@insiderfinance/totalfinance 0.1.0
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/LICENSE +201 -0
- package/README.md +339 -0
- package/STABILITY.md +23 -0
- package/modules/backtest/dist/artifacts.d.ts +23 -0
- package/modules/backtest/dist/artifacts.d.ts.map +1 -0
- package/modules/backtest/dist/artifacts.js +22 -0
- package/modules/backtest/dist/artifacts.js.map +1 -0
- package/modules/backtest/dist/broker.d.ts +265 -0
- package/modules/backtest/dist/broker.d.ts.map +1 -0
- package/modules/backtest/dist/broker.js +1228 -0
- package/modules/backtest/dist/broker.js.map +1 -0
- package/modules/backtest/dist/costs.d.ts +67 -0
- package/modules/backtest/dist/costs.d.ts.map +1 -0
- package/modules/backtest/dist/costs.js +171 -0
- package/modules/backtest/dist/costs.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/engine.d.ts +21 -0
- package/modules/backtest/dist/cross-sectional/engine.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/engine.js +1399 -0
- package/modules/backtest/dist/cross-sectional/engine.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/folds.d.ts +134 -0
- package/modules/backtest/dist/cross-sectional/folds.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/folds.js +375 -0
- package/modules/backtest/dist/cross-sectional/folds.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/grid.d.ts +142 -0
- package/modules/backtest/dist/cross-sectional/grid.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/grid.js +394 -0
- package/modules/backtest/dist/cross-sectional/grid.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/index.d.ts +18 -0
- package/modules/backtest/dist/cross-sectional/index.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/index.js +15 -0
- package/modules/backtest/dist/cross-sectional/index.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/types.d.ts +331 -0
- package/modules/backtest/dist/cross-sectional/types.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/types.js +12 -0
- package/modules/backtest/dist/cross-sectional/types.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/validate.d.ts +22 -0
- package/modules/backtest/dist/cross-sectional/validate.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/validate.js +489 -0
- package/modules/backtest/dist/cross-sectional/validate.js.map +1 -0
- package/modules/backtest/dist/diagnostics.d.ts +16 -0
- package/modules/backtest/dist/diagnostics.d.ts.map +1 -0
- package/modules/backtest/dist/diagnostics.js +63 -0
- package/modules/backtest/dist/diagnostics.js.map +1 -0
- package/modules/backtest/dist/environment/bench.d.ts +34 -0
- package/modules/backtest/dist/environment/bench.d.ts.map +1 -0
- package/modules/backtest/dist/environment/bench.js +724 -0
- package/modules/backtest/dist/environment/bench.js.map +1 -0
- package/modules/backtest/dist/environment/environment.d.ts +5 -0
- package/modules/backtest/dist/environment/environment.d.ts.map +1 -0
- package/modules/backtest/dist/environment/environment.js +618 -0
- package/modules/backtest/dist/environment/environment.js.map +1 -0
- package/modules/backtest/dist/environment/episode.d.ts +4 -0
- package/modules/backtest/dist/environment/episode.d.ts.map +1 -0
- package/modules/backtest/dist/environment/episode.js +121 -0
- package/modules/backtest/dist/environment/episode.js.map +1 -0
- package/modules/backtest/dist/environment/episodes.d.ts +14 -0
- package/modules/backtest/dist/environment/episodes.d.ts.map +1 -0
- package/modules/backtest/dist/environment/episodes.js +644 -0
- package/modules/backtest/dist/environment/episodes.js.map +1 -0
- package/modules/backtest/dist/environment/features.d.ts +31 -0
- package/modules/backtest/dist/environment/features.d.ts.map +1 -0
- package/modules/backtest/dist/environment/features.js +157 -0
- package/modules/backtest/dist/environment/features.js.map +1 -0
- package/modules/backtest/dist/environment/index.d.ts +14 -0
- package/modules/backtest/dist/environment/index.d.ts.map +1 -0
- package/modules/backtest/dist/environment/index.js +12 -0
- package/modules/backtest/dist/environment/index.js.map +1 -0
- package/modules/backtest/dist/environment/limits.d.ts +63 -0
- package/modules/backtest/dist/environment/limits.d.ts.map +1 -0
- package/modules/backtest/dist/environment/limits.js +253 -0
- package/modules/backtest/dist/environment/limits.js.map +1 -0
- package/modules/backtest/dist/environment/reward.d.ts +5 -0
- package/modules/backtest/dist/environment/reward.d.ts.map +1 -0
- package/modules/backtest/dist/environment/reward.js +80 -0
- package/modules/backtest/dist/environment/reward.js.map +1 -0
- package/modules/backtest/dist/environment/types.d.ts +540 -0
- package/modules/backtest/dist/environment/types.d.ts.map +1 -0
- package/modules/backtest/dist/environment/types.js +2 -0
- package/modules/backtest/dist/environment/types.js.map +1 -0
- package/modules/backtest/dist/environment/validate.d.ts +23 -0
- package/modules/backtest/dist/environment/validate.d.ts.map +1 -0
- package/modules/backtest/dist/environment/validate.js +264 -0
- package/modules/backtest/dist/environment/validate.js.map +1 -0
- package/modules/backtest/dist/event-driven.d.ts +111 -0
- package/modules/backtest/dist/event-driven.d.ts.map +1 -0
- package/modules/backtest/dist/event-driven.js +325 -0
- package/modules/backtest/dist/event-driven.js.map +1 -0
- package/modules/backtest/dist/execution/conformance.d.ts +33 -0
- package/modules/backtest/dist/execution/conformance.d.ts.map +1 -0
- package/modules/backtest/dist/execution/conformance.js +269 -0
- package/modules/backtest/dist/execution/conformance.js.map +1 -0
- package/modules/backtest/dist/execution/fill-models.d.ts +35 -0
- package/modules/backtest/dist/execution/fill-models.d.ts.map +1 -0
- package/modules/backtest/dist/execution/fill-models.js +375 -0
- package/modules/backtest/dist/execution/fill-models.js.map +1 -0
- package/modules/backtest/dist/execution/fill-order.d.ts +55 -0
- package/modules/backtest/dist/execution/fill-order.d.ts.map +1 -0
- package/modules/backtest/dist/execution/fill-order.js +156 -0
- package/modules/backtest/dist/execution/fill-order.js.map +1 -0
