@insiderfinance/totalfinance 0.1.0

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Files changed (2495) hide show
  1. package/LICENSE +201 -0
  2. package/README.md +339 -0
  3. package/STABILITY.md +23 -0
  4. package/modules/backtest/dist/artifacts.d.ts +23 -0
  5. package/modules/backtest/dist/artifacts.d.ts.map +1 -0
  6. package/modules/backtest/dist/artifacts.js +22 -0
  7. package/modules/backtest/dist/artifacts.js.map +1 -0
  8. package/modules/backtest/dist/broker.d.ts +265 -0
  9. package/modules/backtest/dist/broker.d.ts.map +1 -0
  10. package/modules/backtest/dist/broker.js +1228 -0
  11. package/modules/backtest/dist/broker.js.map +1 -0
  12. package/modules/backtest/dist/costs.d.ts +67 -0
  13. package/modules/backtest/dist/costs.d.ts.map +1 -0
  14. package/modules/backtest/dist/costs.js +171 -0
  15. package/modules/backtest/dist/costs.js.map +1 -0
  16. package/modules/backtest/dist/cross-sectional/engine.d.ts +21 -0
  17. package/modules/backtest/dist/cross-sectional/engine.d.ts.map +1 -0
  18. package/modules/backtest/dist/cross-sectional/engine.js +1399 -0
  19. package/modules/backtest/dist/cross-sectional/engine.js.map +1 -0
  20. package/modules/backtest/dist/cross-sectional/folds.d.ts +134 -0
  21. package/modules/backtest/dist/cross-sectional/folds.d.ts.map +1 -0
  22. package/modules/backtest/dist/cross-sectional/folds.js +375 -0
  23. package/modules/backtest/dist/cross-sectional/folds.js.map +1 -0
  24. package/modules/backtest/dist/cross-sectional/grid.d.ts +142 -0
  25. package/modules/backtest/dist/cross-sectional/grid.d.ts.map +1 -0
  26. package/modules/backtest/dist/cross-sectional/grid.js +394 -0
  27. package/modules/backtest/dist/cross-sectional/grid.js.map +1 -0
  28. package/modules/backtest/dist/cross-sectional/index.d.ts +18 -0
  29. package/modules/backtest/dist/cross-sectional/index.d.ts.map +1 -0
  30. package/modules/backtest/dist/cross-sectional/index.js +15 -0
  31. package/modules/backtest/dist/cross-sectional/index.js.map +1 -0
  32. package/modules/backtest/dist/cross-sectional/types.d.ts +331 -0
  33. package/modules/backtest/dist/cross-sectional/types.d.ts.map +1 -0
  34. package/modules/backtest/dist/cross-sectional/types.js +12 -0
  35. package/modules/backtest/dist/cross-sectional/types.js.map +1 -0
  36. package/modules/backtest/dist/cross-sectional/validate.d.ts +22 -0
  37. package/modules/backtest/dist/cross-sectional/validate.d.ts.map +1 -0
  38. package/modules/backtest/dist/cross-sectional/validate.js +489 -0
  39. package/modules/backtest/dist/cross-sectional/validate.js.map +1 -0
  40. package/modules/backtest/dist/diagnostics.d.ts +16 -0
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  42. package/modules/backtest/dist/diagnostics.js +63 -0
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  44. package/modules/backtest/dist/environment/bench.d.ts +34 -0
  45. package/modules/backtest/dist/environment/bench.d.ts.map +1 -0
  46. package/modules/backtest/dist/environment/bench.js +724 -0
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  48. package/modules/backtest/dist/environment/environment.d.ts +5 -0
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  50. package/modules/backtest/dist/environment/environment.js +618 -0
  51. package/modules/backtest/dist/environment/environment.js.map +1 -0
  52. package/modules/backtest/dist/environment/episode.d.ts +4 -0
  53. package/modules/backtest/dist/environment/episode.d.ts.map +1 -0
  54. package/modules/backtest/dist/environment/episode.js +121 -0
  55. package/modules/backtest/dist/environment/episode.js.map +1 -0
  56. package/modules/backtest/dist/environment/episodes.d.ts +14 -0
  57. package/modules/backtest/dist/environment/episodes.d.ts.map +1 -0
  58. package/modules/backtest/dist/environment/episodes.js +644 -0
  59. package/modules/backtest/dist/environment/episodes.js.map +1 -0
  60. package/modules/backtest/dist/environment/features.d.ts +31 -0
  61. package/modules/backtest/dist/environment/features.d.ts.map +1 -0
  62. package/modules/backtest/dist/environment/features.js +157 -0
  63. package/modules/backtest/dist/environment/features.js.map +1 -0
  64. package/modules/backtest/dist/environment/index.d.ts +14 -0
  65. package/modules/backtest/dist/environment/index.d.ts.map +1 -0
  66. package/modules/backtest/dist/environment/index.js +12 -0
  67. package/modules/backtest/dist/environment/index.js.map +1 -0
  68. package/modules/backtest/dist/environment/limits.d.ts +63 -0
  69. package/modules/backtest/dist/environment/limits.d.ts.map +1 -0
  70. package/modules/backtest/dist/environment/limits.js +253 -0
  71. package/modules/backtest/dist/environment/limits.js.map +1 -0
  72. package/modules/backtest/dist/environment/reward.d.ts +5 -0
  73. package/modules/backtest/dist/environment/reward.d.ts.map +1 -0
  74. package/modules/backtest/dist/environment/reward.js +80 -0
  75. package/modules/backtest/dist/environment/reward.js.map +1 -0
  76. package/modules/backtest/dist/environment/types.d.ts +540 -0
  77. package/modules/backtest/dist/environment/types.d.ts.map +1 -0
  78. package/modules/backtest/dist/environment/types.js +2 -0
  79. package/modules/backtest/dist/environment/types.js.map +1 -0
  80. package/modules/backtest/dist/environment/validate.d.ts +23 -0
  81. package/modules/backtest/dist/environment/validate.d.ts.map +1 -0
  82. package/modules/backtest/dist/environment/validate.js +264 -0
  83. package/modules/backtest/dist/environment/validate.js.map +1 -0
  84. package/modules/backtest/dist/event-driven.d.ts +111 -0
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  86. package/modules/backtest/dist/event-driven.js +325 -0
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  88. package/modules/backtest/dist/execution/conformance.d.ts +33 -0
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  91. package/modules/backtest/dist/execution/conformance.js.map +1 -0
  92. package/modules/backtest/dist/execution/fill-models.d.ts +35 -0
  93. package/modules/backtest/dist/execution/fill-models.d.ts.map +1 -0
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  95. package/modules/backtest/dist/execution/fill-models.js.map +1 -0
  96. package/modules/backtest/dist/execution/fill-order.d.ts +55 -0
  97. package/modules/backtest/dist/execution/fill-order.d.ts.map +1 -0
  98. package/modules/backtest/dist/execution/fill-order.js +156 -0
