@insiderfinance/totalfinance 0.1.0

package/modules/options/dist/parity.js

@@ -0,0 +1,566 @@
+/**
+ * `@insiderfinance/totalfinance/options/parity` — put-call parity, implied carry, and box-spread financing from a
+ * snapshot option chain (spec §WS9.4).
+ *
+ * Put-call parity says the call/put mid at each strike sits on a straight line in the strike `K`:
+ *
+ *     C(K) − P(K) = e^(−rT)·(F − K) = S·e^(−qT) − K·e^(−rT)
+ *
+ * so a regression of the parity spread `y_K = C(K) − P(K)` on `K` recovers the forward and the
+ * discount factor from one expiry's chain, with no volatility model:
+ *
+ *   - slope     = −e^(−rT)                     ⇒ implied discount factor  DF = −slope = e^(−rT)
+ *   - intercept =  e^(−rT)·F = S·e^(−qT)       ⇒ implied forward          F  = −intercept / slope
+ *   - implied financing rate                   ⇒ r* = −ln(DF) / T
+ *   - implied dividend yield (given S)         ⇒ q  = r − ln(F/S) / T
+ *
+ * Every function returns the pro-API envelope `{ value, assumptions, diagnostics }` (spec §5.2):
+ * `assumptions` echoes the applied conventions (day-count, `asOf`, time-to-expiry, price source,
+ * outlier threshold), and `diagnostics` carries the per-strike parity residuals plus the MAD-based
+ * outlier trim (count + strikes) so nothing is hidden. Quantitative degeneracy is reported via
+ * `diagnostics.converged` and `diagnostics.warnings`, never a fabricated value (design law #4).
+ * Malformed arguments (missing `rows`/`options`, bad numbers) throw an {@link InputError} with a stable
+ * `input.*` code; chain-level gaps (a missing leg, too few usable strikes) throw a stable `parity.*`
+ * code — see {@link ParityCode}.
+ */
+import { CONVENTIONS_VERSION, ErrorCode, InputError, ensureFinite, ensureKnownKeys, ensurePositive, selectQuotePrice, warning, requireArgumentArray, requireArgumentObject, resolveValuationAsOf, } from '../../core/dist/index.js';
+import { median } from '../../math/dist/index.js';
+import { timeToExpiryYears } from './time.js';
+const MODEL = 'put-call-parity';
+/** Default MAD multiplier `k`: a strike whose parity residual exceeds `k·MAD` is trimmed. */
+export const DEFAULT_OUTLIER_THRESHOLD = 3.5;
+/** Default quote price source used to read each leg's price. */
+const DEFAULT_SOURCE = 'mid';
+/** Stable `parity.*` error/warning codes (public API; the set is open). */
+export const ParityCode = {
+    /** A specifically requested strike/leg quote is missing (box spread). */
+    StrikeUnavailable: 'parity.strike_unavailable',
+    /** Fewer than two usable strikes with both a call and a put — a line cannot be fit. */
+    InsufficientStrikes: 'parity.insufficient_strikes',
+    /** The regression slope is non-negative, so no positive discount factor exists. */
+    NonPositiveDiscount: 'parity.nonpositive_discount',
+    /** The implied forward came out non-positive / non-finite. */
+    NonPositiveForward: 'parity.nonpositive_forward',
+    /** The box debit is non-positive, so no real financing rate exists. */
+    DegenerateBox: 'parity.degenerate_box',
+    /** The regression-implied rate disagrees materially with the supplied rate. */
+    RateMismatch: 'parity.rate_mismatch',
+};
+// Law 12 allowlists — a misspelled option (`outlierThresold`, `sourse`) must teach, never be
+// silently ignored in favour of the defaults.
