@insiderfinance/totalfinance 0.1.0

package/modules/scenarios/dist/aggregates.d.ts

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+import type { ScenarioAxisRow, ScenarioBaseAggregateSet, ScenarioBaseCell, ScenarioCell, ScenarioOutcomeAggregateSet, ScenarioTargetAxisRow } from './types.js';
+type AggregateTargetIdentity = Pick<ScenarioTargetAxisRow, 'targetIndex' | 'id' | 'underlying' | 'strategy' | 'account' | 'book' | 'tags'>;
+export interface BuildScenarioAggregatesInput {
+    readonly targets: readonly ScenarioTargetAxisRow[];
+    readonly scenarioAxis: readonly ScenarioAxisRow[];
+    readonly base: readonly ScenarioBaseCell[];
+    /** Flat scenario-major grid: `scenarioIndex * targetCount + targetIndex`. */
+    readonly cells: readonly ScenarioCell[];
+    readonly reportingCurrency: string;
+}
+export interface ScenarioAggregates {
+    readonly base: ScenarioBaseAggregateSet;
+    readonly scenarios: readonly ScenarioOutcomeAggregateSet[];
+}
+/**
+ * Exact conservative canonical-data reserve for retained aggregate wrappers and worst-case rows.
+ * It iterates memberships but never materializes the scenario-by-row product before Barrier B.
+ */
+export declare function estimateScenarioAggregateWork(input: {
+    readonly targets: readonly AggregateTargetIdentity[];
+    readonly scenarioNames: readonly string[];
+    readonly reportingCurrency: string;
+}): number;
+/** Build all deterministic base/scenario aggregate families from the runner's flat result grid. */
+export declare function buildScenarioAggregates(input: BuildScenarioAggregatesInput): ScenarioAggregates;
+export {};
+//# sourceMappingURL=aggregates.d.ts.map

package/modules/scenarios/dist/aggregates.d.ts.map

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package/modules/scenarios/dist/aggregates.js