  99. package/modules/backtest/dist/execution/fill-order.js.map +1 -0
  100. package/modules/backtest/dist/execution/index.d.ts +33 -0
  101. package/modules/backtest/dist/execution/index.d.ts.map +1 -0
  102. package/modules/backtest/dist/execution/index.js +27 -0
  103. package/modules/backtest/dist/execution/index.js.map +1 -0
  104. package/modules/backtest/dist/execution/intrabar.d.ts +46 -0
  105. package/modules/backtest/dist/execution/intrabar.d.ts.map +1 -0
  106. package/modules/backtest/dist/execution/intrabar.js +130 -0
  107. package/modules/backtest/dist/execution/intrabar.js.map +1 -0
  108. package/modules/backtest/dist/execution/normalized.d.ts +56 -0
  109. package/modules/backtest/dist/execution/normalized.d.ts.map +1 -0
  110. package/modules/backtest/dist/execution/normalized.js +154 -0
  111. package/modules/backtest/dist/execution/normalized.js.map +1 -0
  112. package/modules/backtest/dist/execution/policy.d.ts +84 -0
  113. package/modules/backtest/dist/execution/policy.d.ts.map +1 -0
  114. package/modules/backtest/dist/execution/policy.js +341 -0
  115. package/modules/backtest/dist/execution/policy.js.map +1 -0
  116. package/modules/backtest/dist/execution/types.d.ts +217 -0
  117. package/modules/backtest/dist/execution/types.d.ts.map +1 -0
  118. package/modules/backtest/dist/execution/types.js +8 -0
  119. package/modules/backtest/dist/execution/types.js.map +1 -0
  120. package/modules/backtest/dist/execution/validate.d.ts +35 -0
  121. package/modules/backtest/dist/execution/validate.d.ts.map +1 -0
  122. package/modules/backtest/dist/execution/validate.js +666 -0
  123. package/modules/backtest/dist/execution/validate.js.map +1 -0
  124. package/modules/backtest/dist/generated/validation-specs.d.ts +12 -0
  125. package/modules/backtest/dist/generated/validation-specs.d.ts.map +1 -0
  126. package/modules/backtest/dist/generated/validation-specs.js +1129 -0
  127. package/modules/backtest/dist/generated/validation-specs.js.map +1 -0
  128. package/modules/backtest/dist/index.d.ts +33 -0
  129. package/modules/backtest/dist/index.d.ts.map +1 -0
  130. package/modules/backtest/dist/index.js +28 -0
  131. package/modules/backtest/dist/index.js.map +1 -0
  132. package/modules/backtest/dist/options/chain.d.ts +68 -0
  133. package/modules/backtest/dist/options/chain.d.ts.map +1 -0
  134. package/modules/backtest/dist/options/chain.js +303 -0
  135. package/modules/backtest/dist/options/chain.js.map +1 -0
  136. package/modules/backtest/dist/options/engine.d.ts +28 -0
  137. package/modules/backtest/dist/options/engine.d.ts.map +1 -0
  138. package/modules/backtest/dist/options/engine.js +1859 -0
  139. package/modules/backtest/dist/options/engine.js.map +1 -0
  140. package/modules/backtest/dist/options/index.d.ts +23 -0
  141. package/modules/backtest/dist/options/index.d.ts.map +1 -0
  142. package/modules/backtest/dist/options/index.js +21 -0
  143. package/modules/backtest/dist/options/index.js.map +1 -0
  144. package/modules/backtest/dist/options/tearsheet.d.ts +77 -0
  145. package/modules/backtest/dist/options/tearsheet.d.ts.map +1 -0
  146. package/modules/backtest/dist/options/tearsheet.js +205 -0
  147. package/modules/backtest/dist/options/tearsheet.js.map +1 -0
  148. package/modules/backtest/dist/options/types.d.ts +571 -0
  149. package/modules/backtest/dist/options/types.d.ts.map +1 -0
  150. package/modules/backtest/dist/options/types.js +19 -0
  151. package/modules/backtest/dist/options/types.js.map +1 -0
  152. package/modules/backtest/dist/paper/index.d.ts +13 -0
  153. package/modules/backtest/dist/paper/index.d.ts.map +1 -0
  154. package/modules/backtest/dist/paper/index.js +12 -0
  155. package/modules/backtest/dist/paper/index.js.map +1 -0
  156. package/modules/backtest/dist/paper/paper.d.ts +8 -0
  157. package/modules/backtest/dist/paper/paper.d.ts.map +1 -0
  158. package/modules/backtest/dist/paper/paper.js +950 -0
  159. package/modules/backtest/dist/paper/paper.js.map +1 -0
  160. package/modules/backtest/dist/paper/types.d.ts +190 -0
  161. package/modules/backtest/dist/paper/types.d.ts.map +1 -0
  162. package/modules/backtest/dist/paper/types.js +3 -0
  163. package/modules/backtest/dist/paper/types.js.map +1 -0
  164. package/modules/backtest/dist/paper/validate.d.ts +9 -0
  165. package/modules/backtest/dist/paper/validate.d.ts.map +1 -0
  166. package/modules/backtest/dist/paper/validate.js +112 -0
  167. package/modules/backtest/dist/paper/validate.js.map +1 -0
  168. package/modules/backtest/dist/portfolio/adapters.d.ts +37 -0
  169. package/modules/backtest/dist/portfolio/adapters.d.ts.map +1 -0
  170. package/modules/backtest/dist/portfolio/adapters.js +555 -0
  171. package/modules/backtest/dist/portfolio/adapters.js.map +1 -0
  172. package/modules/backtest/dist/portfolio/engine.d.ts +35 -0
  173. package/modules/backtest/dist/portfolio/engine.d.ts.map +1 -0
  174. package/modules/backtest/dist/portfolio/engine.js +1300 -0
  175. package/modules/backtest/dist/portfolio/engine.js.map +1 -0
  176. package/modules/backtest/dist/portfolio/index.d.ts +12 -0
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  180. package/modules/backtest/dist/portfolio/types.d.ts +418 -0
  181. package/modules/backtest/dist/portfolio/types.d.ts.map +1 -0
  182. package/modules/backtest/dist/portfolio/types.js +8 -0
  183. package/modules/backtest/dist/portfolio/types.js.map +1 -0
  184. package/modules/backtest/dist/portfolio/validate.d.ts +26 -0
  185. package/modules/backtest/dist/portfolio/validate.d.ts.map +1 -0
  186. package/modules/backtest/dist/portfolio/validate.js +556 -0
  187. package/modules/backtest/dist/portfolio/validate.js.map +1 -0
  188. package/modules/backtest/dist/run-artifacts.d.ts +425 -0
  189. package/modules/backtest/dist/run-artifacts.d.ts.map +1 -0
  190. package/modules/backtest/dist/run-artifacts.js +1843 -0
  191. package/modules/backtest/dist/run-artifacts.js.map +1 -0
  192. package/modules/backtest/dist/signals.d.ts +110 -0
  193. package/modules/backtest/dist/signals.d.ts.map +1 -0
  194. package/modules/backtest/dist/signals.js +207 -0
  195. package/modules/backtest/dist/signals.js.map +1 -0
  196. package/modules/backtest/dist/tearsheet.d.ts +126 -0
  197. package/modules/backtest/dist/tearsheet.d.ts.map +1 -0
  198. package/modules/backtest/dist/tearsheet.js +266 -0
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  200. package/modules/backtest/dist/types.d.ts +175 -0