+const IMPLIED_FORWARD_KEYS = ['riskFreeRate', 'asOf', 'source', 'outlierThreshold'];
+/** Shared by {@link impliedDividendYield} and {@link impliedBorrow} (same options shape). */
+const IMPLIED_CARRY_KEYS = [...IMPLIED_FORWARD_KEYS, 'spot'];
+const BOX_SPREAD_KEYS = ['asOf', 'source'];
+const IMPLIED_PARITY_REQUEST_KEYS = ['quotes', 'expiry', 'options'];
+const BOX_SPREAD_REQUEST_KEYS = [
+    'quotes',
+    'expiry',
+    'lowerStrike',
+    'upperStrike',
+    'options',
+];
+/**
+ * Collect one `(strike, C−P)` point per strike that carries BOTH a finite call and put price at the
+ * requested expiry and source. Later rows override earlier ones for the same strike+type.
+ */
+function collectParityPoints(rows, expiry, source) {
+    const byStrike = new Map();
+    for (const row of rows) {
+        const c = row.contract;
+        if (c.expiry !== expiry)
+            continue;
+        const price = selectQuotePrice(row, source);
+        if (price === undefined || !Number.isFinite(price))
+            continue;
+        let entry = byStrike.get(c.strike);
+        if (entry === undefined) {
+            entry = {};
+            byStrike.set(c.strike, entry);
+        }
+        if (c.type === 'call')
+            entry.call = price;
+        else
+            entry.put = price;
+    }
+    const points = [];
+    for (const [strike, { call, put }] of byStrike) {
+        if (call !== undefined && put !== undefined) {
+            points.push({ strike, call, put, spread: call - put });
+        }
+    }
+    points.sort((a, b) => a.strike - b.strike);
+    return points;
+}
+/** Find a single leg's price at an exact strike, throwing `parity.strike_unavailable` when absent. */
+function requireLegPrice(rows, expiry, strike, type, source, functionName) {
+    for (const row of rows) {
+        const c = row.contract;
+        if (c.expiry === expiry && c.type === type && c.strike === strike) {
+            const price = selectQuotePrice(row, source);
+            if (price !== undefined && Number.isFinite(price))
+                return price;
+        }
+    }
+    throw new InputError(`${functionName}: no ${type} quote at strike ${strike} for expiry "${expiry}" (source "${source}").`, {
+        code: ParityCode.StrikeUnavailable,
+        context: { strike, type, expiry, source, function: functionName },
+    });
+}
+/** Closed-form simple OLS of `ys` on `xs`. Returns `null` when the strikes have no spread. */
+function ols(xs, ys) {
+    const n = xs.length;
+    if (n < 2)
+        return null;
+    let sx = 0;
+    let sy = 0;
+    for (let i = 0; i < n; i++) {
+        sx += xs[i];
+        sy += ys[i];
+    }
+    const mx = sx / n;
+    const my = sy / n;
+    let sxx = 0;
+    let sxy = 0;
+    for (let i = 0; i < n; i++) {
+        const dx = xs[i] - mx;
+        sxx += dx * dx;
+        sxy += dx * (ys[i] - my);
+    }
+    if (!(sxx > 0))
+        return null;
+    const slope = sxy / sxx;
+    return { slope, intercept: my - slope * mx };
+}
+/** Coefficient of determination of `line` against the data. */
+function rSquaredOf(xs, ys, line) {
+    const n = ys.length;
+    let my = 0;
+    for (let i = 0; i < n; i++)
+        my += ys[i];
+    my /= n;
+    let ssRes = 0;
+    let ssTot = 0;
+    for (let i = 0; i < n; i++) {
+        const fit = line.intercept + line.slope * xs[i];
+        ssRes += (ys[i] - fit) ** 2;
+        ssTot += (ys[i] - my) ** 2;
+    }
+    return ssTot > 0 ? 1 - ssRes / ssTot : 1;
+}
+/**
+ * Fit the parity line with MAD-based outlier trimming:
+ *   1. OLS on all usable strikes.
+ *   2. residual = (C−P) − fitted; MAD = median(|residual − median(residual)|).
+ *   3. drop strikes whose |residual − median| exceeds `k·MAD`, then refit on the survivors.
+ *
+ * Trimming is skipped when there are too few strikes (< 4, so a survivor set stays ≥ 3) or when the
+ * MAD is numerically ~0 (a clean/collinear chain), which keeps exact chains recovering exactly.
