@insiderfinance/totalfinance 0.1.0

package/modules/risk/dist/book-var.js

@@ -0,0 +1,487 @@
+import { ensureEnumWhenPresent, ensureFiniteWhenPresent } from './options-internal.js';
+/**
+ * Greek-based book VaR (spec §12.2, roadmap Tier 2) — a **delta-gamma** Value-at-Risk / Conditional-VaR
+ * for a book of strategy positions, from each name's greeks and a risk-factor model (per-underlying spot
+ * vol, cross-underlying correlation, optional vol-of-vol).
+ *
+ * Pure composition: it marks each position (`Position.value`), aggregates **raw** greeks + spot per
+ * underlying (the same display→raw bridge `analyzeBook` uses), then reports a **parametric** (delta-normal,
+ * closed-form) VaR, a **Cornish-Fisher** gamma-adjusted analytic VaR (the parametric quantile corrected for
+ * the skewness/kurtosis the gamma induces, gated on the expansion's validity — see
+ * `docs/specs/cornish-fisher-var.md`), and a **Monte-Carlo** (delta-gamma-exact, via `taylorPnl` over
+ * correlated factor draws + `valueAtRiskReport`) VaR, with a per-underlying standalone / component decomposition.
+ * VaR and CVaR are positive loss magnitudes; the expected-P&L drift (gamma convexity + theta) is disclosed
+ * as `pnlMean`, never hidden. See `docs/specs/book-var.md`.
+ */
+import { CONVENTIONS_VERSION, ErrorCode, InputError, WarningCode, ensureFinite, ensureKnownKeys, ensureNonNegative, requireArgumentArray, requireArgumentObject, warning, } from '../../core/dist/index.js';
+import { cholesky, correlatedNormalSampler, mulberry32, normalInverseCdf, normalPdf, normalSample, } from '../../math/dist/index.js';
+import { matVec, quadForm } from './linalg.js';
+import {} from './pnl-explain.js';
+import { taylorPnl } from './scenario.js';
+import { valueAtRiskReport } from './value-at-risk.js';
+/** Hard cap on Monte-Carlo draws — reject an OOM-sized request before any work starts. */
+const MAX_SAMPLES = 1_000_000;
+/** The documented {@link BookVaROptions} keys — Law 12: an unknown option must throw, never no-op. */
+const BOOK_VAR_OPTIONS_KEYS = [
+    'factors',
+    'confidence',
+    'horizonDays',
+    'correlation',
+    'method',
+    'samples',
+    'seed',
+    'tradingDaysPerYear',
+];
+/** A strategy Position built by `strategy(...)` / a named builder — not a raw object. */
+function requirePosition(position, index) {
+    const p = position;
+    if (p === null ||
+        typeof p !== 'object' ||
+        typeof p.value !== 'function' ||
+        !Array.isArray(p.legs)) {
+        throw new InputError(`bookVaR: positions[${index}].position must be a strategy Position (from strategy(...) or a named builder).`, { code: ErrorCode.InputWrongType, context: { index } });
+    }
+}
+function requireConfidence(c) {
+    if (!(c > 0 && c < 1)) {
+        throw new InputError(`bookVaR: confidence must be in (0, 1); got ${c}.`, {
+            code: ErrorCode.InputOutOfRange,
+            context: { confidence: c },
+        });
+    }
+    return c;
+}
+/** Validate a caller-supplied correlation matrix against the sorted underlyings (else identity). */
+function resolveCorrelation(correlation, n, names) {
+    if (correlation === undefined) {
+        return names.map((_, i) => names.map((_2, j) => (i === j ? 1 : 0)));
+    }
+    if (!Array.isArray(correlation) || correlation.length !== n) {
+        throw new InputError(`bookVaR: correlation must be a ${n}×${n} matrix (one row per underlying).`, {
+            code: ErrorCode.InputWrongType,
+            context: {
+                expected: n,
+                got: Array.isArray(correlation) ? correlation.length : typeof correlation,
+            },
+        });
+    }
+    const rho = correlation.map((row, i) => {
+        if (!Array.isArray(row) || row.length !== n) {
+            throw new InputError(`bookVaR: correlation row ${i} must have ${n} entries.`, {
+                code: ErrorCode.InputWrongType,
+                context: { row: i },
+            });
+        }
+        return row.map((v, j) => {
+            ensureFinite(v, `correlation[${i}][${j}]`, 'bookVaR');
+            if (v < -1 || v > 1) {
+                throw new InputError(`bookVaR: correlation[${i}][${j}] must be in [-1, 1]; got ${v}.`, {
+                    code: ErrorCode.InputOutOfRange,
+                    context: { i, j, value: v },
+                });
+            }
+            return v;
+        });
+    });
+    for (let i = 0; i < n; i++) {
+        if (Math.abs(rho[i][i] - 1) > 1e-9) {
+            throw new InputError(`bookVaR: correlation diagonal must be 1; correlation[${i}][${i}] = ${rho[i][i]}.`, {
+                code: ErrorCode.InputOutOfRange,
+                context: { i },
+            });
+        }
+        for (let j = i + 1; j < n; j++) {
+            if (Math.abs(rho[i][j] - rho[j][i]) > 1e-9) {
+                throw new InputError(`bookVaR: correlation must be symmetric (differs at [${i}][${j}]).`, {
+                    code: ErrorCode.InputOutOfRange,
+                    context: { i, j },
+                });
+            }
+        }
+    }
+    return rho;
+}
+/**
+ * Delta-gamma Value-at-Risk / CVaR for a book of strategy positions. Parametric (delta-normal) and
+ * Monte-Carlo (delta-gamma), with a per-underlying standalone/component decomposition. See the spec.
+ */
+/** `A·B` for small dense SQUARE (n×n) matrices — the only shape the CF cumulant traces need. */
+function matmul(a, b) {
+    const n = a.length;
+    return a.map((row) => Array.from({ length: n }, (_, j) => {
+        let s = 0;
+        for (let t = 0; t < n; t++)
+            s += row[t] * b[t][j];
+        return s;
+    }));
+}
+/**
+ * The Cornish-Fisher gamma-adjusted VaR of the delta-gamma(+vega+theta) horizonPeriods P&L. The cumulants of the
+ * quadratic form `Σ[δᵢdSᵢ + ½γᵢdSᵢ²] + vega·dσ + θ·h` (dS ~ N(0, covS), Γ = diag(gamma)) are closed forms
+ * in `covS`/`δ`/`Γ` (no eigendecomposition); the CF quantile expansion adjusts the normal quantile for the
+ * induced skewness/kurtosis. Returns the result only when the expansion is a **valid (monotone) quantile
+ * transform** — else `undefined` with the moments, so a too-convex book is disclosed, never mis-reported.
+ */
+function cornishFisherResult(input) {
+    const { spotCovariance: covS, gamma, covarianceTimesDelta: covDelta, deltaVariance: deltaVar, vegaVariance: vegaVar, gammaMean, thetaDrift, alpha, } = input;
+    const M = covS.map((row, i) => row.map((v) => gamma[i] * v)); // ΓΣ_S
+    const m2 = matmul(M, M);
+    const m3 = matmul(m2, M);
+    const m4 = matmul(m3, M);
+    const tr = (A) => A.reduce((s, row, i) => s + row[i], 0);
+    // δᵀΣ_SΓΣ_Sδ = (Σ_Sδ)ᵀΓ(Σ_Sδ) with p = Σ_Sδ = covDelta.
+    const p = covDelta;
+    const dSGSd = p.reduce((s, pi, i) => s + gamma[i] * pi * pi, 0);
+    // δᵀΣ_SΓΣ_SΓΣ_Sδ = gᵀΣ_Sg with g = Γ·(Σ_Sδ).
+    const g = gamma.map((gi, i) => gi * p[i]);
+    const dSGSGSd = g.reduce((s, gi, i) => s + gi * covS[i].reduce((ss, v, j) => ss + v * g[j], 0), 0);
+    const k1 = gammaMean + thetaDrift;
+    const k2 = deltaVar + 0.5 * tr(m2) + vegaVar;
+    const k3 = 3 * dSGSd + tr(m3);
+    const k4 = 12 * dSGSGSd + 3 * tr(m4);
+    const sigma = Math.sqrt(Math.max(0, k2));
+    const skewness = sigma > 0 ? k3 / Math.pow(k2, 1.5) : 0;
+    const excessKurtosis = sigma > 0 ? k4 / (k2 * k2) : 0;
+    const zAlpha = normalInverseCdf(alpha);
+    // Cornish-Fisher is reliable while its quantile map is monotone over the TAIL region we use (down to a
+    // deep 1e-4 tail for the ES integral, out to the VaR point). q'(z) = qa·z² + qb·z + qc; require its
+    // minimum over [zLo, zHi] > 0. (A global ∀z test wrongly rejects mild skew, where qa dips slightly < 0.)
+    const a = skewness / 6;
+    const b = excessKurtosis / 24;
+    const qa = 3 * b - 6 * a * a;
+    const qb = 2 * a;
+    const qc = 1 - 3 * b + 5 * a * a;
+    const qprime = (z) => qa * z * z + qb * z + qc;
+    const zLo = Math.min(normalInverseCdf(1e-4), zAlpha);
+    const zHi = -zLo;
+    let qMin = Math.min(qprime(zLo), qprime(zHi));
+    if (qa > 0) {
+        const zVertex = -qb / (2 * qa);
+        if (zVertex > zLo && zVertex < zHi)
+            qMin = Math.min(qMin, qprime(zVertex));
+    }
+    if (!(qMin > 0))
+        return { skewness, excessKurtosis };
+    const q = zAlpha +
+        ((zAlpha * zAlpha - 1) / 6) * skewness +
+        ((zAlpha * zAlpha * zAlpha - 3 * zAlpha) / 24) * excessKurtosis -
+        ((2 * zAlpha * zAlpha * zAlpha - 5 * zAlpha) / 36) * skewness * skewness;
+    const varCF = Math.max(0, -(k1 + sigma * q));
+    // CF CVaR: the tail-average of the CF quantile, in closed form (reduces to the normal ES at S=K=0).
