@insiderfinance/totalfinance 0.1.0

package/modules/risk/dist/book.js

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+import { ensureFiniteWhenPresent } from './options-internal.js';
+/**
+ * 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 { CONVENTIONS_VERSION, ErrorCode, InputError, ensureKnownKeys, requireArgumentArray, requireArgumentObject, } from '../../core/dist/index.js';
+import { betaWeightedDelta, concentration, optionsMargin, } from './portfolio.js';
+import {} from './pnl-explain.js';
+import { stressTest, } from './scenario.js';
+/** The documented {@link BookOptions} keys — Law 12: an unknown option must throw, never no-op. */
+const BOOK_OPTIONS_KEYS = ['indexPrice', 'scenarios', 'multiplier', 'regulationTRate'];
+const zeroGreeks = () => ({ delta: 0, gamma: 0, vega: 0, theta: 0, rho: 0 });
+function addGreeks(into, g) {
+    into.delta += g.delta;
+    into.gamma += g.gamma;
+    into.vega += g.vega;
+    into.theta += g.theta;
+    into.rho += g.rho;
+}
+/** 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(`analyzeBook: positions[${index}].position must be a strategy Position (from strategy(...) or a named builder).`, { code: ErrorCode.InputWrongType, context: { index } });
+    }
+}
+/**
+ * Initial (buying-power) margin for a strategy position at a spot. Pure-option positions use the
+ * Reg-T `optionsMargin` (defined-risk max loss, long premium, or naked). A **stock-inclusive**
+ * structure — covered call, collar, protective put — has its risk capped by the stock leg, which the
+ * options-only calc can't see; for those (single-expiry) we use the position's own stock-inclusive
+ * max loss as the capital-at-risk margin, so a covered call reads as defined-risk, not a naked short.
+ * Returns 0 for a position with no option legs.
+ */
+function positionMargin(input) {
+    const { position, spot, multiplier, regulationTRate } = input;
+    const optionLegs = position.legs
+        .filter((l) => l.kind === 'call' || l.kind === 'put')
+        .map((l) => ({ type: l.kind, quantity: l.quantity, strike: l.strike, premium: l.premium }));
+    if (optionLegs.length === 0)
+        return { margin: 0, buyingPower: 0, definedRisk: true };
+    const hasStock = position.legs.some((l) => l.kind === 'stock');
+    const expiries = new Set(position.legs.filter((l) => l.kind !== 'stock' && l.expiry !== undefined).map((l) => l.expiry));
+    // Only a single-expiry position has a well-defined expiration payoff (metrics() asserts it). A
+    // stock-covered structure's true (bounded) risk lives in that payoff, not in the option-only calc,
+    // so a covered call / collar / protective put reports defined-risk max loss, never a naked short.
+    if (hasStock && expiries.size <= 1) {
+        const maxLoss = position.metrics().maxLoss;
+        if (maxLoss !== null) {
+            const margin = Math.max(0, -maxLoss);
+            return { margin, buyingPower: margin, definedRisk: true };
+        }
+        // Unbounded even with the stock cover (e.g. an extra naked short) → fall through to Reg-T naked.
