@insiderfinance/totalfinance 0.1.0

package/modules/risk/dist/scenario.js

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+/**
+ * Stress & scenario testing for a positions book.
+ *
+ * A `Scenario` is a named bundle of factor `Shock`s (spot/vol/rate/time/dividend/custom). Positions
+ * are repriced under each scenario — either with a caller-supplied `reprice` function, or with the
+ * built-in **Greeks-Taylor** expansion, which also yields a **P&L explain** decomposition. The engine
+ * sums position P&Ls into a per-scenario book P&L. The expansion is complete to **second order** in
+ * (spot, vol, time, rate): the first-order terms `Δ·dS + Vega·dσ + Θ·dt + Rho·dr`, the diagonal
+ * curvatures `½Γ·dS² + ½·vomma·dσ² + ½·rhoConvexity·dr² + ½·thetaConvexity·dt²`, and every cross term
+ * `vanna·dS·dσ + charm·dS·dt + deltaRate·dS·dr + veta·dσ·dt + vera·dσ·dr + thetaRate·dt·dr`, plus a
+ * first-order dividend-carry term `ε·dq`. Each higher-order term is 0 when its greek is absent, so a
+ * first-order greek vector reproduces the classic `Δ·dS + ½Γ·dS² + Vega·dσ + Θ·dt + Rho·dr`.
+ *
+ * Conventions: a spot shock `dS` is absolute price (or `spot · pct` for a percent shock); vol shocks
+ * are absolute vol points (`'+10pts'` = +0.10); rate shocks are absolute (`'+50bp'` = +0.005); time
+ * shocks advance calendar by `dt` **years**; dividend shocks are absolute yield (`'+50bp'` = +0.005);
+ * Greeks (vega/theta/rho) are per-unit (per +1.00 vol,
+ * per +1 year, per +1.00 rate) — i.e. raw partial derivatives, not scaled to 1%/1bp/1day. Percent
+ * (`'%'`) shocks resolve only for **spot** in the Taylor engine (spot is the one factor it has a
+ * reference level for); a `'%'` vol/rate/custom shock throws a teaching error there — use `pts`/`bp`
+ * or a raw decimal. A custom `reprice` fn receives the raw scenario and may interpret `%` itself.
+ */
+import { ErrorCode, CONVENTIONS_VERSION, InputError, ensureFinite, ensureKnownKeys, requireArgumentArray, requireArgumentObject, DEFAULT_GREEK_UNITS, } from '../../core/dist/index.js';
+/** Law 2 report grammar (D5): every scenario answer carries its conventions and a warnings channel. */
+function scenarioReport(assumptions, warnings = []) {
+    return {
+        assumptions: { conventionsVersion: CONVENTIONS_VERSION, ...assumptions },
+        diagnostics: { warnings },
+    };
+}
+/**
+ * A scenario's `shocks` list is what the Taylor engine iterates — a `{ name }` without one (or a
+ * scalar in its place) would die on a raw "not iterable" TypeError. Teach the shape: scenarios come
+ * from `scenario(name, ...shocks)` or `{ name, shocks: [...] }`.
+ */
+function requireScenarioShape(functionName, scenario) {
+    requireArgumentObject(functionName, 'scenario', scenario);
+    if (!Array.isArray(scenario.shocks)) {
+        throw new InputError(`${functionName}: scenario.shocks must be an array of shocks — build scenarios with ` +
+            `scenario('name', shock.spot('-5%'), …) or pass { name, shocks: [...] }.`, {
+            code: ErrorCode.InputWrongType,
+            context: {
+                functionName,
+                received: scenario.shocks === null ? 'null' : typeof scenario.shocks,
+            },
+        });
+    }
+}
+/** Parse a change like `'-5%'`, `'+10pts'`, `'50bp'`, or a raw number into `{ kind, value }`. */
+function parseChange(change, functionName) {
+    if (typeof change !== 'number' && typeof change !== 'string') {
+        throw new InputError(`${functionName}: expected a change like '-5%', '+50bp', or a number; got ${change === null ? 'null' : typeof change}.`, { code: ErrorCode.InputWrongType, context: { functionName } });
+    }
+    if (typeof change === 'number') {