  201. package/modules/backtest/dist/types.d.ts.map +1 -0
  202. package/modules/backtest/dist/types.js +29 -0
  203. package/modules/backtest/dist/types.js.map +1 -0
  204. package/modules/backtest/dist/validate.d.ts +13 -0
  205. package/modules/backtest/dist/validate.d.ts.map +1 -0
  206. package/modules/backtest/dist/validate.js +37 -0
  207. package/modules/backtest/dist/validate.js.map +1 -0
  208. package/modules/backtest/dist/vectorized.d.ts +53 -0
  209. package/modules/backtest/dist/vectorized.d.ts.map +1 -0
  210. package/modules/backtest/dist/vectorized.js +383 -0
  211. package/modules/backtest/dist/vectorized.js.map +1 -0
  212. package/modules/backtest/dist/walk-forward.d.ts +57 -0
  213. package/modules/backtest/dist/walk-forward.d.ts.map +1 -0
  214. package/modules/backtest/dist/walk-forward.js +125 -0
  215. package/modules/backtest/dist/walk-forward.js.map +1 -0
  216. package/modules/backtest/etc/backtest.api.md +139 -0
  217. package/modules/backtest/src/artifacts.ts +54 -0
  218. package/modules/backtest/src/broker.ts +1529 -0
  219. package/modules/backtest/src/costs.ts +225 -0
  220. package/modules/backtest/src/cross-sectional/engine.ts +1608 -0
  221. package/modules/backtest/src/cross-sectional/folds.ts +718 -0
  222. package/modules/backtest/src/cross-sectional/grid.ts +646 -0
  223. package/modules/backtest/src/cross-sectional/index.ts +76 -0
  224. package/modules/backtest/src/cross-sectional/types.ts +363 -0
  225. package/modules/backtest/src/cross-sectional/validate.ts +906 -0
  226. package/modules/backtest/src/diagnostics.ts +66 -0
  227. package/modules/backtest/src/environment/bench.ts +1022 -0
  228. package/modules/backtest/src/environment/environment.ts +766 -0
  229. package/modules/backtest/src/environment/episode.ts +146 -0
  230. package/modules/backtest/src/environment/episodes.ts +786 -0
  231. package/modules/backtest/src/environment/features.ts +184 -0
  232. package/modules/backtest/src/environment/index.ts +79 -0
  233. package/modules/backtest/src/environment/limits.ts +383 -0
  234. package/modules/backtest/src/environment/reward.ts +98 -0
  235. package/modules/backtest/src/environment/types.ts +595 -0
  236. package/modules/backtest/src/environment/validate.ts +415 -0
  237. package/modules/backtest/src/event-driven.ts +528 -0
  238. package/modules/backtest/src/execution/conformance.ts +346 -0
  239. package/modules/backtest/src/execution/fill-models.ts +410 -0
  240. package/modules/backtest/src/execution/fill-order.ts +261 -0
  241. package/modules/backtest/src/execution/index.ts +91 -0
  242. package/modules/backtest/src/execution/intrabar.ts +185 -0
  243. package/modules/backtest/src/execution/normalized.ts +216 -0
  244. package/modules/backtest/src/execution/policy.ts +447 -0
  245. package/modules/backtest/src/execution/types.ts +239 -0
  246. package/modules/backtest/src/execution/validate.ts +889 -0
  247. package/modules/backtest/src/generated/validation-specs.ts +1132 -0
  248. package/modules/backtest/src/index.ts +157 -0
  249. package/modules/backtest/src/options/chain.ts +410 -0
  250. package/modules/backtest/src/options/engine.ts +2240 -0
  251. package/modules/backtest/src/options/index.ts +68 -0
  252. package/modules/backtest/src/options/tearsheet.ts +327 -0
  253. package/modules/backtest/src/options/types.ts +573 -0
  254. package/modules/backtest/src/paper/index.ts +27 -0
  255. package/modules/backtest/src/paper/paper.ts +1288 -0
  256. package/modules/backtest/src/paper/types.ts +221 -0
  257. package/modules/backtest/src/paper/validate.ts +168 -0
  258. package/modules/backtest/src/portfolio/adapters.ts +651 -0
  259. package/modules/backtest/src/portfolio/engine.ts +1518 -0
  260. package/modules/backtest/src/portfolio/index.ts +64 -0
  261. package/modules/backtest/src/portfolio/types.ts +456 -0
  262. package/modules/backtest/src/portfolio/validate.ts +861 -0
  263. package/modules/backtest/src/run-artifacts.ts +2873 -0
  264. package/modules/backtest/src/signals.ts +267 -0
  265. package/modules/backtest/src/tearsheet.ts +425 -0
  266. package/modules/backtest/src/types.ts +200 -0
  267. package/modules/backtest/src/validate.ts +43 -0
  268. package/modules/backtest/src/vectorized.ts +541 -0
  269. package/modules/backtest/src/walk-forward.ts +215 -0
  270. package/modules/calendars/dist/cboe.d.ts +15 -0
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  298. package/modules/calendars/etc/calendars.api.md +22 -0
  299. package/modules/calendars/src/cboe.ts +17 -0
  300. package/modules/calendars/src/crypto.ts +17 -0
  301. package/modules/calendars/src/expirations.ts +200 -0
  302. package/modules/calendars/src/index.ts +23 -0
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@@ -0,0 +1,462 @@
1
+ /**
2
+ * Corporate actions beyond splits, fixed-income redemptions, and position transfers (FC7 slice 5,
3
+ * 2026-08-29; agent-native "Corporate actions" family — "instrument/lot transformation with
4
+ * provenance"; FC7 mandatory state: merger, spin-off, symbol change, return of capital,
5
+ * cash-in-lieu, fixed-income call/maturity/principal, and internal transfer identity) — over the
6
+ * ONE reducer kernel a fill uses: every relief goes through `relieveQuantity`, every new lot
7
+ * through `openLot`, every cash leg through `bookCash`.
8
+ *
9
+ * Conventions decided here (each proven in `test/lifecycle-corporate.test.ts`):
10
+ *
11
+ * - **Symbol change** moves the position object (lots, lot ids, basis, profile) and the account's
12
+ * per-instrument attribution to the new key; a rename never merges two positions. Its reversal
13
+ * is EXACT (rename back) while the account holds the new id and not the old one.
14
+ * - **Merger** — a pure cash merger relieves every lot at `cashPerShare` (realized through the
15
+ * kernel). Stock consideration converts every lot in place (`quantity × sharesPerShare`,
16
+ * `basis ÷ sharesPerShare`; total basis preserved exactly) and appends it to the acquirer's
17
+ * position with lot identity and opening date intact. MIXED consideration treats the cash as a
18
+ * return of capital FIRST (basis per unit − `cashPerShare`, any excess over basis realized, the
19
+ * lot floored at 0) and then converts — this build's mixed-merger convention, chosen because the
20
+ * fold holds no mark with which to apportion basis by value. Long positions only.
