3rd σ-derivatives), seeded
+ *     by the Manaster–Koller starting point for monotone convergence;
+ *   - `auto` — Householder with a Brent fallback; reports the method actually used.
+ *
+ * Per spec §9.5, `'rational'` is reserved for a faithful Jäckel-style rational/asymptotic inversion
+ * and is intentionally NOT exposed until that exact algorithm lands — we never alias it to another
+ * method.
+ *
+ * Failures (below-intrinsic, above-max, non-convergence, vanishing vega) are reported honestly,
+ * never fabricated (design law #4).
+ */
+import { InputError, ensureFiniteWhenPresent, CONVENTIONS_VERSION, DEFAULT_GREEK_UNITS, ErrorCode, ensureEnum, ensureFinite, ensureKnownKeys, ensurePositive, isQuantError, plausibilityWarnings, requireArgumentArray, requireArgumentObject, WarningCode, } from '../../core/dist/index.js';
+import { halley, householder, newton, normalPdf } from '../../math/dist/index.js';
+import { requireOptionalArgObject } from './facade-util.js';
+import { blackScholesImpliedVolatility, blackScholesPriceBounds, blackScholesPriceUnchecked, priceBoundSlack, } from './bsm.js';
+const MODEL = 'black-scholes-merton';
+/** {@link BlackScholesImpliedVolatilityInput} keys (Law 12 — mirrors the interface in types.ts; keep in sync). */
+const IMPLIED_VOL_INPUT_KEYS = [
+    'price',
+    'spot',
+    'strike',
+    'timeToExpiryYears',
+    'riskFreeRate',
+    'type',
+    'dividendYield',
+];
+/**
+ * {@link ImpliedVolatilityOptions} keys (Law 12 — mirrors the interface above; keep in sync). These
+ * heads invert closed-form Black–Scholes; an `engine` is not on the list because they could never
+ * honour one — `option.impliedVolatility({ contract, market, engine })` is the engine-inverting door.
+ */
+const IMPLIED_VOL_OPTIONS_KEYS = ['method', 'fallback', 'failFast'];
+/** When-present ladders for the SHARED solver options — method/fallback/failFast live on the
+ *  OPTIONS argument (an earlier guard laddered them on the input object, where key closure already
+ *  rejects them — the options-side coalesces were the live defect). */
+function requireIvOptionLadders(functionName, options) {
+    const methodValue = options['method'];
+    if (methodValue !== undefined &&
+        methodValue !== 'auto' &&
+        methodValue !== 'brent' &&
+        methodValue !== 'newton' &&
+        methodValue !== 'halley' &&
+        methodValue !== 'householder') {
+        throw new InputError(`${functionName}: method must be 'auto' | 'brent' | 'newton' | 'halley' | 'householder' when provided. Received ${methodValue === null ? 'null' : JSON.stringify(methodValue)}.`, { code: ErrorCode.InputInvalidEnum, context: { field: 'method' } });
+    }
+    for (const flag of ['fallback', 'failFast']) {
+        const flagValue = options[flag];
+        if (flagValue !== undefined && typeof flagValue !== 'boolean') {
+            throw new InputError(`${functionName}: ${flag} must be a boolean when provided. Received ${flagValue === null ? 'null' : typeof flagValue}.`, { code: ErrorCode.InputWrongType, context: { field: flag } });
+        }
+    }
+}
+/** σ-derivatives of the BSM price residual at a trial volatility. */
+function impliedVolatilityDerivatives(input) {
+    const { type, targetPrice: target, spot: S, strike: K, timeToExpiryYears: T, riskFreeRate: r, dividendYield: q, volatility: sigma, } = input;
+    const sqrtT = Math.sqrt(T);
+    const d1 = (Math.log(S / K) + (r - q + 0.5 * sigma * sigma) * T) / (sigma * sqrtT);
+    const d2 = d1 - sigma * sqrtT;
+    const vega = S * Math.exp(-q * T) * normalPdf(d1) * sqrtT;
+    const vomma = (vega * d1 * d2) / sigma;
+    const d3 = (vega * ((d1 * d2) ** 2 - (d1 * d1 + d2 * d2) - d1 * d2)) / (sigma * sigma);
+    return {
+        // Unchecked: `impliedVolatility` validated type, price, spot, strike, time, rate and yield at
+        // its boundary, and this runs once per Newton/Halley/Householder iteration. Routing it through
+        // the guarded facade re-checked six fields per iteration for no added safety.
+        f: blackScholesPriceUnchecked({
+            type,
+            spot: S,
+            strike: K,
+            timeToExpiryYears: T,
+            riskFreeRate: r,
+            dividendYield: q,
+            volatility: sigma,
+        }) - target,
+        df: vega,
+        d2f: vomma,
+        d3f: d3,
+    };
+}
+function manasterKollerSeed(input) {
+    const { spot: S, strike: K, timeToExpiryYears: T, riskFreeRate: r, dividendYield: q } = input;
+    const F = S * Math.exp((r - q) * T);
+    const guess = Math.sqrt(Math.abs(2 * Math.log(F / K)) / T);
+    return Number.isFinite(guess) && guess > 1e-3 ? guess : 0.2;
+}
+function assumptions(t, q) {
+    return {
+        conventionsVersion: CONVENTIONS_VERSION,
+        dayCount: 'ACT/365F',
+        compounding: 'continuous',
+        timeToExpiryYears: t,
+        dividendModel: q === 0 ? 'none' : 'continuousYield',
+        units: DEFAULT_GREEK_UNITS,