+        if (!Number.isFinite(change)) {
+            throw new InputError(`${functionName}: shock value must be finite.`, {
+                code: ErrorCode.InputNotFinite,
+                context: { functionName, change },
+            });
+        }
+        return { kind: 'absolute', value: change };
+    }
+    const s = change.trim().replace(/\s+/g, '');
+    const m = /^([+-]?\d*\.?\d+)(%|pts?|bps?)?$/i.exec(s);
+    if (!m) {
+        throw new InputError(`${functionName}: cannot parse shock "${change}".`, {
+            code: ErrorCode.InputWrongType,
+            context: { functionName, change },
+        });
+    }
+    const num = Number(m[1]);
+    const unit = (m[2] ?? '').toLowerCase();
+    if (unit === '%')
+        return { kind: 'percent', value: num / 100 };
+    if (unit === 'pt' || unit === 'pts')
+        return { kind: 'absolute', value: num / 100 }; // vol points
+    if (unit === 'bp' || unit === 'bps')
+        return { kind: 'absolute', value: num / 10000 }; // basis points
+    return { kind: 'absolute', value: num };
+}
+/** Typed shock constructors. Strings carry units; raw numbers are absolute. */
+export const shock = {
+    /** Spot move: `'-5%'` (relative) or `-5` (absolute price). */
+    spot(change) {
+        return { factor: 'spot', ...parseChange(change, 'shock.spot') };
+    },
+    /**
+     * Volatility move in absolute vol points (`'+10pts'` ⇒ +0.10) or a raw decimal (`0.10`). Percent (`'%'`)
+     * vol moves are rejected by the Taylor engine — it has no reference vol to scale against.
+     */
+    volatility(change) {
+        return { factor: 'volatility', ...parseChange(change, 'shock.volatility') };
+    },
+    /**
+     * Rate move: `'+50bp'` ⇒ +0.005, or a raw `0.005`. Percent (`'%'`) rate moves are rejected by the
+     * Taylor engine — it has no reference rate to scale against.
+     */
+    riskFreeRate(change) {
+        return { factor: 'riskFreeRate', ...parseChange(change, 'shock.riskFreeRate') };
+    },
+    /** Time decay over `years` (e.g. `1/365` for one day). */
+    time(years) {
+        return { factor: 'time', kind: 'absolute', value: years };
+    },
+    /**
+     * Dividend-yield move: `'+50bp'` ⇒ +0.005, or a raw `0.005`. Drives the first-order carry term
+     * `ε·dq`. Percent (`'%'`) dividend moves are rejected by the Taylor engine — it has no reference
+     * dividend level to scale against.
+     */
+    dividend(change) {
+        return { factor: 'dividend', ...parseChange(change, 'shock.dividend') };
+    },
+    /**
+     * A custom named factor shock. Percent (`'%'`) moves resolve only for `'spot'` in the Taylor
+     * engine; a custom `reprice` fn receives the raw scenario and may interpret `%` itself.
+     */
+    factor(name, change) {
+        return { factor: name, ...parseChange(change, 'shock.factor') };
+    },
+};
+/** The documented {@link Shock} keys — Law 12: an unknown field must throw, never no-op. */
+const SHOCK_KEYS = ['factor', 'kind', 'value'];
+/**
+ * Build a named scenario from shocks. Each shock is validated at build time (use the `shock.*`
+ * constructors — they produce exactly this shape), so a malformed shock fails here with a typed
+ * error instead of deep inside the Taylor engine.
+ */
+export function scenario(name, ...shocks) {
+    if (typeof name !== 'string' || name.length === 0) {
+        throw new InputError(`scenario: name must be a non-empty string — scenario('crash', { factor: 'spot', kind: 'relative', value: -0.2 }). Received ${name === undefined ? 'undefined' : name === null ? 'null' : typeof name}.`, { code: ErrorCode.InputWrongType, context: { field: 'name' } });
+    }
+    shocks.forEach((sh, i) => {
+        requireArgumentObject('scenario', `shocks[${i}]`, sh);