+    const esRaw = -k1 +
+        sigma *
+            (normalPdf(zAlpha) / alpha) *
+            (1 - 3 * b + 5 * a * a + a * zAlpha + (b - 2 * a * a) * (zAlpha * zAlpha + 2));
+    return {
+        result: {
+            valueAtRisk: varCF,
+            conditionalValueAtRisk: Math.max(varCF, esRaw),
+            pnlMean: k1,
+            pnlStandardDeviation: sigma,
+            skewness,
+            excessKurtosis,
+        },
+        skewness,
+        excessKurtosis,
+    };
+}
+export function bookVaR(positions, options) {
+    const functionName = 'bookVaR';
+    requireArgumentArray(functionName, 'positions', positions);
+    requireArgumentObject(functionName, 'options', options);
+    ensureKnownKeys(functionName, 'options', options, BOOK_VAR_OPTIONS_KEYS);
+    requireArgumentObject(functionName, 'options.factors', options.factors);
+    ensureFiniteWhenPresent(options.confidence, 'confidence', 'bookVaR');
+    const confidence = requireConfidence(options.confidence ?? 0.95);
+    ensureFiniteWhenPresent(options.horizonDays, 'horizonDays', 'bookVaR');
+    const horizonDays = options.horizonDays ?? 1;
+    if (!(horizonDays > 0) || !Number.isFinite(horizonDays)) {
+        throw new InputError(`${functionName}: horizonDays must be a positive finite number; got ${horizonDays}.`, {
+            code: ErrorCode.InputOutOfRange,
+            context: { horizonDays },
+        });
+    }
+    ensureFiniteWhenPresent(options.tradingDaysPerYear, 'tradingDaysPerYear', 'bookVaR');
+    const tradingDaysPerYear = options.tradingDaysPerYear ?? 252;
+    if (!(tradingDaysPerYear > 0) || !Number.isFinite(tradingDaysPerYear)) {
+        throw new InputError(`${functionName}: tradingDaysPerYear must be a positive finite number.`, {
+            code: ErrorCode.InputOutOfRange,
+            context: { tradingDaysPerYear },
+        });
+    }
+    ensureEnumWhenPresent(options.method, 'bookVaR', 'method', ['both', 'parametric', 'monteCarlo']);
+    const method = options.method ?? 'both';
+    if (method !== 'both' && method !== 'parametric' && method !== 'monteCarlo') {
+        throw new InputError(`${functionName}: method must be 'both' | 'parametric' | 'monteCarlo'; got "${method}".`, {
+            code: ErrorCode.InputInvalidEnum,
+            context: { method },
+        });
+    }
+    const h = horizonDays / tradingDaysPerYear;
+    const sqrtH = Math.sqrt(h);
+    // 1) Mark each position and aggregate raw greeks + spot per underlying.
+    const warnings = [];
+    const agg = new Map();
+    for (let i = 0; i < positions.length; i++) {
+        const item = positions[i];
+        requireArgumentObject(functionName, `positions[${i}]`, item);
+        requirePosition(item.position, i);
+        requireArgumentObject(functionName, `positions[${i}].market`, item.market);
+        const spot = item.market.spot;
+        ensureFinite(spot, `positions[${i}].market.spot`, functionName);
+        const marked = item.position.value(item.market);
+        // Marked Greeks stay in the one unit system (per day / per vol point); the Taylor engine converts.
+        const raw = marked.greeks;
+        const key = item.underlying ?? item.id ?? `position-${i}`;
+        const cur = agg.get(key);
+        if (cur) {
+            // Positions on one underlying share a single spot risk factor; a differing spot is a data
+            // inconsistency — disclose it (the first spot is used for that name's factor).
+            if (cur.spot !== spot) {
+                warnings.push(warning(WarningCode.ModelLimitation, `underlying "${key}" has positions marked at different spots (${cur.spot} vs ${spot}); the first (${cur.spot}) is used for its risk factor.`, 'warn', { underlying: key, spots: [cur.spot, spot] }));
+            }
+            cur.delta += raw.delta ?? 0;
+            cur.gamma += raw.gamma ?? 0;
+            cur.vega += raw.vega ?? 0;
+            cur.theta += raw.theta ?? 0;
+            cur.value += marked.value;
+        }
+        else {
+            agg.set(key, {
+                delta: raw.delta ?? 0,
+                gamma: raw.gamma ?? 0,
+                vega: raw.vega ?? 0,
+                theta: raw.theta ?? 0,
+                value: marked.value,
+                spot,
+            });
+        }
+    }
+    const names = [...agg.keys()].sort();
+    const n = names.length;
+    // An empty book has no risk — return a valid zero envelope rather than run MC on nothing.
+    if (n === 0) {
+        const zero = {
+            valueAtRisk: 0,
+            conditionalValueAtRisk: 0,
+            pnlMean: 0,
+            pnlStandardDeviation: 0,
+        };
+        return {
+            confidence,
+            horizonDays,
+            ...(method !== 'monteCarlo' ? { parametric: zero, cornishFisher: { ...zero } } : {}),
+            ...(method !== 'parametric' ? { monteCarlo: { ...zero } } : {}),
+            components: [],
+            assumptions: {
+                conventionsVersion: CONVENTIONS_VERSION,
+                confidence,
+                horizonDays,
+                tradingDaysPerYear,
+                underlyings: [],
+            },
+            diagnostics: { engine: 'book-var', method: 'delta-gamma', converged: true, warnings: [] },
+        };
+    }
+    // Per-underlying vectors, in sorted order.
+    const delta = names.map((k) => agg.get(k).delta);
+    const gamma = names.map((k) => agg.get(k).gamma);
+    // Display units (per vol point, per calendar day) are what the book carries and what the MC path
+    // hands to the Taylor engine; the closed-form parametric moments need the raw per-1.00 / per-year
+    // scale, converted here in one place.
+    const vega = names.map((k) => agg.get(k).vega);
+    const theta = names.map((k) => agg.get(k).theta);
+    const vegaRaw = vega.map((v) => v * 100);
+    const thetaRaw = theta.map((t) => t * 365);
+    const spot = names.map((k) => agg.get(k).spot);
+    const factor = names.map((k) => {
+        const f = options.factors[k];
+        if (f === undefined) {
+            throw new InputError(`${functionName}: options.factors is missing a risk factor for underlying "${k}".`, {
+                code: ErrorCode.InputMissingField,
+                context: { underlying: k },
+            });
+        }
+        requireArgumentObject(functionName, `factors["${k}"]`, f);
+        ensureNonNegative(f.spotReturnVolatility, `factors["${k}"].spotReturnVolatility`, functionName);
+        if (f.volatilityOfVolatility !== undefined)
+            ensureNonNegative(f.volatilityOfVolatility, `factors["${k}"].volatilityOfVolatility`, functionName);
+        return f;
+    });
+    // Horizon stdev of each dSᵢ (from spot) and each dσᵢ (from vol-of-vol).
+    const sd = names.map((_, i) => factor[i].spotReturnVolatility * spot[i] * sqrtH); // stdev of dSᵢ
+    const vsd = names.map((_, i) => (factor[i].volatilityOfVolatility ?? 0) * sqrtH); // stdev of dσᵢ
+    const rho = resolveCorrelation(options.correlation, n, names);
+    // Both the parametric variance (δᵀΣ_Sδ) and the MC sampler need a positive-definite correlation.
+    // Validate it here so a non-PSD ρ throws a typed error on EVERY method — otherwise a negative
+    // parametric variance is silently clamped to 0 (a hidden, materially wrong VaR) on the parametric
+    // path, since only the Monte-Carlo Cholesky would have caught it.
+    try {
+        cholesky(rho);
+    }
+    catch {
+        throw new InputError(`${functionName}: correlation must be positive definite (Cholesky failed). A non-PSD correlation would otherwise yield a silently clamped, wrong variance.`, { code: ErrorCode.InputOutOfRange, context: { correlation: 'not-positive-definite' } });
+    }
+    // The horizonPeriods dS covariance Σ_S,ij = ρ_ij·sdᵢ·sdⱼ (used by the parametric closed form).
+    const covS = names.map((_, i) => names.map((_2, j) => rho[i][j] * sd[i] * sd[j]));
+    const alpha = 1 - confidence;
+    const z = -normalInverseCdf(alpha); // positive tail multiplier
+    // 2) Parametric (delta-normal) VaR + the linear risk decomposition (always computed — cheap + useful).
+    const deltaVar = quadForm(covS, delta); // δᵀΣ_S δ
+    const vegaVar = vegaRaw.reduce((a, v, i) => a + v * v * vsd[i] * vsd[i], 0);
+    const sigmaL = Math.sqrt(Math.max(0, deltaVar + vegaVar));
+    const gammaMean = 0.5 * gamma.reduce((a, g, i) => a + g * covS[i][i], 0); // ½Σ Γᵢ·Var(dSᵢ)
+    const thetaDrift = thetaRaw.reduce((a, t) => a + t * h, 0);
+    const mu = gammaMean + thetaDrift;
+    const parametric = {
+        valueAtRisk: Math.max(0, z * sigmaL - mu),
+        conditionalValueAtRisk: Math.max(Math.max(0, z * sigmaL - mu), (normalPdf(normalInverseCdf(alpha)) / alpha) * sigmaL - mu),
+        pnlMean: mu,
+        pnlStandardDeviation: sigmaL,
+    };
+    const covDelta = matVec(covS, delta); // Σ_S δ
+    const components = names
+        .map((k, i) => {
+        const varDS = covS[i][i]; // Var(dSᵢ)
+        const standaloneDisp = Math.sqrt(Math.max(0, delta[i] * delta[i] * varDS + vegaRaw[i] * vegaRaw[i] * vsd[i] * vsd[i]));
+        const standaloneMu = 0.5 * gamma[i] * varDS + thetaRaw[i] * h;
+        const contrib = sigmaL > 0
+            ? (delta[i] * covDelta[i] + vegaRaw[i] * vegaRaw[i] * vsd[i] * vsd[i]) / sigmaL
+            : 0;
+        return {
+            underlying: k,
+            standaloneVaR: Math.max(0, z * standaloneDisp - standaloneMu),
+            // The name's contribution to the FULL book VaR: its Euler dispersion share less its own drift.