+ */
+function fitParity(points, k, functionName) {
+    if (points.length < 2) {
+        throw new InputError(`${functionName}: need at least 2 strikes with both a call and a put to fit parity; got ${points.length}.`, {
+            code: ParityCode.InsufficientStrikes,
+            context: { strikes: points.length, function: functionName },
+        });
+    }
+    const allStrikes = points.map((p) => p.strike);
+    const allSpreads = points.map((p) => p.spread);
+    const initial = ols(allStrikes, allSpreads);
+    if (initial === null) {
+        throw new InputError(`${functionName}: the strikes carry no spread (all identical), so parity cannot be regressed.`, {
+            code: ParityCode.InsufficientStrikes,
+            context: { strikes: points.length, function: functionName },
+        });
+    }
+    // MAD of initial-fit residuals.
+    const residuals = points.map((p) => p.spread - (initial.intercept + initial.slope * p.strike));
+    const medianResidual = median(residuals);
+    const absDev = residuals.map((r) => Math.abs(r - medianResidual));
+    const medianAbsoluteDeviationResidual = median(absDev);
+    let maxAbsDev = 0;
+    let sumAbsDev = 0;
+    for (const d of absDev) {
+        if (d > maxAbsDev)
+            maxAbsDev = d;
+        sumAbsDev += d;
+    }
+    // Guard: never trim a clean / collinear chain — no residual stands out from the spread scale.
+    const spreadScale = Math.max(1, median(allSpreads.map((s) => Math.abs(s))));
+    const clean = maxAbsDev <= 1e-9 * spreadScale;
+    // Cutoff scale is the MAD (spec), with a mean-absolute-deviation fallback when the MAD is
+    // degenerate — a lone outlier at the design centre leaves a majority of identical residuals, which
+    // zeroes the MAD even though an obvious outlier exists. The reported `madResidual` stays the true MAD.
+    const scale = medianAbsoluteDeviationResidual > 1e-12 * spreadScale
+        ? medianAbsoluteDeviationResidual
+        : sumAbsDev / absDev.length;
+    const canTrim = points.length >= 4 && !clean && scale > 0;
+    const kept = [];
+    const trimmed = [];
+    if (canTrim) {
+        const cutoff = k * scale;
+        for (let i = 0; i < points.length; i++) {
+            if (Math.abs(residuals[i] - medianResidual) > cutoff)
+                trimmed.push(points[i]);
+            else
+                kept.push(points[i]);
+        }
+    }
+    // Never trim below the 2 points a line needs; fall back to the full set if we would.
+    const useAll = !canTrim || kept.length < 2;
+    const fitPoints = useAll ? points : kept;
+    const line = ols(fitPoints.map((p) => p.strike), fitPoints.map((p) => p.spread)) ?? initial;
+    const trimmedStrikes = new Set(useAll ? [] : trimmed.map((p) => p.strike));
+    const perStrike = points.map((p) => {
+        const fitted = line.intercept + line.slope * p.strike;
+        return {
+            strike: p.strike,
+            call: p.call,
+            put: p.put,
+            spread: p.spread,
+            fitted,
+            residual: p.spread - fitted,
+            trimmed: trimmedStrikes.has(p.strike),
+        };
+    });
+    const warnings = [];
+    const discountFactor = -line.slope;
+    const forward = line.slope !== 0 ? -line.intercept / line.slope : NaN;
+    const impliedRate = discountFactor > 0 ? -Math.log(discountFactor) : NaN;
+    if (!(discountFactor > 0)) {
+        warnings.push(warning(ParityCode.NonPositiveDiscount, `implied discount factor ${discountFactor} is non-positive; the parity slope is not a valid −e^(−rT).`, 'error', { discountFactor }));
+    }
+    return {
+        line,
+        forward,
+        discountFactor,
+        impliedRate,
+        perStrike,
+        kept: useAll ? points : kept,
+        trimmed: useAll ? [] : trimmed,
+        medianAbsoluteDeviationResidual,
+        rSquared: rSquaredOf(fitPoints.map((p) => p.strike), fitPoints.map((p) => p.spread), line),
+        warnings,
+    };
+}
+/**
+ * Is this fit a valid parity line at all? The regression slope must be `−e^(−rT)`, i.e. strictly
+ * NEGATIVE, so the implied discount factor is positive. A crossed / mispaired chain (puts and calls
+ * swapped, one leg stale) regresses to a positive slope: every quantity downstream —
+ * `F = −intercept/slope`, `q = r − ln(F/S)/T`, `r* = −ln(DF)/T` — is then arithmetic on an impossible
+ * discount factor, and `F` in particular stays finite and positive, which is exactly how a crossed
+ * chain used to come back `converged: true`. `impliedBorrow` has always gated here; the whole module
+ * does now.