- package/modules/backtest/dist/execution/index.d.ts +33 -0
- package/modules/backtest/dist/execution/index.d.ts.map +1 -0
- package/modules/backtest/dist/execution/index.js +27 -0
- package/modules/backtest/dist/execution/index.js.map +1 -0
- package/modules/backtest/dist/execution/intrabar.d.ts +46 -0
- package/modules/backtest/dist/execution/intrabar.d.ts.map +1 -0
- package/modules/backtest/dist/execution/intrabar.js +130 -0
- package/modules/backtest/dist/execution/intrabar.js.map +1 -0
- package/modules/backtest/dist/execution/normalized.d.ts +56 -0
- package/modules/backtest/dist/execution/normalized.d.ts.map +1 -0
- package/modules/backtest/dist/execution/normalized.js +154 -0
- package/modules/backtest/dist/execution/normalized.js.map +1 -0
- package/modules/backtest/dist/execution/policy.d.ts +84 -0
- package/modules/backtest/dist/execution/policy.d.ts.map +1 -0
- package/modules/backtest/dist/execution/policy.js +341 -0
- package/modules/backtest/dist/execution/policy.js.map +1 -0
- package/modules/backtest/dist/execution/types.d.ts +217 -0
- package/modules/backtest/dist/execution/types.d.ts.map +1 -0
- package/modules/backtest/dist/execution/types.js +8 -0
- package/modules/backtest/dist/execution/types.js.map +1 -0
- package/modules/backtest/dist/execution/validate.d.ts +35 -0
- package/modules/backtest/dist/execution/validate.d.ts.map +1 -0
- package/modules/backtest/dist/execution/validate.js +666 -0
- package/modules/backtest/dist/execution/validate.js.map +1 -0
- package/modules/backtest/dist/generated/validation-specs.d.ts +12 -0
- package/modules/backtest/dist/generated/validation-specs.d.ts.map +1 -0
- package/modules/backtest/dist/generated/validation-specs.js +1129 -0
- package/modules/backtest/dist/generated/validation-specs.js.map +1 -0
- package/modules/backtest/dist/index.d.ts +33 -0
- package/modules/backtest/dist/index.d.ts.map +1 -0
- package/modules/backtest/dist/index.js +28 -0
- package/modules/backtest/dist/index.js.map +1 -0
- package/modules/backtest/dist/options/chain.d.ts +68 -0
- package/modules/backtest/dist/options/chain.d.ts.map +1 -0
- package/modules/backtest/dist/options/chain.js +303 -0
- package/modules/backtest/dist/options/chain.js.map +1 -0
- package/modules/backtest/dist/options/engine.d.ts +28 -0
- package/modules/backtest/dist/options/engine.d.ts.map +1 -0
- package/modules/backtest/dist/options/engine.js +1859 -0
- package/modules/backtest/dist/options/engine.js.map +1 -0
- package/modules/backtest/dist/options/index.d.ts +23 -0
- package/modules/backtest/dist/options/index.d.ts.map +1 -0
- package/modules/backtest/dist/options/index.js +21 -0
- package/modules/backtest/dist/options/index.js.map +1 -0
- package/modules/backtest/dist/options/tearsheet.d.ts +77 -0
- package/modules/backtest/dist/options/tearsheet.d.ts.map +1 -0
- package/modules/backtest/dist/options/tearsheet.js +205 -0
- package/modules/backtest/dist/options/tearsheet.js.map +1 -0
- package/modules/backtest/dist/options/types.d.ts +571 -0
- package/modules/backtest/dist/options/types.d.ts.map +1 -0
- package/modules/backtest/dist/options/types.js +19 -0
- package/modules/backtest/dist/options/types.js.map +1 -0
- package/modules/backtest/dist/paper/index.d.ts +13 -0
- package/modules/backtest/dist/paper/index.d.ts.map +1 -0
- package/modules/backtest/dist/paper/index.js +12 -0
- package/modules/backtest/dist/paper/index.js.map +1 -0
- package/modules/backtest/dist/paper/paper.d.ts +8 -0
- package/modules/backtest/dist/paper/paper.d.ts.map +1 -0
- package/modules/backtest/dist/paper/paper.js +950 -0
- package/modules/backtest/dist/paper/paper.js.map +1 -0
- package/modules/backtest/dist/paper/types.d.ts +190 -0
- package/modules/backtest/dist/paper/types.d.ts.map +1 -0
- package/modules/backtest/dist/paper/types.js +3 -0
- package/modules/backtest/dist/paper/types.js.map +1 -0
- package/modules/backtest/dist/paper/validate.d.ts +9 -0
- package/modules/backtest/dist/paper/validate.d.ts.map +1 -0
- package/modules/backtest/dist/paper/validate.js +112 -0
- package/modules/backtest/dist/paper/validate.js.map +1 -0
- package/modules/backtest/dist/portfolio/adapters.d.ts +37 -0
- package/modules/backtest/dist/portfolio/adapters.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/adapters.js +555 -0
- package/modules/backtest/dist/portfolio/adapters.js.map +1 -0
- package/modules/backtest/dist/portfolio/engine.d.ts +35 -0
- package/modules/backtest/dist/portfolio/engine.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/engine.js +1300 -0
- package/modules/backtest/dist/portfolio/engine.js.map +1 -0
- package/modules/backtest/dist/portfolio/index.d.ts +12 -0
- package/modules/backtest/dist/portfolio/index.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/index.js +11 -0
- package/modules/backtest/dist/portfolio/index.js.map +1 -0
- package/modules/backtest/dist/portfolio/types.d.ts +418 -0
- package/modules/backtest/dist/portfolio/types.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/types.js +8 -0
- package/modules/backtest/dist/portfolio/types.js.map +1 -0
- package/modules/backtest/dist/portfolio/validate.d.ts +26 -0
- package/modules/backtest/dist/portfolio/validate.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/validate.js +556 -0
- package/modules/backtest/dist/portfolio/validate.js.map +1 -0
- package/modules/backtest/dist/run-artifacts.d.ts +425 -0
- package/modules/backtest/dist/run-artifacts.d.ts.map +1 -0
- package/modules/backtest/dist/run-artifacts.js +1843 -0
- package/modules/backtest/dist/run-artifacts.js.map +1 -0
- package/modules/backtest/dist/signals.d.ts +110 -0
- package/modules/backtest/dist/signals.d.ts.map +1 -0
- package/modules/backtest/dist/signals.js +207 -0
- package/modules/backtest/dist/signals.js.map +1 -0
- package/modules/backtest/dist/tearsheet.d.ts +126 -0
- package/modules/backtest/dist/tearsheet.d.ts.map +1 -0
- package/modules/backtest/dist/tearsheet.js +266 -0
- package/modules/backtest/dist/tearsheet.js.map +1 -0
- package/modules/backtest/dist/types.d.ts +175 -0
- package/modules/backtest/dist/types.d.ts.map +1 -0
- package/modules/backtest/dist/types.js +29 -0