+        // Law 12: a misspelled shock field (`facor`) must throw, never silently apply a zero move.
+        ensureKnownKeys('scenario', `shocks[${i}]`, sh, SHOCK_KEYS);
+    });
+    return { name, shocks };
+}
+/** The documented {@link Scenario} keys — Law 12: an unknown field must throw, never no-op. */
+const SCENARIO_KEYS = ['name', 'shocks'];
+/** The documented {@link PositionGreeks} keys — shared by every greeks-taking entry point here. */
+const POSITION_GREEKS_KEYS = [
+    'value',
+    'spot',
+    'delta',
+    'gamma',
+    'vega',
+    'theta',
+    'rho',
+    'vanna',
+    'vomma',
+    'charm',
+    'veta',
+    'vera',
+    'deltaRate',
+    'thetaRate',
+    'rhoConvexity',
+    'thetaConvexity',
+    'phi',
+    'speed',
+    'color',
+    'zomma',
+    'ultima',
+    'lambda',
+];
+/** Display → raw conversion factors: the ONE place the unit system meets the Taylor arithmetic. */
+const DAYS_PER_YEAR = 365;
+const PER_PERCENT = 100;
+/** The unit system every Greek-taking entry point here consumes (echoed in reports). */
+const GREEK_UNITS = { ...DEFAULT_GREEK_UNITS, phi: 'per1Percent' };
+function requirePositionGreeks(functionName, greeks, policy = 'closed') {
+    requireArgumentObject(functionName, 'greeks', greeks);
+    if (policy === 'closed')
+        ensureKnownKeys(functionName, 'greeks', greeks, POSITION_GREEKS_KEYS);
+    ensureFinite(greeks.value, 'greeks.value', functionName);
+    for (const field of POSITION_GREEKS_KEYS.slice(1)) {
+        const value = greeks[field];
+        // `lambda` is declared `number | null` (null = elasticity undefined at zero option value).
+        if (field === 'lambda' && value === null)
+            continue;
+        if (value !== undefined)
+            ensureFinite(value, `greeks.${field}`, functionName);
+    }
+}
+/** Resolve the absolute moves for each factor present in a scenario. */
+function resolveMoves(scenario, spot) {
+    const moves = {};
+    for (const sh of scenario.shocks) {
+        let m = sh.value;
+        if (sh.kind === 'percent') {
+            if (sh.factor === 'spot') {
+                if (spot == null) {
+                    throw new InputError('scenario: a percent spot shock needs the position spot.', {
+                        code: ErrorCode.InputMissingField,
+                        context: { factor: 'spot' },
+                    });
+                }
+                m = spot * sh.value;
+            }
+            else {
+                // Only spot carries a reference level here. Silently applying a percent vol/rate shock as an
+                // ABSOLUTE move ('+10%' → +0.10 = +10 vol POINTS) would be a 10× lie — refuse and teach.
+                throw new InputError(`scenario: a percent ${sh.factor} shock needs a reference ${sh.factor} level the Taylor engine doesn't have — use absolute units ('+2pts'/'-3pts' for vol, '+50bp' for rates) or a raw decimal move like 0.02. (A custom reprice fn sees the raw scenario and may resolve '%' itself.)`, {
+                    code: ErrorCode.InputWrongType,
+                    context: { factor: sh.factor, kind: sh.kind, value: sh.value },
+                });
+            }
+        }
+        moves[sh.factor] = (moves[sh.factor] ?? 0) + m;
+    }
+    return moves;
+}
+/**
+ * Shared Greeks-Taylor engine behind `taylorPnl` / `stressTest` / `scenarioGrid` — guards + resolved
+ * moves + the BARE attribution. Module-local so each public export controls its own return shape:
+ * `taylorPnl` wraps this in the Law 2 report grammar; `stressTest`/`scenarioGrid` stay plain-value.
+ */
+function taylorPnlKernel(greeks, scenario, greeksPolicy = 'closed') {
+    requireScenarioShape('taylorPnl', scenario);
