@insiderfinance/totalfinance 0.1.0
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/LICENSE +201 -0
- package/README.md +339 -0
- package/STABILITY.md +23 -0
- package/modules/backtest/dist/artifacts.d.ts +23 -0
- package/modules/backtest/dist/artifacts.d.ts.map +1 -0
- package/modules/backtest/dist/artifacts.js +22 -0
- package/modules/backtest/dist/artifacts.js.map +1 -0
- package/modules/backtest/dist/broker.d.ts +265 -0
- package/modules/backtest/dist/broker.d.ts.map +1 -0
- package/modules/backtest/dist/broker.js +1228 -0
- package/modules/backtest/dist/broker.js.map +1 -0
- package/modules/backtest/dist/costs.d.ts +67 -0
- package/modules/backtest/dist/costs.d.ts.map +1 -0
- package/modules/backtest/dist/costs.js +171 -0
- package/modules/backtest/dist/costs.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/engine.d.ts +21 -0
- package/modules/backtest/dist/cross-sectional/engine.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/engine.js +1399 -0
- package/modules/backtest/dist/cross-sectional/engine.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/folds.d.ts +134 -0
- package/modules/backtest/dist/cross-sectional/folds.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/folds.js +375 -0
- package/modules/backtest/dist/cross-sectional/folds.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/grid.d.ts +142 -0
- package/modules/backtest/dist/cross-sectional/grid.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/grid.js +394 -0
- package/modules/backtest/dist/cross-sectional/grid.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/index.d.ts +18 -0
- package/modules/backtest/dist/cross-sectional/index.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/index.js +15 -0
- package/modules/backtest/dist/cross-sectional/index.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/types.d.ts +331 -0
- package/modules/backtest/dist/cross-sectional/types.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/types.js +12 -0
- package/modules/backtest/dist/cross-sectional/types.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/validate.d.ts +22 -0
- package/modules/backtest/dist/cross-sectional/validate.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/validate.js +489 -0
- package/modules/backtest/dist/cross-sectional/validate.js.map +1 -0
- package/modules/backtest/dist/diagnostics.d.ts +16 -0
- package/modules/backtest/dist/diagnostics.d.ts.map +1 -0
- package/modules/backtest/dist/diagnostics.js +63 -0
- package/modules/backtest/dist/diagnostics.js.map +1 -0
- package/modules/backtest/dist/environment/bench.d.ts +34 -0
- package/modules/backtest/dist/environment/bench.d.ts.map +1 -0
- package/modules/backtest/dist/environment/bench.js +724 -0
- package/modules/backtest/dist/environment/bench.js.map +1 -0
- package/modules/backtest/dist/environment/environment.d.ts +5 -0
- package/modules/backtest/dist/environment/environment.d.ts.map +1 -0
- package/modules/backtest/dist/environment/environment.js +618 -0
- package/modules/backtest/dist/environment/environment.js.map +1 -0
- package/modules/backtest/dist/environment/episode.d.ts +4 -0
- package/modules/backtest/dist/environment/episode.d.ts.map +1 -0
- package/modules/backtest/dist/environment/episode.js +121 -0
- package/modules/backtest/dist/environment/episode.js.map +1 -0
- package/modules/backtest/dist/environment/episodes.d.ts +14 -0
- package/modules/backtest/dist/environment/episodes.d.ts.map +1 -0
- package/modules/backtest/dist/environment/episodes.js +644 -0
- package/modules/backtest/dist/environment/episodes.js.map +1 -0
- package/modules/backtest/dist/environment/features.d.ts +31 -0
- package/modules/backtest/dist/environment/features.d.ts.map +1 -0
- package/modules/backtest/dist/environment/features.js +157 -0
- package/modules/backtest/dist/environment/features.js.map +1 -0
- package/modules/backtest/dist/environment/index.d.ts +14 -0
- package/modules/backtest/dist/environment/index.d.ts.map +1 -0
- package/modules/backtest/dist/environment/index.js +12 -0
- package/modules/backtest/dist/environment/index.js.map +1 -0
- package/modules/backtest/dist/environment/limits.d.ts +63 -0
- package/modules/backtest/dist/environment/limits.d.ts.map +1 -0
- package/modules/backtest/dist/environment/limits.js +253 -0
- package/modules/backtest/dist/environment/limits.js.map +1 -0
- package/modules/backtest/dist/environment/reward.d.ts +5 -0
- package/modules/backtest/dist/environment/reward.d.ts.map +1 -0
- package/modules/backtest/dist/environment/reward.js +80 -0
- package/modules/backtest/dist/environment/reward.js.map +1 -0
- package/modules/backtest/dist/environment/types.d.ts +540 -0
- package/modules/backtest/dist/environment/types.d.ts.map +1 -0
- package/modules/backtest/dist/environment/types.js +2 -0
- package/modules/backtest/dist/environment/types.js.map +1 -0
- package/modules/backtest/dist/environment/validate.d.ts +23 -0
- package/modules/backtest/dist/environment/validate.d.ts.map +1 -0
- package/modules/backtest/dist/environment/validate.js +264 -0
- package/modules/backtest/dist/environment/validate.js.map +1 -0
- package/modules/backtest/dist/event-driven.d.ts +111 -0
- package/modules/backtest/dist/event-driven.d.ts.map +1 -0
- package/modules/backtest/dist/event-driven.js +325 -0
- package/modules/backtest/dist/event-driven.js.map +1 -0
- package/modules/backtest/dist/execution/conformance.d.ts +33 -0
- package/modules/backtest/dist/execution/conformance.d.ts.map +1 -0