+ */
+function admissible(fit) {
+    return Number.isFinite(fit.discountFactor) && fit.discountFactor > 0;
+}
+/**
+ * Put-call parity `C − P = e^{−rt}(F − K)` is a EUROPEAN, single-underlying relationship. An
+ * American contract carries early-exercise premium that biases the implied forward, and mixing
+ * underlyings is meaningless — reject both rather than fit a confident-but-wrong `F` (design law #4).
+ */
+function assertEuropeanSingleUnderlying(rows, expiry, functionName) {
+    let underlying;
+    for (const row of rows) {
+        const c = row.contract;
+        if (c.expiry !== expiry)
+            continue;
+        if (c.style !== 'european') {
+            throw new InputError(`${functionName}: put-call parity holds for EUROPEAN options only; the contract at strike ${c.strike} is '${c.style}' (early-exercise premium biases the implied forward).`, { code: ErrorCode.InputWrongType, context: { strike: c.strike, style: c.style } });
+        }
+        if (underlying === undefined)
+            underlying = c.underlying;
+        else if (c.underlying !== underlying) {
+            throw new InputError(`${functionName}: parity requires a single underlying; got both '${underlying}' and '${c.underlying}'.`, { code: ErrorCode.InputWrongType, context: { underlyings: [underlying, c.underlying] } });
+        }
+    }
+}
+/** Run the parity regression for one expiry, resolving time-to-expiry from `asOf`. */
+function parityRegression(rows, expiry, source, k, asOf, functionName) {
+    const t = timeToExpiryYears(resolveValuationAsOf(asOf, functionName), expiry, functionName);
+    ensurePositive(t, 'timeToExpiryYears', functionName, ErrorCode.InputNegativeTime);
+    assertEuropeanSingleUnderlying(rows, expiry, functionName);
+    const points = collectParityPoints(rows, expiry, source);
+    const fit = fitParity(points, k, functionName);
+    return {
+        ...fit,
+        timeToExpiryYears: t,
+        // T-dependent rate uses the resolved year-fraction.
+        impliedRate: Number.isFinite(fit.impliedRate) ? fit.impliedRate / t : NaN,
+    };
+}
+// ---------------------------------------------------------------------------
+// Envelope builders
+// ---------------------------------------------------------------------------
+function parityAssumptions(input) {
+    const { fit, riskFreeRate, source, outlierThreshold, asOf, spot } = input;
+    const asOfMs = resolveValuationAsOf(asOf, 'parity');
+    const base = {
+        conventionsVersion: CONVENTIONS_VERSION,
+        dayCount: 'ACT/365F',
+        compounding: 'continuous',
+        asOf: asOfMs,
+        timeToExpiryYears: fit.timeToExpiryYears,
+        model: MODEL,
+        engine: MODEL,
+        riskFreeRate,
+        priceSource: source,
+        outlierThreshold,
+    };
+    return spot !== undefined ? { ...base, spot } : base;
+}
+function parityDiagnostics(fit, converged, extraWarnings) {
+    return {
+        engine: MODEL,
+        method: 'ols-regression',
+        converged,
+        warnings: [...fit.warnings, ...extraWarnings],
+        strikesUsed: fit.kept.length,
+        trimmedCount: fit.trimmed.length,
+        trimmedStrikes: fit.trimmed.map((p) => p.strike).sort((a, b) => a - b),
+        perStrike: fit.perStrike,
+        medianAbsoluteDeviationResidual: fit.medianAbsoluteDeviationResidual,
+        rSquared: fit.rSquared,
+        impliedDiscountFactor: fit.discountFactor,
+        impliedRate: fit.impliedRate,
+    };
+}
+// ---------------------------------------------------------------------------
+// Public API
+// ---------------------------------------------------------------------------
+/**
+ * Implied forward `F` from put-call parity across one expiry's chain.
