@insiderfinance/totalfinance 0.1.0

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

@@ -0,0 +1 @@
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package/modules/risk/dist/expected-returns.d.ts

@@ -0,0 +1,139 @@
+/**
+ * Expected-return estimation (FC7 slice 4, Stage 4.4) — the `mean` on-ramp for the optimizers and
+ * the efficient frontier, under an EXPLICIT method. The method is a discriminant the caller
+ * states, never an inference:
+ *
+ *   • `'historical-mean'`         — composes `meanReturns` exactly (bit-identical means);
+ *   • `'exponentially-weighted'`  — half-life decay, most recent observation heaviest, with the
+ *                                   effective sample size disclosed;
+ *   • `'capital-asset-pricing'`   — composes FC2's `capitalAssetPricingExpectedReturn` from
+ *                                   `@insiderfinance/totalfinance/valuation` per asset (annual by construction);
+ *   • `'supplied'`                — a validated pass-through of caller values with an explicit
+ *                                   `annualized` flag.
+ *
+ * Annualization is never silent (spec Law 6): the sample methods report per-period means unless
+ * `periodsPerYear` is given, and the result always says which it did. The point-in-time law: when
+ * `observationTimestamps` accompany the rows and `asOf` is given, every row observed after `asOf`
+ * is excluded and the count is disclosed — the estimate cannot see the future by accident.
+ */
+import { type Diagnostics, type EpochMs } from '../../core/dist/index.js';
+/** Fields shared by the two sample-based methods (`'historical-mean'`, `'exponentially-weighted'`). */
+interface SampleExpectedReturnsFields {
+    /**
+     * Observations-major returns — the same orientation as `CovarianceInput`: `returns[t][k]` is
+     * asset `k`'s simple return in period `t` (one row per period, one column per asset).
+     */
+    returns: number[][];
+    /**
+     * Annualize by this factor (e.g. `252` for daily, `12` for monthly data): the reported means
+     * become `periodMean × periodsPerYear`. OMITTED means per-period means with `annualized: false`
+     * — annualization is never silent.
+     */
+    periodsPerYear?: number;
+    /** Optional asset labels aligned to the columns; echoed on the result. */
+    assetIds?: string[];
+    /**
+     * Optional observation instants aligned 1:1 with the rows of `returns` (epoch milliseconds or
+     * an ISO date / zoned datetime), non-decreasing. Required for `asOf` to screen anything.
+     */
+    observationTimestamps?: (EpochMs | string)[];
+    /**
+     * Point-in-time cut: every row whose timestamp is AFTER this instant is excluded from the
+     * estimate and the excluded count is disclosed in `diagnostics.excludedAfterAsOf`. Without
+     * `observationTimestamps` nothing can be screened — the result then carries a warning.
+     */
+    asOf?: EpochMs | string;
+}
+export interface HistoricalMeanExpectedReturnsInput extends SampleExpectedReturnsFields {
+    method: 'historical-mean';
+}
+export interface ExponentiallyWeightedExpectedReturnsInput extends SampleExpectedReturnsFields {
+    method: 'exponentially-weighted';
+    /**
+     * Half-life of the observation weights in PERIODS: observation `t` of `T` carries weight
+     * `0.5^((T − 1 − t) / halfLifePeriods)` before normalization, so the most recent row is the
+     * heaviest. Required — there is no universal decay rate.