- package/modules/backtest/dist/types.js.map +1 -0
- package/modules/backtest/dist/validate.d.ts +13 -0
- package/modules/backtest/dist/validate.d.ts.map +1 -0
- package/modules/backtest/dist/validate.js +37 -0
- package/modules/backtest/dist/validate.js.map +1 -0
- package/modules/backtest/dist/vectorized.d.ts +53 -0
- package/modules/backtest/dist/vectorized.d.ts.map +1 -0
- package/modules/backtest/dist/vectorized.js +383 -0
- package/modules/backtest/dist/vectorized.js.map +1 -0
- package/modules/backtest/dist/walk-forward.d.ts +57 -0
- package/modules/backtest/dist/walk-forward.d.ts.map +1 -0
- package/modules/backtest/dist/walk-forward.js +125 -0
- package/modules/backtest/dist/walk-forward.js.map +1 -0
- package/modules/backtest/etc/backtest.api.md +139 -0
- package/modules/backtest/src/artifacts.ts +54 -0
- package/modules/backtest/src/broker.ts +1529 -0
- package/modules/backtest/src/costs.ts +225 -0
- package/modules/backtest/src/cross-sectional/engine.ts +1608 -0
- package/modules/backtest/src/cross-sectional/folds.ts +718 -0
- package/modules/backtest/src/cross-sectional/grid.ts +646 -0
- package/modules/backtest/src/cross-sectional/index.ts +76 -0
- package/modules/backtest/src/cross-sectional/types.ts +363 -0
- package/modules/backtest/src/cross-sectional/validate.ts +906 -0
- package/modules/backtest/src/diagnostics.ts +66 -0
- package/modules/backtest/src/environment/bench.ts +1022 -0
- package/modules/backtest/src/environment/environment.ts +766 -0
- package/modules/backtest/src/environment/episode.ts +146 -0
- package/modules/backtest/src/environment/episodes.ts +786 -0
- package/modules/backtest/src/environment/features.ts +184 -0
- package/modules/backtest/src/environment/index.ts +79 -0
- package/modules/backtest/src/environment/limits.ts +383 -0
- package/modules/backtest/src/environment/reward.ts +98 -0
- package/modules/backtest/src/environment/types.ts +595 -0
- package/modules/backtest/src/environment/validate.ts +415 -0
- package/modules/backtest/src/event-driven.ts +528 -0
- package/modules/backtest/src/execution/conformance.ts +346 -0
- package/modules/backtest/src/execution/fill-models.ts +410 -0
- package/modules/backtest/src/execution/fill-order.ts +261 -0
- package/modules/backtest/src/execution/index.ts +91 -0
- package/modules/backtest/src/execution/intrabar.ts +185 -0
- package/modules/backtest/src/execution/normalized.ts +216 -0
- package/modules/backtest/src/execution/policy.ts +447 -0
- package/modules/backtest/src/execution/types.ts +239 -0
- package/modules/backtest/src/execution/validate.ts +889 -0
- package/modules/backtest/src/generated/validation-specs.ts +1132 -0
- package/modules/backtest/src/index.ts +157 -0
- package/modules/backtest/src/options/chain.ts +410 -0
- package/modules/backtest/src/options/engine.ts +2240 -0
- package/modules/backtest/src/options/index.ts +68 -0
- package/modules/backtest/src/options/tearsheet.ts +327 -0
- package/modules/backtest/src/options/types.ts +573 -0
- package/modules/backtest/src/paper/index.ts +27 -0
- package/modules/backtest/src/paper/paper.ts +1288 -0
- package/modules/backtest/src/paper/types.ts +221 -0
- package/modules/backtest/src/paper/validate.ts +168 -0
- package/modules/backtest/src/portfolio/adapters.ts +651 -0
- package/modules/backtest/src/portfolio/engine.ts +1518 -0
- package/modules/backtest/src/portfolio/index.ts +64 -0
- package/modules/backtest/src/portfolio/types.ts +456 -0
- package/modules/backtest/src/portfolio/validate.ts +861 -0
- package/modules/backtest/src/run-artifacts.ts +2873 -0
- package/modules/backtest/src/signals.ts +267 -0
- package/modules/backtest/src/tearsheet.ts +425 -0
- package/modules/backtest/src/types.ts +200 -0
- package/modules/backtest/src/validate.ts +43 -0
- package/modules/backtest/src/vectorized.ts +541 -0
- package/modules/backtest/src/walk-forward.ts +215 -0
- package/modules/calendars/dist/cboe.d.ts +15 -0
- package/modules/calendars/dist/cboe.d.ts.map +1 -0
- package/modules/calendars/dist/cboe.js +16 -0
- package/modules/calendars/dist/cboe.js.map +1 -0
- package/modules/calendars/dist/crypto.d.ts +15 -0
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- package/modules/calendars/dist/crypto.js +16 -0
- package/modules/calendars/dist/crypto.js.map +1 -0
- package/modules/calendars/dist/expirations.d.ts +35 -0
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- package/modules/calendars/dist/nyse.d.ts +11 -0
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- package/modules/calendars/src/us-market.ts +86 -0
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- package/modules/cli/src/exit-codes.ts +21 -0
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- package/modules/commodities/src/internal.ts +6 -0
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- package/modules/core/dist/artifacts/analysis-artifact.d.ts +140 -0
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/**
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* The SABR stochastic-volatility model (Hagan, Kumar, Lesniewski & Woodward 2002) — spec §9.3, §10.1.
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*
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* SABR's value is its closed-form *implied volatility* asymptotics, which fit an entire smile with
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* four intuitive parameters (α level, β backbone, ρ skew, ν smile). We expose:
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* • `sabrVolatility` — Hagan's lognormal (Black) and normal (Bachelier) implied-vol expansions;
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* • `sabrPrice` — the option price, by plugging that vol into Black-76 / Bachelier;
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* • `sabrMonteCarloPrice` — an Euler simulation of the SDE that validates the asymptotic formula in its
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* region of accuracy (short maturities, moderate vol-of-vol).
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*
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* Degenerate anchors: (β=1, ν=0) ⇒ lognormal vol ≡ α; (β=0, ν=0) ⇒ normal vol ≡ α.