+ *
+ * Regresses `C(K) − P(K)` on `K`; from `slope = −e^(−rT)` and `intercept = e^(−rT)·F`,
+ * `F = −intercept / slope`. The supplied `rate` is echoed and compared against the
+ * regression-implied financing rate (reported in `diagnostics.impliedRate`); it does not bias `F`.
+ */
+export function impliedForward(input) {
+    requireArgumentObject('impliedForward', 'input', input);
+    ensureKnownKeys('impliedForward', 'input', input, IMPLIED_PARITY_REQUEST_KEYS);
+    const { quotes: rows, expiry, options } = input;
+    requireArgumentArray('impliedForward', 'rows', rows);
+    requireArgumentObject('impliedForward', 'options', options);
+    ensureKnownKeys('impliedForward', 'options', options, IMPLIED_FORWARD_KEYS);
+    const functionName = 'parity.impliedForward';
+    ensureFinite(options.riskFreeRate, 'riskFreeRate', functionName);
+    if (options.source !== undefined &&
+        !['bid', 'ask', 'mid', 'last', 'mark'].includes(options.source)) {
+        throw new InputError(`parity: source must be bid | ask | mid | last | mark when provided. Received ${options.source === null ? 'null' : JSON.stringify(options.source)}.`, { code: ErrorCode.InputInvalidEnum, context: { field: 'source' } });
+    }
+    const source = options.source ?? DEFAULT_SOURCE;
+    if (options.outlierThreshold !== undefined &&
+        (typeof options.outlierThreshold !== 'number' || !Number.isFinite(options.outlierThreshold))) {
+        throw new InputError(`parity: outlierThreshold must be a finite number when provided. Received ${options.outlierThreshold === null ? 'null' : typeof options.outlierThreshold}.`, { code: ErrorCode.InputWrongType, context: { field: 'outlierThreshold' } });
+    }
+    const k = options.outlierThreshold ?? DEFAULT_OUTLIER_THRESHOLD;
+    const fit = parityRegression(rows, expiry, source, k, options.asOf, functionName);
+    const warnings = [];
+    // An admissible fit needs BOTH a positive forward and a positive discount factor (slope < 0) —
+    // `impliedBorrow` has always gated on the discount factor, and this function must agree. A crossed
+    // chain regresses to a POSITIVE slope, and `F = −intercept/slope` off that slope is still finite
+    // and positive: converging on it reported a confident forward computed from a discount factor of
+    // e.g. −0.9 (defect-fix wave, finding 2).
+    const admissibleDiscount = admissible(fit);
+    const ok = admissibleDiscount && Number.isFinite(fit.forward) && fit.forward > 0;
+    // An inadmissible discount factor is already reported: `fitParity` put parity.nonpositive_discount
+    // on `fit.warnings`, which `parityDiagnostics` merges in — re-reporting it as a forward problem
+    // would name the symptom instead of the cause.
+    if (admissibleDiscount && !ok) {
+        warnings.push(warning(ParityCode.NonPositiveForward, `implied forward ${fit.forward} is not positive.`, 'error', {
+            forward: fit.forward,
+        }));
+    }
+    else if (ok &&
+        Number.isFinite(fit.impliedRate) &&
+        Math.abs(fit.impliedRate - options.riskFreeRate) > 0.02) {
+        warnings.push(warning(ParityCode.RateMismatch, `regression-implied rate ${fit.impliedRate.toFixed(4)} differs from supplied rate ${options.riskFreeRate.toFixed(4)}.`, 'info', { impliedRate: fit.impliedRate, suppliedRate: options.riskFreeRate }));
+    }
+    return {
+        // Never a fabricated value: an inadmissible fit reports NaN with `converged: false` and the
+        // reason on `diagnostics.warnings` (the module's failure grammar, shared with impliedBorrow).