+        model: MODEL,
+        engine: MODEL,
+    };
+}
+function fail(t, q, code, message, extra = []) {
+    return {
+        value: null,
+        assumptions: assumptions(t, q),
+        diagnostics: {
+            engine: MODEL,
+            method: 'none',
+            converged: false,
+            iterations: 0,
+            fallback: false,
+            // Suspicious-input warnings ride even the no-arbitrage failures: a `t` given in days is the
+            // most likely reason a "price below intrinsic" rejection is spurious.
+            warnings: [{ code, message, severity: 'error' }, ...extra],
+        },
+    };
+}
+/**
+ * Solve BSM implied volatility with the chosen method, reporting rich diagnostics — quantitative
+ * failure (price outside no-arbitrage bounds, no convergence) reports `converged: false` with the
+ * reason, never a fabricated vol.
+ *
+ * @example
+ * ```ts
+ * import { impliedVolatility } from '@insiderfinance/totalfinance/options';
+ *
+ * const solved = impliedVolatility({
+ *   price: 2.31, spot: 100, strike: 105, timeToExpiryYears: 30 / 365, riskFreeRate: 0.045, type: 'call',
+ * });
+ * solved.value;                 // 0.2199… (annualized volatility)
+ * solved.diagnostics.converged; // true — ALWAYS check before trusting the value
+ * solved.diagnostics.method;    // which solver actually ran ('brent', 'newton', …)
+ * ```
+ */
+export function impliedVolatility(input, options = {}) {
+    requireArgumentObject('impliedVolatility', 'input', input);
+    for (const flag of ['failFast', 'extendedGreeks', 'greeks']) {
+        const flagValue = input[flag];
+        if (flagValue !== undefined && typeof flagValue !== 'boolean') {
+            throw new InputError(`impliedVolatility: ${flag} must be a boolean when provided. Received ${flagValue === null ? 'null' : typeof flagValue}.`, { code: ErrorCode.InputWrongType, context: { field: flag } });
+        }
+    }
+    // Law 12: a misspelled field must teach, never silently solve against a default.
+    ensureKnownKeys('impliedVolatility', 'input', input, IMPLIED_VOL_INPUT_KEYS);
+    // `null` (or a primitive) slips past `options = {}` — teach, never TypeError on `options.method`.
+    requireOptionalArgObject('impliedVolatility', 'options', options);
+    ensureKnownKeys('impliedVolatility', 'options', options, IMPLIED_VOL_OPTIONS_KEYS);
+    requireIvOptionLadders('impliedVolatility', options);
+    // `type: 'Call'` must teach, not silently invert the other leg (design law #4).
+    ensureEnum(input.type, ['call', 'put'], 'type', 'impliedVolatility');
+    ensurePositive(input.price, 'price', 'impliedVolatility');
+    ensurePositive(input.spot, 'spot', 'impliedVolatility', ErrorCode.InputNegativeSpot);
+    ensurePositive(input.strike, 'strike', 'impliedVolatility', ErrorCode.InputNegativeStrike);
+    ensurePositive(input.timeToExpiryYears, 'timeToExpiryYears', 'impliedVolatility', ErrorCode.InputNegativeTime);
+    ensureFinite(input.riskFreeRate, 'riskFreeRate', 'impliedVolatility');
+    // Null is a wrong-typed value, not omission (the 350c2796 ruling): it used to coalesce
+    // to 0 BEFORE the finite check and silently price a dividend-free underlying.
+    ensureFiniteWhenPresent(input.dividendYield, 'dividendYield', 'impliedVolatility');
+    const q = input.dividendYield ?? 0;
+    // Same suspicious-input teaching as the pricing path: a `t` like 30 (days, not a 30-year horizon)
+    // silently solves the wrong IV, so flag it. `vol` is the unknown being solved, so only `t` applies.
+    // Computed up front so it rides the no-arbitrage failure paths too, not just a converged solve.
+    const suspicious = plausibilityWarnings({
+        timeToExpiryYears: input.timeToExpiryYears,
+        riskFreeRate: input.riskFreeRate,
+    });
+    const { type, price, spot: S, strike: K, timeToExpiryYears: T, riskFreeRate: r } = input;
+    const { lower, upper } = blackScholesPriceBounds({
+        type,
+        spot: S,
+        strike: K,
+        timeToExpiryYears: T,
+        riskFreeRate: r,
+        dividendYield: q,
+    });
+    if (price < lower - priceBoundSlack(lower)) {
+        return fail(T, q, ErrorCode.ImpliedVolatilityBelowIntrinsic, 'price is below intrinsic value', suspicious);
+    }
+    // Same bound rule as the kernel: the upper bound is the σ→∞ supremum, so a price AT it has no
+    // volatility (every large σ reproduces it) — all methods must reject it identically.
+    if (price >= upper - priceBoundSlack(upper)) {
+        return fail(T, q, ErrorCode.ImpliedVolatilityAboveMax, 'price is at or above the no-arbitrage upper bound', suspicious);
+    }
+    const method = options.method ?? 'auto';
+    const fallbackEnabled = options.fallback ?? true;
+    const warnings = [...suspicious];
+    const derivFn = (sigma) => impliedVolatilityDerivatives({
+        type,
+        targetPrice: price,
+        spot: S,