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*/
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import { CONVENTIONS_VERSION, DEFAULT_GREEK_UNITS, ErrorCode, InputError, ensureFinite, ensurePositive, validateClosedRequest, WarningCode, } from '../../core/dist/index.js';
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import { assertNoArbitrageBounds } from './engines/bounds.js';
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import { monteCarloEstimate, } from './mc/core.js';
|
|
23
|
+
import { finiteDifferenceExtendedGreeks } from './engines/fd-greeks.js';
|
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24
|
+
function validateParams(p, functionName) {
|
|
25
|
+
ensurePositive(p.alpha, 'alpha', functionName);
|
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26
|
+
ensureFinite(p.beta, 'beta', functionName);
|
|
27
|
+
ensureFinite(p.nu, 'nu', functionName);
|
|
28
|
+
ensureFinite(p.rho, 'rho', functionName);
|
|
29
|
+
if (p.beta < 0 || p.beta > 1) {
|
|
30
|
+
throw new InputError(`${functionName}: beta must be in [0, 1], got ${p.beta}.`, {
|
|
31
|
+
code: ErrorCode.InputOutOfRange,
|
|
32
|
+
context: { beta: p.beta },
|
|
33
|
+
});
|
|
34
|
+
}
|
|
35
|
+
if (p.rho <= -1 || p.rho >= 1) {
|
|
36
|
+
throw new InputError(`${functionName}: rho must be in (-1, 1), got ${p.rho}.`, {
|
|
37
|
+
code: ErrorCode.InputOutOfRange,
|
|
38
|
+
context: { rho: p.rho },
|
|
39
|
+
});
|
|
40
|
+
}
|
|
41
|
+
if (p.nu < 0) {
|
|
42
|
+
throw new InputError(`${functionName}: nu must be ≥ 0, got ${p.nu}.`, {
|
|
43
|
+
code: ErrorCode.InputOutOfRange,
|
|
44
|
+
context: { nu: p.nu },
|
|
45
|
+
});
|
|
46
|
+
}
|
|
47
|
+
}
|
|
48
|
+
/** z / x(z) with a small-z series limit (→ 1) to avoid the 0/0 at the money. */
|
|
49
|
+
function zOverX(z, rho) {
|
|
50
|
+
if (Math.abs(z) < 1e-7)
|
|
51
|
+
return 1 - 0.5 * rho * z; // leading correction
|
|
52
|
+
const x = Math.log((Math.sqrt(1 - 2 * rho * z + z * z) + z - rho) / (1 - rho));
|
|
53
|
+
return z / x;
|
|
54
|
+
}
|
|
55
|
+
/**
|
|
56
|
+
* Hagan's formula is a **small-time asymptotic expansion**, and its `1 + [ … ]·T` bracket is the
|
|
57
|
+
* first-order term of that expansion — not a bounded correction. For `ρ² > 2/3` the `(2 − 3ρ²)/24·ν²`
|
|
58
|
+
* contribution is negative, so a large enough `ν²T` drives the bracket through zero and the formula
|
|
59
|
+
* returns a NEGATIVE implied volatility. Fed to Black-76 that produced a negative PRICE reported as
|
|
60
|
+
* `converged: true` (α=0.3, β=1, ρ=−0.99, ν=1.5, T=30 → vol ≈ −0.7, price < 0).
|
|
61
|
+
*
|
|
62
|
+
* A negative volatility is not a number to clamp or pass on: it means the requested point is outside
|
|
63
|
+
* the expansion's domain of validity, which is what this says.
|
|
64
|
+
*/
|
|
65
|
+
function requireExpansionInDomain(input) {
|
|
66
|
+
const { volatility, timeBracket, parameters: p, timeToExpiryYears: T, volatilityType, functionName, } = input;
|
|
67
|
+
if (timeBracket > 0 && volatility > 0)
|
|
68
|
+
return volatility;
|
|
69
|
+
throw new InputError(`${functionName}: Hagan's ${volatilityType} expansion is out of domain here — its time-correction bracket ` +
|
|
70
|
+
`1 + […]·T is ${timeBracket.toPrecision(6)} (≤ 0), giving an implied volatility of ` +
|
|
71
|
+
`${volatility.toPrecision(6)}. The driver is the (2 − 3ρ²)/24·ν²·T term, which turns negative for ` +
|
|
72
|
+
`ρ² > 2/3: here ρ=${p.rho} (ρ²=${(p.rho * p.rho).toPrecision(4)}) and ν²·T=${(p.nu * p.nu * T).toPrecision(6)}. ` +
|
|
73
|
+
'This is beyond Hagan (2002) expansion validity — the asymptotic is first order in T and is trustworthy ' +
|
|
74
|
+
'for roughly ν²·T ≲ 1 — not a solvable numerical issue. Shorten timeToExpiryYears, reduce nu or |rho|, or ' +
|
|
75
|
+
'price the point by simulation with sabr.monteCarloPrice.', {
|
|
76
|
+
code: ErrorCode.InputOutOfRange,
|
|
77
|
+
context: {
|
|
78
|
+
volatility,
|
|
79
|
+
timeBracket,
|
|
80
|
+
rho: p.rho,
|
|
81
|
+
nu: p.nu,
|
|
82
|
+
timeToExpiryYears: T,
|
|
83
|
+
nuSquaredTime: p.nu * p.nu * T,
|
|
84
|
+
volatilityType,
|
|
85
|
+
},
|
|
86
|
+
});
|
|
87
|
+
}
|
|
88
|
+
/**
|
|
89
|
+
* Generated closed-request specs (spec 3B.1b): allowlists projected from the declarations —
|
|
90
|
+
* including the `volatilityType` and `type` literal domains, so the hand enum guards cannot drift
|
|
91
|
+
* from the declared unions. Resolved at module load so a stale key fails at import. The `sabr.*`
|
|
92
|
+
* namespace aliases the same implementations, so one validation head serves both spellings.
|
|
93
|
+
*/
|
|
94
|
+
function sabrSpecOf(key) {
|
|
95
|
+
const spec = VALIDATION_SPECS[key];
|
|
96
|
+
if (spec === undefined) {
|
|
97
|
+
throw new Error(`sabr: no generated validation spec for '${key}' — run \`pnpm validation:update\``);
|
|
98
|
+
}
|
|
99
|
+
return spec;
|
|
100
|
+
}
|
|
101
|
+
const SABR_VOLATILITY_SPEC = sabrSpecOf('sabrVolatility#0');
|
|
102
|
+
const SABR_PRICE_SPEC = sabrSpecOf('sabrPrice#0');
|
|
103
|
+
const SABR_MC_ESTIMATE_SPEC = sabrSpecOf('sabrMonteCarloEstimate#0');
|
|
104
|
+
const SABR_MC_PRICE_SPEC = sabrSpecOf('sabrMonteCarloPrice#0');
|
|
105
|
+
const SABR_EXAMPLE = () => 'sabr.volatility({ input: { forward: 100, strike: 105, timeToExpiryYears: 0.25 }, parameters: { alpha: 0.2, beta: 0.5, rho: -0.3, nu: 0.4 } })';
|
|
106
|
+
/**
|
|
107
|
+
* Hagan implied volatility (lognormal/Black by default, or normal/Bachelier). Returns the volatility
|
|
108
|
+
* to feed into Black-76 (lognormal) or Bachelier (normal) at the same forward, strike, and maturity.