+        value: ok ? fit.forward : NaN,
+        assumptions: parityAssumptions({
+            fit,
+            riskFreeRate: options.riskFreeRate,
+            source,
+            outlierThreshold: k,
+            asOf: options.asOf,
+        }),
+        diagnostics: parityDiagnostics(fit, ok, warnings),
+    };
+}
+/**
+ * Implied continuous dividend yield `q` from `F = S·e^((r−q)T)` ⇒ `q = r − ln(F/S)/T`, using the
+ * regression forward and the supplied `spot`/`rate`.
+ */
+export function impliedDividendYield(input) {
+    requireArgumentObject('impliedDividendYield', 'input', input);
+    ensureKnownKeys('impliedDividendYield', 'input', input, IMPLIED_PARITY_REQUEST_KEYS);
+    const { quotes: rows, expiry, options } = input;
+    requireArgumentArray('impliedDividendYield', 'rows', rows);
+    requireArgumentObject('impliedDividendYield', 'options', options);
+    ensureKnownKeys('impliedDividendYield', 'options', options, IMPLIED_CARRY_KEYS);
+    const functionName = 'parity.impliedDividendYield';
+    ensureFinite(options.riskFreeRate, 'riskFreeRate', functionName);
+    ensurePositive(options.spot, 'spot', functionName, ErrorCode.InputNegativeSpot);
+    if (options.source !== undefined &&
+        !['bid', 'ask', 'mid', 'last', 'mark'].includes(options.source)) {
+        throw new InputError(`parity: source must be bid | ask | mid | last | mark when provided. Received ${options.source === null ? 'null' : JSON.stringify(options.source)}.`, { code: ErrorCode.InputInvalidEnum, context: { field: 'source' } });
+    }
+    const source = options.source ?? DEFAULT_SOURCE;
+    if (options.outlierThreshold !== undefined &&
+        (typeof options.outlierThreshold !== 'number' || !Number.isFinite(options.outlierThreshold))) {
+        throw new InputError(`parity: outlierThreshold must be a finite number when provided. Received ${options.outlierThreshold === null ? 'null' : typeof options.outlierThreshold}.`, { code: ErrorCode.InputWrongType, context: { field: 'outlierThreshold' } });
+    }
+    const k = options.outlierThreshold ?? DEFAULT_OUTLIER_THRESHOLD;
+    const fit = parityRegression(rows, expiry, source, k, options.asOf, functionName);
+    const warnings = [];
+    // Same admissibility gate as `impliedForward`: a crossed chain's positive slope makes the forward
+    // (and therefore `q = r − ln(F/S)/T`) a number computed from an impossible discount factor.
+    const admissibleDiscount = admissible(fit);
+    const ok = admissibleDiscount && Number.isFinite(fit.forward) && fit.forward > 0;
+    let q = NaN;
+    if (ok) {
+        q = options.riskFreeRate - Math.log(fit.forward / options.spot) / fit.timeToExpiryYears;
+    }
+    else if (admissibleDiscount) {
+        warnings.push(warning(ParityCode.NonPositiveForward, `implied forward ${fit.forward} is not positive; cannot back out a dividend yield.`, 'error', { forward: fit.forward }));
+    }
+    // (When the discount factor itself is inadmissible, `fitParity` already recorded
+    // parity.nonpositive_discount on `fit.warnings`, which `parityDiagnostics` merges in.)
+    return {
+        value: q,
+        assumptions: parityAssumptions({
+            fit,
+            riskFreeRate: options.riskFreeRate,
+            source,
+            outlierThreshold: k,
+            asOf: options.asOf,
+            spot: options.spot,
+        }),
+        diagnostics: parityDiagnostics(fit, ok, warnings),
+    };
+}
+/**
+ * Implied borrow / financing spread: the regression-implied financing rate `r*` (from the parity
+ * slope) minus the supplied `rate`. Zero when the chain was priced at exactly `rate`.