+        strike: K,
+        timeToExpiryYears: T,
+        riskFreeRate: r,
+        dividendYield: q,
+        volatility: sigma,
+    });
+    const seed = manasterKollerSeed({
+        spot: S,
+        strike: K,
+        timeToExpiryYears: T,
+        riskFreeRate: r,
+        dividendYield: q,
+    });
+    const tolOpts = {
+        stepTolerance: 1e-12,
+        // RELATIVE to the target (like the kernel's endpoint tolerance): `1e-12·max(1, price)` is an
+        // ABSOLUTE 1e-12 for every sub-dollar premium, which declares victory at the first trial σ for a
+        // 1e-16 target — any σ "matches" it. Floored only at the IEEE-754 limit.
+        residualTolerance: Math.max(1e-12 * price, Number.MIN_VALUE),
+        maximumIterations: 60,
+    };
+    const runBrent = () => {
+        const res = blackScholesImpliedVolatility({
+            type,
+            price,
+            spot: S,
+            strike: K,
+            timeToExpiryYears: T,
+            riskFreeRate: r,
+            dividendYield: q,
+        });
+        return {
+            value: res.value,
+            converged: res.converged,
+            iterations: res.iterations,
+            ...(res.reason !== undefined ? { reason: res.reason } : {}),
+        };
+    };
+    /**
+     * The module's failure grammar (Law 2): a non-converged solve ALWAYS carries an error-severity
+     * warning naming why. The Brent kernel knows the reason — pass it through instead of flattening
+     * every bracketed failure into a bare non-convergence.
+     */
+    const brentFailure = (reason) => {
+        switch (reason) {
+            case 'below_intrinsic':
+                return {
+                    code: ErrorCode.ImpliedVolatilityBelowIntrinsic,
+                    message: 'brent: price is below intrinsic value',
+                    severity: 'error',
+                };
+            case 'above_max_bound':
+                return {
+                    code: ErrorCode.ImpliedVolatilityAboveMax,
+                    message: 'brent: price is at or above the no-arbitrage upper bound',
+                    severity: 'error',
+                };
+            case 'price_below_resolvable':
+                return {
+                    code: ErrorCode.ImpliedVolatilityPriceBelowResolvable,
+                    message: 'brent: price is below the smallest premium this model can resolve to a volatility',
+                    severity: 'error',
+                };
+            default:
+                return {
+                    code: ErrorCode.ImpliedVolatilityNoConvergence,
+                    message: `brent did not converge${reason === undefined ? '' : ` (${reason})`}`,
+                    severity: 'error',
+                };
+        }
+    };
+    let value = NaN;
+    let converged = false;
+    let iterations = 0;
+    let usedMethod = method;
+    let fellBack = false;
+    const acceptable = (v) => Number.isFinite(v) &&
+        v > 0 &&
+        Math.abs(
+        // Unchecked for the same reason: acceptance runs per candidate root, behind that same boundary.
+        blackScholesPriceUnchecked({
+            type,
+            spot: S,
+            strike: K,
+            timeToExpiryYears: T,
+            riskFreeRate: r,
+            dividendYield: q,
+            volatility: v,
+        }) - price) <=
+            // Relative to the target for the same reason as `residualTolerance` above: an absolute floor
+            // accepts any σ once the price is small enough.
+            Math.max(1e-7 * price, Number.MIN_VALUE);
+    if (method === 'brent') {
+        const res = runBrent();
+        value = res.value;
+        converged = res.converged && acceptable(res.value);
+        iterations = res.iterations;
+        usedMethod = 'brent';
+        // Law 2: the brent path owes the same error-severity warning every other path pushes — without
+        // it a failed solve returned `value: null` with an EMPTY warning list and no reason at all.
+        if (!converged)
+            warnings.push(brentFailure(res.reason));
+    }
+    else {
+        const res = method === 'newton'
+            ? newton(derivFn, seed, tolOpts)
+            : method === 'halley'
+                ? halley(derivFn, seed, tolOpts)
+                : householder(derivFn, seed, tolOpts);
+        usedMethod = method === 'auto' ? 'householder' : method;
+        if (res.converged && acceptable(res.value)) {
+            value = res.value;
+            converged = true;
+            iterations = res.iterations;
+        }
+        else if (fallbackEnabled) {
+            const fb = runBrent();
+            value = fb.value;
+            converged = fb.converged && acceptable(fb.value);
+            iterations = res.iterations + fb.iterations;
+            usedMethod = 'brent';
+            fellBack = true;
+            warnings.push({
+                code: ErrorCode.ImpliedVolatilityNoConvergence,