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+import { ErrorCode, InputError, PostconditionError, stableSum } from '../../core/dist/index.js';
+import { checkedAdd, scanCanonicalData, deepFreezeDetached } from './internal/data.js';
+const GROUP_ORDER = [
+    'target',
+    'underlying',
+    'strategy',
+    'account',
+    'book',
+    'tag',
+    'grand-total',
+];
+const INCOMPLETE_BASE_REASON = 'At least one constituent base valuation failed; partial aggregate totals are intentionally omitted.';
+const INCOMPLETE_SCENARIO_REASON = 'At least one constituent scenario valuation failed or was blocked by a base valuation failure; partial aggregate totals are intentionally omitted.';
+function aggregateShapeError(message) {
+    throw new InputError(`buildScenarioAggregates: ${message}`, {
+        code: ErrorCode.InputWrongShape,
+        context: { function: 'buildScenarioAggregates' },
+    });
+}
+function compareKeys(left, right) {
+    return left < right ? -1 : left > right ? 1 : 0;
+}
+function addMembership(family, key, targetIndex) {
+    const indexes = family.get(key);
+    if (indexes === undefined)
+        family.set(key, [targetIndex]);
+    else
+        indexes.push(targetIndex);
+}
+function buildMemberships(targetAxis) {
+    const families = new Map();
+    for (const group of GROUP_ORDER)
+        families.set(group, new Map());
+    for (let targetIndex = 0; targetIndex < targetAxis.length; targetIndex++) {
+        const target = targetAxis[targetIndex];
+        if (target.targetIndex !== targetIndex) {
+            aggregateShapeError(`targetAxis[${targetIndex}].targetIndex must equal its axis position ${targetIndex}.`);
+        }
+        addMembership(families.get('target'), target.id, targetIndex);
+        if (target.underlying !== undefined) {
+            addMembership(families.get('underlying'), target.underlying, targetIndex);
+        }
+        if (target.strategy !== undefined) {
+            addMembership(families.get('strategy'), target.strategy, targetIndex);
+        }
+        if (target.account !== undefined) {
+            addMembership(families.get('account'), target.account, targetIndex);
+        }
+        if (target.book !== undefined) {
+            addMembership(families.get('book'), target.book, targetIndex);
+        }
+        for (const tag of target.tags)
+            addMembership(families.get('tag'), tag, targetIndex);
+        addMembership(families.get('grand-total'), 'all', targetIndex);
+    }
+    const memberships = [];
+    for (const group of GROUP_ORDER) {
+        const family = families.get(group);
+        const keys = [...family.keys()].sort(compareKeys);
+        for (const key of keys) {
+            memberships.push({ group, key, targetIndexes: Object.freeze(family.get(key).slice()) });
+        }
+    }
+    return Object.freeze(memberships);
+}
+const WORST_INCOMPLETE_REASON = 'At least one constituent scenario valuation failed or was blocked by a base valuation failure; partial aggregate totals are intentionally omitted.';
+/**
+ * Exact conservative canonical-data reserve for retained aggregate wrappers and worst-case rows.
+ * It iterates memberships but never materializes the scenario-by-row product before Barrier B.
+ */
+export function estimateScenarioAggregateWork(input) {
+    const memberships = buildMemberships(input.targets);
+    const rowOptions = {
+        functionName: 'runScenarios',
+        label: 'aggregate row reserve',
+        requireFiniteNumbers: true,
+    };
+    let rowsWork = 0;
+    for (const membership of memberships) {
+        const targetIds = membership.targetIndexes.map((index) => input.targets[index].id);
+        rowsWork = checkedAdd('runScenarios', 'aggregate row reserve', rowsWork, scanCanonicalData({
+            group: membership.group,
+            key: membership.key,
+            reportingCurrency: input.reportingCurrency,
+            status: 'incomplete',
+            baseValue: null,
+            scenarioValue: null,
+            pnl: null,
+            targetIds,
+            failedTargetIds: targetIds,
+            reason: WORST_INCOMPLETE_REASON,
+        }, rowOptions));
+    }
+    const baseSkeleton = {
+        kind: 'base',
+        scenarioIndex: null,
+        scenarioName: null,
+        rows: [],
+    };
+    let total = scanCanonicalData({ base: baseSkeleton, scenarios: [] }, {
+        functionName: 'runScenarios',
+        label: 'aggregate result reserve',
+        requireFiniteNumbers: true,
+    });
+    total = checkedAdd('runScenarios', 'base aggregate rows reserve', total, memberships.length + rowsWork);
+    for (let scenarioIndex = 0; scenarioIndex < input.scenarioNames.length; scenarioIndex++) {
+        const scenarioSkeleton = {
+            kind: 'scenario',
+            scenarioIndex,
+            scenarioName: input.scenarioNames[scenarioIndex],
+            rows: [],
+        };
+        const wrapperWork = scanCanonicalData(scenarioSkeleton, {
+            functionName: 'runScenarios',
+            label: 'scenario aggregate wrapper reserve',
+            requireFiniteNumbers: true,
+        });
+        total = checkedAdd('runScenarios', 'scenario aggregate reserve', total, 1 + wrapperWork + memberships.length + rowsWork);
+    }
+    return total;
+}
+function requireFinite(value, path) {
+    if (typeof value !== 'number' || !Number.isFinite(value)) {
+        throw new PostconditionError(`buildScenarioAggregates: successful constituent ${path} must be finite.`, {
+            code: ErrorCode.PostconditionNonFinite,
+            context: { function: 'buildScenarioAggregates', path },
+        });
+    }
+    return value;
+}
+function finiteSum(values, path) {
+    const total = stableSum(values);
+    if (!Number.isFinite(total)) {
+        throw new PostconditionError(`buildScenarioAggregates: ${path} is not representable as a finite aggregate.`, {
+            code: ErrorCode.PostconditionNonFinite,
+            context: { function: 'buildScenarioAggregates', path },
+        });
+    }
+    return total;
+}
+function targetIdsFor(membership, targetAxis) {