+    requirePositionGreeks('taylorPnl', greeks, greeksPolicy);
+    ensureKnownKeys('taylorPnl', 'scenario', scenario, SCENARIO_KEYS);
+    const moves = resolveMoves(scenario, greeks.spot);
+    const dS = moves['spot'] ?? 0;
+    const dSig = moves['volatility'] ?? 0;
+    const dr = moves['riskFreeRate'] ?? 0;
+    const timeStepYears = moves['time'] ?? 0;
+    const dq = moves['dividend'] ?? 0;
+    // Display units in, raw arithmetic here: theta per DAY → per year, vega/rho/phi per 1% → per 1.00.
+    // Moves are absolute decimals (dσ = 0.02 is +2 vol points; dr = 0.005 is +50 bp; dt in years).
+    const delta = (greeks.delta ?? 0) * dS;
+    const gamma = 0.5 * (greeks.gamma ?? 0) * dS * dS;
+    const vega = (greeks.vega ?? 0) * PER_PERCENT * dSig;
+    const theta = (greeks.theta ?? 0) * DAYS_PER_YEAR * timeStepYears;
+    const rho = (greeks.rho ?? 0) * PER_PERCENT * dr;
+    // Second-order cross/curvature terms — the full 2nd-order Taylor in (spot, vol, time, rate), plus
+    // the first-order dividend carry. Each is 0 when its greek is absent, so a first-order greek vector
+    // reduces to Δ·dS + ½Γ·dS² + Vega·dσ + Θ·dt + Rho·dr. Verified: adding these reduces the residual
+    // against a repriced BSM move from O(move²) to O(move³).
+    // `charm`/`veta` are the options package's ∂/∂T (time-to-expiry) derivatives; time PASSING is
+    // −dT, hence the sign. Both are already per year and per 1.00 σ.
+    const vanna = (greeks.vanna ?? 0) * dS * dSig;
+    const vomma = 0.5 * (greeks.vomma ?? 0) * dSig * dSig;
+    // `+ 0` folds a negative zero (an absent charm negated) into 0 so canonical JSON and in-process
+    // results agree.
+    const charm = -(greeks.charm ?? 0) * dS * timeStepYears + 0;
+    const veta = -(greeks.veta ?? 0) * dSig * timeStepYears + 0;
+    const vera = (greeks.vera ?? 0) * dSig * dr;
+    const deltaRate = (greeks.deltaRate ?? 0) * PER_PERCENT * dS * dr;
+    const thetaRate = (greeks.thetaRate ?? 0) * DAYS_PER_YEAR * PER_PERCENT * timeStepYears * dr;
+    const rhoConvexity = 0.5 * (greeks.rhoConvexity ?? 0) * PER_PERCENT * PER_PERCENT * dr * dr;
+    const thetaConvexity = 0.5 *
+        (greeks.thetaConvexity ?? 0) *
+        DAYS_PER_YEAR *
+        DAYS_PER_YEAR *
+        timeStepYears *
+        timeStepYears;
+    const phi = (greeks.phi ?? 0) * PER_PERCENT * dq;
+    const total = delta +
+        gamma +
+        vega +
+        theta +
+        rho +
+        vanna +
+        vomma +
+        charm +
+        veta +
+        vera +
+        deltaRate +
+        thetaRate +
+        rhoConvexity +
+        thetaConvexity +
+        phi;
+    return {
+        attribution: {
+            total,
+            delta,
+            gamma,
+            vega,
+            theta,
+            rho,
+            vanna,
+            vomma,
+            charm,
+            veta,
+            vera,
+            deltaRate,
+            thetaRate,
+            rhoConvexity,
+            thetaConvexity,
+            phi,
+            other: 0,
+        },
+        moves: {
+            dSpot: dS,
+            dVolatility: dSig,
+            dRate: dr,
+            dTimeYears: timeStepYears,
+            dDividendYield: dq,
+        },
+    };
+}
+/** Greeks-Taylor P&L of a single position's Greeks under a scenario (per unit). */
+export function taylorPnl(greeks, scenario) {
+    requireArgumentObject('taylorPnl', 'scenario', scenario);
+    ensureKnownKeys('taylorPnl', 'scenario', scenario, SCENARIO_KEYS);
+    if (typeof scenario.name !== 'string') {
+        throw new InputError(`taylorPnl: scenario.name must be a string — build scenarios with scenario('crash', …). Received ${scenario.name === null ? 'null' : typeof scenario.name}.`, { code: ErrorCode.InputWrongType, context: { field: 'scenario.name' } });