+            // `Σ componentVaR = z·σ_L − μ` (the book's parametric VaR before the ≥0 floor), and (since the
+            // Euler dispersion share is ≤ the standalone dispersion) `standaloneVaR ≥ componentVaR`.
+            componentVaR: z * contrib - standaloneMu,
+            delta: delta[i],
+            gamma: gamma[i],
+            vega: vega[i],
+        };
+    })
+        .sort((a, b) => b.componentVaR - a.componentVaR);
+    // 3) Cornish-Fisher (delta-gamma, analytic): the parametric quantile corrected for the gamma-induced
+    // skewness/kurtosis — populated only when the CF expansion is in its valid (monotone) domain.
+    let cornishFisher;
+    if (method !== 'monteCarlo') {
+        const cf = cornishFisherResult({
+            spotCovariance: covS,
+            delta,
+            gamma,
+            covarianceTimesDelta: covDelta,
+            deltaVariance: deltaVar,
+            vegaVariance: vegaVar,
+            gammaMean,
+            thetaDrift,
+            alpha,
+        });
+        if (cf.result) {
+            cornishFisher = cf.result;
+        }
+        else {
+            warnings.push(warning(WarningCode.RiskCornishFisherOutOfDomain, `the book is too convex for a reliable Cornish-Fisher expansion (P&L skewness ${cf.skewness.toFixed(2)}, excess kurtosis ${cf.excessKurtosis.toFixed(2)}); use the monteCarlo VaR for this book.`, 'warn', { skewness: cf.skewness, excessKurtosis: cf.excessKurtosis }));
+        }
+    }
+    // 4) Monte-Carlo (delta-gamma) VaR: correlated dS + independent dσ draws → per-name taylorPnl → tail.
+    let monteCarlo;
+    let usedSamples;
+    let usedSeed;
+    if (method !== 'parametric') {
+        ensureFiniteWhenPresent(options.samples, 'samples', 'book-var');
+        const samples = options.samples ?? 10_000;
+        // Safe integer, not just integer (2026-08-23 review, P0): `Number.isInteger(1e308)` is `true`,
+        // and above 2^53 the `s++` loop counter stops advancing — the MAX_SAMPLES cap below bounds the
+        // work, and this gate keeps the count exact before it sizes the P&L array.
+        if (!Number.isSafeInteger(samples) || samples < 1) {
+            throw new InputError(`${functionName}: samples must be a positive integer; got ${samples}.`, {
+                code: ErrorCode.InputOutOfRange,
+                context: { samples },
+            });
+        }
+        if (samples > MAX_SAMPLES) {
+            throw new InputError(`${functionName}: samples must be ≤ ${MAX_SAMPLES.toLocaleString('en-US')} — every sample draws correlated normals and re-prices the book's Taylor P&L per name, so the cap keeps the largest request a few seconds of synchronous work on a realistic book, and Monte-Carlo error at 10^6 samples (∝ 1/√n ≈ 0.1%) is already far below the model error of a delta-gamma expansion; got ${samples}.`, {
+                code: ErrorCode.InputOutOfRange,
+                context: { samples, max: MAX_SAMPLES },
+            });
+        }
+        // Pre-coalesce null rejection; the integer guard below teaches for every present value.
+        const seed = options.seed === null ? Number.NaN : (options.seed ?? 1);
+        // Safe integer (2026-08-23 review, P0): above 2^53 adjacent integers collide, so two "different"
+        // seeds silently reproduce the same stream — reproducibility is the whole point of the field.
+        if (!Number.isSafeInteger(seed)) {
+            throw new InputError(`${functionName}: seed must be an integer within ±(2^53 − 1) (a safe integer) for reproducibility; got ${seed}.`, {
+                code: ErrorCode.InputOutOfRange,
+                context: { seed },
+            });
+        }
+        // Sample UNIT correlated normals from ρ (Cholesky, PSD-validated) then scale by each name's sd, so a
+        // zero-spot-vol name contributes 0 rather than breaking the factorization.
+        const draw = correlatedNormalSampler(rho);
+        const randomNumberGenerator = mulberry32(seed);
+        const greeks = names.map((_, i) => ({
+            value: agg.get(names[i]).value,
+            spot: spot[i],
+            delta: delta[i],
+            gamma: gamma[i],
+            vega: vega[i],
+            theta: theta[i],
+            rho: 0,
+        }));
+        const pnl = new Array(samples);
+        for (let s = 0; s < samples; s++) {
+            const u = draw(randomNumberGenerator); // unit correlated normals, length n
+            let total = 0;
+            for (let i = 0; i < n; i++) {
+                const dS = sd[i] * u[i];
+                const dVolatility = normalSample(randomNumberGenerator) * vsd[i]; // independent of spot (v1); 0 when volatilityOfVolatility is 0
+                const scenario = {
+                    name: 'var',
+                    shocks: [
+                        { factor: 'spot', kind: 'absolute', value: dS },
+                        { factor: 'volatility', kind: 'absolute', value: dVolatility },
+                        { factor: 'time', kind: 'absolute', value: h },
+                    ],
+                };
+                total += taylorPnl(greeks[i], scenario).total;
+            }
+            pnl[s] = total;
+        }
+        const rep = valueAtRiskReport(pnl, { method: 'historical', confidence, horizonPeriods: 1 });
+        let sum = 0;
+        for (const p of pnl)
+            sum += p;
+        const pnlMean = sum / samples;
+        let ss = 0;
+        for (const p of pnl)
+            ss += (p - pnlMean) * (p - pnlMean);
+        const pnlStandardDeviation = Math.sqrt(ss / samples);
+        monteCarlo = {
+            valueAtRisk: rep.valueAtRisk,
+            conditionalValueAtRisk: rep.conditionalValueAtRisk,
+            pnlMean,
+            pnlStandardDeviation,