21
+ * - **Spin-off** moves the explicit fraction of each parent lot's basis into a child lot that
22
+ * carries the PARENT lot's opening date (the holding period tacks) under the spin-off's event id.
23
+ * - **Return of capital** reduces basis per unit, realizes any excess over basis, and is never
24
+ * income.
25
+ * - **Cash-in-lieu** relieves the surrendered fraction at `amount ÷ quantity` per unit.
26
+ * - **Redemption** relieves face units at the redemption price; a `'maturity'` retires the whole
27
+ * position. Long positions receive principal; short positions pay it.
28
+ * - **Position transfer** MOVES lots between accounts: a lot moved whole keeps its identity; a lot
29
+ * moved in part splits into a new lot carrying the source lot's opening date and event. No cash,
30
+ * no realized P&L; attribution history stays in the account that earned it.
31
+ *
32
+ * The fold keeps no effect record for these families, so every reversal except the symbol change
33
+ * is refused through the kernel's `infeasible` — the correcting economic event is the repair.
34
+ *
35
+ * Package-internal: dispatched from `state.ts`; nothing here is curated public surface.
36
+ */
37
+ import { DataError, ErrorCode, InputError } from '../../core/dist/index.js';
38
+ import { canonicalJsonOf } from '../../core/dist/artifacts/index.js';
39
+ import { QUANTITY_DUST, ownValue, setOwnValue } from './internal.js';
40
+ import { accountOf, addToInstrument, bookCash, closingCapacity, ensurePosition, finalizePosition, infeasible, openLot, recordRealized, relieveQuantity, reliefOrder, requireHeldPosition, } from './reducer-kernel.js';
41
+ // ---------------------------------------------------------------------------------------------------
42
+ // Shared refusals and small helpers
43
+ // ---------------------------------------------------------------------------------------------------
44
+ /** A typed refusal of the economically impossible — the event is well-formed, the state forbids it. */
45
+ function refuse(functionName, envelope, field, detail, code = ErrorCode.InputOutOfRange) {
46
+ throw new InputError(`${functionName}: ${envelope.event.eventType} event '${envelope.eventId}' ${detail}`, { code, context: { function: functionName, field, eventId: envelope.eventId } });
47
+ }
48
+ /** Prose for what an account holds in a position — every teaching names it. */
49
+ function held(position) {
50
+ const lots = position.lots.length;
51
+ return `${Math.abs(position.quantity)} ${position.instrumentId} (${position.quantity < 0 ? 'short' : 'long'}, ${lots} lot${lots === 1 ? '' : 's'})`;
52
+ }
53
+ /** The instrument facts a position carries — what a successor position must agree with. */
54
+ function profileOf(position) {
55
+ const profile = {
56
+ currency: position.currency,
57
+ contractMultiplier: position.contractMultiplier,
58
+ settlementStyle: position.settlementStyle,
59
+ };
60
+ if (position.contract !== undefined)
61
+ profile.contract = position.contract;
62
+ return profile;
63
+ }
64
+ /** The families that re-base or relieve capital lots act on LONG positions only in this build. */
65
+ function requireLong(functionName, envelope, position, field, instead) {
66
+ if (position.quantity < 0) {
67
+ refuse(functionName, envelope, field, `names ${position.instrumentId}, but account '${envelope.accountId}' is SHORT ${Math.abs(position.quantity)} — ${instead}`);
68
+ }
69
+ }
70
+ /**
71
+ * Basis re-basing and cash relief are capital operations: a variation-margin position's lot basis
72
+ * is its last settlement price, not capital, so these families refuse it.
73
+ */
74
+ function requireCashOnTrade(functionName, envelope, position, field) {
75
+ if (position.settlementStyle !== 'cash-on-trade') {
76
+ refuse(functionName, envelope, field, `names ${position.instrumentId}, a '${position.settlementStyle}' position in account '${envelope.accountId}' — this family re-bases or relieves capital lots, and a variation-margin lot's basis is its last settlement price, not capital. Record a derivative.variation-margin settlement or a closing trade.fill instead.`);
77
+ }
78
+ }
79
+ /** A corporate cash leg is paid in the position's currency; an FX leg is a separate conversion. */
80
+ function requireEventCurrency(functionName, envelope, position, currency, field) {
81
+ if (currency !== position.currency) {
82
+ refuse(functionName, envelope, field, `books ${currency}, but account '${envelope.accountId}' holds ${held(position)} in ${position.currency} — a corporate cash leg is paid in the position's currency. Restate the event in ${position.currency} and record the exchange as a cash.conversion.`);
83
+ }
84
+ }
85
+ /** Lots delivered into an existing position must share its sign — a position never mixes both. */
86
+ function requireReceivingDirection(functionName, envelope, accountId, destination, incomingSign, field) {
87
+ if (destination.quantity !== 0 && Math.sign(destination.quantity) !== incomingSign) {
88
+ refuse(functionName, envelope, field, `delivers ${incomingSign > 0 ? 'long' : 'short'} lots of ${destination.instrumentId} into account '${accountId}', which holds ${held(destination)} — a position never holds lots of both signs. Close that position with a trade.fill first.`);
89
+ }
90
+ }
91
+ /** Move the per-instrument attribution (realized, income, costs) from one key to another, merge-adding. */
92
+ function carryInstrumentHistory(account, from, to) {
93
+ for (const record of [
94
+ account.realizedPnlByInstrument,
95
+ account.incomeByInstrument,
96
+ account.transactionCostsByInstrument,
97
+ ]) {
98
+ const history = ownValue(record, from);
99
+ if (history === undefined)
100
+ continue;
101
+ for (const [currency, amount] of Object.entries(history)) {
102
+ addToInstrument(record, to, currency, amount);
103
+ }
104
+ delete record[from];
105
+ }
106
+ }
107
+ /** Re-key a position (and its attribution) under a new instrument id; the object is the same. */
108
+ function renamePosition(account, position, to) {
109
+ const from = position.instrumentId;
110
+ delete account.positions[from];
111
+ position.instrumentId = to;
112
+ setOwnValue(account.positions, to, position);
113
+ carryInstrumentHistory(account, from, to);
114
+ }
115
+ function coversWholePosition(position, quantity) {
116
+ return Math.abs(position.quantity) - quantity <= QUANTITY_DUST;
117
+ }
118
+ /**
119
+ * The relief instructions for a family that may carry none. Under `specific-lot` an event that
120
+ * relieves the WHOLE position, or a position holding ONE lot, leaves nothing to choose — the
121
+ * selections are derived from the lots themselves (exact, never a guess). Anything else returns
122
+ * `undefined` and the kernel (or the family) teaches.