+     */
+    halfLifePeriods: number;
+}
+export interface CapitalAssetPricingExpectedReturnsInput {
+    method: 'capital-asset-pricing';
+    /** Per-asset market betas (one per asset). */
+    betas: number[];
+    /** Annual risk-free rate (decimal). */
+    annualRiskFreeRate: number;
+    /** Annual market risk premium (decimal) — the premium itself, not the market return. */
+    annualMarketRiskPremium: number;
+    /** Optional asset labels aligned to `betas`; echoed on the result. */
+    assetIds?: string[];
+}
+export interface SuppliedExpectedReturnsInput {
+    method: 'supplied';
+    /** Caller-supplied expected returns, one per asset. */
+    expectedReturns: number[];
+    /** Whether the supplied values are annual (`true`) or per-period (`false`). Required. */
+    annualized: boolean;
+    /** Optional asset labels aligned to `expectedReturns`; echoed on the result. */
+    assetIds?: string[];
+}
+/** The closed request: an explicit `method` discriminant selects the branch and its own keys. */
+export type EstimateExpectedReturnsInput = HistoricalMeanExpectedReturnsInput | ExponentiallyWeightedExpectedReturnsInput | CapitalAssetPricingExpectedReturnsInput | SuppliedExpectedReturnsInput;
+export type ExpectedReturnsMethod = EstimateExpectedReturnsInput['method'];
+export interface ExpectedReturnsValue {
+    /** Per-asset expected returns, aligned to the input columns / betas / supplied values. */
+    expectedReturns: number[];
+    /** Whether `expectedReturns` are annual (`true`) or per-period (`false`) — never implicit. */
+    annualized: boolean;
+    /** Asset labels, when provided. */
+    assetIds?: string[];
+}
+export interface ExpectedReturnsResult {
+    value: ExpectedReturnsValue;
+    assumptions: {
+        conventionsVersion: string;
+        method: ExpectedReturnsMethod;
+        /** Echoed when annualization was requested (sample methods only). */
+        periodsPerYear?: number;
+        /** Echoed for `'exponentially-weighted'`. */
+        halfLifePeriods?: number;
+        /** Echoed for `'capital-asset-pricing'`. */
+        annualRiskFreeRate?: number;
+        /** Echoed for `'capital-asset-pricing'`. */
+        annualMarketRiskPremium?: number;
+        /** The resolved point-in-time cut (epoch milliseconds), when `asOf` was given. */
+        asOf?: EpochMs;
+        /** Prose statement of exactly how the numbers were produced. */
+        estimationConvention: string;
+    };
+    diagnostics: Diagnostics & {
+        /** Return observations consumed (after point-in-time screening); 0 for methods without a sample. */
+        sampleSize: number;
+        /** `(Σw)² / Σw²` of the observation weights (`'exponentially-weighted'` only). */
+        effectiveSampleSize?: number;
+        /** Rows excluded because their timestamp is after `asOf` (when both were supplied). */
+        excludedAfterAsOf?: number;
+    };
+}
+/**
+ * Estimate per-asset expected returns under an EXPLICIT method — the `mean` for `maxSharpe`,
+ * `meanVariance`, `kelly`, and `efficientFrontier`.
+ *
+ * ```ts
+ * estimateExpectedReturns({ method: 'historical-mean', returns, periodsPerYear: 252 });
+ * estimateExpectedReturns({ method: 'exponentially-weighted', returns, halfLifePeriods: 60 });
+ * estimateExpectedReturns({
+ *   method: 'capital-asset-pricing',
+ *   betas: [0.8, 1.2],
+ *   annualRiskFreeRate: 0.04,
+ *   annualMarketRiskPremium: 0.05,
+ * });
+ * estimateExpectedReturns({ method: 'supplied', expectedReturns: [0.08, 0.1], annualized: true });
+ * ```
+ *
+ * `value.annualized` always states the unit of the result; the sample methods report per-period
+ * means unless `periodsPerYear` is given, the capital-asset-pricing method is annual by
+ * construction, and the supplied method carries the caller's own flag.
+ */
+export declare function estimateExpectedReturns(input: EstimateExpectedReturnsInput): ExpectedReturnsResult;
+export {};
+//# sourceMappingURL=expected-returns.d.ts.map

package/modules/risk/dist/expected-returns.d.ts.map

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package/modules/risk/dist/expected-returns.js

@@ -0,0 +1,350 @@
+/**
+ * Expected-return estimation (FC7 slice 4, Stage 4.4) — the `mean` on-ramp for the optimizers and
+ * the efficient frontier, under an EXPLICIT method. The method is a discriminant the caller
+ * states, never an inference:
+ *
+ *   • `'historical-mean'`         — composes `meanReturns` exactly (bit-identical means);
+ *   • `'exponentially-weighted'`  — half-life decay, most recent observation heaviest, with the
+ *                                   effective sample size disclosed;
+ *   • `'capital-asset-pricing'`   — composes FC2's `capitalAssetPricingExpectedReturn` from
+ *                                   `@insiderfinance/totalfinance/valuation` per asset (annual by construction);
+ *   • `'supplied'`                — a validated pass-through of caller values with an explicit
+ *                                   `annualized` flag.