+    }
+    const r = optionsMargin(optionLegs, {
+        spot,
+        multiplier,
+        ...(regulationTRate !== undefined ? { equityRate: regulationTRate } : {}),
+    });
+    return {
+        margin: r.initialMargin,
+        buyingPower: r.buyingPowerReduction,
+        definedRisk: r.definedRisk,
+    };
+}
+/**
+ * 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 function analyzeBook(positions, options = {}) {
+    requireArgumentArray('analyzeBook', 'positions', positions);
+    requireArgumentObject('analyzeBook', 'options', options);
+    ensureKnownKeys('analyzeBook', 'options', options, BOOK_OPTIONS_KEYS);
+    ensureFiniteWhenPresent(options.regulationTRate, 'regulationTRate', 'analyzeBook');
+    ensureFiniteWhenPresent(options.multiplier, 'multiplier', 'analyzeBook');
+    ensureFiniteWhenPresent(options.multiplier, 'multiplier', 'analyzeBook');
+    const multiplier = options.multiplier ?? 100;
+    const netGreeks = zeroGreeks();
+    let netValue = 0;
+    let totalMargin = 0;
+    let totalBuyingPower = 0;
+    const byPosition = [];
+    const byUnderlyingMap = new Map();
+    const betaInputs = [];
+    const scenarioPositions = [];
+    for (let i = 0; i < positions.length; i++) {
+        const item = positions[i];
+        requireArgumentObject('analyzeBook', `positions[${i}]`, item);
+        requirePosition(item.position, i);
+        requireArgumentObject('analyzeBook', `positions[${i}].market`, item.market);
+        const pos = item.position;
+        const marked = pos.value(item.market);
+        const g = {
+            delta: marked.greeks.delta,
+            gamma: marked.greeks.gamma,
+            vega: marked.greeks.vega,
+            theta: marked.greeks.theta,
+            rho: marked.greeks.rho,
+        };
+        const id = item.id ?? `position-${i}`;
+        const underlying = item.underlying ?? id;
+        const spot = item.market.spot;
+        const m = positionMargin({
+            position: pos,
+            spot,
+            multiplier,
+            regulationTRate: options.regulationTRate,
+        });
+        netValue += marked.value;
+        addGreeks(netGreeks, g);
+        totalMargin += m.margin;
+        totalBuyingPower += m.buyingPower;
+        byPosition.push({
+            id,
+            underlying,
+            value: marked.value,
+            greeks: g,
+            margin: m.margin,
+            definedRisk: m.definedRisk,
+        });
+        const u = byUnderlyingMap.get(underlying) ?? {
+            underlying,
+            value: 0,
+            greeks: zeroGreeks(),
+            margin: 0,
+        };
+        u.value += marked.value;
+        addGreeks(u.greeks, g);
+        u.margin += m.margin;
+        byUnderlyingMap.set(underlying, u);
+        betaInputs.push({ delta: g.delta, spot, beta: item.beta ?? 1 });
+        scenarioPositions.push({
+            id,
+            quantity: 1,
+            // Marked Greeks are already in the one unit system; the Taylor engine converts internally.
+            greeks: { value: marked.value, spot, ...marked.greeks },
+        });
+    }
+    const byUnderlying = [...byUnderlyingMap.values()].sort((a, b) => b.margin - a.margin);
+    // `concentration` rejects an empty input and divides by gross margin (NaN when it's zero). An empty
+    // book, or a zero-margin book (all long-premium / stock-only — no buying power at risk), has nothing
+    // to concentrate — report the neutral zero rather than throw or leak a NaN into the envelope.
+    const totalConcMargin = byUnderlying.reduce((a, u) => a + u.margin, 0);
+    let conc;
+    if (byUnderlying.length === 0 || totalConcMargin <= 0) {
+        conc = { hhi: 0, effectiveCount: 0, topWeight: 0, topKShare: 0, gini: 0 };
+    }
+    else {
+        // Embed the bare values only — the book carries ONE report wrapper (its own envelope), and the
+        // concentration conventions (top-k default) are `concentration()`'s to disclose, not the book's.