|
|
109
|
+
*
|
|
110
|
+
* Subject-first like its namespace sibling `sabr.price(type, input, parameters, options)`: the smile POINT
|
|
111
|
+
* (`input`) comes before the model PARAMETERS (`parameters`).
|
|
112
|
+
*
|
|
113
|
+
* Expert kernel form (model-subpath surface) — the curated root surface is {@link sabr.volatility}.
|
|
114
|
+
*/
|
|
115
|
+
export function sabrVolatility(request) {
|
|
116
|
+
validateClosedRequest('sabrVolatility', request, SABR_VOLATILITY_SPEC, {
|
|
117
|
+
argumentName: 'request',
|
|
118
|
+
subject: true,
|
|
119
|
+
exampleCall: SABR_EXAMPLE,
|
|
120
|
+
});
|
|
121
|
+
const { input, parameters, options: options = {} } = request;
|
|
122
|
+
const functionName = 'sabrVolatility';
|
|
123
|
+
// An unknown `volatilityType` teaches via the generated literal domain rather than silently
|
|
124
|
+
// pricing as lognormal (design law #4) — this head is the chokepoint every SABR path
|
|
125
|
+
// (price, MC, calibration, surface) routes through.
|
|
126
|
+
const volatilityType = options.volatilityType ?? 'lognormal';
|
|
127
|
+
// A garbage α/β/ρ/ν must throw here, not surface later as a silent NaN vol.
|
|
128
|
+
validateParams(parameters, functionName);
|
|
129
|
+
const { forward, strike, timeToExpiryYears } = input;
|
|
130
|
+
ensurePositive(forward, 'forward', functionName);
|
|
131
|
+
ensurePositive(strike, 'strike', functionName, ErrorCode.InputNegativeStrike);
|
|
132
|
+
ensurePositive(timeToExpiryYears, 'timeToExpiryYears', functionName, ErrorCode.InputNegativeTime);
|
|
133
|
+
const { alpha, beta, rho, nu } = parameters;
|
|
134
|
+
const F = forward;
|
|
135
|
+
const K = strike;
|
|
136
|
+
const oneMinusBeta = 1 - beta;
|
|
137
|
+
const logFK = Math.log(F / K);
|
|
138
|
+
const fkBeta = Math.pow(F * K, oneMinusBeta / 2);
|
|
139
|
+
const z = (nu / alpha) * fkBeta * logFK;
|
|
140
|
+
const zx = zOverX(z, rho);
|
|
141
|
+
if (volatilityType === 'normal') {
|
|
142
|
+
const atK = Math.pow(F * K, beta / 2);
|
|
143
|
+
const num = 1 + (1 / 24) * logFK * logFK + (1 / 1920) * logFK ** 4;
|
|
144
|
+
const den = 1 +
|
|
145
|
+
((oneMinusBeta * oneMinusBeta) / 24) * logFK * logFK +
|
|
146
|
+
(oneMinusBeta ** 4 / 1920) * logFK ** 4;
|
|
147
|
+
const tBracket = 1 +
|
|
148
|
+
((-beta * (2 - beta) * alpha * alpha) / (24 * Math.pow(F * K, oneMinusBeta)) +
|
|
149
|
+
(rho * beta * nu * alpha) / (4 * Math.pow(F * K, oneMinusBeta / 2)) +
|
|
150
|
+
((2 - 3 * rho * rho) / 24) * nu * nu) *
|
|
151
|
+
timeToExpiryYears;
|
|
152
|
+
return requireExpansionInDomain({
|
|
153
|
+
volatility: alpha * atK * (num / den) * zx * tBracket,
|
|
154
|
+
timeBracket: tBracket,
|
|
155
|
+
parameters,
|
|
156
|
+
timeToExpiryYears,
|
|
157
|
+
volatilityType,
|
|
158
|
+
functionName,
|
|
159
|
+
});
|
|
160
|
+
}
|
|
161
|
+
// lognormal (Black)
|
|
162
|
+
const denom = fkBeta *
|
|
163
|
+
(1 +
|
|
164
|
+
((oneMinusBeta * oneMinusBeta) / 24) * logFK * logFK +
|
|
165
|
+
(oneMinusBeta ** 4 / 1920) * logFK ** 4);
|
|
166
|
+
const tBracket = 1 +
|
|
167
|
+
((((oneMinusBeta * oneMinusBeta) / 24) * (alpha * alpha)) / Math.pow(F * K, oneMinusBeta) +
|
|
168
|
+
(0.25 * rho * beta * nu * alpha) / fkBeta +
|
|
169
|
+
((2 - 3 * rho * rho) / 24) * nu * nu) *
|
|
170
|
+
timeToExpiryYears;
|
|
171
|
+
return requireExpansionInDomain({
|
|
172
|
+
volatility: (alpha / denom) * zx * tBracket,
|
|
173
|
+
timeBracket: tBracket,
|
|
174
|
+
parameters,
|
|
175
|
+
timeToExpiryYears,
|
|
176
|
+
volatilityType,
|
|
177
|
+
functionName,
|
|
178
|
+
});
|
|
179
|
+
}
|
|
180
|
+
function resolveForward(input, functionName) {
|
|
181
|
+
const r = input.riskFreeRate ?? 0;
|
|
182
|
+
ensureFinite(r, 'riskFreeRate', functionName);
|
|
183
|
+
if (typeof input.forward === 'number') {
|
|
184
|
+
ensurePositive(input.forward, 'forward', functionName);
|
|
185
|
+
return { F: input.forward, r };
|
|
186
|
+
}
|
|
187
|
+
if (typeof input.spot === 'number') {
|
|
188
|
+
ensurePositive(input.spot, 'spot', functionName);
|
|
189
|
+
const q = input.dividendYield ?? 0;
|
|
190
|
+
ensureFinite(q, 'dividendYield', functionName);
|
|
191
|
+
return { F: input.spot * Math.exp((r - q) * input.timeToExpiryYears), r };
|
|
192
|
+
}
|
|
193
|
+
throw new InputError(`${functionName}: provide either input.forward or input.spot.`, {
|
|
194
|
+
code: ErrorCode.InputMissingField,
|
|
195
|
+
context: { fields: ['forward', 'spot'] },
|
|
196
|
+
});
|
|
197
|
+
}
|
|
198
|
+
function assumptions(t, volatilityType) {
|
|
199
|
+
return {
|
|
200
|
+
conventionsVersion: CONVENTIONS_VERSION,
|
|
201
|
+
dayCount: 'ACT/365F',
|
|
202
|
+
compounding: 'continuous',
|
|
203
|
+
timeToExpiryYears: t,
|
|
204
|
+
dividendModel: 'continuousYield',
|
|
205
|
+
units: DEFAULT_GREEK_UNITS,
|
|
206
|
+
model: 'sabr',
|
|
207
|
+
engine: volatilityType === 'normal' ? 'sabr-bachelier' : 'sabr-black76',
|
|
208
|
+
};
|
|
209
|
+
}
|
|
210
|
+
/**
|
|
211
|
+
* Price a European option under SABR by evaluating Hagan's implied vol and pricing with Black-76
|
|
212
|
+
* (lognormal) or Bachelier (normal). Greeks are finite differences: `delta`/`gamma` w.r.t. the
|
|
213
|
+
* forward, `theta` per day, `vega` per 1% change in α, `rho` per 1% change in the rate — all echoed in
|
|
214
|
+
* `assumptions.units`.