+ *
+ * Annualization is never silent (spec Law 6): the sample methods report per-period means unless
+ * `periodsPerYear` is given, and the result always says which it did. The point-in-time law: when
+ * `observationTimestamps` accompany the rows and `asOf` is given, every row observed after `asOf`
+ * is excluded and the count is disclosed — the estimate cannot see the future by accident.
+ */
+import { CONVENTIONS_VERSION, ErrorCode, InputError, ensureKnownKeys, requireArgumentArray, requireArgumentObject, requireRepresentableResult, resolveAsOf, warning, WarningCode, } from '../../core/dist/index.js';
+import { capitalAssetPricingExpectedReturn } from '../../valuation/dist/index.js';
+import { meanReturns, validateReturnsInput } from './covariance.js';
+const FUNCTION_NAME = 'estimateExpectedReturns';
+const METHODS = [
+    'historical-mean',
+    'exponentially-weighted',
+    'capital-asset-pricing',
+    'supplied',
+];
+const SAMPLE_KEYS = [
+    'method',
+    'returns',
+    'periodsPerYear',
+    'assetIds',
+    'observationTimestamps',
+    'asOf',
+];
+/** The documented keys of every branch — Law 12: an unknown field throws, never no-ops. */
+const KEYS_BY_METHOD = {
+    'historical-mean': SAMPLE_KEYS,
+    'exponentially-weighted': [...SAMPLE_KEYS, 'halfLifePeriods'],
+    'capital-asset-pricing': [
+        'method',
+        'betas',
+        'annualRiskFreeRate',
+        'annualMarketRiskPremium',
+        'assetIds',
+    ],
+    supplied: ['method', 'expectedReturns', 'annualized', 'assetIds'],
+};
+const EXAMPLE_CALL = "estimateExpectedReturns({ method: 'historical-mean', returns, periodsPerYear: 252 })";
+/** Validate optional asset labels: an array of strings, one per asset. */
+function resolveAssetIds(assetIds, assetCount) {
+    if (assetIds === undefined)
+        return undefined;
+    requireArgumentArray(FUNCTION_NAME, 'input.assetIds', assetIds);
+    const labels = assetIds;
+    if (labels.length !== assetCount) {
+        throw new InputError(`${FUNCTION_NAME}: input.assetIds lists ${labels.length} labels for ${assetCount} assets.`, {
+            code: ErrorCode.InputLengthMismatch,
+            context: { labels: labels.length, assets: assetCount },
+        });
+    }
+    for (let k = 0; k < labels.length; k++) {
+        if (typeof labels[k] !== 'string') {
+            throw new InputError(`${FUNCTION_NAME}: input.assetIds[${k}] must be a string label, got ${labels[k] === null ? 'null' : typeof labels[k]}.`, { code: ErrorCode.InputWrongType, context: { index: k, received: labels[k] } });
+        }
+    }
+    return labels;
+}
+/** A required finite scalar field. */
+function requireFiniteField(input, field) {
+    const value = input[field];
+    if (value === undefined) {
+        throw new InputError(`${FUNCTION_NAME}: ${field} is required for method '${String(input['method'])}'.`, { code: ErrorCode.InputMissingField, context: { field } });
+    }
+    if (typeof value !== 'number' || !Number.isFinite(value)) {
+        throw new InputError(`${FUNCTION_NAME}: ${field} must be a finite number, got ${value === null ? 'null' : String(value)}.`, { code: ErrorCode.InputNotFinite, context: { field, received: value } });
+    }
+    return value;
+}
+/** A non-empty array of finite numbers (betas, supplied expected returns). */
+function requireFiniteVector(input, field) {
+    const value = input[field];
+    if (value === undefined) {
+        throw new InputError(`${FUNCTION_NAME}: ${field} is required for method '${String(input['method'])}'.`, { code: ErrorCode.InputMissingField, context: { field } });
+    }
+    requireArgumentArray(FUNCTION_NAME, `input.${field}`, value);
+    const vector = value;
+    if (vector.length === 0) {
+        throw new InputError(`${FUNCTION_NAME}: input.${field} must list at least one asset.`, {
+            code: ErrorCode.InputWrongShape,
+            context: { field, length: 0 },
+        });
+    }
+    for (let k = 0; k < vector.length; k++) {
+        const entry = vector[k];
+        if (typeof entry !== 'number' || !Number.isFinite(entry)) {
+            throw new InputError(`${FUNCTION_NAME}: input.${field}[${k}] is not a finite number (${String(entry)}).`, { code: ErrorCode.InputNotFinite, context: { field, index: k } });
+        }
+    }