+        const c = concentration(byUnderlying.map((u) => u.margin));
+        conc = {
+            hhi: c.hhi,
+            effectiveCount: c.effectiveCount,
+            topWeight: c.topWeight,
+            topKShare: c.topKShare,
+            gini: c.gini,
+        };
+    }
+    const result = {
+        value: netValue,
+        greeks: netGreeks,
+        margin: { total: totalMargin, buyingPowerReduction: totalBuyingPower },
+        concentration: conc,
+        byPosition,
+        byUnderlying,
+        assumptions: {
+            conventionsVersion: CONVENTIONS_VERSION,
+            ...(options.indexPrice !== undefined ? { indexPrice: options.indexPrice } : {}),
+            multiplier,
+        },
+        diagnostics: {
+            engine: 'portfolio-book',
+            method: 'greeks-aggregation',
+            converged: true,
+            warnings: [],
+        },
+    };
+    if (options.indexPrice !== undefined) {
+        result.betaWeightedDelta = betaWeightedDelta(betaInputs, { indexPrice: options.indexPrice });
+    }
+    if (options.scenarios !== undefined) {
+        // H11: stressTest reports; the book embeds the bare rows (no nested envelope inside a report).
+        result.scenarios = stressTest({
+            positions: scenarioPositions,
+            scenarios: options.scenarios,
+        }).scenarios;
+    }
+    return result;
+}
+//# sourceMappingURL=book.js.map

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

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

@@ -0,0 +1,96 @@
+/**
+ * The covariance on-ramp (alignment spec D11, P3.6) — the missing first step of the portfolio
+ * journey: RETURNS → `covariance()` → optimizer.
+ *
+ * This is a cohesive risk-domain operation, not a barrel re-export: it takes returns in the
+ * shape portfolio data actually arrives in (observations-major — one row per period, one column
+ * per asset), delegates the estimation to `@insiderfinance/totalfinance/math`'s `estimateCovariance` (auto
+ * shrinkage, SPD guarantees, conditioning report), and returns the analysis envelope whose
+ * `value` plugs STRAIGHT into `minVariance` / `maxSharpe` / `meanVariance` / `riskParity`:
+ *
+ * ```ts
+ * const { covariance: cov, meanReturns: mu } = covariance({ returns }).value;
+ * const w = maxSharpe({
+ *   mean: mu,
+ *   covariance: cov,
+ *   options: { longOnly: true },
+ * }).value.weights;
+ * ```
+ */
+import { type Diagnostics } from '../../core/dist/index.js';
+import { type EstimateCovarianceOptions, type Matrix } from '../../math/dist/index.js';
+export interface CovarianceInput {
+    /**
+     * Observations-major returns: `returns[t][k]` is asset `k`'s simple return in period `t` —
+     * one row per period, one column per asset (the natural CSV/dataframe orientation, and the
+     * TRANSPOSE of `@insiderfinance/totalfinance/math`'s variables-major `estimateCovariance` input). Every row must
+     * have the same number of assets.
+     */
+    returns: number[][];
+    /** Optional asset labels aligned to the columns; echoed on the result for self-description. */
+    assets?: string[];
+}
+/** Estimator options — delegated verbatim to `@insiderfinance/totalfinance/math`'s `estimateCovariance`. */
+export type CovarianceOptions = EstimateCovarianceOptions;
+export interface CovarianceValue {
+    /** The estimated covariance Σ (assets × assets) — feed it to any optimizer. */
+    covariance: Matrix;
+    /** Per-asset arithmetic mean PERIOD returns, aligned to the columns — feed to `maxSharpe`. */
+    meanReturns: number[];
+    /** Asset labels, when provided. */
+    assets?: string[];
+}
+export interface CovarianceResult {
+    value: CovarianceValue;
+    assumptions: {
+        conventionsVersion: string;
+        /** The estimator actually used (`'auto'` resolves before reporting). */
+        method: 'sample' | 'ledoit-wolf' | 'ridge' | 'ewma';
+        observations: number;
+        /** Returns are treated as one row per PERIOD; means are per-period, not annualized. */
+        orientation: 'observations-major';
+    };
+    diagnostics: Diagnostics & {
+        /** `null` when the matrix is singular (κ = ∞ has no JSON representation; see warnings). */
+        conditionNumber: number | null;
+        isPositiveDefinite: boolean;
+        effectiveRank: number;
+        minEigenvalue: number;
+        maxEigenvalue: number;
+        shrinkage?: number;
+        lambda?: number;
+    };
+}
+/**
+ * Package-internal (shared with `expected-returns.ts`; not re-exported from any entrypoint):
+ * validate an observations-major returns matrix — non-empty, rectangular, every cell finite.