+ */
+export function impliedBorrow(input) {
+    requireArgumentObject('impliedBorrow', 'input', input);
+    ensureKnownKeys('impliedBorrow', 'input', input, IMPLIED_PARITY_REQUEST_KEYS);
+    const { quotes: rows, expiry, options } = input;
+    requireArgumentArray('impliedBorrow', 'rows', rows);
+    requireArgumentObject('impliedBorrow', 'options', options);
+    ensureKnownKeys('impliedBorrow', 'options', options, IMPLIED_CARRY_KEYS);
+    const functionName = 'parity.impliedBorrow';
+    ensureFinite(options.riskFreeRate, 'riskFreeRate', functionName);
+    ensurePositive(options.spot, 'spot', functionName, ErrorCode.InputNegativeSpot);
+    if (options.source !== undefined &&
+        !['bid', 'ask', 'mid', 'last', 'mark'].includes(options.source)) {
+        throw new InputError(`parity: source must be bid | ask | mid | last | mark when provided. Received ${options.source === null ? 'null' : JSON.stringify(options.source)}.`, { code: ErrorCode.InputInvalidEnum, context: { field: 'source' } });
+    }
+    const source = options.source ?? DEFAULT_SOURCE;
+    if (options.outlierThreshold !== undefined &&
+        (typeof options.outlierThreshold !== 'number' || !Number.isFinite(options.outlierThreshold))) {
+        throw new InputError(`parity: outlierThreshold must be a finite number when provided. Received ${options.outlierThreshold === null ? 'null' : typeof options.outlierThreshold}.`, { code: ErrorCode.InputWrongType, context: { field: 'outlierThreshold' } });
+    }
+    const k = options.outlierThreshold ?? DEFAULT_OUTLIER_THRESHOLD;
+    const fit = parityRegression(rows, expiry, source, k, options.asOf, functionName);
+    const warnings = [];
+    const ok = Number.isFinite(fit.impliedRate);
+    let spread = NaN;
+    if (ok) {
+        spread = fit.impliedRate - options.riskFreeRate;
+    }
+    else {
+        warnings.push(warning(ParityCode.NonPositiveDiscount, `no positive discount factor implied by the chain; cannot infer a financing spread.`, 'error', { discountFactor: fit.discountFactor }));
+    }
+    return {
+        value: spread,
+        assumptions: parityAssumptions({
+            fit,
+            riskFreeRate: options.riskFreeRate,
+            source,
+            outlierThreshold: k,
+            asOf: options.asOf,
+            spot: options.spot,
+        }),
+        diagnostics: parityDiagnostics(fit, ok, warnings),
+    };
+}
+/**
+ * Implied financing rate from the box spread between strikes `k1 < k2`.
+ *
+ * A box (bull call spread `+` bear put spread) locks in `(k2 − k1)` at expiry for a net debit
+ * `box = (C(k1) − C(k2)) + (P(k2) − P(k1))`, so `box = (k2 − k1)·e^(−rT)` and
+ * `rate = −ln(box / (k2 − k1)) / T`. Throws `parity.strike_unavailable` when a needed leg is missing.
+ */
+export function boxSpreadRate(input) {
+    requireArgumentObject('boxSpreadRate', 'input', input);
+    ensureKnownKeys('boxSpreadRate', 'input', input, BOX_SPREAD_REQUEST_KEYS);
+    const { quotes: rows, expiry, lowerStrike: k1, upperStrike: k2, options } = input;
+    requireArgumentArray('boxSpreadRate', 'rows', rows);
+    requireArgumentObject('boxSpreadRate', 'options', options);
+    ensureKnownKeys('boxSpreadRate', 'options', options, BOX_SPREAD_KEYS);
+    const functionName = 'parity.boxSpreadRate';
+    ensurePositive(k1, 'k1', functionName, ErrorCode.InputNegativeStrike);
+    ensurePositive(k2, 'k2', functionName, ErrorCode.InputNegativeStrike);
+    if (!(k1 < k2)) {
+        throw new InputError(`${functionName}: require k1 < k2, got k1=${k1}, k2=${k2}.`, {
+            code: ErrorCode.InputOutOfRange,
+            context: { k1, k2, function: functionName },
+        });
+    }
+    if (options.source !== undefined &&
+        !['bid', 'ask', 'mid', 'last', 'mark'].includes(options.source)) {
+        throw new InputError(`parity: source must be bid | ask | mid | last | mark when provided. Received ${options.source === null ? 'null' : JSON.stringify(options.source)}.`, { code: ErrorCode.InputInvalidEnum, context: { field: 'source' } });