123
+ */
124
+ function selectionsForRelief(state, position, quantity, explicit) {
125
+ if (explicit !== undefined || state.lotRelief !== 'specific-lot')
126
+ return explicit;
127
+ if (coversWholePosition(position, quantity)) {
128
+ return position.lots.map((lot) => ({ lotId: lot.lotId, quantity: Math.abs(lot.quantity) }));
129
+ }
130
+ const only = position.lots[0];
131
+ if (position.lots.length === 1 && only !== undefined) {
132
+ return [{ lotId: only.lotId, quantity }];
133
+ }
134
+ return undefined;
135
+ }
136
+ /**
137
+ * Reduce every lot's basis per unit by `perUnit` (a return of capital); a lot whose basis would
138
+ * fall below zero realizes the excess and floors at zero. Returns the realized excess in the
139
+ * position currency (contract multiplier applied, as the kernel does).
140
+ */
141
+ function reduceBasisPerUnit(position, perUnit) {
142
+ let realized = 0;
143
+ for (const lot of position.lots) {
144
+ const reduced = lot.costBasisPerUnit - perUnit;
145
+ if (reduced < 0) {
146
+ realized += -reduced * lot.quantity * position.contractMultiplier;
147
+ lot.costBasisPerUnit = 0;
148
+ }
149
+ else {
150
+ lot.costBasisPerUnit = reduced;
151
+ }
152
+ }
153
+ return realized;
154
+ }
155
+ // ---------------------------------------------------------------------------------------------------
156
+ // corporate.symbol-change
157
+ // ---------------------------------------------------------------------------------------------------
158
+ function applySymbolChange(functionName, state, envelope, event) {
159
+ const account = accountOf(state, envelope.accountId);
160
+ const position = requireHeldPosition(functionName, account, envelope, event.fromInstrumentId, 'event.fromInstrumentId');
161
+ const collision = ownValue(account.positions, event.toInstrumentId);
162
+ if (collision !== undefined) {
163
+ refuse(functionName, envelope, 'event.toInstrumentId', `renames ${event.fromInstrumentId} to ${event.toInstrumentId}, but account '${envelope.accountId}' already holds ${held(collision)} — a rename never merges two positions. Record a corporate.merger (sharesPerShare 1) to combine ${event.fromInstrumentId} into ${event.toInstrumentId}.`);
164
+ }
165
+ renamePosition(account, position, event.toInstrumentId);
166
+ }
167
+ function reverseSymbolChange(functionName, state, envelope, applied, event) {
168
+ const account = accountOf(state, applied.accountId);
169
+ const position = ownValue(account.positions, event.toInstrumentId);
170
+ if (position === undefined) {
171
+ infeasible(functionName, envelope, `account '${applied.accountId}' no longer holds ${event.toInstrumentId} (the renamed position was closed, merged, or renamed again).`);
172
+ }
173
+ if (ownValue(account.positions, event.fromInstrumentId) !== undefined) {
174
+ infeasible(functionName, envelope, `account '${applied.accountId}' holds ${event.fromInstrumentId} again — renaming ${event.toInstrumentId} back would merge two positions.`);
175
+ }
176
+ renamePosition(account, position, event.fromInstrumentId);
177
+ }
178
+ // ---------------------------------------------------------------------------------------------------
179
+ // corporate.merger
180
+ // ---------------------------------------------------------------------------------------------------
181
+ function applyMerger(functionName, state, envelope, event) {
182
+ const account = accountOf(state, envelope.accountId);
183
+ const position = requireHeldPosition(functionName, account, envelope, event.fromInstrumentId, 'event.fromInstrumentId');
184
+ requireLong(functionName, envelope, position, 'event.fromInstrumentId', 'a short position in an acquired instrument is closed out by the acquirer, and that settlement is deferred in this build. Record the cover as a trade.fill buy at the deal price.');
185
+ requireCashOnTrade(functionName, envelope, position, 'event.fromInstrumentId');
186
+ if (event.currency !== undefined) {
187
+ requireEventCurrency(functionName, envelope, position, event.currency, 'event.currency');
188
+ }
189
+ const quantity = position.quantity;
190
+ const multiplier = position.contractMultiplier;
191
+ if (event.sharesPerShare === undefined) {
192
+ // Pure cash: every lot is relieved at the deal price — realized through the kernel.
193
+ const cashPerShare = event.cashPerShare;
194
+ const outcome = relieveQuantity(functionName, state, envelope, position, quantity, cashPerShare, selectionsForRelief(state, position, quantity, undefined), 'event');
195
+ recordRealized(account, event.fromInstrumentId, position.currency, outcome.realizedPnl);
196
+ bookCash(account, position.currency, cashPerShare * quantity * multiplier, envelope.eventId, event.settleTimestampMs);
197
+ finalizePosition(account, position);
198
+ return;
199
+ }
200
+ // Stock (or mixed): the acquirer's position must agree with the acquired profile and direction
201
+ // BEFORE any cash or basis moves, so a refusal leaves nothing half-applied.
202
+ const toInstrumentId = event.toInstrumentId;
203
+ const destination = ensurePosition(functionName, account, envelope, toInstrumentId, profileOf(position), 'event.toInstrumentId');
204
+ requireReceivingDirection(functionName, envelope, envelope.accountId, destination, 1, 'event.toInstrumentId');
205
+ if (event.cashPerShare !== undefined) {
206
+ // Mixed consideration: the cash is a return of capital against each lot first (excess over
207
+ // basis realized, floored at 0); the remaining basis converts with the shares.
208
+ bookCash(account, position.currency, event.cashPerShare * quantity * multiplier, envelope.eventId, event.settleTimestampMs);
209
+ const excess = reduceBasisPerUnit(position, event.cashPerShare);
210
+ recordRealized(account, event.fromInstrumentId, position.currency, excess);
211
+ }
212
+ const ratio = event.sharesPerShare;
213
+ for (const lot of position.lots) {
214
+ lot.quantity *= ratio;
215
+ lot.costBasisPerUnit /= ratio;
216
+ destination.lots.push(lot);
217
+ }
218
+ position.lots = [];
219
+ finalizePosition(account, position);
220
+ finalizePosition(account, destination);
221
+ carryInstrumentHistory(account, event.fromInstrumentId, toInstrumentId);
222
+ }
223
+ // ---------------------------------------------------------------------------------------------------
224
+ // corporate.spin-off
225
+ // ---------------------------------------------------------------------------------------------------
226
+ function applySpinOff(functionName, state, envelope, event) {
227
+ const account = accountOf(state, envelope.accountId);
228
+ const parent = requireHeldPosition(functionName, account, envelope, event.parentInstrumentId, 'event.parentInstrumentId');
229
+ requireLong(functionName, envelope, parent, 'event.parentInstrumentId', 'a short parent owes the distributed child shares to the lender, and that obligation is deferred in this build. Record the child short as a trade.fill sell at the distribution price.');
230
+ requireCashOnTrade(functionName, envelope, parent, 'event.parentInstrumentId');
231
+ const child = ensurePosition(functionName, account, envelope, event.childInstrumentId, { currency: parent.currency, contractMultiplier: 1, settlementStyle: 'cash-on-trade' }, 'event.childInstrumentId');
232
+ requireReceivingDirection(functionName, envelope, envelope.accountId, child, 1, 'event.childInstrumentId');
233
+ const fraction = event.basisAllocationFraction;
234
+ for (const lot of parent.lots) {
235
+ const childQuantity = lot.quantity * event.sharesPerParentShare;
236
+ const lotBasis = lot.costBasisPerUnit * lot.quantity * parent.contractMultiplier;
237
+ const childLot = openLot(state, child, childQuantity, (lotBasis * fraction) / childQuantity, envelope);
238
+ // The holding period tacks: the child lot keeps the parent lot's opening date, under the
239
+ // spin-off's own event id (set by `openLot`).