+    }
+    const { attribution, moves } = taylorPnlKernel(greeks, scenario);
+    return {
+        ...attribution,
+        // The RESOLVED absolute moves (dx §2.4): a serialized result stays self-interpreting even when
+        // the scenario carried percent shocks that were scaled against the position's spot — and the
+        // Greek units the engine consumed, so the report never implies raw per-year inputs.
+        ...scenarioReport({ scenario: scenario.name, ...moves, greekUnits: GREEK_UNITS }),
+    };
+}
+/** The documented {@link StressOptions} keys. */
+const STRESS_OPTIONS_KEYS = ['reprice'];
+const zeroAttribution = () => ({
+    total: 0,
+    delta: 0,
+    gamma: 0,
+    vega: 0,
+    theta: 0,
+    rho: 0,
+    vanna: 0,
+    vomma: 0,
+    charm: 0,
+    veta: 0,
+    vera: 0,
+    deltaRate: 0,
+    thetaRate: 0,
+    rhoConvexity: 0,
+    thetaConvexity: 0,
+    phi: 0,
+    other: 0,
+});
+/** Stress a positions book across scenarios (H11 report): per-scenario and per-position P&L. */
+export function stressTest(input) {
+    requireArgumentObject('stressTest', 'input', input);
+    ensureKnownKeys('stressTest', 'input', input, ['positions', 'scenarios', 'options']);
+    const { positions, scenarios, options: options = {} } = input;
+    requireArgumentArray('stressTest', 'scenarios', scenarios);
+    requireArgumentArray('stressTest', 'positions', positions);
+    // `null` slips past the `= {}` default and would die on the first option read — reject it typed.
+    requireArgumentObject('stressTest', 'options', options);
+    ensureKnownKeys('stressTest', 'options', options, STRESS_OPTIONS_KEYS);
+    const methodsUsed = new Set();
+    const rows = scenarios.map((scenario) => {
+        const byPosition = [];
+        const bookAttribution = zeroAttribution();
+        let bookPnl = 0;
+        positions.forEach((pos, i) => {
+            // Units held × contract multiplier: per-share option Greeks with quantity in contracts.
+            const qty = (pos.quantity ?? 1) * (pos.multiplier ?? 1);
+            let attribution;
+            let valuationMethod;
+            if (options.reprice) {
+                // H11: a custom reprice differences against an EXPLICIT current mark — an assumed base of
+                // 0 reported the position's whole revalued price as "P&L".
+                const base = pos.value ?? pos.greeks?.value;
+                if (base === undefined) {
+                    throw new InputError(`stressTest: custom reprice needs the position's current mark — set \`value\` (per unit) or \`greeks.value\` on position ${String(pos.id ?? i)}. The base is never assumed to be 0.`, {
+                        code: ErrorCode.InputMissingField,
+                        context: { position: pos.id ?? i, field: 'value' },
+                    });
+                }
+                const newVal = options.reprice(pos, scenario);
+                const perUnit = newVal - base;
+                attribution = { ...zeroAttribution(), total: perUnit, other: perUnit };
+                valuationMethod = 'reprice';
+            }
+            else if (pos.greeks) {
+                // The bare kernel — stressTest is plain-value (helper role); only taylorPnl reports.
+                attribution = taylorPnlKernel(pos.greeks, scenario).attribution;
+                valuationMethod = 'greeks-taylor';
+            }
+            else {
+                throw new InputError('stressTest: position needs greeks or a reprice function.', {
+                    code: ErrorCode.InputMissingField,
+                    context: { position: pos.id ?? i },