- package/modules/backtest/dist/execution/conformance.js +269 -0
- package/modules/backtest/dist/execution/conformance.js.map +1 -0
- package/modules/backtest/dist/execution/fill-models.d.ts +35 -0
- package/modules/backtest/dist/execution/fill-models.d.ts.map +1 -0
- package/modules/backtest/dist/execution/fill-models.js +375 -0
- package/modules/backtest/dist/execution/fill-models.js.map +1 -0
- package/modules/backtest/dist/execution/fill-order.d.ts +55 -0
- package/modules/backtest/dist/execution/fill-order.d.ts.map +1 -0
- package/modules/backtest/dist/execution/fill-order.js +156 -0
- package/modules/backtest/dist/execution/fill-order.js.map +1 -0
- package/modules/backtest/dist/execution/index.d.ts +33 -0
- package/modules/backtest/dist/execution/index.d.ts.map +1 -0
- package/modules/backtest/dist/execution/index.js +27 -0
- package/modules/backtest/dist/execution/index.js.map +1 -0
- package/modules/backtest/dist/execution/intrabar.d.ts +46 -0
- package/modules/backtest/dist/execution/intrabar.d.ts.map +1 -0
- package/modules/backtest/dist/execution/intrabar.js +130 -0
- package/modules/backtest/dist/execution/intrabar.js.map +1 -0
- package/modules/backtest/dist/execution/normalized.d.ts +56 -0
- package/modules/backtest/dist/execution/normalized.d.ts.map +1 -0
- package/modules/backtest/dist/execution/normalized.js +154 -0
- package/modules/backtest/dist/execution/normalized.js.map +1 -0
- package/modules/backtest/dist/execution/policy.d.ts +84 -0
- package/modules/backtest/dist/execution/policy.d.ts.map +1 -0
- package/modules/backtest/dist/execution/policy.js +341 -0
- package/modules/backtest/dist/execution/policy.js.map +1 -0
- package/modules/backtest/dist/execution/types.d.ts +217 -0
- package/modules/backtest/dist/execution/types.d.ts.map +1 -0
- package/modules/backtest/dist/execution/types.js +8 -0
- package/modules/backtest/dist/execution/types.js.map +1 -0
- package/modules/backtest/dist/execution/validate.d.ts +35 -0
- package/modules/backtest/dist/execution/validate.d.ts.map +1 -0
- package/modules/backtest/dist/execution/validate.js +666 -0
- package/modules/backtest/dist/execution/validate.js.map +1 -0
- package/modules/backtest/dist/generated/validation-specs.d.ts +12 -0
- package/modules/backtest/dist/generated/validation-specs.d.ts.map +1 -0
- package/modules/backtest/dist/generated/validation-specs.js +1129 -0
- package/modules/backtest/dist/generated/validation-specs.js.map +1 -0
- package/modules/backtest/dist/index.d.ts +33 -0
- package/modules/backtest/dist/index.d.ts.map +1 -0
- package/modules/backtest/dist/index.js +28 -0
- package/modules/backtest/dist/index.js.map +1 -0
- package/modules/backtest/dist/options/chain.d.ts +68 -0
- package/modules/backtest/dist/options/chain.d.ts.map +1 -0
- package/modules/backtest/dist/options/chain.js +303 -0
- package/modules/backtest/dist/options/chain.js.map +1 -0
- package/modules/backtest/dist/options/engine.d.ts +28 -0
- package/modules/backtest/dist/options/engine.d.ts.map +1 -0
- package/modules/backtest/dist/options/engine.js +1859 -0
- package/modules/backtest/dist/options/engine.js.map +1 -0
- package/modules/backtest/dist/options/index.d.ts +23 -0
- package/modules/backtest/dist/options/index.d.ts.map +1 -0
- package/modules/backtest/dist/options/index.js +21 -0
- package/modules/backtest/dist/options/index.js.map +1 -0
- package/modules/backtest/dist/options/tearsheet.d.ts +77 -0
- package/modules/backtest/dist/options/tearsheet.d.ts.map +1 -0
- package/modules/backtest/dist/options/tearsheet.js +205 -0
- package/modules/backtest/dist/options/tearsheet.js.map +1 -0
- package/modules/backtest/dist/options/types.d.ts +571 -0
- package/modules/backtest/dist/options/types.d.ts.map +1 -0
- package/modules/backtest/dist/options/types.js +19 -0
- package/modules/backtest/dist/options/types.js.map +1 -0
- package/modules/backtest/dist/paper/index.d.ts +13 -0
- package/modules/backtest/dist/paper/index.d.ts.map +1 -0
- package/modules/backtest/dist/paper/index.js +12 -0
- package/modules/backtest/dist/paper/index.js.map +1 -0
- package/modules/backtest/dist/paper/paper.d.ts +8 -0
- package/modules/backtest/dist/paper/paper.d.ts.map +1 -0
- package/modules/backtest/dist/paper/paper.js +950 -0
- package/modules/backtest/dist/paper/paper.js.map +1 -0
- package/modules/backtest/dist/paper/types.d.ts +190 -0
- package/modules/backtest/dist/paper/types.d.ts.map +1 -0
- package/modules/backtest/dist/paper/types.js +3 -0
- package/modules/backtest/dist/paper/types.js.map +1 -0
- package/modules/backtest/dist/paper/validate.d.ts +9 -0
- package/modules/backtest/dist/paper/validate.d.ts.map +1 -0
- package/modules/backtest/dist/paper/validate.js +112 -0
- package/modules/backtest/dist/paper/validate.js.map +1 -0
- package/modules/backtest/dist/portfolio/adapters.d.ts +37 -0
- package/modules/backtest/dist/portfolio/adapters.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/adapters.js +555 -0
- package/modules/backtest/dist/portfolio/adapters.js.map +1 -0
- package/modules/backtest/dist/portfolio/engine.d.ts +35 -0
- package/modules/backtest/dist/portfolio/engine.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/engine.js +1300 -0
- package/modules/backtest/dist/portfolio/engine.js.map +1 -0
- package/modules/backtest/dist/portfolio/index.d.ts +12 -0
- package/modules/backtest/dist/portfolio/index.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/index.js +11 -0