+    }
+    const source = options.source ?? DEFAULT_SOURCE;
+    const asOfMs = resolveValuationAsOf(options.asOf, functionName);
+    const t = timeToExpiryYears(asOfMs, expiry, functionName);
+    ensurePositive(t, 'timeToExpiryYears', functionName, ErrorCode.InputNegativeTime);
+    const callLow = requireLegPrice(rows, expiry, k1, 'call', source, functionName);
+    const putLow = requireLegPrice(rows, expiry, k1, 'put', source, functionName);
+    const callHigh = requireLegPrice(rows, expiry, k2, 'call', source, functionName);
+    const putHigh = requireLegPrice(rows, expiry, k2, 'put', source, functionName);
+    const width = k2 - k1;
+    const debit = callLow - callHigh + (putHigh - putLow);
+    const discountFactor = debit / width;
+    const warnings = [];
+    let rate = NaN;
+    const ok = discountFactor > 0;
+    if (ok) {
+        rate = -Math.log(discountFactor) / t;
+    }
+    else {
+        warnings.push(warning(ParityCode.DegenerateBox, `box debit ${debit} over width ${width} is not a positive discount factor; no real financing rate exists.`, 'error', { debit, width, discountFactor }));
+    }
+    const assumptions = {
+        conventionsVersion: CONVENTIONS_VERSION,
+        dayCount: 'ACT/365F',
+        compounding: 'continuous',
+        asOf: asOfMs,
+        timeToExpiryYears: t,
+        model: MODEL,
+        engine: MODEL,
+        priceSource: source,
+        lowerStrike: k1,
+        upperStrike: k2,
+    };
+    return {
+        value: rate,
+        assumptions,
+        diagnostics: {
+            engine: MODEL,
+            method: 'box-spread',
+            converged: ok,
+            warnings,
+            debit,
+            width,
+            discountFactor,
+        },
+    };
+}
+//# sourceMappingURL=parity.js.map

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

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package/modules/options/dist/payoff-kernel.d.ts

@@ -0,0 +1,33 @@
+/**
+ * The vanilla-intrinsic kernel — the ONE source of truth for `max(S − K, 0)` / `max(K − S, 0)`
+ * (platform roadmap, "One small primitive gap is worth closing").
+ *
+ * The same tiny formula used to be written inline in the option engines, the exercise analytics, and
+ * the American IV boundary. Each copy was correct, and each copy was a place the next edit could make
+ * them disagree. They now all route here.
+ */
+import type { OptionType } from '../../core/dist/index.js';
+/** Input for {@link vanillaIntrinsicUnchecked} and the public `vanillaIntrinsic`. */
+export interface VanillaIntrinsicInput {
+    /** Which leg — `'call'` or `'put'`. */
+    type: OptionType;
+    /** The underlying's price per unit, in the same currency unit as `strike`. */
+    underlyingPrice: number;
+    /** The option's strike price per unit. */
+    strike: number;
+}
+/**
+ * The unchecked kernel: pure arithmetic, no validation.
+ *
+ * It exists so validation can live at the boundary WITHOUT being paid per node: the lattice engines
+ * evaluate this at every terminal (and, for American exercise, interior) node, and the FDM engine at
+ * every grid point — loops whose inputs were validated once at their own boundary. It also preserves
+ * those interior sites' exact semantics: a non-finite node value (an overflowed `u^n`) propagates as
+ * arithmetic, never as a thrown validation error the site did not have before.
+ *
+ * @internal PACKAGE-private, mirroring `blackScholesPriceUnchecked`: this module is deliberately not
+ * a package subpath and the index does not re-export it, so it never reaches the public surface or
+ * the API report. Every caller must have validated (or arithmetically produced) its inputs already.
+ */
+export declare function vanillaIntrinsicUnchecked(input: VanillaIntrinsicInput): number;
+//# sourceMappingURL=payoff-kernel.d.ts.map

package/modules/options/dist/payoff-kernel.d.ts.map

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