+    return vector;
+}
+/** One observation instant: finite epoch milliseconds, or a date string through core's time grammar. */
+function resolveObservationInstant(value, index) {
+    if (typeof value === 'number') {
+        if (!Number.isFinite(value)) {
+            throw new InputError(`${FUNCTION_NAME}: observationTimestamps[${index}] must be finite epoch milliseconds, got ${value}.`, { code: ErrorCode.InputNotFinite, context: { index, received: value } });
+        }
+        return value;
+    }
+    if (typeof value !== 'string') {
+        throw new InputError(`${FUNCTION_NAME}: observationTimestamps[${index}] must be epoch milliseconds or an ISO date string. Received ${value === null ? 'null' : typeof value}.`, { code: ErrorCode.InputWrongType, context: { index, received: value } });
+    }
+    return resolveAsOf(value, `${FUNCTION_NAME} (observationTimestamps[${index}])`);
+}
+/** Validate a sample-method request and apply the point-in-time screen. */
+function resolveSample(input) {
+    const { T, p } = validateReturnsInput(FUNCTION_NAME, { returns: input.returns });
+    if (input.periodsPerYear !== undefined &&
+        !(typeof input.periodsPerYear === 'number' &&
+            input.periodsPerYear > 0 &&
+            Number.isFinite(input.periodsPerYear))) {
+        throw new InputError(`${FUNCTION_NAME}: periodsPerYear must be a positive FINITE number (got ${String(input.periodsPerYear)}) — omit it for per-period means.`, { code: ErrorCode.InputOutOfRange, context: { periodsPerYear: input.periodsPerYear } });
+    }
+    const assetIds = resolveAssetIds(input.assetIds, p);
+    const warnings = [];
+    let timestamps;
+    if (input.observationTimestamps !== undefined) {
+        requireArgumentArray(FUNCTION_NAME, 'input.observationTimestamps', input.observationTimestamps);
+        const raw = input.observationTimestamps;
+        if (raw.length !== T) {
+            throw new InputError(`${FUNCTION_NAME}: observationTimestamps lists ${raw.length} instants for ${T} return rows — they must align 1:1.`, {
+                code: ErrorCode.InputLengthMismatch,
+                context: { timestamps: raw.length, rows: T },
+            });
+        }
+        timestamps = raw.map((value, index) => resolveObservationInstant(value, index));
+        for (let t = 1; t < T; t++) {
+            if (timestamps[t] < timestamps[t - 1]) {
+                throw new InputError(`${FUNCTION_NAME}: observationTimestamps must be non-decreasing — row ${t} (${timestamps[t]}) is earlier than row ${t - 1} (${timestamps[t - 1]}). Sort the rows chronologically.`, { code: ErrorCode.InputOutOfRange, context: { row: t, previousRow: t - 1 } });
+            }
+        }
+    }
+    let asOf;
+    let rows = input.returns;
+    let excludedAfterAsOf;
+    if (input.asOf !== undefined) {
+        asOf = resolveAsOf(input.asOf, FUNCTION_NAME);
+        if (timestamps === undefined) {
+            warnings.push(warning(WarningCode.RiskAsOfUnscreened, `${FUNCTION_NAME}: asOf was supplied without observationTimestamps, so no row could be screened — all ${T} rows were used. Pass observationTimestamps aligned to the rows to enforce the point-in-time cut.`, 'warn', { asOf, rows: T }));
+        }
+        else {
+            const cutoff = asOf;
+            rows = input.returns.filter((_, t) => timestamps[t] <= cutoff);
+            excludedAfterAsOf = T - rows.length;
+            if (rows.length === 0) {
+                throw new InputError(`${FUNCTION_NAME}: every one of the ${T} observations is after asOf (${asOf}) — nothing remains to estimate from. Move asOf later or supply earlier history.`, { code: ErrorCode.InputOutOfRange, context: { asOf, rows: T } });
+            }
+        }
+    }
+    return {
+        rows,
+        observations: rows.length,
+        assetCount: p,
+        assetIds,
+        periodsPerYear: input.periodsPerYear,
+        asOf,
+        excludedAfterAsOf,
+        warnings,
+    };
+}
+const annualizationClause = (periodsPerYear) => periodsPerYear !== undefined
+    ? `, annualized by multiplying by periodsPerYear = ${periodsPerYear}`
+    : ' (per-period, not annualized)';
+/**
+ * Estimate per-asset expected returns under an EXPLICIT method — the `mean` for `maxSharpe`,
+ * `meanVariance`, `kelly`, and `efficientFrontier`.