- package/modules/backtest/dist/portfolio/index.js.map +1 -0
- package/modules/backtest/dist/portfolio/types.d.ts +418 -0
- package/modules/backtest/dist/portfolio/types.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/types.js +8 -0
- package/modules/backtest/dist/portfolio/types.js.map +1 -0
- package/modules/backtest/dist/portfolio/validate.d.ts +26 -0
- package/modules/backtest/dist/portfolio/validate.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/validate.js +556 -0
- package/modules/backtest/dist/portfolio/validate.js.map +1 -0
- package/modules/backtest/dist/run-artifacts.d.ts +425 -0
- package/modules/backtest/dist/run-artifacts.d.ts.map +1 -0
- package/modules/backtest/dist/run-artifacts.js +1843 -0
- package/modules/backtest/dist/run-artifacts.js.map +1 -0
- package/modules/backtest/dist/signals.d.ts +110 -0
- package/modules/backtest/dist/signals.d.ts.map +1 -0
- package/modules/backtest/dist/signals.js +207 -0
- package/modules/backtest/dist/signals.js.map +1 -0
- package/modules/backtest/dist/tearsheet.d.ts +126 -0
- package/modules/backtest/dist/tearsheet.d.ts.map +1 -0
- package/modules/backtest/dist/tearsheet.js +266 -0
- package/modules/backtest/dist/tearsheet.js.map +1 -0
- package/modules/backtest/dist/types.d.ts +175 -0
- package/modules/backtest/dist/types.d.ts.map +1 -0
- package/modules/backtest/dist/types.js +29 -0
- package/modules/backtest/dist/types.js.map +1 -0
- package/modules/backtest/dist/validate.d.ts +13 -0
- package/modules/backtest/dist/validate.d.ts.map +1 -0
- package/modules/backtest/dist/validate.js +37 -0
- package/modules/backtest/dist/validate.js.map +1 -0
- package/modules/backtest/dist/vectorized.d.ts +53 -0
- package/modules/backtest/dist/vectorized.d.ts.map +1 -0
- package/modules/backtest/dist/vectorized.js +383 -0
- package/modules/backtest/dist/vectorized.js.map +1 -0
- package/modules/backtest/dist/walk-forward.d.ts +57 -0
- package/modules/backtest/dist/walk-forward.d.ts.map +1 -0
- package/modules/backtest/dist/walk-forward.js +125 -0
- package/modules/backtest/dist/walk-forward.js.map +1 -0
- package/modules/backtest/etc/backtest.api.md +139 -0
- package/modules/backtest/src/artifacts.ts +54 -0
- package/modules/backtest/src/broker.ts +1529 -0
- package/modules/backtest/src/costs.ts +225 -0
- package/modules/backtest/src/cross-sectional/engine.ts +1608 -0
- package/modules/backtest/src/cross-sectional/folds.ts +718 -0
- package/modules/backtest/src/cross-sectional/grid.ts +646 -0
- package/modules/backtest/src/cross-sectional/index.ts +76 -0
- package/modules/backtest/src/cross-sectional/types.ts +363 -0
- package/modules/backtest/src/cross-sectional/validate.ts +906 -0
- package/modules/backtest/src/diagnostics.ts +66 -0
- package/modules/backtest/src/environment/bench.ts +1022 -0
- package/modules/backtest/src/environment/environment.ts +766 -0
- package/modules/backtest/src/environment/episode.ts +146 -0
- package/modules/backtest/src/environment/episodes.ts +786 -0
- package/modules/backtest/src/environment/features.ts +184 -0
- package/modules/backtest/src/environment/index.ts +79 -0
- package/modules/backtest/src/environment/limits.ts +383 -0
- package/modules/backtest/src/environment/reward.ts +98 -0
- package/modules/backtest/src/environment/types.ts +595 -0
- package/modules/backtest/src/environment/validate.ts +415 -0
- package/modules/backtest/src/event-driven.ts +528 -0
- package/modules/backtest/src/execution/conformance.ts +346 -0
- package/modules/backtest/src/execution/fill-models.ts +410 -0
- package/modules/backtest/src/execution/fill-order.ts +261 -0
- package/modules/backtest/src/execution/index.ts +91 -0
- package/modules/backtest/src/execution/intrabar.ts +185 -0
- package/modules/backtest/src/execution/normalized.ts +216 -0
- package/modules/backtest/src/execution/policy.ts +447 -0
- package/modules/backtest/src/execution/types.ts +239 -0
- package/modules/backtest/src/execution/validate.ts +889 -0
- package/modules/backtest/src/generated/validation-specs.ts +1132 -0
- package/modules/backtest/src/index.ts +157 -0
- package/modules/backtest/src/options/chain.ts +410 -0
- package/modules/backtest/src/options/engine.ts +2240 -0
- package/modules/backtest/src/options/index.ts +68 -0
- package/modules/backtest/src/options/tearsheet.ts +327 -0
- package/modules/backtest/src/options/types.ts +573 -0
- package/modules/backtest/src/paper/index.ts +27 -0
- package/modules/backtest/src/paper/paper.ts +1288 -0
- package/modules/backtest/src/paper/types.ts +221 -0
- package/modules/backtest/src/paper/validate.ts +168 -0
- package/modules/backtest/src/portfolio/adapters.ts +651 -0
- package/modules/backtest/src/portfolio/engine.ts +1518 -0
- package/modules/backtest/src/portfolio/index.ts +64 -0
- package/modules/backtest/src/portfolio/types.ts +456 -0
- package/modules/backtest/src/portfolio/validate.ts +861 -0
- package/modules/backtest/src/run-artifacts.ts +2873 -0
- package/modules/backtest/src/signals.ts +267 -0
- package/modules/backtest/src/tearsheet.ts +425 -0
- package/modules/backtest/src/types.ts +200 -0
- package/modules/backtest/src/validate.ts +43 -0
- package/modules/backtest/src/vectorized.ts +541 -0
- package/modules/backtest/src/walk-forward.ts +215 -0
- package/modules/calendars/dist/cboe.d.ts +15 -0
- package/modules/calendars/dist/cboe.d.ts.map +1 -0
- package/modules/calendars/dist/cboe.js +16 -0
- package/modules/calendars/dist/cboe.js.map +1 -0
- package/modules/calendars/dist/crypto.d.ts +15 -0