+ */
+export declare function validateReturnsInput(functionName: string, input: CovarianceInput): {
+    T: number;
+    p: number;
+};
+/**
+ * Estimate a portfolio covariance (and mean returns) from raw return history — the first step of
+ * every optimizer journey. Delegates estimation to `estimateCovariance` (`method: 'auto'`
+ * defaults to the sample covariance and shrinks only when it is singular/ill-conditioned, always
+ * disclosing what it did), and reports the full conditioning diagnostics so a caller knows the
+ * matrix is safe to invert BEFORE optimizing with it.
+ */
+export declare function covariance(input: CovarianceInput, options?: CovarianceOptions): CovarianceResult;
+export interface MeanReturnsInput {
+    /** Observations-major returns — same orientation as {@link CovarianceInput}. */
+    returns: number[][];
+    /**
+     * Annualize by this factor (e.g. `252` for daily data): reported means become
+     * `periodMean × periodsPerYear`. OMITTED means per-period means — annualization is never
+     * silent (spec Law 6).
+     */
+    periodsPerYear?: number;
+}
+/**
+ * Per-asset arithmetic mean returns from observations-major history — the `mu` for
+ * `maxSharpe({ mean, covariance })` / `meanVariance({ mean, covariance })`. Kept deliberately small: it is the
+ * journey-completing helper, not a statistics suite (see `@insiderfinance/totalfinance/math` for that).
+ */
+export declare function meanReturns(input: MeanReturnsInput): number[];
+//# sourceMappingURL=covariance.d.ts.map

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

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package/modules/risk/dist/covariance.js

@@ -0,0 +1,183 @@
+import { ensureEnumWhenPresent, ensureFiniteWhenPresent } from './options-internal.js';
+/**
+ * The covariance on-ramp (alignment spec D11, P3.6) — the missing first step of the portfolio
+ * journey: RETURNS → `covariance()` → optimizer.
+ *
+ * This is a cohesive risk-domain operation, not a barrel re-export: it takes returns in the
+ * shape portfolio data actually arrives in (observations-major — one row per period, one column
+ * per asset), delegates the estimation to `@insiderfinance/totalfinance/math`'s `estimateCovariance` (auto
+ * shrinkage, SPD guarantees, conditioning report), and returns the analysis envelope whose
+ * `value` plugs STRAIGHT into `minVariance` / `maxSharpe` / `meanVariance` / `riskParity`:
+ *
+ * ```ts
+ * const { covariance: cov, meanReturns: mu } = covariance({ returns }).value;
+ * const w = maxSharpe({
+ *   mean: mu,
+ *   covariance: cov,
+ *   options: { longOnly: true },
+ * }).value.weights;
+ * ```
+ */
+import { CONVENTIONS_VERSION, ErrorCode, InputError, ensureKnownKeys, requireArgumentArray, requireArgumentObject, } from '../../core/dist/index.js';
+import { estimateCovariance, } from '../../math/dist/index.js';
+/** The documented {@link CovarianceInput} keys — Law 12: an unknown field must throw, never no-op. */
+const COVARIANCE_INPUT_KEYS = ['returns', 'assets'];
+/** The documented {@link CovarianceOptions} keys (mirrors `EstimateCovarianceOptions`). */
+const COVARIANCE_OPTIONS_KEYS = [
+    'method',
+    'ridge',
+    'conditionThreshold',
+    'population',
+    'lambda',
+    'halfLife',
+    'ledoitWolfTarget',
+    'market',
+];
+/**
+ * Package-internal (shared with `expected-returns.ts`; not re-exported from any entrypoint):
+ * validate an observations-major returns matrix — non-empty, rectangular, every cell finite.