|
|
215
|
+
*
|
|
216
|
+
* A point outside Hagan's expansion domain (see {@link requireExpansionInDomain}) REFUSES with a
|
|
217
|
+
* typed `input.out_of_range` error carrying the ν²T·ρ diagnosis — never a negative volatility, never
|
|
218
|
+
* a negative "price" reported as converged. Through `engines.sabr()` that surfaces as a failed
|
|
219
|
+
* `compareEngines` row; the value type stays `number` so no caller has to defend against a null.
|
|
220
|
+
*
|
|
221
|
+
* Expert kernel form (model-subpath surface) — the curated root surface is {@link sabr.price}.
|
|
222
|
+
*/
|
|
223
|
+
export function sabrPrice(request) {
|
|
224
|
+
validateClosedRequest('sabrPrice', request, SABR_PRICE_SPEC, {
|
|
225
|
+
argumentName: 'request',
|
|
226
|
+
subject: true,
|
|
227
|
+
exampleCall: SABR_EXAMPLE,
|
|
228
|
+
});
|
|
229
|
+
const { type, input, parameters, options: options = {} } = request;
|
|
230
|
+
const functionName = 'sabrPrice';
|
|
231
|
+
validateParams(parameters, functionName);
|
|
232
|
+
ensurePositive(input.strike, 'strike', functionName);
|
|
233
|
+
ensurePositive(input.timeToExpiryYears, 'timeToExpiryYears', functionName);
|
|
234
|
+
const { F, r } = resolveForward(input, functionName);
|
|
235
|
+
const volatilityType = options.volatilityType ?? 'lognormal';
|
|
236
|
+
const K = input.strike;
|
|
237
|
+
const T = input.timeToExpiryYears;
|
|
238
|
+
const priceWith = ({ forward, parameters: priceParams, timeToExpiryYears, riskFreeRate, }) => {
|
|
239
|
+
const v = sabrVolatility({
|
|
240
|
+
input: { forward, strike: K, timeToExpiryYears },
|
|
241
|
+
parameters: priceParams,
|
|
242
|
+
options: { volatilityType },
|
|
243
|
+
});
|
|
244
|
+
return volatilityType === 'normal'
|
|
245
|
+
? bachelierPrice({
|
|
246
|
+
type,
|
|
247
|
+
forward,
|
|
248
|
+
strike: K,
|
|
249
|
+
timeToExpiryYears,
|
|
250
|
+
riskFreeRate,
|
|
251
|
+
normalVolatility: v,
|
|
252
|
+
})
|
|
253
|
+
: black76Price({
|
|
254
|
+
type,
|
|
255
|
+
forward,
|
|
256
|
+
strike: K,
|
|
257
|
+
timeToExpiryYears,
|
|
258
|
+
riskFreeRate,
|
|
259
|
+
volatility: v,
|
|
260
|
+
});
|
|
261
|
+
};
|
|
262
|
+
// Out of Hagan's domain this throws (typed, with the diagnosis) rather than returning a negative
|
|
263
|
+
// volatility's negative "price" under converged: true.
|
|
264
|
+
const value = priceWith({ forward: F, parameters, timeToExpiryYears: T, riskFreeRate: r });
|
|
265
|
+
const wantExtended = options.extendedGreeks ?? false;
|
|
266
|
+
const wantGreeks = wantExtended || (options.greeks ?? true);
|
|
267
|
+
let greeks;
|
|
268
|
+
if (wantExtended) {
|
|
269
|
+
// The full set differences the smooth Hagan price; the vol level is `α` (shift = 0 at base). SABR
|
|
270
|
+
// is a forward model (no dividend yield), so `phi = 0` falls out of the q-bump automatically.
|
|
271
|
+
const priceVL = ({ spot: forward, volatility: shift, timeToExpiryYears, riskFreeRate, }) => priceWith({
|
|
272
|
+
forward,
|
|
273
|
+
parameters: { ...parameters, alpha: parameters.alpha + shift },
|
|
274
|
+
timeToExpiryYears,
|
|
275
|
+
riskFreeRate,
|
|
276
|
+
});
|
|
277
|
+
// Shift-mode: scale the vol bump to α so `α + shift` never crosses zero (spec P2.3).
|
|
278
|
+
const volatilityStep = parameters.alpha > 0 ? Math.min(1e-3, parameters.alpha / 4) : 1e-3;
|
|
279
|
+
greeks = finiteDifferenceExtendedGreeks({
|
|
280
|
+
price: priceVL,
|
|
281
|
+
spotAt: () => F,
|
|
282
|
+
state: { spot: F, T, r, q: 0, sigma: 0 },
|
|
283
|
+
steps: { volatilityStep },
|
|
284
|
+
});
|
|
285
|
+
}
|
|
286
|
+
else if (wantGreeks) {
|
|
287
|
+
// Adaptive near boundaries (P2.3): the α bump shrinks to α/4 for tiny vol levels so
|
|
288
|
+
// `α − h` never crosses zero; the time bump shrinks to T/4 near expiry.