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- package/modules/calendars/dist/crypto.js +16 -0
- package/modules/calendars/dist/crypto.js.map +1 -0
- package/modules/calendars/dist/expirations.d.ts +35 -0
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- package/modules/calendars/dist/nyse.d.ts +11 -0
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- package/modules/calendars/src/us-market.ts +86 -0
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- package/modules/cli/src/exit-codes.ts +21 -0
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- package/modules/commodities/src/internal.ts +6 -0
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- package/modules/core/dist/artifacts/analysis-artifact.d.ts +140 -0
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26
|
+
if (!connects(quote, fromCurrency, toCurrency)) {
|
|
27
|
+
fxError('currencyConversions', `contains ${pairLabel(quote)}, which does not connect valuation currency ${fromCurrency} to reporting currency ${toCurrency}.`, ErrorCode.InputOutOfRange, { fromCurrency, toCurrency, quote: pairLabel(quote) });
|
|
28
|
+
}
|
|
29
|
+
return quote.baseCurrency === fromCurrency ? 'direct' : 'inverted';
|
|
30
|
+
}
|
|
31
|
+
function validateAndDetachQuotes(value) {
|
|
32
|
+
const rawQuotes = snapshotDenseArray(value, FUNCTION_NAME, 'currencyConversions');
|
|
33
|
+
if (rawQuotes.length > MAXIMUM_CURRENCY_QUOTES) {
|
|
34
|
+
fxError('currencyConversions', `may contain at most ${MAXIMUM_CURRENCY_QUOTES} quotes; received ${rawQuotes.length}.`);
|
|
35
|
+
}
|
|
36
|
+
return Object.freeze(rawQuotes.map((member, sourceQuoteIndex) => {
|
|
37
|
+
const label = `currencyConversions[${sourceQuoteIndex}]`;
|
|
38
|
+
const detached = detachCanonicalData(member, {
|
|
39
|
+
functionName: FUNCTION_NAME,
|
|
40
|
+
label,
|
|
41
|
+
requireFiniteNumbers: true,
|
|
42
|
+
});
|
|
43
|
+
requireCurrencyPairQuote(FUNCTION_NAME, label, detached);
|
|
44
|
+
return detached;
|
|
45
|
+
}));
|
|
46
|
+
}
|
|
47
|
+
function resolveReportingCurrency(value, targets) {
|
|
48
|
+
const firstCurrency = targets[0]?.currency;
|
|
49
|
+
if (firstCurrency === undefined) {
|
|
50
|
+
fxError('targets', 'must contain at least one target before reporting currency can be inferred.', ErrorCode.InputMissingField);
|
|
51
|
+
}
|
|
52
|
+
requireCurrencyCode(FUNCTION_NAME, 'targets[0].currency', firstCurrency);
|
|
53
|
+
let allCurrenciesEqual = true;
|
|
54
|
+
for (let targetIndex = 1; targetIndex < targets.length; targetIndex++) {
|
|
55
|
+
const currency = targets[targetIndex].currency;
|
|
56
|
+
requireCurrencyCode(FUNCTION_NAME, `targets[${targetIndex}].currency`, currency);
|
|
57
|
+
if (currency !== firstCurrency)
|
|
58
|
+
allCurrenciesEqual = false;
|
|
59
|
+
}
|
|
60
|
+
if (value === undefined) {
|
|
61
|
+
if (!allCurrenciesEqual) {
|
|
62
|
+
fxError('reportingCurrency', 'is required when targets use more than one valuation currency — name the one currency in which values and P&L should aggregate.', ErrorCode.InputMissingField);
|
|
63
|
+
}
|
|
64
|
+
return firstCurrency;
|
|
65
|
+
}
|
|
66
|
+
requireCurrencyCode(FUNCTION_NAME, 'reportingCurrency', value);
|
|
67
|
+
return value;
|
|
68
|
+
}
|
|
69
|
+
/**
|
|
70
|
+
* Validate caller-supplied quotes and bind exactly one direct-or-inverted quote to each foreign
|
|
71
|
+
* target. Selection is exact-pair only: there is no triangulation, vendor choice, or snapshot-spot
|
|
72
|
+
* fallback. Extra valid quotes remain reusable input but are surfaced as diagnostics.
|
|
73
|
+
*/
|
|
74
|
+
export function prepareCurrencyPlan(input) {
|
|
75
|
+
const reportingCurrency = resolveReportingCurrency(input.reportingCurrency, input.targets);
|
|
76
|
+
const currencyConversions = validateAndDetachQuotes(input.currencyConversions);
|
|
77
|
+
const quoteIndicesByPair = new Map();
|
|
78
|
+
for (let sourceQuoteIndex = 0; sourceQuoteIndex < currencyConversions.length; sourceQuoteIndex++) {
|
|
79
|
+
const quote = currencyConversions[sourceQuoteIndex];
|
|
80
|
+
const key = unorderedPairKey(quote.baseCurrency, quote.quoteCurrency);
|
|
81
|
+
const indices = quoteIndicesByPair.get(key);
|
|
82
|
+
if (indices === undefined)
|
|
83
|
+
quoteIndicesByPair.set(key, [sourceQuoteIndex]);
|
|
84
|
+
else
|
|
85
|
+
indices.push(sourceQuoteIndex);
|
|
86
|
+
}
|
|
87
|
+
const usedSourceQuoteIndices = new Set();
|
|
88
|
+
const conversionsByTarget = [];
|
|
89
|
+
const targetCoordinateCounts = [];
|
|
90
|
+
for (let targetIndex = 0; targetIndex < input.targets.length; targetIndex++) {
|
|
91
|
+
const target = input.targets[targetIndex];
|
|
92
|
+
requireCurrencyCode(FUNCTION_NAME, `targets[${targetIndex}].currency`, target.currency);
|
|
93
|
+
if (target.currency === reportingCurrency) {
|
|
94
|
+
conversionsByTarget.push(null);
|
|
95
|
+
targetCoordinateCounts.push(0);
|
|
96
|
+
continue;
|
|
97
|
+
}
|
|
98
|
+
const pairKey = unorderedPairKey(target.currency, reportingCurrency);
|
|
99
|
+
const candidateIndices = quoteIndicesByPair.get(pairKey) ?? [];
|
|
100
|
+
if (candidateIndices.length === 0) {
|
|
101
|
+
fxError('currencyConversions', `must contain one quote connecting target '${target.id}' valuation currency ${target.currency} to reporting currency ${reportingCurrency}, in either orientation. No triangulation or market-snapshot fallback is performed.`, ErrorCode.InputMissingField, { targetIndex, targetId: target.id, targetCurrency: target.currency, reportingCurrency });