+                message: `${method} did not converge; fell back to brent`,
+                severity: 'info',
+            });
+            // When the fallback ALSO fails, the info warning above is not a failure report — say why.
+            if (!converged)
+                warnings.push(brentFailure(fb.reason));
+        }
+        else {
+            value = NaN;
+            converged = false;
+            iterations = res.iterations;
+            warnings.push({
+                code: ErrorCode.ImpliedVolatilityNoConvergence,
+                message: `${method} did not converge and fallback is disabled`,
+                severity: 'error',
+            });
+        }
+    }
+    if (converged) {
+        const deriv = derivFn(value);
+        // Vega is per 1.00 of σ. For a normally-conditioned option it is O(0.1·S)…; a value this small
+        // means a tiny price change implies a large IV change (ill-conditioned inverse).
+        if ((deriv.df ?? 0) < 1e-4 * S) {
+            warnings.push({
+                code: WarningCode.ImpliedVolatilityLowVega,
+                message: 'vega is near zero; the implied volatility is ill-conditioned',
+                severity: 'warn',
+                context: { vega: deriv.df },
+            });
+        }
+    }
+    return {
+        // Law 7 / E3: a failed solve is `null` (the reason rides diagnostics), never a NaN "value".
+        value: converged ? value : null,
+        assumptions: assumptions(T, q),
+        diagnostics: {
+            engine: MODEL,
+            method: usedMethod,
+            converged,
+            iterations,
+            fallback: fellBack,
+            warnings,
+        },
+    };
+}
+/**
+ * Batch implied volatility with per-row diagnostics on `results`. A bad row yields a non-converged
+ * row result rather than aborting the chain — unless `failFast` is set.
+ */
+export function impliedVolatilityMany(rows, options = {}) {
+    requireArgumentArray('impliedVolatilityMany', 'rows', rows);
+    // Validate the SHARED options at the batch entry (Law 12): a bogus key must reject here — inside
+    // the per-row try/catch it would be swallowed into "every row failed" instead of teaching.
+    requireOptionalArgObject('impliedVolatilityMany', 'options', options);
+    ensureKnownKeys('impliedVolatilityMany', 'options', options, IMPLIED_VOL_OPTIONS_KEYS);
+    requireIvOptionLadders('impliedVolatilityMany', options);
+    for (const flag of ['failFast', 'extendedGreeks', 'greeks']) {
+        const flagValue = options[flag];
+        if (flagValue !== undefined && typeof flagValue !== 'boolean') {
+            throw new InputError(`impliedVolatilityMany: ${flag} must be a boolean when provided. Received ${flagValue === null ? 'null' : typeof flagValue}.`, { code: ErrorCode.InputWrongType, context: { field: flag } });
+        }
+    }
+    const results = rows.map((row) => {
+        try {
+            return impliedVolatility(row, options);
+        }
+        catch (error) {
+            if (options.failFast)
+                throw error;
+            // The recovery path must survive ANY bad row — `null`/garbage included — so it never touches
+            // `row` without a shape check (the doc's promise: a bad row yields a non-converged result, it
+            // does not abort the chain). The original typed code is preserved so callers can still branch
+            // on WHY the row failed (e.g. `input.negative_spot`) instead of a flattened out-of-range.
+            const shaped = row !== null && typeof row === 'object';
+            const t = shaped && typeof row.timeToExpiryYears === 'number' ? row.timeToExpiryYears : NaN;
+            const q = shaped && typeof row.dividendYield === 'number' ? row.dividendYield : 0;
+            const code = isQuantError(error) ? error.code : ErrorCode.InputOutOfRange;
+            const message = error instanceof Error ? error.message : 'invalid row';
+            return fail(t, q, code, message);
+        }
+    });
+    const failed = results.filter((r) => !r.diagnostics.converged).length;
+    return {
+        results,
+        assumptions: {
+            conventionsVersion: CONVENTIONS_VERSION,
+            dayCount: 'ACT/365F',
+            compounding: 'continuous',
+            model: MODEL,
+            engine: MODEL,
+            rows: rows.length,
+        },
+        diagnostics: {
+            engine: MODEL,
+            method: 'per-row',
+            converged: failed === 0,
+            warnings: failed === 0
+                ? []
+                : [
+                    {
+                        code: ErrorCode.ImpliedVolatilityNoConvergence,
+                        message: `${failed} of ${rows.length} rows did not converge — see results[i].diagnostics for the per-row reason`,
+                        severity: 'warn',
+                    },
+                ],
+        },
+    };
+}
+//# sourceMappingURL=iv.js.map