+                });
+            }
+            const pnl = attribution.total * qty;
+            bookPnl += pnl;
+            bookAttribution.delta += attribution.delta * qty;
+            bookAttribution.gamma += attribution.gamma * qty;
+            bookAttribution.vega += attribution.vega * qty;
+            bookAttribution.theta += attribution.theta * qty;
+            bookAttribution.rho += attribution.rho * qty;
+            bookAttribution.vanna += attribution.vanna * qty;
+            bookAttribution.vomma += attribution.vomma * qty;
+            bookAttribution.charm += attribution.charm * qty;
+            bookAttribution.veta += attribution.veta * qty;
+            bookAttribution.vera += attribution.vera * qty;
+            bookAttribution.deltaRate += attribution.deltaRate * qty;
+            bookAttribution.thetaRate += attribution.thetaRate * qty;
+            bookAttribution.rhoConvexity += attribution.rhoConvexity * qty;
+            bookAttribution.thetaConvexity += attribution.thetaConvexity * qty;
+            bookAttribution.phi += attribution.phi * qty;
+            bookAttribution.other += attribution.other * qty;
+            bookAttribution.total += pnl;
+            methodsUsed.add(valuationMethod);
+            byPosition.push({
+                id: pos.id ?? String(i),
+                quantity: qty,
+                pnl,
+                attribution,
+                valuationMethod,
+            });
+        });
+        return { scenario: scenario.name, pnl: bookPnl, byPosition, attribution: bookAttribution };
+    });
+    const valuation = methodsUsed.size > 1
+        ? 'mixed'
+        : ([...methodsUsed][0] ?? (options.reprice ? 'reprice' : 'greeks-taylor'));
+    return {
+        assumptions: {
+            conventionsVersion: CONVENTIONS_VERSION,
+            scenarios: scenarios.length,
+            positions: positions.length,
+            valuation,
+        },
+        diagnostics: { warnings: [] },
+        scenarios: rows,
+    };
+}
+/**
+ * 2-D scenario grid (H12 report): P&L (per unit) of one position's Greeks across a Cartesian
+ * product of spot and vol shocks. A serialized result is self-interpreting — both axes carry
+ * their resolved shock semantics beside the cells, so a detached matrix never travels alone.
+ */
+export function scenarioGrid(input) {
+    requireArgumentObject('scenarioGrid', 'input', input);
+    ensureKnownKeys('scenarioGrid', 'input', input, ['greeks', 'spotShocks', 'volatilityShocks']);
+    const { greeks, spotShocks, volatilityShocks } = input;
+    // PositionGreeks may be a decorated result artifact. The shared engine validates every consumed
+    // numeric field while this surface deliberately preserves unrelated metadata.
+    requirePositionGreeks('scenarioGrid', greeks, 'open');
+    requireArgumentArray('scenarioGrid', 'spotShocks', spotShocks);
+    requireArgumentArray('scenarioGrid', 'volatilityShocks', volatilityShocks);
+    const pnl = spotShocks.map((s) => volatilityShocks.map((v) => taylorPnlKernel(greeks, { name: 'grid', shocks: [s, v] }, 'open').attribution.total));
+    const resolveAxis = (shocks, factor) => shocks.map((shock) => ({
+        factor,
+        kind: shock.kind,
+        value: shock.value,
+        resolvedMove: resolveMoves({ name: 'grid', shocks: [shock] }, greeks.spot)[shock.factor] ?? 0,
+    }));
+    return {
+        assumptions: { conventionsVersion: CONVENTIONS_VERSION, greekUnits: GREEK_UNITS },
+        diagnostics: { warnings: [] },
+        spotAxis: resolveAxis(spotShocks, 'spot'),
+        volatilityAxis: resolveAxis(volatilityShocks, 'volatility'),
+        pnl,
+    };
+}
+//# sourceMappingURL=scenario.js.map