|
|
102
|
+
}
|
|
103
|
+
if (candidateIndices.length > 1) {
|
|
104
|
+
fxError('currencyConversions', `contains ${candidateIndices.length} quotes connecting ${target.currency} and ${reportingCurrency} at source indices ${candidateIndices.join(', ')}. The runner cannot choose among duplicate or ambiguous quotes; supply exactly one.`, ErrorCode.InputOutOfRange, {
|
|
105
|
+
targetIndex,
|
|
106
|
+
targetId: target.id,
|
|
107
|
+
targetCurrency: target.currency,
|
|
108
|
+
reportingCurrency,
|
|
109
|
+
sourceQuoteIndices: Object.freeze([...candidateIndices]),
|
|
110
|
+
});
|
|
111
|
+
}
|
|
112
|
+
const sourceQuoteIndex = candidateIndices[0];
|
|
113
|
+
const quote = currencyConversions[sourceQuoteIndex];
|
|
114
|
+
const conversion = deepFreezeDetached({
|
|
115
|
+
sourceQuoteIndex,
|
|
116
|
+
orientation: orientationFor(quote, target.currency, reportingCurrency),
|
|
117
|
+
quote,
|
|
118
|
+
});
|
|
119
|
+
conversionsByTarget.push(conversion);
|
|
120
|
+
targetCoordinateCounts.push(1);
|
|
121
|
+
usedSourceQuoteIndices.add(sourceQuoteIndex);
|
|
122
|
+
}
|
|
123
|
+
const usedIndices = Object.freeze([...usedSourceQuoteIndices].sort((first, second) => first - second));
|
|
124
|
+
const unusedCurrencyConversions = [];
|
|
125
|
+
const warnings = [];
|
|
126
|
+
for (let sourceQuoteIndex = 0; sourceQuoteIndex < currencyConversions.length; sourceQuoteIndex++) {
|
|
127
|
+
if (usedSourceQuoteIndices.has(sourceQuoteIndex))
|
|
128
|
+
continue;
|
|
129
|
+
const quote = currencyConversions[sourceQuoteIndex];
|
|
130
|
+
unusedCurrencyConversions.push(quote);
|
|
131
|
+
warnings.push(warning(WarningCode.ScenarioUnusedCurrencyConversion, `currencyConversions[${sourceQuoteIndex}] (${pairLabel(quote)}) was valid but no target required it for reporting in ${reportingCurrency}.`, 'warn', {
|
|
132
|
+
sourceQuoteIndex,
|
|
133
|
+
baseCurrency: quote.baseCurrency,
|
|
134
|
+
quoteCurrency: quote.quoteCurrency,
|
|
135
|
+
reportingCurrency,
|
|
136
|
+
}));
|
|
137
|
+
}
|
|
138
|
+
return deepFreezeDetached({
|
|
139
|
+
reportingCurrency,
|
|
140
|
+
currencyConversions,
|
|
141
|
+
conversionsByTarget: Object.freeze(conversionsByTarget),
|
|
142
|
+
targetCoordinateCounts: Object.freeze(targetCoordinateCounts),
|
|
143
|
+
usedSourceQuoteIndices: usedIndices,
|
|
144
|
+
unusedCurrencyConversions: Object.freeze(unusedCurrencyConversions),
|
|
145
|
+
warnings: Object.freeze(warnings),
|
|
146
|
+
});
|
|
147
|
+
}
|
|
148
|
+
function instructionRefs(scenario) {
|
|
149
|
+
const refs = [];
|
|
150
|
+
for (let instructionIndex = 0; instructionIndex < (scenario.overrides?.length ?? 0); instructionIndex++) {
|
|
151
|
+
refs.push({
|
|
152
|
+
phase: 'override',
|
|
153
|
+
instructionIndex,
|
|
154
|
+
instruction: scenario.overrides[instructionIndex],
|
|
155
|
+
});
|
|
156
|
+
}
|
|
157
|
+
for (let instructionIndex = 0; instructionIndex < scenario.shocks.length; instructionIndex++) {
|
|
158
|
+
refs.push({
|
|
159
|
+
phase: 'shock',
|
|
160
|
+
instructionIndex,
|
|
161
|
+
instruction: scenario.shocks[instructionIndex],
|
|
162
|
+
});
|
|
163
|
+
}
|
|
164
|
+
return refs;
|
|
165
|
+
}
|
|
166
|
+
function transformQuote(quote, ref, scenarioIndex, scenarioName) {
|
|
167
|
+
const before = quote.quotePerBase;
|
|
168
|
+
const after = ref.phase === 'override'
|
|
169
|
+
? ref.instruction.value
|
|
170
|
+
: ref.instruction.kind === 'percent'
|
|
171
|
+
? before * (1 + ref.instruction.value)
|
|
172
|
+
: before + ref.instruction.value;
|
|
173
|
+
const candidate = {
|
|
174
|
+
baseCurrency: quote.baseCurrency,
|
|
175
|
+
quoteCurrency: quote.quoteCurrency,
|
|
176
|
+
quotePerBase: after,
|
|
177
|
+
};
|
|
178
|
+
try {
|
|
179
|
+
requireCurrencyPairQuote(FUNCTION_NAME, 'transformed currency conversion', candidate);
|
|
180
|
+
}
|
|
181
|
+
catch (error) {
|
|
182
|
+
throw new InputError(`${FUNCTION_NAME}: foreignExchangeRate instruction produced invalid ${pairLabel(quote)} quotePerBase ${String(after)} after this ordered step; FX quotes must remain finite and strictly positive and are never clamped.`, {
|
|
183
|
+
code: ErrorCode.InputOutOfRange,
|
|
184
|
+
context: {
|
|
185
|
+
function: FUNCTION_NAME,
|
|
186
|
+
scenarioIndex,
|
|
187
|
+
scenarioName,
|
|
188
|
+
phase: ref.phase,
|
|
189
|
+
instructionIndex: ref.instructionIndex,
|
|
190
|
+
factor: 'foreignExchangeRate',
|
|
191
|
+
subject: pairLabel(quote),
|
|
192
|
+
before,
|
|
193
|
+
after,
|
|
194
|
+
},
|
|
195
|
+
cause: error,
|
|
196
|
+
});
|
|
197
|
+
}
|
|
198
|
+
const transformed = detachCanonicalData(candidate, {
|
|
199
|
+
functionName: FUNCTION_NAME,
|
|
200
|
+
label: 'transformed currency conversion',
|
|
201
|
+
requireFiniteNumbers: true,
|
|
202
|
+
});
|
|
203
|
+
return {
|
|
204
|
+
quote: transformed,
|
|
205
|
+
detail: deepFreezeDetached({
|
|
206
|
+
phase: ref.phase,
|
|
207
|
+
instructionIndex: ref.instructionIndex,
|
|
208
|
+
factor: 'foreignExchangeRate',
|
|
209
|
+
...(ref.instruction.target !== undefined ? { target: ref.instruction.target } : {}),
|
|
210
|
+
subject: pairLabel(quote),
|
|
211
|
+
detail: 'foreign-exchange-rate',
|
|
212
|
+
before,
|
|
213
|
+
after,
|
|
214
|
+
}),
|
|
215
|
+
};
|
|
216
|
+
}
|
|
217
|
+
/**
|
|
218
|
+
* Apply FX instructions to used quotes only. All scenarios are precomputed so the runner can merge
|
|
219
|
+
* unmatched-instruction evidence before the first pricer call.