+ */
+export function validateReturnsInput(functionName, input) {
+    requireArgumentObject(functionName, 'input', input);
+    requireArgumentArray(functionName, 'input.returns', input.returns);
+    const T = input.returns.length;
+    if (T === 0) {
+        throw new InputError(`${functionName}: input.returns must contain at least one period (got 0 rows).`, {
+            code: ErrorCode.InputWrongShape,
+            context: { rows: 0 },
+        });
+    }
+    requireArgumentArray(functionName, 'input.returns[0]', input.returns[0]);
+    const p = input.returns[0].length;
+    if (p === 0) {
+        throw new InputError(`${functionName}: input.returns rows must contain at least one asset (got 0 columns).`, {
+            code: ErrorCode.InputWrongShape,
+            context: { columns: 0 },
+        });
+    }
+    for (let t = 0; t < T; t++) {
+        const row = input.returns[t];
+        if (!Array.isArray(row) || row.length !== p) {
+            throw new InputError(`${functionName}: input.returns[${t}] has ${Array.isArray(row) ? row.length : typeof row} entries — every period row must list the same ${p} assets.`, { code: ErrorCode.InputLengthMismatch, context: { row: t, expected: p } });
+        }
+        // Law 7 at the boundary: one NaN return would ride into every covariance entry silently.
+        for (let k = 0; k < p; k++) {
+            const v = row[k];
+            if (typeof v !== 'number' || !Number.isFinite(v)) {
+                throw new InputError(`${functionName}: input.returns[${t}][${k}] is not a finite number (${String(v)}).`, { code: ErrorCode.InputNotFinite, context: { row: t, column: k } });
+            }
+        }
+    }
+    if (input.assets !== undefined) {
+        requireArgumentArray(functionName, 'input.assets', input.assets);
+        if (input.assets.length !== p) {
+            throw new InputError(`${functionName}: input.assets lists ${input.assets.length} labels for ${p} return columns.`, {
+                code: ErrorCode.InputLengthMismatch,
+                context: { labels: input.assets.length, assets: p },
+            });
+        }
+    }
+    return { T, p };
+}
+function transpose(rows, T, p) {
+    const out = Array.from({ length: p }, () => new Array(T));
+    for (let t = 0; t < T; t++) {
+        for (let k = 0; k < p; k++)
+            out[k][t] = rows[t][k];
+    }
+    return out;
+}
+/**
+ * Estimate a portfolio covariance (and mean returns) from raw return history — the first step of
+ * every optimizer journey. Delegates estimation to `estimateCovariance` (`method: 'auto'`
+ * defaults to the sample covariance and shrinks only when it is singular/ill-conditioned, always
+ * disclosing what it did), and reports the full conditioning diagnostics so a caller knows the
+ * matrix is safe to invert BEFORE optimizing with it.
+ */
+export function covariance(input, options = {}) {
+    const functionName = 'covariance';
+    // An explicit `null`/primitive bypasses the `= {}` default — teach, never TypeError downstream.
+    requireArgumentObject(functionName, 'options', options);
+    ensureKnownKeys(functionName, 'options', options, COVARIANCE_OPTIONS_KEYS);
+    // When-present ladders before the estimator resolves its defaults (the 350c2796 ruling).