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

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

@@ -0,0 +1,14 @@
+/**
+ * Focused position-sizing surface — `@insiderfinance/totalfinance/risk/sizing`.
+ *
+ * Re-exports the two sizing primitives a downstream composer (the strategy optimizer) needs —
+ * `kellyBet` (edge → growth-optimal fraction) and `optionsMargin` (Reg-T buying-power reduction) —
+ * plus their public types, so `@insiderfinance/totalfinance/strategy` can depend on this narrow entry point instead of
+ * pulling the whole risk barrel. Both remain available from the package root unchanged; this subpath
+ * is purely additive. See `docs/specs/wave6-quant-moats.md` §2A.
+ */
+export { kellyBet } from './kelly.js';
+export type { KellyBetInput, KellySizing, BinaryEdge, EdgeOutcome } from './kelly.js';
+export { optionsMargin } from './portfolio.js';
+export type { OptionMarginLeg, OptionsMarginOptions, OptionsMarginResult } from './portfolio.js';
+//# sourceMappingURL=sizing.d.ts.map

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

@@ -0,0 +1 @@
+{"version":3,"file":"sizing.d.ts","sourceRoot":"","sources":["../src/sizing.ts"],"names":[],"mappings":"AAAA;;;;;;;;GAQG;AAEH,OAAO,EAAE,QAAQ,EAAE,MAAM,YAAY,CAAC;AACtC,YAAY,EAAE,aAAa,EAAE,WAAW,EAAE,UAAU,EAAE,WAAW,EAAE,MAAM,YAAY,CAAC;AAEtF,OAAO,EAAE,aAAa,EAAE,MAAM,gBAAgB,CAAC;AAC/C,YAAY,EAAE,eAAe,EAAE,oBAAoB,EAAE,mBAAmB,EAAE,MAAM,gBAAgB,CAAC"}

package/modules/risk/dist/sizing.js

@@ -0,0 +1,12 @@
+/**
+ * Focused position-sizing surface — `@insiderfinance/totalfinance/risk/sizing`.
+ *
+ * Re-exports the two sizing primitives a downstream composer (the strategy optimizer) needs —
+ * `kellyBet` (edge → growth-optimal fraction) and `optionsMargin` (Reg-T buying-power reduction) —
+ * plus their public types, so `@insiderfinance/totalfinance/strategy` can depend on this narrow entry point instead of
+ * pulling the whole risk barrel. Both remain available from the package root unchanged; this subpath
+ * is purely additive. See `docs/specs/wave6-quant-moats.md` §2A.
+ */
+export { kellyBet } from './kelly.js';
+export { optionsMargin } from './portfolio.js';
+//# sourceMappingURL=sizing.js.map

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

@@ -0,0 +1 @@
+{"version":3,"file":"sizing.js","sourceRoot":"","sources":["../src/sizing.ts"],"names":[],"mappings":"AAAA;;;;;;;;GAQG;AAEH,OAAO,EAAE,QAAQ,EAAE,MAAM,YAAY,CAAC;AAGtC,OAAO,EAAE,aAAa,EAAE,MAAM,gBAAgB,CAAC"}