+ *
+ * ```ts
+ * estimateExpectedReturns({ method: 'historical-mean', returns, periodsPerYear: 252 });
+ * estimateExpectedReturns({ method: 'exponentially-weighted', returns, halfLifePeriods: 60 });
+ * estimateExpectedReturns({
+ *   method: 'capital-asset-pricing',
+ *   betas: [0.8, 1.2],
+ *   annualRiskFreeRate: 0.04,
+ *   annualMarketRiskPremium: 0.05,
+ * });
+ * estimateExpectedReturns({ method: 'supplied', expectedReturns: [0.08, 0.1], annualized: true });
+ * ```
+ *
+ * `value.annualized` always states the unit of the result; the sample methods report per-period
+ * means unless `periodsPerYear` is given, the capital-asset-pricing method is annual by
+ * construction, and the supplied method carries the caller's own flag.
+ */
+export function estimateExpectedReturns(input) {
+    requireArgumentObject(FUNCTION_NAME, 'input', input);
+    const record = input;
+    const method = record['method'];
+    if (method === undefined) {
+        throw new InputError(`${FUNCTION_NAME}: method is required — one of ${METHODS.map((m) => `'${m}'`).join(' | ')}.\n  e.g. ${EXAMPLE_CALL}`, { code: ErrorCode.InputMissingField, context: { field: 'method' } });
+    }
+    if (typeof method !== 'string' || !METHODS.includes(method)) {
+        throw new InputError(`${FUNCTION_NAME}: method must be one of ${METHODS.map((m) => `'${m}'`).join(' | ')}. Received ${method === null ? 'null' : typeof method === 'string' ? `"${method}"` : typeof method}.`, { code: ErrorCode.InputInvalidEnum, context: { field: 'method', received: method } });
+    }
+    const branch = method;
+    ensureKnownKeys(FUNCTION_NAME, 'input', input, KEYS_BY_METHOD[branch]);
+    let result;
+    switch (branch) {
+        case 'historical-mean': {
+            const sample = resolveSample(input);
+            // Composes `meanReturns` on the screened rows — bit-identical to calling it directly.
+            const expectedReturns = meanReturns({
+                returns: sample.rows,
+                ...(sample.periodsPerYear !== undefined ? { periodsPerYear: sample.periodsPerYear } : {}),
+            });
+            result = {
+                value: {
+                    expectedReturns,
+                    annualized: sample.periodsPerYear !== undefined,
+                    ...(sample.assetIds !== undefined ? { assetIds: sample.assetIds } : {}),
+                },
+                assumptions: {
+                    conventionsVersion: CONVENTIONS_VERSION,
+                    method: branch,
+                    ...(sample.periodsPerYear !== undefined ? { periodsPerYear: sample.periodsPerYear } : {}),
+                    ...(sample.asOf !== undefined ? { asOf: sample.asOf } : {}),
+                    estimationConvention: `arithmetic mean of ${sample.observations} per-period simple returns per asset (equal weights)${annualizationClause(sample.periodsPerYear)}`,
+                },
+                diagnostics: {
+                    warnings: sample.warnings,
+                    sampleSize: sample.observations,
+                    ...(sample.excludedAfterAsOf !== undefined
+                        ? { excludedAfterAsOf: sample.excludedAfterAsOf }
+                        : {}),
+                },
+            };
+            break;
+        }
+        case 'exponentially-weighted': {
+            const halfLifePeriods = record['halfLifePeriods'];
+            if (halfLifePeriods === undefined) {
+                throw new InputError(`${FUNCTION_NAME}: halfLifePeriods is required for method 'exponentially-weighted' (the decay half-life in periods; there is no universal default).`, { code: ErrorCode.InputMissingField, context: { field: 'halfLifePeriods' } });
+            }
+            if (typeof halfLifePeriods !== 'number' || !Number.isFinite(halfLifePeriods)) {
+                throw new InputError(`${FUNCTION_NAME}: halfLifePeriods must be a finite number of periods, got ${halfLifePeriods === null ? 'null' : String(halfLifePeriods)}.`, { code: ErrorCode.InputNotFinite, context: { halfLifePeriods } });
+            }
+            if (!(halfLifePeriods > 0)) {
+                throw new InputError(`${FUNCTION_NAME}: halfLifePeriods must be > 0 (a weight half-life in periods), got ${halfLifePeriods}.`, { code: ErrorCode.InputOutOfRange, context: { halfLifePeriods } });
+            }
+            const sample = resolveSample(input);
+            const T = sample.observations;
+            const p = sample.assetCount;
+            // w_t ∝ 0.5^((T − 1 − t) / halfLife): the last row carries weight 1, each half-life back halves.