|
|
220
|
+
*/
|
|
221
|
+
export function transformCurrencyPlan(input) {
|
|
222
|
+
const baseUseBySourceIndex = new Map();
|
|
223
|
+
for (const conversion of input.plan.conversionsByTarget) {
|
|
224
|
+
if (conversion !== null && !baseUseBySourceIndex.has(conversion.sourceQuoteIndex)) {
|
|
225
|
+
baseUseBySourceIndex.set(conversion.sourceQuoteIndex, conversion);
|
|
226
|
+
}
|
|
227
|
+
}
|
|
228
|
+
const matchedInstructions = new Set();
|
|
229
|
+
const scenarioPlans = [];
|
|
230
|
+
let transformationWorkUnits = 0;
|
|
231
|
+
for (let scenarioIndex = 0; scenarioIndex < input.scenarioDefinitions.length; scenarioIndex++) {
|
|
232
|
+
const scenario = input.scenarioDefinitions[scenarioIndex];
|
|
233
|
+
const quoteBySourceIndex = new Map();
|
|
234
|
+
const detailsBySourceIndex = new Map();
|
|
235
|
+
for (const sourceQuoteIndex of input.plan.usedSourceQuoteIndices) {
|
|
236
|
+
quoteBySourceIndex.set(sourceQuoteIndex, baseUseBySourceIndex.get(sourceQuoteIndex).quote);
|
|
237
|
+
detailsBySourceIndex.set(sourceQuoteIndex, []);
|
|
238
|
+
}
|
|
239
|
+
for (const ref of instructionRefs(scenario)) {
|
|
240
|
+
if (ref.instruction.factor !== 'foreignExchangeRate')
|
|
241
|
+
continue;
|
|
242
|
+
const matchKey = instructionMatchKey(scenarioIndex, ref.phase, ref.instructionIndex);
|
|
243
|
+
for (const sourceQuoteIndex of input.plan.usedSourceQuoteIndices) {
|
|
244
|
+
transformationWorkUnits = checkedAdd(FUNCTION_NAME, 'FX transformation work', transformationWorkUnits, 1);
|
|
245
|
+
const quote = quoteBySourceIndex.get(sourceQuoteIndex);
|
|
246
|
+
const subject = pairLabel(quote);
|
|
247
|
+
if (ref.instruction.target !== undefined && ref.instruction.target !== subject)
|
|
248
|
+
continue;
|
|
249
|
+
const transformed = transformQuote(quote, ref, scenarioIndex, scenario.name);
|
|
250
|
+
quoteBySourceIndex.set(sourceQuoteIndex, transformed.quote);
|
|
251
|
+
detailsBySourceIndex.get(sourceQuoteIndex).push(transformed.detail);
|
|
252
|
+
matchedInstructions.add(matchKey);
|
|
253
|
+
}
|
|
254
|
+
}
|
|
255
|
+
const conversionsByTarget = [];
|
|
256
|
+
const appliedInstructionsByTarget = [];
|
|
257
|
+
for (const baseConversion of input.plan.conversionsByTarget) {
|
|
258
|
+
if (baseConversion === null) {
|
|
259
|
+
conversionsByTarget.push(null);
|
|
260
|
+
appliedInstructionsByTarget.push([]);
|
|
261
|
+
continue;
|
|
262
|
+
}
|
|
263
|
+
transformationWorkUnits = checkedAdd(FUNCTION_NAME, 'FX transformation work', transformationWorkUnits, 1);
|
|
264
|
+
conversionsByTarget.push(deepFreezeDetached({
|
|
265
|
+
sourceQuoteIndex: baseConversion.sourceQuoteIndex,
|
|
266
|
+
orientation: baseConversion.orientation,
|
|
267
|
+
quote: quoteBySourceIndex.get(baseConversion.sourceQuoteIndex),
|
|
268
|
+
}));
|
|
269
|
+
appliedInstructionsByTarget.push(Object.freeze([...detailsBySourceIndex.get(baseConversion.sourceQuoteIndex)]));
|
|
270
|
+
}
|
|
271
|
+
scenarioPlans.push(deepFreezeDetached({
|
|
272
|
+
conversionsByTarget: Object.freeze(conversionsByTarget),
|
|
273
|
+
appliedInstructionsByTarget: Object.freeze(appliedInstructionsByTarget),
|
|
274
|
+
}));
|
|
275
|
+
}
|
|
276
|
+
return Object.freeze({
|
|
277
|
+
scenarios: Object.freeze(scenarioPlans),
|
|
278
|
+
matchedInstructions,
|
|
279
|
+
transformationWorkUnits,
|
|
280
|
+
});
|
|
281
|
+
}
|
|
282
|
+
/** Convert one local-currency position value, delegating all orientation arithmetic to FC5. */
|
|
283
|
+
export function convertReportingValue(input) {
|
|
284
|
+
if (!Number.isFinite(input.amount)) {
|
|
285
|
+
fxError('positionValue', `must be finite before currency conversion; received ${String(input.amount)}.`, Number.isNaN(input.amount) ? ErrorCode.InputNaN : ErrorCode.InputNotFinite);
|
|
286
|
+
}
|
|
287
|
+
requireCurrencyCode(FUNCTION_NAME, 'valuationCurrency', input.valuationCurrency);
|
|
288
|
+
requireCurrencyCode(FUNCTION_NAME, 'reportingCurrency', input.reportingCurrency);
|
|
289
|
+
if (input.valuationCurrency === input.reportingCurrency) {
|
|
290
|
+
if (input.currencyConversion !== null) {
|
|
291
|
+
fxError('currencyConversion', `must be null for identity conversion in ${input.reportingCurrency}; same-currency values need no quote.`);
|
|
292
|
+
}
|
|
293
|
+
return input.amount;
|
|
294
|
+
}
|
|
295
|
+
if (input.currencyConversion === null) {
|
|
296
|
+
fxError('currencyConversion', `is required to convert ${input.valuationCurrency} into ${input.reportingCurrency}.`, ErrorCode.InputMissingField);
|
|
297
|
+
}
|
|
298
|
+
if (!Number.isSafeInteger(input.currencyConversion.sourceQuoteIndex) ||
|
|
299
|
+
input.currencyConversion.sourceQuoteIndex < 0) {
|
|
300
|
+
fxError('currencyConversion.sourceQuoteIndex', `must be a non-negative safe integer; received ${String(input.currencyConversion.sourceQuoteIndex)}.`);
|
|
301
|
+
}
|
|
302
|
+
const result = convertCurrency({
|
|
303
|
+
amount: input.amount,
|
|
304
|
+
fromCurrency: input.valuationCurrency,
|
|
305
|
+
toCurrency: input.reportingCurrency,
|
|
306
|
+
spotRate: input.currencyConversion.quote,
|
|
307
|
+
});
|
|
308
|
+
if (result.assumptions.orientation !== input.currencyConversion.orientation) {
|
|
309
|
+
fxError('currencyConversion.orientation', `is ${input.currencyConversion.orientation}, but FC5 resolved the supplied quote as ${result.assumptions.orientation}. The conversion plan is internally inconsistent.`, ErrorCode.InputOutOfRange);
|
|
310
|
+
}
|
|
311
|
+
return result.convertedAmount;
|
|
312
|
+
}
|
|
313
|
+
/**
|
|
314
|
+
* Convert base and scenario position values independently, then subtract in reporting currency.