|
|
289
|
+
const hF = F * 1e-4;
|
|
290
|
+
const timeStepYears = Math.min(1e-4, T / 4);
|
|
291
|
+
const rateStep = 1e-4;
|
|
292
|
+
const hA = parameters.alpha > 0 ? Math.min(1e-4, parameters.alpha / 4) : 1e-4;
|
|
293
|
+
const up = priceWith({ forward: F + hF, parameters, timeToExpiryYears: T, riskFreeRate: r });
|
|
294
|
+
const dn = priceWith({ forward: F - hF, parameters, timeToExpiryYears: T, riskFreeRate: r });
|
|
295
|
+
const aUp = { ...parameters, alpha: parameters.alpha + hA };
|
|
296
|
+
const aDn = { ...parameters, alpha: parameters.alpha - hA };
|
|
297
|
+
greeks = {
|
|
298
|
+
delta: (up - dn) / (2 * hF),
|
|
299
|
+
gamma: (up - 2 * value + dn) / (hF * hF),
|
|
300
|
+
theta: -(priceWith({
|
|
301
|
+
forward: F,
|
|
302
|
+
parameters,
|
|
303
|
+
timeToExpiryYears: T + timeStepYears,
|
|
304
|
+
riskFreeRate: r,
|
|
305
|
+
}) -
|
|
306
|
+
priceWith({
|
|
307
|
+
forward: F,
|
|
308
|
+
parameters,
|
|
309
|
+
timeToExpiryYears: T - timeStepYears,
|
|
310
|
+
riskFreeRate: r,
|
|
311
|
+
})) /
|
|
312
|
+
(2 * timeStepYears) /
|
|
313
|
+
365,
|
|
314
|
+
vega: (priceWith({ forward: F, parameters: aUp, timeToExpiryYears: T, riskFreeRate: r }) -
|
|
315
|
+
priceWith({ forward: F, parameters: aDn, timeToExpiryYears: T, riskFreeRate: r })) /
|
|
316
|
+
(2 * hA) /
|
|
317
|
+
100,
|
|
318
|
+
rho: (priceWith({ forward: F, parameters, timeToExpiryYears: T, riskFreeRate: r + rateStep }) -
|
|
319
|
+
priceWith({ forward: F, parameters, timeToExpiryYears: T, riskFreeRate: r - rateStep })) /
|
|
320
|
+
(2 * rateStep) /
|
|
321
|
+
100,
|
|
322
|
+
};
|
|
323
|
+
}
|
|
324
|
+
// The ACTUAL bump sizes differenced (P2.3): α-scaled vol bump, forward-relative spot bump.
|
|
325
|
+
const sabrHSig = parameters.alpha > 0
|
|
326
|
+
? Math.min(wantExtended ? 1e-3 : 1e-4, parameters.alpha / 4)
|
|
327
|
+
: wantExtended
|
|
328
|
+
? 1e-3
|
|
329
|
+
: 1e-4;
|
|
330
|
+
const diagnostics = {
|
|
331
|
+
engine: volatilityType === 'normal' ? 'sabr-bachelier' : 'sabr-black76',
|
|
332
|
+
method: 'hagan-2002',
|
|
333
|
+
converged: Number.isFinite(value),
|
|
334
|
+
...(wantGreeks
|
|
335
|
+
? {
|
|
336
|
+
finiteDifferenceBumps: {
|
|
337
|
+
spotStep: wantExtended ? F * 1e-3 : F * 1e-4,
|
|
338
|
+
volatilityStep: sabrHSig,
|
|
339
|
+
timeStepYears: wantExtended ? Math.min(1e-3, T / 4) : Math.min(1e-4, T / 4),
|
|
340
|
+
rateStep: wantExtended ? 1e-4 : 1e-4,
|
|
341
|
+
},
|
|
342
|
+
}
|
|
343
|
+
: {}),
|
|
344
|
+
warnings: wantGreeks
|
|
345
|
+
? []
|
|
346
|
+
: [
|
|
347
|
+
{
|
|
348
|
+
code: WarningCode.GreeksNotComputed,
|
|
349
|
+
message: 'Greeks were not computed (greeks: false).',
|
|
350
|
+
severity: 'info',
|
|
351
|
+
},
|
|
352
|
+
],
|
|
353
|
+
};
|
|
354
|
+
// Structural postcondition (defect-fix wave, finding 5): SABR is a forward model, so the call's
|
|
355
|
+
// ceiling is the PV of the forward, F·e^{−rT}, and the put's is K·e^{−rT}.
|
|
356
|
+
assertNoArbitrageBounds({
|
|
357
|
+
engine: volatilityType === 'normal' ? 'sabr-bachelier' : 'sabr-black76',
|
|
358
|
+
type,
|
|
359
|
+
style: 'european',
|
|
360
|
+
value,
|
|
361
|
+
underlyingPresentValue: F * Math.exp(-r * T),
|
|
362
|
+
strikePresentValue: K * Math.exp(-r * T),
|
|
363
|
+
spot: F,
|
|
364
|
+
strike: K,
|
|
365
|
+
});
|
|
366
|
+
return {
|
|
367
|
+
value,
|
|
368
|
+
...(greeks ? { greeks } : {}),
|
|
369
|
+
assumptions: assumptions(T, volatilityType),
|
|
370
|
+
diagnostics,
|
|
371
|
+
};
|
|
372
|
+
}
|
|
373
|
+
/** One SABR Euler terminal forward from `2·steps` standard normals (α simulated exactly, F absorbed at 0). */
|
|
374
|
+
function sabrTerminal(input) {
|
|
375
|
+
const { shocks: z, forward: F0, timeToExpiryYears: T, parameters: p, steps } = input;
|
|
376
|
+
const { alpha, beta, rho, nu } = p;
|
|
377
|
+
const timeStepYears = T / steps;
|
|
378
|
+
const sqdt = Math.sqrt(timeStepYears);
|
|
379
|
+
const corr = Math.sqrt(1 - rho * rho);
|
|
380
|
+
let F = F0;
|
|
381
|
+
let a = alpha;
|
|
382
|
+
for (let k = 0; k < steps; k++) {
|
|
383
|
+
const z1 = z[2 * k];
|
|
384
|
+
const z2 = z[2 * k + 1];
|
|
385
|
+
const dW2 = z2 * sqdt;
|
|
386
|
+
const dW1 = (rho * z2 + corr * z1) * sqdt;
|
|
387
|
+
if (F > 0) {
|
|
388
|
+
F = F + a * Math.pow(F, beta) * dW1;
|
|
389
|
+
if (F < 0)
|
|
390
|
+
F = 0; // absorbing boundary for β < 1
|
|
391
|
+
}
|
|
392
|
+
a = a * Math.exp(nu * dW2 - 0.5 * nu * nu * timeStepYears); // exact GBM for the vol process
|
|
393
|
+
}
|
|
394
|
+
return F;
|
|
395
|
+
}
|
|
396
|
+
/**
|
|
397
|
+
* Low-level kernel: SABR Euler Monte-Carlo estimate of the discounted European payoff.
|
|
398
|
+
*
|
|
399
|
+
* Expert kernel form (model-subpath surface) — the curated root surface is {@link sabr.monteCarloEstimate}.