240
+ childLot.openedTimestampMs = lot.openedTimestampMs;
241
+ lot.costBasisPerUnit *= 1 - fraction;
242
+ }
243
+ finalizePosition(account, child);
244
+ finalizePosition(account, parent);
245
+ }
246
+ // ---------------------------------------------------------------------------------------------------
247
+ // corporate.return-of-capital
248
+ // ---------------------------------------------------------------------------------------------------
249
+ function applyReturnOfCapital(functionName, state, envelope, event) {
250
+ const account = accountOf(state, envelope.accountId);
251
+ const position = requireHeldPosition(functionName, account, envelope, event.instrumentId, 'event.instrumentId');
252
+ requireLong(functionName, envelope, position, 'event.instrumentId', 'a short position PAYS the distribution to the lender. Record that payment as a cost.charge, never as capital returned.');
253
+ requireCashOnTrade(functionName, envelope, position, 'event.instrumentId');
254
+ requireEventCurrency(functionName, envelope, position, event.currency, 'event.currency');
255
+ bookCash(account, position.currency, event.amountPerShare * position.quantity * position.contractMultiplier, envelope.eventId, event.settleTimestampMs);
256
+ const excess = reduceBasisPerUnit(position, event.amountPerShare);
257
+ recordRealized(account, event.instrumentId, position.currency, excess);
258
+ }
259
+ // ---------------------------------------------------------------------------------------------------
260
+ // corporate.cash-in-lieu
261
+ // ---------------------------------------------------------------------------------------------------
262
+ function applyCashInLieu(functionName, state, envelope, event) {
263
+ const account = accountOf(state, envelope.accountId);
264
+ const position = requireHeldPosition(functionName, account, envelope, event.instrumentId, 'event.instrumentId');
265
+ requireLong(functionName, envelope, position, 'event.instrumentId', 'cash in lieu settles a fractional LONG share. Record a short fraction covered for cash as a trade.fill buy.');
266
+ requireCashOnTrade(functionName, envelope, position, 'event.instrumentId');
267
+ requireEventCurrency(functionName, envelope, position, event.currency, 'event.currency');
268
+ closingCapacity(functionName, envelope, position, event.quantity, 'event.quantity');
269
+ const selections = selectionsForRelief(state, position, event.quantity, undefined);
270
+ const pricePerUnit = event.amount / (event.quantity * position.contractMultiplier);
271
+ if (selections === undefined && state.lotRelief === 'specific-lot') {
272
+ refuse(functionName, envelope, 'event.quantity', `surrenders ${event.quantity} of ${held(position)} under lotRelief 'specific-lot', and corporate.cash-in-lieu names no lots — record the fraction as a trade.fill sell (quantity ${event.quantity}, pricePerUnit ${pricePerUnit}) with lotSelections, attributed through relatesToEventId.`, ErrorCode.InputMissingField);
273
+ }
274
+ const outcome = relieveQuantity(functionName, state, envelope, position, event.quantity, pricePerUnit, selections, 'event');
275
+ recordRealized(account, event.instrumentId, position.currency, outcome.realizedPnl);
276
+ bookCash(account, position.currency, event.amount, envelope.eventId, event.settleTimestampMs);
277
+ finalizePosition(account, position);
278
+ }
279
+ // ---------------------------------------------------------------------------------------------------
280
+ // fixed-income.redemption
281
+ // ---------------------------------------------------------------------------------------------------
282
+ function applyRedemption(functionName, state, envelope, event) {
283
+ const account = accountOf(state, envelope.accountId);
284
+ const position = requireHeldPosition(functionName, account, envelope, event.instrumentId, 'event.instrumentId');
285
+ requireCashOnTrade(functionName, envelope, position, 'event.instrumentId');
286
+ requireEventCurrency(functionName, envelope, position, event.currency, 'event.currency');
287
+ closingCapacity(functionName, envelope, position, event.quantity, 'event.quantity');
288
+ if (event.redemptionType === 'maturity' && !coversWholePosition(position, event.quantity)) {
289
+ refuse(functionName, envelope, 'event.quantity', `redeems ${event.quantity} of ${held(position)} at maturity — a maturity retires the whole instrument. Record redemptionType 'principal-paydown' for a partial return of principal, or the full ${Math.abs(position.quantity)}.`);
290
+ }
291
+ const direction = Math.sign(position.quantity);
292
+ const outcome = relieveQuantity(functionName, state, envelope, position, event.quantity, event.pricePerUnit, selectionsForRelief(state, position, event.quantity, event.lotSelections), 'event.lotSelections');
293
+ recordRealized(account, event.instrumentId, position.currency, outcome.realizedPnl);
294
+ bookCash(account, position.currency, direction * event.quantity * event.pricePerUnit * position.contractMultiplier, envelope.eventId, event.settleTimestampMs);
295
+ finalizePosition(account, position);
296
+ }
297
+ /** Which lots (and how much of each) a transfer moves — the kernel's relief law, without relief. */
298
+ function planTransfer(functionName, state, envelope, position, quantity, explicit) {
299
+ const subject = `${envelope.event.eventType} event '${envelope.eventId}'`;
300
+ if (explicit !== undefined && state.lotRelief !== 'specific-lot') {
301
+ refuse(functionName, envelope, 'event.lotSelections', `carries lotSelections, but this ledger's lotRelief is '${state.lotRelief}' — the selections would be silently ignored. Remove them, or fold under lotRelief: 'specific-lot'.`);
302
+ }
303
+ if (state.lotRelief === 'specific-lot') {
304
+ const selections = selectionsForRelief(state, position, quantity, explicit);
305
+ if (selections === undefined) {
306
+ refuse(functionName, envelope, 'event.lotSelections', `moves ${quantity} of ${held(position)} under lotRelief 'specific-lot', so event.lotSelections must name the lots moved (their quantities summing to ${quantity}).`, ErrorCode.InputMissingField);
307
+ }
308
+ const selectedTotal = selections.reduce((sum, s) => sum + s.quantity, 0);
309
+ if (Math.abs(selectedTotal - quantity) > QUANTITY_DUST) {
310
+ refuse(functionName, envelope, 'event.lotSelections', `moves ${quantity} of ${position.instrumentId}, but its lotSelections sum to ${selectedTotal} — specific-lot selection must name exactly the moved quantity.`);
311
+ }
312
+ return selections.map((selection) => {
313
+ const lot = position.lots.find((candidate) => candidate.lotId === selection.lotId);
314
+ if (lot === undefined) {
315