+    ensureEnumWhenPresent(options.method, functionName, 'method', [
+        'auto',
+        'sample',
+        'ledoit-wolf',
+        'ridge',
+        'ewma',
+    ]);
+    ensureEnumWhenPresent(options.ledoitWolfTarget, functionName, 'ledoitWolfTarget', [
+        'identity',
+        'constant-correlation',
+        'single-index',
+    ]);
+    if (options.population !== undefined && typeof options.population !== 'boolean') {
+        throw new InputError(`${functionName}: population must be a boolean when provided (1/T vs 1/(T-1) normalization). Received ${options.population === null ? 'null' : typeof options.population}.`, { code: ErrorCode.InputWrongType, context: { field: 'population' } });
+    }
+    if (options.market !== undefined &&
+        !Array.isArray(options.market) &&
+        !ArrayBuffer.isView(options.market)) {
+        throw new InputError(`${functionName}: market must be an array of market returns when provided. Received ${options.market === null ? 'null' : typeof options.market}.`, { code: ErrorCode.InputWrongType, context: { field: 'market' } });
+    }
+    for (const field of ['ridge', 'conditionThreshold', 'lambda', 'halfLife']) {
+        ensureFiniteWhenPresent(options[field], field, functionName);
+    }
+    const { T, p } = validateReturnsInput(functionName, input);
+    ensureKnownKeys(functionName, 'input', input, COVARIANCE_INPUT_KEYS);
+    const series = transpose(input.returns, T, p);
+    const est = estimateCovariance(series, options);
+    const mu = series.map((s) => s.reduce((a, b) => a + b, 0) / T);
+    return {
+        value: {
+            covariance: est.covariance,
+            meanReturns: mu,
+            ...(input.assets !== undefined ? { assets: input.assets } : {}),
+        },
+        assumptions: {
+            conventionsVersion: CONVENTIONS_VERSION,
+            method: est.method,
+            observations: est.observations,
+            orientation: 'observations-major',
+        },
+        diagnostics: {
+            // The estimator's own diagnostics (converged, warnings, method) pass through untouched…
+            ...est.diagnostics,
+            // …and the conditioning report is surfaced beside them so callers can gate on it. A
+            // singular matrix has κ = ∞ — reported as null (JSON-safe) with the estimator's own
+            // singularity warning carrying the reason; `isPositiveDefinite: false` is the machine gate.
+            conditionNumber: Number.isFinite(est.conditionNumber) ? est.conditionNumber : null,
+            isPositiveDefinite: est.isPositiveDefinite,
+            effectiveRank: est.effectiveRank,
+            minEigenvalue: est.minEigenvalue,
+            maxEigenvalue: est.maxEigenvalue,
+            ...(est.shrinkage !== undefined ? { shrinkage: est.shrinkage } : {}),
+            ...(est.lambda !== undefined ? { lambda: est.lambda } : {}),
+        },
+    };
+}
+/** The documented {@link MeanReturnsInput} keys. */
+const MEAN_RETURNS_INPUT_KEYS = ['returns', 'periodsPerYear'];
+/**
+ * Per-asset arithmetic mean returns from observations-major history — the `mu` for
+ * `maxSharpe({ mean, covariance })` / `meanVariance({ mean, covariance })`. Kept deliberately small: it is the
+ * journey-completing helper, not a statistics suite (see `@insiderfinance/totalfinance/math` for that).
+ */
+export function meanReturns(input) {
+    const functionName = 'meanReturns';
+    const { T, p } = validateReturnsInput(functionName, input);
+    ensureKnownKeys(functionName, 'input', input, MEAN_RETURNS_INPUT_KEYS);
+    if (input.periodsPerYear !== undefined &&
+        !(input.periodsPerYear > 0 && Number.isFinite(input.periodsPerYear))) {
+        throw new InputError(`${functionName}: periodsPerYear must be a positive FINITE number (got ${input.periodsPerYear}).`, { code: ErrorCode.InputOutOfRange, context: { periodsPerYear: input.periodsPerYear } });
+    }
+    ensureFiniteWhenPresent(input.periodsPerYear, 'periodsPerYear', 'meanReturns');
+    const scale = input.periodsPerYear ?? 1;
+    const out = new Array(p).fill(0);
+    for (let t = 0; t < T; t++) {
+        for (let k = 0; k < p; k++)
+            out[k] += input.returns[t][k];
+    }
+    return out.map((s) => (s / T) * scale);
+}
+//# sourceMappingURL=covariance.js.map

package/modules/risk/dist/covariance.js.map

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