+        };
+        usedSamples = samples;
+        usedSeed = seed;
+    }
+    return {
+        confidence,
+        horizonDays,
+        ...(method !== 'monteCarlo' ? { parametric } : {}),
+        ...(cornishFisher !== undefined ? { cornishFisher } : {}),
+        ...(monteCarlo !== undefined ? { monteCarlo } : {}),
+        components,
+        assumptions: {
+            conventionsVersion: CONVENTIONS_VERSION,
+            confidence,
+            horizonDays,
+            tradingDaysPerYear,
+            underlyings: names,
+            ...(usedSamples !== undefined ? { samples: usedSamples } : {}),
+            ...(usedSeed !== undefined ? { seed: usedSeed } : {}),
+        },
+        diagnostics: { engine: 'book-var', method: 'delta-gamma', converged: true, warnings },
+    };
+}
+//# sourceMappingURL=book-var.js.map

package/modules/risk/dist/book-var.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"book-var.js","sourceRoot":"","sources":["../src/book-var.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,qBAAqB,EAAE,uBAAuB,EAAE,MAAM,uBAAuB,CAAC;AACvF;;;;;;;;;;;;;GAaG;AAEH,OAAO,EACL,mBAAmB,EAEnB,SAAS,EACT,UAAU,EAEV,WAAW,EACX,YAAY,EACZ,eAAe,EACf,iBAAiB,EACjB,oBAAoB,EACpB,qBAAqB,EACrB,OAAO,GACR,MAAM,0BAAoB,CAAC;AAC5B,OAAO,EAEL,QAAQ,EACR,uBAAuB,EACvB,UAAU,EACV,gBAAgB,EAChB,SAAS,EACT,YAAY,GACb,MAAM,0BAAoB,CAAC;AAE5B,OAAO,EAAE,MAAM,EAAE,QAAQ,EAAE,MAAM,aAAa,CAAC;AAC/C,OAAO,EAAkB,MAAM,kBAAkB,CAAC;AAClD,OAAO,EAAsC,SAAS,EAAE,MAAM,eAAe,CAAC;AAC9E,OAAO,EAAE,iBAAiB,EAAE,MAAM,oBAAoB,CAAC;AAEvD,0FAA0F;AAC1F,MAAM,WAAW,GAAG,SAAS,CAAC;AA8B9B,sGAAsG;AACtG,MAAM,qBAAqB,GAAG;IAC5B,SAAS;IACT,YAAY;IACZ,aAAa;IACb,aAAa;IACb,QAAQ;IACR,SAAS;IACT,MAAM;IACN,oBAAoB;CACZ,CAAC;AA0EX,yFAAyF;AACzF,SAAS,eAAe,CAAC,QAAiB,EAAE,KAAa;IACvD,MAAM,CAAC,GAAG,QAAsD,CAAC;IACjE,IACE,CAAC,KAAK,IAAI;QACV,OAAO,CAAC,KAAK,QAAQ;QACrB,OAAO,CAAC,CAAC,KAAK,KAAK,UAAU;QAC7B,CAAC,KAAK,CAAC,OAAO,CAAC,CAAC,CAAC,IAAI,CAAC,EACtB,CAAC;QACD,MAAM,IAAI,UAAU,CAClB,sBAAsB,KAAK,iFAAiF,EAC5G,EAAE,IAAI,EAAE,SAAS,CAAC,cAAc,EAAE,OAAO,EAAE,EAAE,KAAK,EAAE,EAAE,CACvD,CAAC;IACJ,CAAC;AACH,CAAC;AAED,SAAS,iBAAiB,CAAC,CAAS;IAClC,IAAI,CAAC,CAAC,CAAC,GAAG,CAAC,IAAI,CAAC,GAAG,CAAC,CAAC,EAAE,CAAC;QACtB,MAAM,IAAI,UAAU,CAAC,8CAA8C,CAAC,GAAG,EAAE;YACvE,IAAI,EAAE,SAAS,CAAC,eAAe;YAC/B,OAAO,EAAE,EAAE,UAAU,EAAE,CAAC,EAAE;SAC3B,CAAC,CAAC;IACL,CAAC;IACD,OAAO,CAAC,CAAC;AACX,CAAC;AAED,oGAAoG;AACpG,SAAS,kBAAkB,CACzB,WAA0C,EAC1C,CAAS,EACT,KAAe;IAEf,IAAI,WAAW,KAAK,SAAS,EAAE,CAAC;QAC9B,OAAO,KAAK,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,KAAK,CAAC,GAAG,CAAC,CAAC,EAAE,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,KAAK,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;IACtE,CAAC;IACD,IAAI,CAAC,KAAK,CAAC,OAAO,CAAC,WAAW,CAAC,IAAI,WAAW,CAAC,MAAM,KAAK,CAAC,EAAE,CAAC;QAC5D,MAAM,IAAI,UAAU,CAClB,kCAAkC,CAAC,IAAI,CAAC,mCAAmC,EAC3E;YACE,IAAI,EAAE,SAAS,CAAC,cAAc;YAC9B,OAAO,EAAE;gBACP,QAAQ,EAAE,CAAC;gBACX,GAAG,EAAE,KAAK,CAAC,OAAO,CAAC,WAAW,CAAC,CAAC,CAAC,CAAC,WAAW,CAAC,MAAM,CAAC,CAAC,CAAC,OAAO,WAAW;aAC1E;SACF,CACF,CAAC;IACJ,CAAC;IACD,MAAM,GAAG,GAAG,WAAW,CAAC,GAAG,CAAC,CAAC,GAAG,EAAE,CAAC,EAAE,EAAE;QACrC,IAAI,CAAC,KAAK,CAAC,OAAO,CAAC,GAAG,CAAC,IAAI,GAAG,CAAC,MAAM,KAAK,CAAC,EAAE,CAAC;YAC5C,MAAM,IAAI,UAAU,CAAC,4BAA4B,CAAC,cAAc,CAAC,WAAW,EAAE;gBAC5E,IAAI,EAAE,SAAS,CAAC,cAAc;gBAC9B,OAAO,EAAE,EAAE,GAAG,EAAE,CAAC,EAAE;aACpB,CAAC,CAAC;QACL,CAAC;QACD,OAAO,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE;YACtB,YAAY,CAAC,CAAC,EAAE,eAAe,CAAC,KAAK,CAAC,GAAG,EAAE,SAAS,CAAC,CAAC;YACtD,IAAI,CAAC,GAAG,CAAC,CAAC,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC;gBACpB,MAAM,IAAI,UAAU,CAAC,wBAAwB,CAAC,KAAK,CAAC,6BAA6B,CAAC,GAAG,EAAE;oBACrF,IAAI,EAAE,SAAS,CAAC,eAAe;oBAC/B,OAAO,EAAE,EAAE,CAAC,EAAE,CAAC,EAAE,KAAK,EAAE,CAAC,EAAE;iBAC5B,CAAC,CAAC;YACL,CAAC;YACD,OAAO,CAAC,CAAC;QACX,CAAC,CAAC,CAAC;IACL,CAAC,CAAC,CAAC;IACH,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC;QAC3B,IAAI,IAAI,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAE,CAAC,CAAC,CAAE,GAAG,CAAC,CAAC,GAAG,IAAI,EAAE,CAAC;YACrC,MAAM,IAAI,UAAU,CAClB,wDAAwD,CAAC,KAAK,CAAC,OAAO,GAAG,CAAC,CAAC,CAAE,CAAC,CAAC,CAAC,GAAG,EACnF;gBACE,IAAI,EAAE,SAAS,CAAC,eAAe;gBAC/B,OAAO,EAAE,EAAE,CAAC,EAAE;aACf,CACF,CAAC;QACJ,CAAC;QACD,KAAK,IAAI,CAAC,GAAG,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC;YAC/B,IAAI,IAAI,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAE,CAAC,CAAC,CAAE,GAAG,GAAG,CAAC,CAAC,CAAE,CAAC,CAAC,CAAE,CAAC,GAAG,IAAI,EAAE,CAAC;gBAC/C,MAAM,IAAI,UAAU,CAAC,uDAAuD,CAAC,KAAK,CAAC,KAAK,EAAE;oBACxF,IAAI,EAAE,SAAS,CAAC,eAAe;oBAC/B,OAAO,EAAE,EAAE,CAAC,EAAE,CAAC,EAAE;iBAClB,CAAC,CAAC;YACL,CAAC;QACH,CAAC;IACH,CAAC;IACD,OAAO,GAAG,CAAC;AACb,CAAC;AAED;;;GAGG;AACH,gGAAgG;AAChG,SAAS,MAAM,CAAC,CAAS,EAAE,CAAS;IAClC,MAAM,CAAC,GAAG,CAAC,CAAC,MAAM,CAAC;IACnB,OAAO,CAAC,CAAC,GAAG,CAAC,CAAC,GAAG,EAAE,EAAE,CACnB,KAAK,CAAC,IAAI,CAAC,EAAE,MAAM,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE;QACjC,IAAI,CAAC,GAAG,CAAC,CAAC;QACV,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,CAAC,EAAE,CAAC,EAAE;YAAE,CAAC,IAAI,GAAG,CAAC,CAAC,CAAE,GAAG,CAAC,CAAC,CAAC,CAAE,CAAC,CAAC,CAAE,CAAC;QACrD,OAAO,CAAC,CAAC;IACX,CAAC,CAAC,CACH,CAAC;AACJ,CAAC;AAED;;;;;;GAMG;AACH,SAAS,mBAAmB,CAAC,KAU5B;IACC,MAAM,EACJ,cAAc,EAAE,IAAI,EACpB,KAAK,EACL,oBAAoB,EAAE,QAAQ,EAC9B,aAAa,EAAE,QAAQ,EACvB,YAAY,EAAE,OAAO,EACrB,SAAS,EACT,UAAU,EACV,KAAK,GACN,GAAG,KAAK,CAAC;IACV,MAAM,CAAC,GAAG,IAAI,CAAC,GAAG,CAAC,CAAC,GAAG,EAAE,CAAC,EAAE,EAAE,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,KAAK,CAAC,CAAC,CAAE,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,OAAO;IACtE,MAAM,EAAE,GAAG,MAAM,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC;IACxB,MAAM,EAAE,GAAG,MAAM,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC;IACzB,MAAM,EAAE,GAAG,MAAM,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC;IACzB,MAAM,EAAE,GAAG,CAAC,CAAa,EAAU,EAAE,CAAC,CAAC,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,GAAG,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,GAAG,CAAC,CAAC,CAAE,EAAE,CAAC,CAAC,CAAC;IAC9E,wDAAwD;IACxD,MAAM,CAAC,GAAG,QAAQ,CAAC;IACnB,MAAM,KAAK,GAAG,CAAC,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,EAAE,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,KAAK,CAAC,CAAC,CAAE,GAAG,EAAE,GAAG,EAAE,EAAE,CAAC,CAAC,CAAC;IACjE,6CAA6C;IAC7C,MAAM,CAAC,GAAG,KAAK,CAAC,GAAG,CAAC,CAAC,EAAE,EAAE,CAAC,EAAE,EAAE,CAAC,EAAE,GAAG,CAAC,CAAC,CAAC,CAAE,CAAC,CAAC;IAC3C,MAAM,OAAO,GAAG,CAAC,CAAC,MAAM,CACtB,CAAC,CAAC,EAAE,EAAE,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,EAAE,GAAG,IAAI,CAAC,CAAC,CAAE,CAAC,MAAM,CAAC,CAAC,EAAE,EAAE,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,EAAE,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC,CAAE,EAAE,CAAC,CAAC,EACvE,CAAC,CACF,CAAC;IAEF,MAAM,EAAE,GAAG,SAAS,GAAG,UAAU,CAAC;IAClC,MAAM,EAAE,GAAG,QAAQ,GAAG,GAAG,GAAG,EAAE,CAAC,EAAE,CAAC,GAAG,OAAO,CAAC;IAC7C,MAAM,EAAE,GAAG,CAAC,GAAG,KAAK,GAAG,EAAE,CAAC,EAAE,CAAC,CAAC;IAC9B,MAAM,EAAE,GAAG,EAAE,GAAG,OAAO,GAAG,CAAC,GAAG,EAAE,CAAC,EAAE,CAAC,CAAC;IACrC,MAAM,KAAK,GAAG,IAAI,CAAC,IAAI,CAAC,IAAI,CAAC,GAAG,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC;IACzC,MAAM,QAAQ,GAAG,KAAK,GAAG,CAAC,CAAC,CAAC,CAAC,EAAE,GAAG,IAAI,CAAC,GAAG,CAAC,EAAE,EAAE,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;IACxD,MAAM,cAAc,GAAG,KAAK,GAAG,CAAC,CAAC,CAAC,CAAC,EAAE,GAAG,CAAC,EAAE,GAAG,EAAE,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;IAEtD,MAAM,MAAM,GAAG,gBAAgB,CAAC,KAAK,CAAC,CAAC;IACvC,uGAAuG;IACvG,oGAAoG;IACpG,yGAAyG;IACzG,MAAM,CAAC,GAAG,QAAQ,GAAG,CAAC,CAAC;IACvB,MAAM,CAAC,GAAG,cAAc,GAAG,EAAE,CAAC;IAC9B,MAAM,EAAE,GAAG,CAAC,GAAG,CAAC,GAAG,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC;IAC7B,MAAM,EAAE,GAAG,CAAC,GAAG,CAAC,CAAC;IACjB,MAAM,EAAE,GAAG,CAAC,GAAG,CAAC,GAAG,CAAC,GAAG,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC;IACjC,MAAM,MAAM,GAAG,CAAC,CAAS,EAAU,EAAE,CAAC,EAAE,GAAG,CAAC,GAAG,CAAC,GAAG,EAAE,GAAG,CAAC,GAAG,EAAE,CAAC;IAC/D,MAAM,GAAG,GAAG,IAAI,CAAC,GAAG,CAAC,gBAAgB,CAAC,IAAI,CAAC,EAAE,MAAM,CAAC,CAAC;IACrD,MAAM,GAAG,GAAG,CAAC,GAAG,CAAC;IACjB,IAAI,IAAI,GAAG,IAAI,CAAC,GAAG,CAAC,MAAM,CAAC,GAAG,CAAC,EAAE,MAAM,CAAC,GAAG,CAAC,CAAC,CAAC;IAC9C,IAAI,EAAE,GAAG,CAAC,EAAE,CAAC;QACX,MAAM,OAAO,GAAG,CAAC,EAAE,GAAG,CAAC,CAAC,GAAG,EAAE,CAAC,CAAC;QAC/B,IAAI,OAAO,GAAG,GAAG,IAAI,OAAO,GAAG,GAAG;YAAE,IAAI,GAAG,IAAI,CAAC,GAAG,CAAC,IAAI,EAAE,MAAM,CAAC,OAAO,CAAC,CAAC,CAAC;IAC7E,CAAC;IACD,IAAI,CAAC,CAAC,IAAI,GAAG,CAAC,CAAC;QAAE,OAAO,EAAE,QAAQ,EAAE,cAAc,EAAE,CAAC;IAErD,MAAM,CAAC,GACL,MAAM;QACN,CAAC,CAAC,MAAM,GAAG,MAAM,GAAG,CAAC,CAAC,GAAG,CAAC,CAAC,GAAG,QAAQ;QACtC,CAAC,CAAC,MAAM,GAAG,MAAM,GAAG,MAAM,GAAG,CAAC,GAAG,MAAM,CAAC,GAAG,EAAE,CAAC,GAAG,cAAc;QAC/D,CAAC,CAAC,CAAC,GAAG,MAAM,GAAG,MAAM,GAAG,MAAM,GAAG,CAAC,GAAG,MAAM,CAAC,GAAG,EAAE,CAAC,GAAG,QAAQ,GAAG,QAAQ,CAAC;IAC3E,MAAM,KAAK,GAAG,IAAI,CAAC,GAAG,CAAC,CAAC,EAAE,CAAC,CAAC,EAAE,GAAG,KAAK,GAAG,CAAC,CAAC,CAAC,CAAC;IAC7C,oGAAoG;IACpG,MAAM,KAAK,GACT,CAAC,EAAE;QACH,KAAK;YACH,CAAC,SAAS,CAAC,MAAM,CAAC,GAAG,KAAK,CAAC;YAC3B,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,GAAG,CAAC,GAAG,CAAC,GAAG,CAAC,GAAG,CAAC,GAAG,MAAM,GAAG,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,GAAG,CAAC,MAAM,GAAG,MAAM,GAAG,CAAC,CAAC,CAAC,CAAC;IACnF,OAAO;QACL,MAAM,EAAE;YACN,WAAW,EAAE,KAAK;YAClB,sBAAsB,EAAE,IAAI,CAAC,GAAG,CAAC,KAAK,EAAE,KAAK,CAAC;YAC9C,OAAO,EAAE,EAAE;YACX,oBAAoB,EAAE,KAAK;YAC3B,QAAQ;YACR,cAAc;SACf;QACD,QAAQ;QACR,cAAc;KACf,CAAC;AACJ,CAAC;AAED,MAAM,UAAU,OAAO,CACrB,SAAqC,EACrC,OAAuB;IAEvB,MAAM,YAAY,GAAG,SAAS,CAAC;IAC/B,oBAAoB,CAAC,YAAY,EAAE,WAAW,EAAE,SAAS,CAAC,CAAC;IAC3D,qBAAqB,CAAC,YAAY,EAAE,SAAS,EAAE,OAAO,CAAC,CAAC;IACxD,eAAe,CAAC,YAAY,EAAE,SAAS,EAAE,OAAO,EAAE,qBAAqB,CAAC,CAAC;IACzE,qBAAqB,CAAC,YAAY,EAAE,iBAAiB,EAAE,OAAO,CAAC,OAAO,CAAC,CAAC;IACxE,uBAAuB,CAAC,OAAO,CAAC,UAAU,EAAE,YAAY,EAAE,SAAS,CAAC,CAAC;IACrE,MAAM,UAAU,GAAG,iBAAiB,CAAC,OAAO,CAAC,UAAU,IAAI,IAAI,CAAC,CAAC;IACjE,uBAAuB,CAAC,OAAO,CAAC,WAAW,EAAE,aAAa,EAAE,SAAS,CAAC,CAAC;IACvE,MAAM,WAAW,GAAG,OAAO,CAAC,WAAW,IAAI,CAAC,CAAC;IAC7C,IAAI,CAAC,CAAC,WAAW,GAAG,CAAC,CAAC,IAAI,CAAC,MAAM,CAAC,QAAQ,CAAC,WAAW,CAAC,EAAE,CAAC;QACxD,MAAM,IAAI,UAAU,CAClB,GAAG,YAAY,uDAAuD,WAAW,GAAG,EACpF;YACE,IAAI,EAAE,SAAS,CAAC,eAAe;YAC/B,OAAO,EAAE,EAAE,WAAW,EAAE;SACzB,CACF,CAAC;IACJ,CAAC;IACD,uBAAuB,CAAC,OAAO,CAAC,kBAAkB,EAAE,oBAAoB,EAAE,SAAS,CAAC,CAAC;IACrF,MAAM,kBAAkB,GAAG,OAAO,CAAC,kBAAkB,IAAI,GAAG,CAAC;IAC7D,IAAI,CAAC,CAAC,kBAAkB,GAAG,CAAC,CAAC,IAAI,CAAC,MAAM,CAAC,QAAQ,CAAC,kBAAkB,CAAC,EAAE,CAAC;QACtE,MAAM,IAAI,UAAU,CAAC,GAAG,YAAY,wDAAwD,EAAE;YAC5F,IAAI,EAAE,SAAS,CAAC,eAAe;YAC/B,OAAO,EAAE,EAAE,kBAAkB,EAAE;SAChC,CAAC,CAAC;IACL,CAAC;IACD,qBAAqB,CAAC,OAAO,CAAC,MAAM,EAAE,SAAS,EAAE,QAAQ,EAAE,CAAC,MAAM,EAAE,YAAY,EAAE,YAAY,CAAC,CAAC,CAAC;IACjG,MAAM,MAAM,GAAG,OAAO,CAAC,MAAM,IAAI,MAAM,CAAC;IACxC,IAAI,MAAM,KAAK,MAAM,IAAI,MAAM,KAAK,YAAY,IAAI,MAAM,KAAK,YAAY,EAAE,CAAC;QAC5E,MAAM,IAAI,UAAU,CAClB,GAAG,YAAY,+DAA+D,MAAM,IAAI,EACxF;YACE,IAAI,EAAE,SAAS,CAAC,gBAAgB;YAChC,OAAO,EAAE,EAAE,MAAM,EAAE;SACpB,CACF,CAAC;IACJ,CAAC;IACD,MAAM,CAAC,GAAG,WAAW,GAAG,kBAAkB,CAAC;IAC3C,MAAM,KAAK,GAAG,IAAI,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC;IAE3B,wEAAwE;IACxE,MAAM,QAAQ,GAAmB,EAAE,CAAC;IACpC,MAAM,GAAG,GAAG,IAAI,GAAG,EAGhB,CAAC;IACJ,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,SAAS,CAAC,MAAM,EAAE,CAAC,EAAE,EAAE,CAAC;QAC1C,MAAM,IAAI,GAAG,SAAS,CAAC,CAAC,CAAE,CAAC;QAC3B,qBAAqB,CAAC,YAAY,EAAE,aAAa,CAAC,GAAG,EAAE,IAAI,CAAC,CAAC;QAC7D,eAAe,CAAC,IAAI,CAAC,QAAQ,EAAE,CAAC,CAAC,CAAC;QAClC,qBAAqB,CAAC,YAAY,EAAE,aAAa,CAAC,UAAU,EAAE,IAAI,CAAC,MAAM,CAAC,CAAC;QAC3E,MAAM,IAAI,GAAG,IAAI,CAAC,MAAM,CAAC,IAAI,CAAC;QAC9B,YAAY,CAAC,IAAI,EAAE,aAAa,CAAC,eAAe,EAAE,YAAY,CAAC,CAAC;QAChE,MAAM,MAAM,GAAG,IAAI,CAAC,QAAQ,CAAC,KAAK,CAAC,IAAI,CAAC,MAAM,CAAC,CAAC;QAChD,mGAAmG;QACnG,MAAM,GAAG,GAAG,MAAM,CAAC,MAAM,CAAC;QAC1B,MAAM,GAAG,GAAG,IAAI,CAAC,UAAU,IAAI,IAAI,CAAC,EAAE,IAAI,YAAY,CAAC,EAAE,CAAC;QAC1D,MAAM,GAAG,GAAG,GAAG,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC;QACzB,IAAI,GAAG,EAAE,CAAC;YACR,0FAA0F;YAC1F,+EAA+E;YAC/E,IAAI,GAAG,CAAC,IAAI,KAAK,IAAI,EAAE,CAAC;gBACtB,QAAQ,CAAC,IAAI,CACX,OAAO,CACL,WAAW,CAAC,eAAe,EAC3B,eAAe,GAAG,8CAA8C,GAAG,CAAC,IAAI,OAAO,IAAI,iBAAiB,GAAG,CAAC,IAAI,gCAAgC,EAC5I,MAAM,EACN,EAAE,UAAU,EAAE,GAAG,EAAE,KAAK,EAAE,CAAC,GAAG,CAAC,IAAI,EAAE,IAAI,CAAC,EAAE,CAC7C,CACF,CAAC;YACJ,CAAC;YACD,GAAG,CAAC,KAAK,IAAI,GAAG,CAAC,KAAK,IAAI,CAAC,CAAC;YAC5B,GAAG,CAAC,KAAK,IAAI,GAAG,CAAC,KAAK,IAAI,CAAC,CAAC;YAC5B,GAAG,CAAC,IAAI,IAAI,GAAG,CAAC,IAAI,IAAI,CAAC,CAAC;YAC1B,GAAG,CAAC,KAAK,IAAI,GAAG,CAAC,KAAK,IAAI,CAAC,CAAC;YAC5B,GAAG,CAAC,KAAK,IAAI,MAAM,CAAC,KAAK,CAAC;QAC5B,CAAC;aAAM,CAAC;YACN,GAAG,CAAC,GAAG,CAAC,GAAG,EAAE;gBACX,KAAK,EAAE,GAAG,CAAC,KAAK,IAAI,CAAC;gBACrB,KAAK,EAAE,GAAG,CAAC,KAAK,IAAI,CAAC;gBACrB,IAAI,EAAE,GAAG,CAAC,IAAI,IAAI,CAAC;gBACnB,KAAK,EAAE,GAAG,CAAC,KAAK,IAAI,CAAC;gBACrB,KAAK,EAAE,MAAM,CAAC,KAAK;gBACnB,IAAI;aACL,CAAC,CAAC;QACL,CAAC;IACH,CAAC;IAED,MAAM,KAAK,GAAG,CAAC,GAAG,GAAG,CAAC,IAAI,EAAE,CAAC,CAAC,IAAI,EAAE,CAAC;IACrC,MAAM,CAAC,GAAG,KAAK,CAAC,MAAM,CAAC;IAEvB,0FAA0F;IAC1F,IAAI,CAAC,KAAK,CAAC,EAAE,CAAC;QACZ,MAAM,IAAI,GAAwB;YAChC,WAAW,EAAE,CAAC;YACd,sBAAsB,EAAE,CAAC;YACzB,OAAO,EAAE,CAAC;YACV,oBAAoB,EAAE,CAAC;SACxB,CAAC;QACF,OAAO;YACL,UAAU;YACV,WAAW;YACX,GAAG,CAAC,MAAM,KAAK,YAAY,CAAC,CAAC,CAAC,EAAE,UAAU,EAAE,IAAI,EAAE,aAAa,EAAE,EAAE,GAAG,IAAI,EAAE,EAAE,CAAC,CAAC,CAAC,EAAE,CAAC;YACpF,GAAG,CAAC,MAAM,KAAK,YAAY,CAAC,CAAC,CAAC,EAAE,UAAU,EAAE,EAAE,GAAG,IAAI,EAAE,EAAE,CAAC,CAAC,CAAC,EAAE,CAAC;YAC/D,UAAU,EAAE,EAAE;YACd,WAAW,EAAE;gBACX,kBAAkB,EAAE,mBAAmB;gBACvC,UAAU;gBACV,WAAW;gBACX,kBAAkB;gBAClB,WAAW,EAAE,EAAE;aAChB;YACD,WAAW,EAAE,EAAE,MAAM,EAAE,UAAU,EAAE,MAAM,EAAE,aAAa,EAAE,SAAS,EAAE,IAAI,EAAE,QAAQ,EAAE,EAAE,EAAE;SAC1F,CAAC;IACJ,CAAC;IAED,2CAA2C;IAC3C,MAAM,KAAK,GAAG,KAAK,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAE,CAAC,KAAK,CAAC,CAAC;IAClD,MAAM,KAAK,GAAG,KAAK,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAE,CAAC,KAAK,CAAC,CAAC;IAClD,iGAAiG;IACjG,kGAAkG;IAClG,sCAAsC;IACtC,MAAM,IAAI,GAAG,KAAK,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAE,CAAC,IAAI,CAAC,CAAC;IAChD,MAAM,KAAK,GAAG,KAAK,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAE,CAAC,KAAK,CAAC,CAAC;IAClD,MAAM,OAAO,GAAG,IAAI,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,GAAG,CAAC,CAAC;IACzC,MAAM,QAAQ,GAAG,KAAK,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,GAAG,CAAC,CAAC;IAC3C,MAAM,IAAI,GAAG,KAAK,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAE,CAAC,IAAI,CAAC,CAAC;IAChD,MAAM,MAAM,GAAG,KAAK,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,EAAE;QAC7B,MAAM,CAAC,GAAG,OAAO,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;QAC7B,IAAI,CAAC,KAAK,SAAS,EAAE,CAAC;YACpB,MAAM,IAAI,UAAU,CAClB,GAAG,YAAY,8DAA8D,CAAC,IAAI,EAClF;gBACE,IAAI,EAAE,SAAS,CAAC,iBAAiB;gBACjC,OAAO,EAAE,EAAE,UAAU,EAAE,CAAC,EAAE;aAC3B,CACF,CAAC;QACJ,CAAC;QACD,qBAAqB,CAAC,YAAY,EAAE,YAAY,CAAC,IAAI,EAAE,CAAC,CAAC,CAAC;QAC1D,iBAAiB,CAAC,CAAC,CAAC,oBAAoB,EAAE,YAAY,CAAC,yBAAyB,EAAE,YAAY,CAAC,CAAC;QAChG,IAAI,CAAC,CAAC,sBAAsB,KAAK,SAAS;YACxC,iBAAiB,CACf,CAAC,CAAC,sBAAsB,EACxB,YAAY,CAAC,2BAA2B,EACxC,YAAY,CACb,CAAC;QACJ,OAAO,CAAC,CAAC;IACX,CAAC,CAAC,CAAC;IAEH,wEAAwE;IACxE,MAAM,EAAE,GAAG,KAAK,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,MAAM,CAAC,CAAC,CAAE,CAAC,oBAAoB,GAAG,IAAI,CAAC,CAAC,CAAE,GAAG,KAAK,CAAC,CAAC,CAAC,eAAe;IACnG,MAAM,GAAG,GAAG,KAAK,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,MAAM,CAAC,CAAC,CAAE,CAAC,sBAAsB,IAAI,CAAC,CAAC,GAAG,KAAK,CAAC,CAAC,CAAC,eAAe;IAElG,MAAM,GAAG,GAAG,kBAAkB,CAAC,OAAO,CAAC,WAAW,EAAE,CAAC,EAAE,KAAK,CAAC,CAAC;IAC9D,iGAAiG;IACjG,8FAA8F;IAC9F,kGAAkG;IAClG,kEAAkE;IAClE,IAAI,CAAC;QACH,QAAQ,CAAC,GAAG,CAAC,CAAC;IAChB,CAAC;IAAC,MAAM,CAAC;QACP,MAAM,IAAI,UAAU,CAClB,GAAG,YAAY,4IAA4I,EAC3J,EAAE,IAAI,EAAE,SAAS,CAAC,eAAe,EAAE,OAAO,EAAE,EAAE,WAAW,EAAE,uBAAuB,EAAE,EAAE,CACvF,CAAC;IACJ,CAAC;IACD,+FAA+F;IAC/F,MAAM,IAAI,GAAW,KAAK,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,KAAK,CAAC,GAAG,CAAC,CAAC,EAAE,EAAE,CAAC,EAAE,EAAE,CAAC,GAAG,CAAC,CAAC,CAAE,CAAC,CAAC,CAAE,GAAG,EAAE,CAAC,CAAC,CAAE,GAAG,EAAE,CAAC,CAAC,CAAE,CAAC,CAAC,CAAC;IAE9F,MAAM,KAAK,GAAG,CAAC,GAAG,UAAU,CAAC;IAC7B,MAAM,CAAC,GAAG,CAAC,gBAAgB,CAAC,KAAK,CAAC,CAAC,CAAC,2BAA2B;IAE/D,uGAAuG;IACvG,MAAM,QAAQ,GAAG,QAAQ,CAAC,IAAI,EAAE,KAAK,CAAC,CAAC,CAAC,UAAU;IAClD,MAAM,OAAO,GAAG,OAAO,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,GAAG,GAAG,CAAC,CAAC,CAAE,GAAG,GAAG,CAAC,CAAC,CAAE,EAAE,CAAC,CAAC,CAAC;IAC9E,MAAM,MAAM,GAAG,IAAI,CAAC,IAAI,CAAC,IAAI,CAAC,GAAG,CAAC,CAAC,EAAE,QAAQ,GAAG,OAAO,CAAC,CAAC,CAAC;IAC1D,MAAM,SAAS,GAAG,GAAG,GAAG,KAAK,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,CAAC,GAAG,IAAI,CAAC,CAAC,CAAE,CAAC,CAAC,CAAE,EAAE,CAAC,CAAC,CAAC,CAAC,iBAAiB;IAC7F,MAAM,UAAU,GAAG,QAAQ,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,EAAE,CAAC,CAAC,CAAC;IAC3D,MAAM,EAAE,GAAG,SAAS,GAAG,UAAU,CAAC;IAClC,MAAM,UAAU,GAAwB;QACtC,WAAW,EAAE,IAAI,CAAC,GAAG,CAAC,CAAC,EAAE,CAAC,GAAG,MAAM,GAAG,EAAE,CAAC;QACzC,sBAAsB,EAAE,IAAI,CAAC,GAAG,CAC9B,IAAI,CAAC,GAAG,CAAC,CAAC,EAAE,CAAC,GAAG,MAAM,GAAG,EAAE,CAAC,EAC5B,CAAC,SAAS,CAAC,gBAAgB,CAAC,KAAK,CAAC,CAAC,GAAG,KAAK,CAAC,GAAG,MAAM,GAAG,EAAE,CAC3D;QACD,OAAO,EAAE,EAAE;QACX,oBAAoB,EAAE,MAAM;KAC7B,CAAC;IAEF,MAAM,QAAQ,GAAG,MAAM,CAAC,IAAI,EAAE,KAAK,CAAC,CAAC,CAAC,QAAQ;IAC9C,MAAM,UAAU,GAAuB,KAAK;SACzC,GAAG,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE;QACZ,MAAM,KAAK,GAAG,IAAI,CAAC,CAAC,CAAE,CAAC,CAAC,CAAE,CAAC,CAAC,WAAW;QACvC,MAAM,cAAc,GAAG,IAAI,CAAC,IAAI,CAC9B,IAAI,CAAC,GAAG,CAAC,CAAC,EAAE,KAAK,CAAC,CAAC,CAAE,GAAG,KAAK,CAAC,CAAC,CAAE,GAAG,KAAK,GAAG,OAAO,CAAC,CAAC,CAAE,GAAG,OAAO,CAAC,CAAC,CAAE,GAAG,GAAG,CAAC,CAAC,CAAE,GAAG,GAAG,CAAC,CAAC,CAAE,CAAC,CAC3F,CAAC;QACF,MAAM,YAAY,GAAG,GAAG,GAAG,KAAK,CAAC,CAAC,CAAE,GAAG,KAAK,GAAG,QAAQ,CAAC,CAAC,CAAE,GAAG,CAAC,CAAC;QAChE,MAAM,OAAO,GACX,MAAM,GAAG,CAAC;YACR,CAAC,CAAC,CAAC,KAAK,CAAC,CAAC,CAAE,GAAG,QAAQ,CAAC,CAAC,CAAE,GAAG,OAAO,CAAC,CAAC,CAAE,GAAG,OAAO,CAAC,CAAC,CAAE,GAAG,GAAG,CAAC,CAAC,CAAE,GAAG,GAAG,CAAC,CAAC,CAAE,CAAC,GAAG,MAAM;YACrF,CAAC,CAAC,CAAC,CAAC;QACR,OAAO;YACL,UAAU,EAAE,CAAC;YACb,aAAa,EAAE,IAAI,CAAC,GAAG,CAAC,CAAC,EAAE,CAAC,GAAG,cAAc,GAAG,YAAY,CAAC;YAC7D,+FAA+F;YAC/F,+FAA+F;YAC/F,yFAAyF;YACzF,YAAY,EAAE,CAAC,GAAG,OAAO,GAAG,YAAY;YACxC,KAAK,EAAE,KAAK,CAAC,CAAC,CAAE;YAChB,KAAK,EAAE,KAAK,CAAC,CAAC,CAAE;YAChB,IAAI,EAAE,IAAI,CAAC,CAAC,CAAE;SACf,CAAC;IACJ,CAAC,CAAC;SACD,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,YAAY,GAAG,CAAC,CAAC,YAAY,CAAC,CAAC;IAEnD,qGAAqG;IACrG,8FAA8F;IAC9F,IAAI,aAA8C,CAAC;IACnD,IAAI,MAAM,KAAK,YAAY,EAAE,CAAC;QAC5B,MAAM,EAAE,GAAG,mBAAmB,CAAC;YAC7B,cAAc,EAAE,IAAI;YACpB,KAAK;YACL,KAAK;YACL,oBAAoB,EAAE,QAAQ;YAC9B,aAAa,EAAE,QAAQ;YACvB,YAAY,EAAE,OAAO;YACrB,SAAS;YACT,UAAU;YACV,KAAK;SACN,CAAC,CAAC;QACH,IAAI,EAAE,CAAC,MAAM,EAAE,CAAC;YACd,aAAa,GAAG,EAAE,CAAC,MAAM,CAAC;QAC5B,CAAC;aAAM,CAAC;YACN,QAAQ,CAAC,IAAI,CACX,OAAO,CACL,WAAW,CAAC,4BAA4B,EACxC,gFAAgF,EAAE,CAAC,QAAQ,CAAC,OAAO,CACjG,CAAC,CACF,qBAAqB,EAAE,CAAC,cAAc,CAAC,OAAO,CAC7C,CAAC,CACF,0CAA0C,EAC3C,MAAM,EACN,EAAE,QAAQ,EAAE,EAAE,CAAC,QAAQ,EAAE,cAAc,EAAE,EAAE,CAAC,cAAc,EAAE,CAC7D,CACF,CAAC;QACJ,CAAC;IACH,CAAC;IAED,sGAAsG;IACtG,IAAI,UAA2C,CAAC;IAChD,IAAI,WAA+B,CAAC;IACpC,IAAI,QAA4B,CAAC;IACjC,IAAI,MAAM,KAAK,YAAY,EAAE,CAAC;QAC5B,uBAAuB,CAAC,OAAO,CAAC,OAAO,EAAE,SAAS,EAAE,UAAU,CAAC,CAAC;QAChE,MAAM,OAAO,GAAG,OAAO,CAAC,OAAO,IAAI,MAAM,CAAC;QAC1C,+FAA+F;QAC/F,+FAA+F;QAC/F,2EAA2E;QAC3E,IAAI,CAAC,MAAM,CAAC,aAAa,CAAC,OAAO,CAAC,IAAI,OAAO,GAAG,CAAC,EAAE,CAAC;YAClD,MAAM,IAAI,UAAU,CAAC,GAAG,YAAY,6CAA6C,OAAO,GAAG,EAAE;gBAC3F,IAAI,EAAE,SAAS,CAAC,eAAe;gBAC/B,OAAO,EAAE,EAAE,OAAO,EAAE;aACrB,CAAC,CAAC;QACL,CAAC;QACD,IAAI,OAAO,GAAG,WAAW,EAAE,CAAC;YAC1B,MAAM,IAAI,UAAU,CAClB,GAAG,YAAY,uBAAuB,WAAW,CAAC,cAAc,CAAC,OAAO,CAAC,iTAAiT,OAAO,GAAG,EACpY;gBACE,IAAI,EAAE,SAAS,CAAC,eAAe;gBAC/B,OAAO,EAAE,EAAE,OAAO,EAAE,GAAG,EAAE,WAAW,EAAE;aACvC,CACF,CAAC;QACJ,CAAC;QACD,wFAAwF;QACxF,MAAM,IAAI,GAAG,OAAO,CAAC,IAAI,KAAK,IAAI,CAAC,CAAC,CAAC,MAAM,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,OAAO,CAAC,IAAI,IAAI,CAAC,CAAC,CAAC;QACtE,iGAAiG;QACjG,8FAA8F;QAC9F,IAAI,CAAC,MAAM,CAAC,aAAa,CAAC,IAAI,CAAC,EAAE,CAAC;YAChC,MAAM,IAAI,UAAU,CAClB,GAAG,YAAY,0FAA0F,IAAI,GAAG,EAChH;gBACE,IAAI,EAAE,SAAS,CAAC,eAAe;gBAC/B,OAAO,EAAE,EAAE,IAAI,EAAE;aAClB,CACF,CAAC;QACJ,CAAC;QACD,qGAAqG;QACrG,2EAA2E;QAC3E,MAAM,IAAI,GAAG,uBAAuB,CAAC,GAAG,CAAC,CAAC;QAC1C,MAAM,qBAAqB,GAAG,UAAU,CAAC,IAAI,CAAC,CAAC;QAC/C,MAAM,MAAM,GAAqB,KAAK,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC;YACpD,KAAK,EAAE,GAAG,CAAC,GAAG,CAAC,KAAK,CAAC,CAAC,CAAE,CAAE,CAAC,KAAK;YAChC,IAAI,EAAE,IAAI,CAAC,CAAC,CAAE;YACd,KAAK,EAAE,KAAK,CAAC,CAAC,CAAE;YAChB,KAAK,EAAE,KAAK,CAAC,CAAC,CAAE;YAChB,IAAI,EAAE,IAAI,CAAC,CAAC,CAAE;YACd,KAAK,EAAE,KAAK,CAAC,CAAC,CAAE;YAChB,GAAG,EAAE,CAAC;SACP,CAAC,CAAC,CAAC;QACJ,MAAM,GAAG,GAAG,IAAI,KAAK,CAAS,OAAO,CAAC,CAAC;QACvC,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,OAAO,EAAE,CAAC,EAAE,EAAE,CAAC;YACjC,MAAM,CAAC,GAAG,IAAI,CAAC,qBAAqB,CAAC,CAAC,CAAC,oCAAoC;YAC3E,IAAI,KAAK,GAAG,CAAC,CAAC;YACd,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC;gBAC3B,MAAM,EAAE,GAAG,EAAE,CAAC,CAAC,CAAE,GAAG,CAAC,CAAC,CAAC,CAAE,CAAC;gBAC1B,MAAM,WAAW,GAAG,YAAY,CAAC,qBAAqB,CAAC,GAAG,GAAG,CAAC,CAAC,CAAE,CAAC,CAAC,+DAA+D;gBAClI,MAAM,QAAQ,GAAa;oBACzB,IAAI,EAAE,KAAK;oBACX,MAAM,EAAE;wBACN,EAAE,MAAM,EAAE,MAAM,EAAE,IAAI,EAAE,UAAU,EAAE,KAAK,EAAE,EAAE,EAAE;wBAC/C,EAAE,MAAM,EAAE,YAAY,EAAE,IAAI,EAAE,UAAU,EAAE,KAAK,EAAE,WAAW,EAAE;wBAC9D,EAAE,MAAM,EAAE,MAAM,EAAE,IAAI,EAAE,UAAU,EAAE,KAAK,EAAE,CAAC,EAAE;qBAC/C;iBACF,CAAC;gBACF,KAAK,IAAI,SAAS,CAAC,MAAM,CAAC,CAAC,CAAE,EAAE,QAAQ,CAAC,CAAC,KAAK,CAAC;YACjD,CAAC;YACD,GAAG,CAAC,CAAC,CAAC,GAAG,KAAK,CAAC;QACjB,CAAC;QACD,MAAM,GAAG,GAAG,iBAAiB,CAAC,GAAG,EAAE,EAAE,MAAM,EAAE,YAAY,EAAE,UAAU,EAAE,cAAc,EAAE,CAAC,EAAE,CAAC,CAAC;QAC5F,IAAI,GAAG,GAAG,CAAC,CAAC;QACZ,KAAK,MAAM,CAAC,IAAI,GAAG;YAAE,GAAG,IAAI,CAAC,CAAC;QAC9B,MAAM,OAAO,GAAG,GAAG,GAAG,OAAO,CAAC;QAC9B,IAAI,EAAE,GAAG,CAAC,CAAC;QACX,KAAK,MAAM,CAAC,IAAI,GAAG;YAAE,EAAE,IAAI,CAAC,CAAC,GAAG,OAAO,CAAC,GAAG,CAAC,CAAC,GAAG,OAAO,CAAC,CAAC;QACzD,MAAM,oBAAoB,GAAG,IAAI,CAAC,IAAI,CAAC,EAAE,GAAG,OAAO,CAAC,CAAC;QACrD,UAAU,GAAG;YACX,WAAW,EAAE,GAAG,CAAC,WAAW;YAC5B,sBAAsB,EAAE,GAAG,CAAC,sBAAsB;YAClD,OAAO;YACP,oBAAoB;SACrB,CAAC;QACF,WAAW,GAAG,OAAO,CAAC;QACtB,QAAQ,GAAG,IAAI,CAAC;IAClB,CAAC;IAED,OAAO;QACL,UAAU;QACV,WAAW;QACX,GAAG,CAAC,MAAM,KAAK,YAAY,CAAC,CAAC,CAAC,EAAE,UAAU,EAAE,CAAC,CAAC,CAAC,EAAE,CAAC;QAClD,GAAG,CAAC,aAAa,KAAK,SAAS,CAAC,CAAC,CAAC,EAAE,aAAa,EAAE,CAAC,CAAC,CAAC,EAAE,CAAC;QACzD,GAAG,CAAC,UAAU,KAAK,SAAS,CAAC,CAAC,CAAC,EAAE,UAAU,EAAE,CAAC,CAAC,CAAC,EAAE,CAAC;QACnD,UAAU;QACV,WAAW,EAAE;YACX,kBAAkB,EAAE,mBAAmB;YACvC,UAAU;YACV,WAAW;YACX,kBAAkB;YAClB,WAAW,EAAE,KAAK;YAClB,GAAG,CAAC,WAAW,KAAK,SAAS,CAAC,CAAC,CAAC,EAAE,OAAO,EAAE,WAAW,EAAE,CAAC,CAAC,CAAC,EAAE,CAAC;YAC9D,GAAG,CAAC,QAAQ,KAAK,SAAS,CAAC,CAAC,CAAC,EAAE,IAAI,EAAE,QAAQ,EAAE,CAAC,CAAC,CAAC,EAAE,CAAC;SACtD;QACD,WAAW,EAAE,EAAE,MAAM,EAAE,UAAU,EAAE,MAAM,EAAE,aAAa,EAAE,SAAS,EAAE,IAAI,EAAE,QAAQ,EAAE;KACtF,CAAC;AACJ,CAAC"}

package/modules/risk/dist/book.d.ts

@@ -0,0 +1,95 @@
+/**
+ * Portfolio book / risk aggregation (spec §12.2, roadmap Tier 2) — the first-class **book** object
+ * that answers "what is my whole book's risk right now?" in one call: net greeks, beta-weighted delta
+ * to a reference index, total + per-position margin, concentration by name, per-position and
+ * per-underlying breakdowns, and (optionally) the book's P&L under a set of scenarios.