+ throw new DataError(`${functionName}: ${subject} names lot '${selection.lotId}', which does not exist in the ${position.instrumentId} position of account '${envelope.accountId}' — a transfer never guesses a substitute. Open lots: ${position.lots.map((l) => `${l.lotId} (${l.quantity})`).join(', ') || 'none'}.`, {
316
+ code: ErrorCode.PortfolioLotUnavailable,
317
+ context: { function: functionName, lotId: selection.lotId, eventId: envelope.eventId },
318
+ });
319
+ }
320
+ if (Math.abs(lot.quantity) + QUANTITY_DUST < selection.quantity) {
321
+ throw new DataError(`${functionName}: ${subject} moves ${selection.quantity} from lot '${selection.lotId}', which holds only ${Math.abs(lot.quantity)}.`, {
322
+ code: ErrorCode.PortfolioLotUnavailable,
323
+ context: { function: functionName, lotId: selection.lotId, eventId: envelope.eventId },
324
+ });
325
+ }
326
+ return { lot, quantity: selection.quantity };
327
+ });
328
+ }
329
+ const moves = [];
330
+ let remaining = quantity;
331
+ for (const lot of reliefOrder(position.lots, state.lotRelief)) {
332
+ if (remaining <= QUANTITY_DUST)
333
+ break;
334
+ const take = Math.min(Math.abs(lot.quantity), remaining);
335
+ moves.push({ lot, quantity: take });
336
+ remaining -= take;
337
+ }
338
+ return moves;
339
+ }
340
+ /** The destination's open position must agree with the moving lots' profile — named for the RECEIVING account. */
341
+ function requireDestinationProfile(functionName, envelope, toAccountId, existing, moving) {
342
+ const disagreement = existing.currency !== moving.currency
343
+ ? `in ${existing.currency}, while the moving lots are in ${moving.currency}`
344
+ : existing.contractMultiplier !== moving.contractMultiplier
345
+ ? `with contractMultiplier ${existing.contractMultiplier}, while the moving lots carry ${moving.contractMultiplier}`
346
+ : existing.settlementStyle !== moving.settlementStyle
347
+ ? `settling '${existing.settlementStyle}', while the moving lots settle '${moving.settlementStyle}'`
348
+ : canonicalJsonOf(existing.contract ?? null) !== canonicalJsonOf(moving.contract ?? null)
349
+ ? `under contract terms that differ from the moving lots'`
350
+ : null;
351
+ if (disagreement !== null) {
352
+ refuse(functionName, envelope, 'event.toAccountId', `moves ${moving.instrumentId} into account '${toAccountId}', which holds ${held(existing)} ${disagreement} — one profile per open position. Close the destination position first, or transfer into an account whose ${moving.instrumentId} position agrees.`);
353
+ }
354
+ }
355
+ function applyTransfer(functionName, state, envelope, event) {
356
+ const source = accountOf(state, envelope.accountId);
357
+ const position = requireHeldPosition(functionName, source, envelope, event.instrumentId, 'event.instrumentId');
358
+ closingCapacity(functionName, envelope, position, event.quantity, 'event.quantity');
359
+ const receiver = accountOf(state, event.toAccountId);
360
+ const existing = ownValue(receiver.positions, event.instrumentId);
361
+ if (existing !== undefined) {
362
+ requireDestinationProfile(functionName, envelope, event.toAccountId, existing, position);
363
+ }
364
+ const destination = ensurePosition(functionName, receiver, envelope, event.instrumentId, profileOf(position), 'event.toAccountId');
365
+ const sign = position.quantity < 0 ? -1 : 1;
366
+ requireReceivingDirection(functionName, envelope, event.toAccountId, destination, sign, 'event.toAccountId');
367
+ const moves = planTransfer(functionName, state, envelope, position, event.quantity, event.lotSelections);
368
+ for (const { lot, quantity } of moves) {
369
+ if (Math.abs(lot.quantity) - quantity <= QUANTITY_DUST) {
370
+ // The whole lot travels: its identity, opening date, and basis are unchanged.
371
+ position.lots.splice(position.lots.indexOf(lot), 1);
372
+ destination.lots.push(lot);
373
+ }
374
+ else {
375
+ // A partial move splits the lot: the moved part is a NEW lot (fold-deterministic id) that
376
+ // keeps the source lot's opening date and opening event, so the holding period is preserved.
377
+ const moved = openLot(state, destination, sign * quantity, lot.costBasisPerUnit, envelope);
378
+ moved.openedTimestampMs = lot.openedTimestampMs;
379
+ moved.openedByEventId = lot.openedByEventId;
380
+ lot.quantity -= sign * quantity;
381
+ }
382
+ }
383
+ finalizePosition(source, position);
384
+ finalizePosition(receiver, destination);
385
+ }
386
+ // ---------------------------------------------------------------------------------------------------
387
+ // Dispatch
388
+ // ---------------------------------------------------------------------------------------------------
389
+ /** Fold one corporate-action / redemption / transfer envelope into the working state. */
390
+ export function applyCorporateEvent(functionName, state, envelope) {
391
+ const event = envelope.event;
392
+ switch (event.eventType) {
393
+ case 'corporate.symbol-change':
394
+ applySymbolChange(functionName, state, envelope, event);
395
+ return;
396
+ case 'corporate.merger':
397
+ applyMerger(functionName, state, envelope, event);
398
+ return;
399
+ case 'corporate.spin-off':
400
+ applySpinOff(functionName, state, envelope, event);
401
+ return;
402
+ case 'corporate.return-of-capital':
403
+ applyReturnOfCapital(functionName, state, envelope, event);
404
+ return;
405
+ case 'corporate.cash-in-lieu':
406
+ applyCashInLieu(functionName, state, envelope, event);
407
+ return;
408
+ case 'fixed-income.redemption':
409
+ applyRedemption(functionName, state, envelope, event);
410
+ return;
411
+ case 'position.transfer':
412
+ applyTransfer(functionName, state, envelope, event);
413
+ return;
414
+ default:
415
+ throw new InputError(`${functionName}: '${event.eventType}' is not a corporate-action, redemption, or transfer event.`, {
416
+ code: ErrorCode.InputInvalidEnum,
417
+ context: { function: functionName, field: 'event.eventType', eventId: envelope.eventId },
418
+ });
419
+ }
420
+ }
421
+ /**
422
+ * Undo one applied envelope of this family EXACTLY, or refuse with the reason (through the
423
+ * kernel's `infeasible`). `applied` is the registry-proven original; `key` its registry identity.
424
+ * Only the symbol change has an exact inverse from state alone; the fold records no effect for
425
+ * the other families, so their reversal is the correcting economic event.
426
+ */
427
+ export function reverseCorporateEvent(functionName, state, envelope, applied, _key) {
428
+ const target = applied.event;
429
+ if (target.eventType === 'corporate.symbol-change') {
430
+ reverseSymbolChange(functionName, state, envelope, applied, target);
431
+ return;
432
+ }
433
+ // Every other family transformed or relieved lots without an effect record: name why.