package/modules/risk/dist/strategy-shape.d.ts

@@ -0,0 +1,84 @@
+/**
+ * Risk-owned STRUCTURAL mirrors of the `@insiderfinance/totalfinance/strategy` shapes that the book / VaR / P&L-explain
+ * analytics consume.
+ *
+ * The platform layering points **strategy → risk** (the strategy optimizer composes risk's sizing), so
+ * `@insiderfinance/totalfinance/risk` must never import from `@insiderfinance/totalfinance/strategy` — a type-only import is still a build
+ * edge and would make the two packages mutually dependent. These interfaces capture *exactly* the
+ * members risk reads from a strategy `Position` and the results of its `value()` / `metrics()`; a real
+ * `Position` (a structural superset) stays assignable to `StrategyPosition` with no cast, so behavior
+ * is unchanged. `scenario.ts` already follows this same pattern with its own structural `Position`.
+ *
+ * Keep in sync with `@insiderfinance/totalfinance/strategy`'s `Leg` / `LegValuation` / `MarkToMarketResult` / `MarkToMarketInput` /
+ * `PayoffMetrics`. The cross-package structural assignability is asserted in
+ * `test/strategy-shape.test.ts`, so a drift that breaks it fails CI.
+ */
+import type { EpochMs } from '../../core/dist/index.js';
+import type { ExtendedGreeks } from '../../options/dist/index.js';
+/** A leg's instrument kind (mirrors strategy's `LegKind`). */
+export type StrategyLegKind = 'call' | 'put' | 'stock';
+/** A stock row of a strategy position (mirrors strategy's `StockLeg`): signed shares at a price. */
+export interface StrategyStockLeg {
+    kind: 'stock';
+    price: number;
+    quantity: number;
+    strike?: undefined;
+    premium?: undefined;
+    expiry?: undefined;
+    impliedVolatility?: undefined;
+}
+/** An option row of a strategy position (mirrors strategy's `OptionLeg`). */
+export interface StrategyOptionLeg {
+    kind: 'call' | 'put';
+    price?: undefined;
+    strike: number;
+    premium: number;
+    quantity: number;
+    expiry?: string;
+    impliedVolatility?: number;
+}
+/** The subset of a strategy `Leg` that risk reads (mirrors `@insiderfinance/totalfinance/strategy`'s `Leg` union). */
+export type StrategyLeg = StrategyStockLeg | StrategyOptionLeg;
+/** The mark-to-market market a strategy `Position.value()` accepts (mirrors `MarkToMarketInput`). */
+export interface StrategyMarkToMarketMarket {
+    spot: number;
+    asOf: EpochMs | string;
+    expiry: string;
+    volatility?: number;
+    riskFreeRate: number;
+    dividendYield?: number;
+    volatilityShock?: number;
+}
+/** One leg's valuation from `Position.value()` (mirrors `LegValuation`). */
+export interface StrategyLegValuation {
+    leg: StrategyLeg;
+    value: number;
+    pnl: number;
+    greeks: ExtendedGreeks;
+}
+/** The mark-to-market result risk reads from `Position.value()` (mirrors `MarkToMarketResult`). */
+export interface StrategyMarkToMarketResult {
+    value: number;
+    pnl: number;
+    perLeg: StrategyLegValuation[];
+    greeks: ExtendedGreeks;
+}
+/** The subset of `PayoffMetrics` risk reads from `Position.metrics()` (`null` = unbounded loss). */
+export interface StrategyPayoffMetrics {
+    maxLoss: number | null;
+    bounded: {
+        profit: boolean;
+        loss: boolean;
+    };
+}
+/**
+ * The structural surface of a strategy `Position` that risk depends on: signed legs, a `value()`
+ * mark-to-market that merges over the position's remembered market, and a single-expiry `metrics()`
+ * payoff. A real `Position` (from `strategy(...)` or a named builder) satisfies this without a cast.
+ */
+export interface StrategyPosition {
+    readonly legs: readonly StrategyLeg[];
+    value(overrides?: Partial<StrategyMarkToMarketMarket>): StrategyMarkToMarketResult;
+    metrics(): StrategyPayoffMetrics;
+}
+//# sourceMappingURL=strategy-shape.d.ts.map

package/modules/risk/dist/strategy-shape.d.ts.map

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package/modules/risk/dist/strategy-shape.js

@@ -0,0 +1,17 @@
+/**
+ * Risk-owned STRUCTURAL mirrors of the `@insiderfinance/totalfinance/strategy` shapes that the book / VaR / P&L-explain
+ * analytics consume.
+ *
+ * The platform layering points **strategy → risk** (the strategy optimizer composes risk's sizing), so
+ * `@insiderfinance/totalfinance/risk` must never import from `@insiderfinance/totalfinance/strategy` — a type-only import is still a build
+ * edge and would make the two packages mutually dependent. These interfaces capture *exactly* the
+ * members risk reads from a strategy `Position` and the results of its `value()` / `metrics()`; a real
+ * `Position` (a structural superset) stays assignable to `StrategyPosition` with no cast, so behavior
+ * is unchanged. `scenario.ts` already follows this same pattern with its own structural `Position`.
+ *
+ * Keep in sync with `@insiderfinance/totalfinance/strategy`'s `Leg` / `LegValuation` / `MarkToMarketResult` / `MarkToMarketInput` /
+ * `PayoffMetrics`. The cross-package structural assignability is asserted in
+ * `test/strategy-shape.test.ts`, so a drift that breaks it fails CI.
+ */
+export {};
+//# sourceMappingURL=strategy-shape.js.map

package/modules/risk/dist/strategy-shape.js.map

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