|
|
315
|
+
* This intentionally preserves FX-only P&L; converting local P&L once would erase it.
|
|
316
|
+
*/
|
|
317
|
+
export function convertScenarioPositionValues(input) {
|
|
318
|
+
if (input.valuationCurrency !== input.reportingCurrency) {
|
|
319
|
+
if (input.baseCurrencyConversion === null ||
|
|
320
|
+
input.scenarioCurrencyConversion === null ||
|
|
321
|
+
input.baseCurrencyConversion.sourceQuoteIndex !==
|
|
322
|
+
input.scenarioCurrencyConversion.sourceQuoteIndex ||
|
|
323
|
+
input.baseCurrencyConversion.orientation !== input.scenarioCurrencyConversion.orientation) {
|
|
324
|
+
fxError('scenarioCurrencyConversion', 'must preserve the base conversion quote identity and orientation; a scenario may transform quotePerBase but cannot switch quote sources or pair direction.');
|
|
325
|
+
}
|
|
326
|
+
}
|
|
327
|
+
const baseReportingPositionValue = convertReportingValue({
|
|
328
|
+
amount: input.basePositionValue,
|
|
329
|
+
valuationCurrency: input.valuationCurrency,
|
|
330
|
+
reportingCurrency: input.reportingCurrency,
|
|
331
|
+
currencyConversion: input.baseCurrencyConversion,
|
|
332
|
+
});
|
|
333
|
+
const scenarioReportingPositionValue = convertReportingValue({
|
|
334
|
+
amount: input.scenarioPositionValue,
|
|
335
|
+
valuationCurrency: input.valuationCurrency,
|
|
336
|
+
reportingCurrency: input.reportingCurrency,
|
|
337
|
+
currencyConversion: input.scenarioCurrencyConversion,
|
|
338
|
+
});
|
|
339
|
+
const reportingPnl = scenarioReportingPositionValue - baseReportingPositionValue;
|
|
340
|
+
if (!Number.isFinite(reportingPnl)) {
|
|
341
|
+
fxError('reportingPnl', 'is not representable after subtracting the converted scenario and base position values.', ErrorCode.InputNotFinite);
|
|
342
|
+
}
|
|
343
|
+
return Object.freeze({
|
|
344
|
+
baseReportingPositionValue,
|
|
345
|
+
scenarioReportingPositionValue,
|
|
346
|
+
reportingPnl,
|
|
347
|
+
});
|
|
348
|
+
}
|
|
349
|
+
//# sourceMappingURL=fx.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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@@ -0,0 +1,6 @@
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1
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+
export { runScenarios } from './run.js';
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2
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+
export { scenarioPortfolioBinding, scenarioTargetsFromPortfolio } from './portfolio.js';
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3
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+
export { scenarioTarget } from './targets.js';
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4
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+
export { spotAssetPricer } from './spot-pricer.js';
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5
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+
export * from './types.js';
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6
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//# sourceMappingURL=index.d.ts.map
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@@ -0,0 +1 @@
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1
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+
{"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../src/index.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,YAAY,EAAE,MAAM,UAAU,CAAC;AACxC,OAAO,EAAE,wBAAwB,EAAE,4BAA4B,EAAE,MAAM,gBAAgB,CAAC;AACxF,OAAO,EAAE,cAAc,EAAE,MAAM,cAAc,CAAC;AAC9C,OAAO,EAAE,eAAe,EAAE,MAAM,kBAAkB,CAAC;AACnD,cAAc,YAAY,CAAC"}
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@@ -0,0 +1,6 @@
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1
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+
export { runScenarios } from './run.js';
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2
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+
export { scenarioPortfolioBinding, scenarioTargetsFromPortfolio } from './portfolio.js';
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3
|
+
export { scenarioTarget } from './targets.js';
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|
4
|
+
export { spotAssetPricer } from './spot-pricer.js';
|
|
5
|
+
export * from './types.js';
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6
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+
//# sourceMappingURL=index.js.map
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@@ -0,0 +1 @@
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1
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+
{"version":3,"file":"index.js","sourceRoot":"","sources":["../src/index.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,YAAY,EAAE,MAAM,UAAU,CAAC;AACxC,OAAO,EAAE,wBAAwB,EAAE,4BAA4B,EAAE,MAAM,gBAAgB,CAAC;AACxF,OAAO,EAAE,cAAc,EAAE,MAAM,cAAc,CAAC;AAC9C,OAAO,EAAE,eAAe,EAAE,MAAM,kBAAkB,CAAC;AACnD,cAAc,YAAY,CAAC"}
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@@ -0,0 +1,28 @@
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|
1
|
+
import type { MarketObservation } from '../../../core/dist/pricing.js';
|
|
2
|
+
import type { ScenarioBehaviorIdentity, ScenarioFactorHandler, ScenarioMarketResolver } from '../types.js';
|
|
3
|
+
interface StoredDescriptorSnapshot {
|
|
4
|
+
readonly key: PropertyKey;
|
|
5
|
+
readonly descriptor: PropertyDescriptor;
|
|
6
|
+
}
|
|
7
|
+
interface BehaviorSnapshotBase {
|
|
8
|
+
readonly object: object;
|
|
9
|
+
readonly identity: ScenarioBehaviorIdentity;
|
|
10
|
+
readonly descriptors: readonly StoredDescriptorSnapshot[];
|
|
11
|
+
}
|
|
12
|
+
export interface ResolverSnapshot extends BehaviorSnapshotBase {
|
|
13
|
+
readonly resolve: ScenarioMarketResolver['resolve'];
|
|
14
|
+
}
|
|
15
|
+
export interface FactorHandlerSnapshot extends BehaviorSnapshotBase {
|
|
16
|
+
readonly factor: string;
|
|
17
|
+
readonly apply: ScenarioFactorHandler['apply'];
|
|
18
|
+
}
|
|
19
|
+
/** Refuse callback self-mutation after every invocation. */
|
|
20
|
+
export declare function assertBehaviorUnchanged(functionName: string, label: string, snapshot: BehaviorSnapshotBase): void;
|
|
21
|
+
/** Snapshot and validate all per-call market resolvers without invoking them. */
|
|
22
|
+
export declare function snapshotResolvers(value: unknown, functionName?: string): readonly ResolverSnapshot[];
|
|
23
|
+
/** Snapshot and validate all per-call custom factor handlers without invoking them. */
|
|
24
|
+
export declare function snapshotFactorHandlers(value: unknown, functionName?: string): readonly FactorHandlerSnapshot[];
|
|
25
|
+
export declare function isThenable(value: unknown): boolean;
|
|
26
|
+
export declare function countCurvePillars(observations: readonly MarketObservation[]): readonly number[];
|
|
27
|
+
export {};
|
|
28
|
+
//# sourceMappingURL=behaviors.d.ts.map
|
|
@@ -0,0 +1 @@
|
|
|
1