+    return membership.targetIndexes.map((targetIndex) => targetAxis[targetIndex].id);
+}
+function incompleteRow(membership, targetAxis, failedIndexes, reportingCurrency, reason) {
+    const failedTargetIds = membership.targetIndexes
+        .filter((targetIndex) => failedIndexes.has(targetIndex))
+        .map((targetIndex) => targetAxis[targetIndex].id);
+    return {
+        group: membership.group,
+        key: membership.key,
+        reportingCurrency,
+        status: 'incomplete',
+        baseValue: null,
+        scenarioValue: null,
+        pnl: null,
+        targetIds: targetIdsFor(membership, targetAxis),
+        failedTargetIds,
+        reason,
+    };
+}
+function buildBaseRows(memberships, targetAxis, base, reportingCurrency) {
+    const failedIndexes = new Set();
+    for (let targetIndex = 0; targetIndex < base.length; targetIndex++) {
+        const cell = base[targetIndex];
+        if (cell.targetIndex !== targetIndex || cell.targetId !== targetAxis[targetIndex].id) {
+            aggregateShapeError(`base[${targetIndex}] does not match targetAxis[${targetIndex}].`);
+        }
+        if (cell.status !== 'complete')
+            failedIndexes.add(targetIndex);
+    }
+    return memberships.map((membership) => {
+        if (membership.targetIndexes.some((targetIndex) => failedIndexes.has(targetIndex))) {
+            return incompleteRow(membership, targetAxis, failedIndexes, reportingCurrency, INCOMPLETE_BASE_REASON);
+        }
+        const baseValue = finiteSum(membership.targetIndexes.map((targetIndex) => requireFinite(base[targetIndex].reportingPositionValue, `base[${targetIndex}].reportingPositionValue`)), `${membership.group}:${membership.key}.baseValue`);
+        return {
+            group: membership.group,
+            key: membership.key,
+            reportingCurrency,
+            status: 'complete',
+            baseValue,
+            scenarioValue: baseValue,
+            pnl: 0,
+            targetIds: targetIdsFor(membership, targetAxis),
+            failedTargetIds: [],
+        };
+    });
+}
+function buildScenarioRows(memberships, targetAxis, base, cells, reportingCurrency) {
+    const failedIndexes = new Set();
+    for (let targetIndex = 0; targetIndex < targetAxis.length; targetIndex++) {
+        if (base[targetIndex].status !== 'complete' || cells[targetIndex].status !== 'complete') {
+            failedIndexes.add(targetIndex);
+        }
+    }
+    return memberships.map((membership) => {
+        if (membership.targetIndexes.some((targetIndex) => failedIndexes.has(targetIndex))) {
+            return incompleteRow(membership, targetAxis, failedIndexes, reportingCurrency, INCOMPLETE_SCENARIO_REASON);
+        }
+        const baseValue = finiteSum(membership.targetIndexes.map((targetIndex) => requireFinite(base[targetIndex].reportingPositionValue, `base[${targetIndex}].reportingPositionValue`)), `${membership.group}:${membership.key}.baseValue`);
+        const scenarioValue = finiteSum(membership.targetIndexes.map((targetIndex) => requireFinite(cells[targetIndex].reportingPositionValue, `scenarioCell[${targetIndex}].reportingPositionValue`)), `${membership.group}:${membership.key}.scenarioValue`);
+        const pnl = finiteSum(membership.targetIndexes.map((targetIndex) => requireFinite(cells[targetIndex].reportingPnl, `scenarioCell[${targetIndex}].reportingPnl`)), `${membership.group}:${membership.key}.pnl`);
+        return {
+            group: membership.group,
+            key: membership.key,
+            reportingCurrency,
+            status: 'complete',
+            baseValue,
+            scenarioValue,
+            pnl,
+            targetIds: targetIdsFor(membership, targetAxis),
+            failedTargetIds: [],
+        };
+    });
+}
+/** Build all deterministic base/scenario aggregate families from the runner's flat result grid. */
+export function buildScenarioAggregates(input) {
+    const targetCount = input.targets.length;
+    if (targetCount === 0)
+        aggregateShapeError('targets must be non-empty.');
+    if (input.base.length !== targetCount) {
+        aggregateShapeError(`base length ${input.base.length} must equal target count ${targetCount}.`);
+    }
+    if (input.cells.length !== targetCount * input.scenarioAxis.length) {
+        aggregateShapeError(`cells length ${input.cells.length} must equal targetCount * scenarioCount (${targetCount * input.scenarioAxis.length}).`);
+    }
+    const memberships = buildMemberships(input.targets);
+    const baseRows = buildBaseRows(memberships, input.targets, input.base, input.reportingCurrency);
+    const scenarios = input.scenarioAxis.map((scenario, axisIndex) => {
+        if (scenario.scenarioIndex !== axisIndex) {
+            aggregateShapeError(`scenarioAxis[${axisIndex}].scenarioIndex must equal its axis position ${axisIndex}.`);
+        }
+        const offset = axisIndex * targetCount;
+        const scenarioCells = input.cells.slice(offset, offset + targetCount);
+        for (let targetIndex = 0; targetIndex < targetCount; targetIndex++) {
+            const cell = scenarioCells[targetIndex];
+            if (cell.targetIndex !== targetIndex ||
+                cell.targetId !== input.targets[targetIndex].id ||
+                cell.scenarioIndex !== axisIndex ||
+                cell.scenarioName !== scenario.name) {
+                aggregateShapeError(`cells[${offset + targetIndex}] does not match scenarioAxis[${axisIndex}] and targets[${targetIndex}].`);
+            }
+        }
+        return {
+            kind: 'scenario',
+            scenarioIndex: axisIndex,
+            scenarioName: scenario.name,
+            rows: buildScenarioRows(memberships, input.targets, input.base, scenarioCells, input.reportingCurrency),
+        };
+    });
+    const result = {
+        base: {
+            kind: 'base',
+            scenarioIndex: null,
+            scenarioName: null,
+            rows: baseRows,
+        },
+        scenarios,
+    };
+    return deepFreezeDetached(result);
+}
+//# sourceMappingURL=aggregates.js.map