+            let weightSum = 0;
+            let weightSquareSum = 0;
+            const sums = new Array(p).fill(0);
+            for (let t = 0; t < T; t++) {
+                const w = 0.5 ** ((T - 1 - t) / halfLifePeriods);
+                weightSum += w;
+                weightSquareSum += w * w;
+                const row = sample.rows[t];
+                for (let k = 0; k < p; k++)
+                    sums[k] += w * row[k];
+            }
+            const scale = sample.periodsPerYear ?? 1;
+            const expectedReturns = sums.map((s) => (s / weightSum) * scale);
+            const effectiveSampleSize = (weightSum * weightSum) / weightSquareSum;
+            result = {
+                value: {
+                    expectedReturns,
+                    annualized: sample.periodsPerYear !== undefined,
+                    ...(sample.assetIds !== undefined ? { assetIds: sample.assetIds } : {}),
+                },
+                assumptions: {
+                    conventionsVersion: CONVENTIONS_VERSION,
+                    method: branch,
+                    ...(sample.periodsPerYear !== undefined ? { periodsPerYear: sample.periodsPerYear } : {}),
+                    halfLifePeriods,
+                    ...(sample.asOf !== undefined ? { asOf: sample.asOf } : {}),
+                    estimationConvention: `exponentially weighted mean over ${T} per-period simple returns with weights proportional to 0.5^((T − 1 − t) / ${halfLifePeriods}) (most recent observation heaviest), normalized to sum to 1${annualizationClause(sample.periodsPerYear)}`,
+                },
+                diagnostics: {
+                    warnings: sample.warnings,
+                    sampleSize: T,
+                    effectiveSampleSize,
+                    ...(sample.excludedAfterAsOf !== undefined
+                        ? { excludedAfterAsOf: sample.excludedAfterAsOf }
+                        : {}),
+                },
+            };
+            break;
+        }
+        case 'capital-asset-pricing': {
+            const betas = requireFiniteVector(record, 'betas');
+            const annualRiskFreeRate = requireFiniteField(record, 'annualRiskFreeRate');
+            const annualMarketRiskPremium = requireFiniteField(record, 'annualMarketRiskPremium');
+            const assetIds = resolveAssetIds(record['assetIds'], betas.length);
+            // FC2's direct primitive, composed per asset — never re-derived here.