|
|
400
|
+
*/
|
|
401
|
+
export function sabrMonteCarloEstimate(input) {
|
|
402
|
+
validateClosedRequest('sabrMonteCarloEstimate', input, SABR_MC_ESTIMATE_SPEC, {
|
|
403
|
+
exampleCall: SABR_EXAMPLE,
|
|
404
|
+
});
|
|
405
|
+
const { type, forward: F, strike: K, timeToExpiryYears: T, riskFreeRate: r, parameters, options, } = input;
|
|
406
|
+
const steps = options.steps ?? 100;
|
|
407
|
+
const df = Math.exp(-r * T);
|
|
408
|
+
const payoff = (z) => {
|
|
409
|
+
const FT = sabrTerminal({
|
|
410
|
+
shocks: z,
|
|
411
|
+
forward: F,
|
|
412
|
+
timeToExpiryYears: T,
|
|
413
|
+
parameters,
|
|
414
|
+
steps,
|
|
415
|
+
});
|
|
416
|
+
return df * (type === 'call' ? Math.max(FT - K, 0) : Math.max(K - FT, 0));
|
|
417
|
+
};
|
|
418
|
+
const control = {
|
|
419
|
+
estimate: (z) => df *
|
|
420
|
+
sabrTerminal({
|
|
421
|
+
shocks: z,
|
|
422
|
+
forward: F,
|
|
423
|
+
timeToExpiryYears: T,
|
|
424
|
+
parameters,
|
|
425
|
+
steps,
|
|
426
|
+
}),
|
|
427
|
+
mean: df * F, // F is a martingale
|
|
428
|
+
};
|
|
429
|
+
return monteCarloEstimate({
|
|
430
|
+
dimensions: 2 * steps,
|
|
431
|
+
payoff,
|
|
432
|
+
options,
|
|
433
|
+
controlVariate: control,
|
|
434
|
+
label: 'sabrMonteCarloPrice',
|
|
435
|
+
});
|
|
436
|
+
}
|
|
437
|
+
/**
|
|
438
|
+
* Price a European option under SABR by Euler Monte-Carlo of the SDE (validates the Hagan formula).
|
|
439
|
+
*
|
|
440
|
+
* Expert kernel form (model-subpath surface) — the curated root surface is {@link sabr.monteCarloPrice}.
|
|
441
|
+
*/
|
|
442
|
+
export function sabrMonteCarloPrice(request) {
|
|
443
|
+
validateClosedRequest('sabrMonteCarloPrice', request, SABR_MC_PRICE_SPEC, {
|
|
444
|
+
argumentName: 'request',
|
|
445
|
+
subject: true,
|
|
446
|
+
exampleCall: SABR_EXAMPLE,
|
|
447
|
+
});
|
|
448
|
+
const { type, input, parameters, options } = request;
|
|
449
|
+
const functionName = 'sabrMonteCarloPrice';
|
|
450
|
+
validateParams(parameters, functionName);
|
|
451
|
+
ensurePositive(input.strike, 'strike', functionName);
|
|
452
|
+
ensurePositive(input.timeToExpiryYears, 'timeToExpiryYears', functionName);
|
|
453
|
+
const { F, r } = resolveForward(input, functionName);
|
|
454
|
+
const est = sabrMonteCarloEstimate({
|
|
455
|
+
type,
|
|
456
|
+
forward: F,
|
|
457
|
+
strike: input.strike,
|
|
458
|
+
timeToExpiryYears: input.timeToExpiryYears,
|
|
459
|
+
riskFreeRate: r,
|
|
460
|
+
parameters,
|
|
461
|
+
options,
|
|
462
|
+
});
|
|
463
|
+
// Same structural bound as the analytic path, with the estimator's own sampling error as slack.
|
|
464
|
+
assertNoArbitrageBounds({
|
|
465
|
+
engine: 'sabr-euler-mc',
|
|
466
|
+
type,
|
|
467
|
+
style: 'european',
|
|
468
|
+
value: est.value,
|
|
469
|
+
underlyingPresentValue: F * Math.exp(-r * input.timeToExpiryYears),
|
|
470
|
+
strikePresentValue: input.strike * Math.exp(-r * input.timeToExpiryYears),
|
|
471
|
+
spot: F,
|
|
472
|
+
strike: input.strike,
|
|
473
|
+
tolerance: 5 *
|
|
474
|
+
(est.standardError !== null && Number.isFinite(est.standardError) ? est.standardError : 0),
|
|
475
|
+
});
|
|
476
|
+
const diagnostics = {
|
|
477
|
+
engine: 'sabr',
|
|
478
|
+
method: est.method === 'pseudo' ? 'euler-monte-carlo' : `euler-monte-carlo-${est.method}`,
|
|
479
|
+
converged: est.converged,
|
|
480
|
+
iterations: est.paths,
|
|
481
|
+
warnings: [
|
|
482
|
+
...est.warnings,
|
|
483
|
+
{
|
|
484
|
+
code: WarningCode.GreeksNotComputed,
|
|
485
|
+
message: 'The SABR Euler Monte-Carlo engine does not compute Greeks.',
|
|
486
|
+
severity: 'info',
|
|
487
|
+
},
|
|
488
|
+
],
|
|
489
|
+
};
|
|
490
|
+
return {
|
|
491
|
+
value: est.value,
|
|
492
|
+
assumptions: { ...assumptions(input.timeToExpiryYears, 'lognormal'), engine: 'sabr-euler-mc' },
|
|
493
|
+
diagnostics,
|
|
494
|
+
monteCarlo: {
|
|
495
|
+
standardError: est.standardError,
|
|
496
|
+
confidenceInterval: est.confidenceInterval,
|
|
497
|
+
paths: est.paths,
|
|
498
|
+
seed: est.seed,
|
|
499
|
+
method: est.method,
|
|
500
|
+
varianceReduction: est.varianceReduction,
|
|
501
|
+
},
|
|
502
|
+
};
|
|
503
|
+
}
|
|
504
|
+
/**
|
|
505
|
+
* The SABR model namespace — the grouped, discoverable surface over the flat `sabr*` functions.
|
|
506
|
+
* `sabr.volatility` / `sabr.price` / `sabr.monteCarloPrice` / `sabr.monteCarloEstimate` are the same functions; prefer the
|
|
507
|
+
* namespace over the deprecated flat exports.
|
|
508
|
+
*/
|
|
509
|
+
export const sabr = {
|
|
510
|
+
volatility: sabrVolatility,
|
|
511
|
+
price: sabrPrice,
|
|
512
|
+
monteCarloPrice: sabrMonteCarloPrice,
|
|
513
|
+
monteCarloEstimate: sabrMonteCarloEstimate,
|
|
514
|
+
};
|
|
515
|
+
//# sourceMappingURL=sabr.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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