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

@@ -0,0 +1 @@
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package/modules/options/dist/lattice.d.ts

@@ -0,0 +1,7 @@
+/**
+ * `@insiderfinance/totalfinance/options/lattice` — the payoff-agnostic equity binomial lattice kernel as a lean
+ * expert subpath (P3.1b kernels-off-roots). The implementation lives in `equity-lattice.ts`;
+ * this shim exists because subpath names mirror source filenames across the monorepo tooling.
+ */
+export * from './equity-lattice.js';
+//# sourceMappingURL=lattice.d.ts.map

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

@@ -0,0 +1 @@
+{"version":3,"file":"lattice.d.ts","sourceRoot":"","sources":["../src/lattice.ts"],"names":[],"mappings":"AAAA;;;;GAIG;AACH,cAAc,qBAAqB,CAAC"}

package/modules/options/dist/lattice.js

@@ -0,0 +1,7 @@
+/**
+ * `@insiderfinance/totalfinance/options/lattice` — the payoff-agnostic equity binomial lattice kernel as a lean
+ * expert subpath (P3.1b kernels-off-roots). The implementation lives in `equity-lattice.ts`;
+ * this shim exists because subpath names mirror source filenames across the monorepo tooling.
+ */
+export * from './equity-lattice.js';
+//# sourceMappingURL=lattice.js.map

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

@@ -0,0 +1 @@
+{"version":3,"file":"lattice.js","sourceRoot":"","sources":["../src/lattice.ts"],"names":[],"mappings":"AAAA;;;;GAIG;AACH,cAAc,qBAAqB,CAAC"}