+            const expectedReturns = betas.map((beta) => capitalAssetPricingExpectedReturn({ annualRiskFreeRate, beta, annualMarketRiskPremium }));
+            result = {
+                value: {
+                    expectedReturns,
+                    annualized: true,
+                    ...(assetIds !== undefined ? { assetIds } : {}),
+                },
+                assumptions: {
+                    conventionsVersion: CONVENTIONS_VERSION,
+                    method: branch,
+                    annualRiskFreeRate,
+                    annualMarketRiskPremium,
+                    estimationConvention: `annual risk-free rate + beta × annual market risk premium per asset (composes @insiderfinance/totalfinance/valuation capitalAssetPricingExpectedReturn); annual by construction — no return sample is consumed`,
+                },
+                diagnostics: { warnings: [], sampleSize: 0 },
+            };
+            break;
+        }
+        case 'supplied': {
+            const expectedReturns = requireFiniteVector(record, 'expectedReturns');
+            const annualized = record['annualized'];
+            if (annualized === undefined) {
+                throw new InputError(`${FUNCTION_NAME}: annualized is required for method 'supplied' — state whether the supplied expected returns are annual (true) or per-period (false).`, { code: ErrorCode.InputMissingField, context: { field: 'annualized' } });
+            }
+            if (typeof annualized !== 'boolean') {
+                throw new InputError(`${FUNCTION_NAME}: annualized must be a boolean. Received ${annualized === null ? 'null' : typeof annualized}.`, {
+                    code: ErrorCode.InputWrongType,
+                    context: { field: 'annualized', received: annualized },
+                });
+            }
+            const assetIds = resolveAssetIds(record['assetIds'], expectedReturns.length);
+            result = {
+                value: {
+                    expectedReturns: expectedReturns.slice(),
+                    annualized,
+                    ...(assetIds !== undefined ? { assetIds } : {}),
+                },
+                assumptions: {
+                    conventionsVersion: CONVENTIONS_VERSION,
+                    method: branch,
+                    estimationConvention: `caller-supplied expected returns passed through after finiteness validation; declared ${annualized ? 'annual' : 'per-period'} by the caller — no return sample is consumed`,
+                },
+                diagnostics: { warnings: [], sampleSize: 0 },
+            };
+            break;
+        }
+    }
+    // Law 7 finalizer: a non-finite estimate (e.g. an overflowing annualization) is a typed refusal,
+    // never a warning beside a NaN.
+    return requireRepresentableResult(FUNCTION_NAME, result);
+}
+//# sourceMappingURL=expected-returns.js.map

package/modules/risk/dist/expected-returns.js.map

@@ -0,0 +1 @@
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package/modules/risk/dist/factor.d.ts

@@ -0,0 +1,66 @@
+/**
+ * Factor / principal-component analysis of a covariance (or correlation) matrix.
+ *
+ * `pca` returns the principal components sorted by descending eigenvalue, each with its loadings
+ * (the eigenvector) and the fraction of total variance it explains. `factorExposure` keeps the top-k
+ * components and reports every asset's loading on them — the standard statistical-factor risk view.
+ */
+import { type QuantWarning } from '../../core/dist/index.js';
+import { type Matrix } from '../../math/dist/index.js';
+export interface PcaComponent {
+    /** Variance along this principal axis (the eigenvalue). */
+    eigenvalue: number;
+    /** Loadings: the unit eigenvector, length = number of assets. */
+    loadings: number[];
+    /** Fraction of total variance this component explains. */
+    varianceExplained: number;
+}
+export interface PcaResult {
+    /** Applied conventions, echoed (Law 2 report grammar). */
+    assumptions: {
+        conventionsVersion: string;
+        [k: string]: unknown;
+    };
+    /** Structured warnings; always present (possibly empty). */
+    diagnostics: {
+        warnings: QuantWarning[];
+    };
+    /** Components sorted by descending eigenvalue. */
+    components: PcaComponent[];
+    eigenvalues: number[];
+    /** `loadings[k]` = the k-th component's eigenvector. */
+    loadings: number[][];
+    varianceExplained: number[];
+    cumulativeVariance: number[];
+    /** Sum of eigenvalues (= trace of the input matrix). */
+    totalVariance: number;
+}
+/** Convert a covariance matrix to a correlation matrix (unit diagonal). */
+export declare function covarianceToCorrelation(covariance: Matrix): Matrix;
+/** Principal-component analysis of a covariance (or, with `correlation`, the standardized) matrix. */
+export declare function pca(covariance: Matrix, options?: {
+    correlation?: boolean;
+}): PcaResult;
+export interface FactorExposureResult {
+    /** Applied conventions, echoed (Law 2 report grammar). */
+    assumptions: {
+        conventionsVersion: string;
+        [k: string]: unknown;
+    };
+    /** Structured warnings; always present (possibly empty). */
+    diagnostics: {
+        warnings: QuantWarning[];
+    };
+    /** The retained top-k principal components. */
+    factors: PcaComponent[];
+    /** `exposure[assetIndex][factorIndex]` = that asset's loading on the factor. */
+    exposure: number[][];
+    /** Total variance explained by the retained factors. */
+    varianceExplained: number;
+}
+/** Keep the top-`k` principal components and report each asset's exposure (loading) to them. */
+export declare function factorExposure(covariance: Matrix, options?: {
+    factorCount?: number;
+    correlation?: boolean;
+}): FactorExposureResult;
+//# sourceMappingURL=factor.d.ts.map