package/modules/scenarios/dist/aggregates.js.map

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package/modules/scenarios/dist/fx.d.ts

@@ -0,0 +1,69 @@
+import { type QuantWarning } from '../../core/dist/index.js';
+import type { ScenarioDefinition } from '../../core/dist/artifacts/index.js';
+import { type CurrencyPairQuote } from '../../foreign-exchange/dist/index.js';
+import type { ScenarioAppliedScalarInstruction, ScenarioCurrencyConversionUse, ScenarioTargetDescriptor } from './types.js';
+/** Validated reporting-currency plan in target order and original quote order. */
+export interface CurrencyConversionPlan {
+    readonly reportingCurrency: string;
+    readonly currencyConversions: readonly Readonly<CurrencyPairQuote>[];
+    readonly conversionsByTarget: readonly (ScenarioCurrencyConversionUse | null)[];
+    /** Barrier-B hook: identity targets contribute zero; every foreign target contributes one. */
+    readonly targetCoordinateCounts: readonly number[];
+    readonly usedSourceQuoteIndices: readonly number[];
+    readonly unusedCurrencyConversions: readonly Readonly<CurrencyPairQuote>[];
+    readonly warnings: readonly QuantWarning[];
+}
+/** One scenario's transformed reporting-currency quote bindings in target order. */
+export interface ScenarioCurrencyConversionPlan {
+    readonly conversionsByTarget: readonly (ScenarioCurrencyConversionUse | null)[];
+    readonly appliedInstructionsByTarget: readonly (readonly ScenarioAppliedScalarInstruction[])[];
+}
+/** Precomputed FX transformations for every scenario, before valuation begins. */
+export interface CurrencyConversionTransformationResult {
+    readonly scenarios: readonly ScenarioCurrencyConversionPlan[];
+    readonly matchedInstructions: ReadonlySet<string>;
+    /** Actual bounded coordinate visits for comparison with Barrier B's transformation reserve. */
+    readonly transformationWorkUnits: number;
+}
+/**
+ * Validate caller-supplied quotes and bind exactly one direct-or-inverted quote to each foreign
+ * target. Selection is exact-pair only: there is no triangulation, vendor choice, or snapshot-spot
+ * fallback. Extra valid quotes remain reusable input but are surfaced as diagnostics.
+ */
+export declare function prepareCurrencyPlan(input: {
+    readonly reportingCurrency: unknown;
+    readonly currencyConversions: readonly unknown[];
+    readonly targets: readonly ScenarioTargetDescriptor[];
+}): CurrencyConversionPlan;
+/**
+ * Apply FX instructions to used quotes only. All scenarios are precomputed so the runner can merge
+ * unmatched-instruction evidence before the first pricer call.
+ */
+export declare function transformCurrencyPlan(input: {
+    readonly plan: CurrencyConversionPlan;
+    readonly scenarioDefinitions: readonly ScenarioDefinition[];
+}): CurrencyConversionTransformationResult;
+/** Convert one local-currency position value, delegating all orientation arithmetic to FC5. */
+export declare function convertReportingValue(input: {
+    readonly amount: number;
+    readonly valuationCurrency: string;
+    readonly reportingCurrency: string;
+    readonly currencyConversion: ScenarioCurrencyConversionUse | null;
+}): number;
+/**
+ * Convert base and scenario position values independently, then subtract in reporting currency.
+ * This intentionally preserves FX-only P&L; converting local P&L once would erase it.
+ */
+export declare function convertScenarioPositionValues(input: {
+    readonly basePositionValue: number;
+    readonly scenarioPositionValue: number;
+    readonly valuationCurrency: string;
+    readonly reportingCurrency: string;
+    readonly baseCurrencyConversion: ScenarioCurrencyConversionUse | null;
+    readonly scenarioCurrencyConversion: ScenarioCurrencyConversionUse | null;
+}): Readonly<{
+    baseReportingPositionValue: number;
+    scenarioReportingPositionValue: number;
+    reportingPnl: number;
+}>;
+//# sourceMappingURL=fx.d.ts.map

package/modules/scenarios/dist/fx.d.ts.map

@@ -0,0 +1 @@
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