434
+ let detail;
435
+ switch (target.eventType) {
436
+ case 'corporate.merger':
437
+ detail =
438
+ target.sharesPerShare === undefined
439
+ ? `the cash merger relieved every ${target.fromInstrumentId} lot at ${target.cashPerShare} and realized the result; relieved lots cannot be restored exactly.`
440
+ : `the merger converted every ${target.fromInstrumentId} lot into ${target.toInstrumentId}${target.cashPerShare !== undefined ? ' after re-basing it for the cash consideration' : ''}; transformed lots cannot be restored exactly.`;
441
+ break;
442
+ case 'corporate.spin-off':
443
+ detail = `the spin-off re-based every ${target.parentInstrumentId} lot and opened ${target.childInstrumentId} lots from them; the fold keeps no per-lot record of the allocation.`;
444
+ break;
445
+ case 'corporate.return-of-capital':
446
+ detail = `the return of capital re-based every ${target.instrumentId} lot (floored at zero where the distribution exceeded basis) and the fold keeps no per-lot record of the reduction — later fills or relief would blur it. Record a cash.withdrawal for the cash and an admin.correction of the acquiring fills if the basis must be restored.`;
447
+ break;
448
+ case 'corporate.cash-in-lieu':
449
+ detail = `the cash-in-lieu relieved ${target.quantity} ${target.instrumentId} from prior lots and realized the result; relieved lots cannot be restored exactly.`;
450
+ break;
451
+ case 'fixed-income.redemption':
452
+ detail = `the ${target.redemptionType} redemption relieved ${target.quantity} ${target.instrumentId} from prior lots and realized the result; relieved lots cannot be restored exactly.`;
453
+ break;
454
+ case 'position.transfer':
455
+ detail = `the transfer moved ${target.quantity} ${target.instrumentId} from '${target.fromAccountId}' to '${target.toAccountId}', splitting lots where needed, and the fold keeps no record of which lots travelled. Record a position.transfer back from '${target.toAccountId}' instead.`;
456
+ break;
457
+ default:
458
+ detail = `'${target.eventType}' has no inverse in this module.`;
459
+ }
460
+ infeasible(functionName, envelope, detail);
461
+ }
462
+ //# sourceMappingURL=lifecycle-corporate.js.map
@@ -0,0 +1 @@
1
+ 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@@ -0,0 +1,59 @@
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+ /**
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+ * Derivative lifecycle (FC7 slice 5, 2026-08-29; agent-native "Derivative lifecycle" family; FC7
3
+ * mandatory state "option exercise, assignment, expiration, physical/cash settlement, and
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+ * multiplier changes" and "futures variation margin and contract rolls"): every family here folds
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+ * through the ONE reducer kernel a fill uses — one relief law, one lot-opening law, one
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+ * cash-booking law — so an exercise relieves option lots and opens underlying lots with exactly
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+ * the arithmetic the equivalent fills would.
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+ *
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+ * Semantics (position currency, multiplier `m`, and terms come from the position — `ensurePosition`
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+ * proved them at the opening fill; every event quantity is in contracts, underlying quantities are
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+ * `contracts × m`):
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+ *
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+ * - `derivative.exercise` — a LONG option position. Cash settlement relieves the contracts at the
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+ * intrinsic value per underlying unit (`max(0, S − K)` for a call, `max(0, K − S)` for a put)
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+ * and books `intrinsic × q × m`; the premium is necessarily realized (there is no underlying lot
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+ * to fold it into). Physical settlement relieves the contracts at 0 (`'realize'`: the premium is
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+ * the option's realized loss) or at each lot's own basis (`'fold-into-underlying-basis'`:
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+ * realized 0, the relieved-quantity-weighted premium per underlying unit moves into the
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+ * delivery price), then buys (call) or sells (put) `q × m` of the underlying at the strike with
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+ * the same lot mechanics as a fill; cash moves at the strike.
21
+ * - `derivative.assignment` — the mirror image for a SHORT option position: the premium received
22
+ * is realized (`'realize'`) or improves the delivery price (`'fold'`); a short call delivers
23
+ * (sells) the underlying, a short put takes delivery (buys).
24
+ * - `derivative.expiration` — any option position; the contracts are relieved at 0 and no cash
25
+ * moves (a long expires at a loss of its premium, a short keeps it).
26
+ * - `derivative.multiplier-change` — every open lot's per-unit basis scales by `before / after`
27
+ * so `Σ lot.quantity × basis × multiplier` is preserved exactly; the position's multiplier is
28
+ * replaced. An option's strike changes only when the event explicitly carries
29
+ * `strikePricePerUnitAfter`; the ledger never derives an adjusted strike from the multiplier.
30
+ * - `derivative.variation-margin` — a `'variation-margin'` position settles
31
+ * `Σ (S − lot basis) × lot quantity × m` in cash and as realized P&L (a short lot gains when
32
+ * the price falls), and every lot re-bases to `S`; a second settlement at the same price
33
+ * realizes 0.
34
+ * - `derivative.roll` — closes `quantity` of the from-contract at the close price (proceeds for a
35
+ * cash-on-trade position, realized P&L for a variation-margin one) and opens the successor with
36
+ * the same sign at the open price under the SAME currency, multiplier, and settlement style.
37
+ *
38
+ * Reversal: every family here relieves or re-bases lots. Without an effect record an exact
39
+ * inverse is not provable, so `reverseDerivativeEvent` refuses through the kernel's `infeasible`
40
+ * (`portfolio.reversal_infeasible`) naming the family and the correcting event to record instead.
41
+ * A multiplier change is refused too: the applied event carries only the multiplier AFTER, and
42
+ * the fold does not keep the multiplier before, so the inverse cannot be proven from the fact —
43
+ * record the multiplier change back to the prior multiplier.
44
+ *
45
+ * Package-internal: dispatched from `state.ts`; nothing here is curated public surface.
46
+ */
47
+ import type { PortfolioEventEnvelope } from './events.js';
48
+ import type { PortfolioState } from './state.js';
49
+ export type DerivativeLifecycleEventType = 'derivative.exercise' | 'derivative.assignment' | 'derivative.expiration' | 'derivative.multiplier-change' | 'derivative.variation-margin' | 'derivative.roll';
50
+ /** Fold one derivative-lifecycle envelope into the working state. */
51
+ export declare function applyDerivativeEvent(functionName: string, state: PortfolioState, envelope: PortfolioEventEnvelope): void;
52
+ /**
53
+ * Undo one applied derivative-lifecycle envelope EXACTLY, or refuse with the reason (through the
54
+ * kernel's `infeasible`). `applied` is the registry-proven original; `key` its registry identity.
55
+ * Every family here relieves or re-bases lots and records no effect, so no inverse is provable —
56
+ * the refusal names the family and the correcting event to record instead.
57
+ */
58
+ export declare function reverseDerivativeEvent(functionName: string, _state: PortfolioState, envelope: PortfolioEventEnvelope, applied: PortfolioEventEnvelope, _key: string): void;
59
+ //# sourceMappingURL=lifecycle-derivatives.d.ts.map
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