+ *
+ * Pure composition of the existing risk primitives — `betaWeightedDelta`, `optionsMargin`,
+ * `concentration`, `stressTest` — over strategy `Position`s marked with `Position.value()`. The value
+ * it adds is the missing top-level book abstraction and the marking that turns a list of positions
+ * into aggregate risk.
+ */
+import { type Diagnostics } from '../../core/dist/index.js';
+import type { StrategyPosition } from './strategy-shape.js';
+import { type BetaWeightedDeltaResult, type ConcentrationValues } from './portfolio.js';
+import { type PnlMarket } from './pnl-explain.js';
+import { type Scenario, type ScenarioResult } from './scenario.js';
+/** One position in the book: a strategy Position, its market, and optional grouping/beta metadata. */
+export interface BookPosition {
+    position: StrategyPosition;
+    market: PnlMarket;
+    id?: string;
+    /** Grouping key for the per-underlying breakdown (default: `id` ?? `position-${i}`). */
+    underlying?: string;
+    /** Beta to the reference index (default 1); used only when `options.indexPrice` is given. */
+    beta?: number;
+}
+/** Options for {@link analyzeBook}. */
+export interface BookOptions {
+    /** Reference index price → beta-weighted delta (the "net delta in SPY terms" read-out). */
+    indexPrice?: number;
+    /** Optional book P&L under scenarios (reuses `stressTest` / `taylorPnl`). */
+    scenarios?: readonly Scenario[];
+    /** Contract multiplier for margin (default 100). */
+    multiplier?: number;
+    /** Reg-T naked-margin rate knob, forwarded to `optionsMargin` as its `equityRate`. */
+    regulationTRate?: number;
+}
+/** Net book greeks in trader-facing DISPLAY units (delta $, theta/day, vega/1%, rho/1%), dollar-scaled. */
+export interface BookGreeks {
+    delta: number;
+    gamma: number;
+    vega: number;
+    theta: number;
+    rho: number;
+}
+/** Per-position risk row. */
+export interface PositionRisk {
+    id: string;
+    underlying: string;
+    /** Net unrealized P&L of the position ($) — `Position.value()` (P&L since entry), not liquidation NAV. */
+    value: number;
+    greeks: BookGreeks;
+    /** Initial (buying-power) margin for this position. */
+    margin: number;
+    definedRisk: boolean;
+}
+/** Per-underlying risk row (positions grouped by `underlying`). */
+export interface UnderlyingRisk {
+    underlying: string;
+    /** Net unrealized P&L for this name ($) — sum of its positions' `Position.value()`. */
+    value: number;
+    greeks: BookGreeks;
+    margin: number;
+}
+/** The full book risk read-out. */
+export interface BookRisk {
+    /** Net unrealized P&L of the book ($) — Σ each position's `Position.value()` (P&L since entry), not liquidation NAV. */
+    value: number;
+    /** Net greeks, display units. */
+    greeks: BookGreeks;
+    /** Present when `options.indexPrice` is given. */
+    betaWeightedDelta?: BetaWeightedDeltaResult;
+    margin: {
+        total: number;
+        buyingPowerReduction: number;
+    };
+    /** Concentration on per-underlying margin — how much buying power sits in one name (bare values; the report wrapper lives on `concentration()` itself). */
+    concentration: ConcentrationValues;
+    byPosition: PositionRisk[];
+    byUnderlying: UnderlyingRisk[];
+    /** Present when `options.scenarios` is given. */
+    scenarios?: ScenarioResult[];
+    assumptions: {
+        conventionsVersion: string;
+        indexPrice?: number;
+        multiplier: number;
+    };
+    diagnostics: Diagnostics;
+}
+/**
+ * Aggregate a book of strategy positions into net risk: greeks, beta-weighted delta, margin,
+ * concentration, per-position + per-underlying breakdowns, and (optionally) scenario P&L.
+ */
+export declare function analyzeBook(positions: readonly BookPosition[], options?: BookOptions): BookRisk;
+//# sourceMappingURL=book.d.ts.map

package/modules/risk/dist/book.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"book.d.ts","sourceRoot":"","sources":["../src/book.ts"],"names":[],"mappings":"AACA;;;;;;;;;;GAUG;AAEH,OAAO,EAEL,KAAK,WAAW,EAMjB,MAAM,0BAAoB,CAAC;AAC5B,OAAO,KAAK,EAAE,gBAAgB,EAAE,MAAM,qBAAqB,CAAC;AAC5D,OAAO,EACL,KAAK,uBAAuB,EAC5B,KAAK,mBAAmB,EAKzB,MAAM,gBAAgB,CAAC;AACxB,OAAO,EAAE,KAAK,SAAS,EAAE,MAAM,kBAAkB,CAAC;AAClD,OAAO,EAEL,KAAK,QAAQ,EACb,KAAK,cAAc,EAEpB,MAAM,eAAe,CAAC;AAEvB,sGAAsG;AACtG,MAAM,WAAW,YAAY;IAC3B,QAAQ,EAAE,gBAAgB,CAAC;IAC3B,MAAM,EAAE,SAAS,CAAC;IAClB,EAAE,CAAC,EAAE,MAAM,CAAC;IACZ,wFAAwF;IACxF,UAAU,CAAC,EAAE,MAAM,CAAC;IACpB,6FAA6F;IAC7F,IAAI,CAAC,EAAE,MAAM,CAAC;CACf;AAED,uCAAuC;AACvC,MAAM,WAAW,WAAW;IAC1B,2FAA2F;IAC3F,UAAU,CAAC,EAAE,MAAM,CAAC;IACpB,6EAA6E;IAC7E,SAAS,CAAC,EAAE,SAAS,QAAQ,EAAE,CAAC;IAChC,oDAAoD;IACpD,UAAU,CAAC,EAAE,MAAM,CAAC;IACpB,sFAAsF;IACtF,eAAe,CAAC,EAAE,MAAM,CAAC;CAC1B;AAKD,2GAA2G;AAC3G,MAAM,WAAW,UAAU;IACzB,KAAK,EAAE,MAAM,CAAC;IACd,KAAK,EAAE,MAAM,CAAC;IACd,IAAI,EAAE,MAAM,CAAC;IACb,KAAK,EAAE,MAAM,CAAC;IACd,GAAG,EAAE,MAAM,CAAC;CACb;AAED,6BAA6B;AAC7B,MAAM,WAAW,YAAY;IAC3B,EAAE,EAAE,MAAM,CAAC;IACX,UAAU,EAAE,MAAM,CAAC;IACnB,0GAA0G;IAC1G,KAAK,EAAE,MAAM,CAAC;IACd,MAAM,EAAE,UAAU,CAAC;IACnB,uDAAuD;IACvD,MAAM,EAAE,MAAM,CAAC;IACf,WAAW,EAAE,OAAO,CAAC;CACtB;AAED,mEAAmE;AACnE,MAAM,WAAW,cAAc;IAC7B,UAAU,EAAE,MAAM,CAAC;IACnB,uFAAuF;IACvF,KAAK,EAAE,MAAM,CAAC;IACd,MAAM,EAAE,UAAU,CAAC;IACnB,MAAM,EAAE,MAAM,CAAC;CAChB;AAED,mCAAmC;AACnC,MAAM,WAAW,QAAQ;IACvB,wHAAwH;IACxH,KAAK,EAAE,MAAM,CAAC;IACd,iCAAiC;IACjC,MAAM,EAAE,UAAU,CAAC;IACnB,kDAAkD;IAClD,iBAAiB,CAAC,EAAE,uBAAuB,CAAC;IAC5C,MAAM,EAAE;QAAE,KAAK,EAAE,MAAM,CAAC;QAAC,oBAAoB,EAAE,MAAM,CAAA;KAAE,CAAC;IACxD,2JAA2J;IAC3J,aAAa,EAAE,mBAAmB,CAAC;IACnC,UAAU,EAAE,YAAY,EAAE,CAAC;IAC3B,YAAY,EAAE,cAAc,EAAE,CAAC;IAC/B,iDAAiD;IACjD,SAAS,CAAC,EAAE,cAAc,EAAE,CAAC;IAC7B,WAAW,EAAE;QAAE,kBAAkB,EAAE,MAAM,CAAC;QAAC,UAAU,CAAC,EAAE,MAAM,CAAC;QAAC,UAAU,EAAE,MAAM,CAAA;KAAE,CAAC;IACrF,WAAW,EAAE,WAAW,CAAC;CAC1B;AA8ED;;;GAGG;AACH,wBAAgB,WAAW,CACzB,SAAS,EAAE,SAAS,YAAY,EAAE,EAClC,OAAO,GAAE,WAAgB,GACxB,QAAQ,CAiIV"}