package/modules/options/dist/local-volatility.d.ts

@@ -0,0 +1,128 @@
+/**
+ * Dupire local volatility (spec §9.3, §10.1).
+ *
+ * Dupire's theorem: for any arbitrage-free implied-vol surface there is a unique *local* volatility
+ * function σ_loc(S, t) under which the one-factor diffusion dS = (r−q)·S·dt + σ_loc(S,t)·S·dW
+ * reprices that whole surface. We extract σ_loc from a caller-supplied implied-vol function using the
+ * Gatheral total-variance form (numerically far steadier than the raw price-second-derivative
+ * Dupire formula):
+ *
+ *   σ_loc² = ∂_T w / [ 1 − (k/w)·∂_k w + ¼·(−¼ − 1/w + k²/w²)·(∂_k w)² + ½·∂²_k w ]
+ *
+ * with total variance w(k, T) = σ_imp(K, T)²·T and log-moneyness k = ln(K / F_T), F_T = S₀·e^{(r−q)T}.
+ *
+ * `@insiderfinance/totalfinance/options` never depends on `@insiderfinance/totalfinance/volatility`, so the surface enters as a plain function
+ * `(strike, t) ⇒ impliedVolatility` — pass a parametric fit, an interpolated grid, or a closed-form smile.
+ *
+ * A *flat* implied surface yields σ_loc ≡ σ, so local-volatility MC collapses to Black–Scholes — the anchor.
+ */
+import { type OptionType } from '../../core/dist/index.js';
+import { type MonteCarloEstimate, type MonteCarloStatistics, type MonteCarloSamplingOptions } from './mc/core.js';
+import type { PriceResult } from './types.js';
+/** A market implied-volatility surface as a function of strike and time-to-expiry (years). */
+export type ImpliedVolatilityFunction = (strike: number, timeToExpiryYears: number) => number;
+/** Local volatility as a function of underlying level and time (years). */
+export type LocalVolatilityFunction = (level: number, timeToExpiryYears: number) => number;
+/** Market context the Dupire transform needs to convert strikes to moneyness. */
+export interface LocalVolatilityMarket {
+    spot: number;
+    riskFreeRate: number;
+    dividendYield?: number;
+}
+export interface DupireOptions {
+    /** Log-moneyness finite-difference step (default 0.01). */
+    logMoneynessStep?: number;
+    /** Time finite-difference step in years (default 1/365). */
+    timeStepYears?: number;
+    /** Floor for local vol (default 1e-3) — also the clamp when a local arbitrage drives σ_loc² ≤ 0. */
+    floorVolatility?: number;
+}
+/** Market inputs for a local-volatility MC price. */
+export interface LocalVolatilityInput {
+    spot: number;
+    strike: number;
+    timeToExpiryYears: number;
+    riskFreeRate: number;
+    dividendYield?: number;
+}
+export interface LocalVolatilityMonteCarloOptions extends MonteCarloSamplingOptions {
+    /** Time steps per path (default 100). */
+    steps?: number;
+}
+/** A local-volatility MC result enriched with the Monte-Carlo error statistics. */
+export interface LocalVolatilityMonteCarloResult extends PriceResult {
+    monteCarlo: MonteCarloStatistics;
+}
+/** One cohesive request for construction of a Dupire local-volatility function. */
+export interface DupireLocalVolatilityInput {
+    impliedVolatility: ImpliedVolatilityFunction;
+    market: LocalVolatilityMarket;
+    options?: DupireOptions;
+}
+/** Complete, assumption-light inputs for one raw local-volatility Monte-Carlo estimate. */
+export interface LocalVolatilityMonteCarloEstimateInput {
+    type: OptionType;
+    spot: number;
+    strike: number;
+    timeToExpiryYears: number;
+    riskFreeRate: number;
+    dividendYield: number;
+    localVolatility: LocalVolatilityFunction;
+    options: LocalVolatilityMonteCarloOptions;
+}
+/** One cohesive request for the validated local-volatility Monte-Carlo pricer. */
+export interface LocalVolatilityPriceMonteCarloRequest {
+    type: OptionType;
+    input: LocalVolatilityInput;
+    localVolatility: LocalVolatilityFunction;
+    options: LocalVolatilityMonteCarloOptions;
+}
+/**
+ * Build the Dupire local-volatility function σ_loc(level, t) from an implied-vol surface. The returned
+ * function is pure and can be evaluated anywhere on the (level, t) plane; out-of-range or locally
+ * arbitrageable points are floored at `floorVolatility` rather than returning NaN.
+ *
+ * Expert kernel form (model-subpath surface) — the curated root surface is {@link localVolatility.fromImplied}.
+ */
+export declare function dupireLocalVolatility(input: DupireLocalVolatilityInput): LocalVolatilityFunction;
+/** Grid specification for {@link localVolatilityGrid}: strictly-ascending level and time knots. */
+export interface LocalVolatilityGridSpecification {
+    /** Underlying levels, ascending (e.g. 0.4·S₀ … 2.5·S₀). */
+    levels: number[];
+    /** Times in years, ascending (e.g. up to the longest expiry priced). */
+    times: number[];
+}
+/**
+ * Precompute a local-volatility function onto a (level × time) grid and return a fast bilinear-interpolating
+ * `LocalVolatilityFunction`. The exact `dupireLocalVolatility` does ~4 surface evaluations per call — far too slow to run
+ * inside a Monte-Carlo step loop — so cache it once on a grid and interpolate. Off-grid queries clamp
+ * to the nearest edge (a documented, no-NaN extrapolation).
+ *
+ * Expert kernel form (model-subpath surface) — the curated root surface is {@link localVolatility.grid}.
+ */
+export declare function localVolatilityGrid(localVolatility: LocalVolatilityFunction, specification: LocalVolatilityGridSpecification): LocalVolatilityFunction;
+/**
+ * Low-level kernel: local-volatility Monte-Carlo estimate of the discounted European payoff.
+ *
+ * Expert kernel form (model-subpath surface) — the curated root surface is {@link localVolatility.monteCarloEstimate}.
+ */
+export declare function localVolatilityMonteCarloEstimate(input: LocalVolatilityMonteCarloEstimateInput): MonteCarloEstimate;
+/**
+ * Price a European option under a local-volatility diffusion by Monte-Carlo. Pass a `LocalVolatilityFunction`
+ * (typically from {@link dupireLocalVolatility}); the result carries MC error statistics on `result.mc`.
+ *
+ * Expert kernel form (model-subpath surface) — the curated root surface is {@link localVolatility.monteCarloPrice}.
+ */
+export declare function localVolatilityMonteCarloPrice(request: LocalVolatilityPriceMonteCarloRequest): LocalVolatilityMonteCarloResult;
+/**
+ * The local-volatility namespace — the grouped, discoverable surface over the flat local-volatility functions.
+ * `localVolatility.fromImplied` / `localVolatility.grid` / `localVolatility.monteCarloPrice` / `localVolatility.monteCarloEstimate` are the same
+ * functions; prefer the namespace over the deprecated flat exports.
+ */
+export declare const localVolatility: {
+    readonly fromImplied: typeof dupireLocalVolatility;
+    readonly grid: typeof localVolatilityGrid;
+    readonly monteCarloPrice: typeof localVolatilityMonteCarloPrice;
+    readonly monteCarloEstimate: typeof localVolatilityMonteCarloEstimate;
+};
+//# sourceMappingURL=local-volatility.d.ts.map

package/modules/options/dist/local-volatility.d.ts.map

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