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{"version":3,"file":"behaviors.d.ts","sourceRoot":"","sources":["../../src/internal/behaviors.ts"],"names":[],"mappings":"AACA,OAAO,KAAK,EAAE,iBAAiB,EAAE,MAAM,+BAA4B,CAAC;AAEpE,OAAO,KAAK,EACV,wBAAwB,EACxB,qBAAqB,EACrB,sBAAsB,EACvB,MAAM,aAAa,CAAC;AAErB,UAAU,wBAAwB;IAChC,QAAQ,CAAC,GAAG,EAAE,WAAW,CAAC;IAC1B,QAAQ,CAAC,UAAU,EAAE,kBAAkB,CAAC;CACzC;AAED,UAAU,oBAAoB;IAC5B,QAAQ,CAAC,MAAM,EAAE,MAAM,CAAC;IACxB,QAAQ,CAAC,QAAQ,EAAE,wBAAwB,CAAC;IAC5C,QAAQ,CAAC,WAAW,EAAE,SAAS,wBAAwB,EAAE,CAAC;CAC3D;AAED,MAAM,WAAW,gBAAiB,SAAQ,oBAAoB;IAC5D,QAAQ,CAAC,OAAO,EAAE,sBAAsB,CAAC,SAAS,CAAC,CAAC;CACrD;AAED,MAAM,WAAW,qBAAsB,SAAQ,oBAAoB;IACjE,QAAQ,CAAC,MAAM,EAAE,MAAM,CAAC;IACxB,QAAQ,CAAC,KAAK,EAAE,qBAAqB,CAAC,OAAO,CAAC,CAAC;CAChD;AA0CD,4DAA4D;AAC5D,wBAAgB,uBAAuB,CACrC,YAAY,EAAE,MAAM,EACpB,KAAK,EAAE,MAAM,EACb,QAAQ,EAAE,oBAAoB,GAC7B,IAAI,CAuBN;AAwBD,iFAAiF;AACjF,wBAAgB,iBAAiB,CAC/B,KAAK,EAAE,OAAO,EACd,YAAY,SAAiB,GAC5B,SAAS,gBAAgB,EAAE,CAwC7B;AAED,uFAAuF;AACvF,wBAAgB,sBAAsB,CACpC,KAAK,EAAE,OAAO,EACd,YAAY,SAAiB,GAC5B,SAAS,qBAAqB,EAAE,CAwDlC;AAED,wBAAgB,UAAU,CAAC,KAAK,EAAE,OAAO,GAAG,OAAO,CAWlD;AAED,wBAAgB,iBAAiB,CAAC,YAAY,EAAE,SAAS,iBAAiB,EAAE,GAAG,SAAS,MAAM,EAAE,CAM/F"}
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import { ErrorCode, InputError } from '../../../core/dist/index.js';
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2
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import { readPlainArrayLength, snapshotClosedRecord, snapshotDenseArray } from './data.js';
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3
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function behaviorError(functionName, field, message) {
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throw new InputError(`${functionName}: ${field} ${message}`, {
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code: ErrorCode.InputWrongType,
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context: { function: functionName, field },
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});
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}
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function requireNonEmptyString(functionName, field, value) {
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if (typeof value !== 'string' || value.trim().length === 0) {
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behaviorError(functionName, field, 'must be a non-empty string.');
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}
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return value;
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}
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function snapshotDescriptors(object) {
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return Object.freeze(Reflect.ownKeys(object).map((key) => {
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const descriptor = Object.getOwnPropertyDescriptor(object, key);
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if (descriptor === undefined) {
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throw new InputError('runScenarios: a behavior descriptor disappeared during preflight.', {
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code: ErrorCode.InputWrongType,
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context: { function: 'runScenarios' },
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});
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}
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return Object.freeze({ key, descriptor: Object.freeze({ ...descriptor }) });
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}));
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}
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function descriptorsEqual(first, second) {
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return (first.configurable === second.configurable &&
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first.enumerable === second.enumerable &&
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first.writable === second.writable &&
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first.value === second.value &&
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first.get === second.get &&
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first.set === second.set);
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}
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/** Refuse callback self-mutation after every invocation. */
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export function assertBehaviorUnchanged(functionName, label, snapshot) {
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37
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const keys = Reflect.ownKeys(snapshot.object);
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if (keys.length !== snapshot.descriptors.length) {
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behaviorError(functionName, label, 'mutated its own field set while running — callbacks are snapshotted immutable definitions.');
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}
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for (let index = 0; index < snapshot.descriptors.length; index++) {
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const expected = snapshot.descriptors[index];
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if (keys[index] !== expected.key) {
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behaviorError(functionName, label, 'changed or reordered its own fields while running.');
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}
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const actual = Object.getOwnPropertyDescriptor(snapshot.object, expected.key);
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if (actual === undefined || !descriptorsEqual(actual, expected.descriptor)) {
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behaviorError(functionName, label, `mutated ${String(expected.key)} while running — resolver/handler identity and behavior are immutable for one run.`);
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}
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}
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}
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function ensureUniqueIdentities(functionName, label, identities) {
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const seen = new Set();
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for (let index = 0; index < identities.length; index++) {
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const identity = identities[index];
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const key = `${identity.name}\u0000${identity.version}`;
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if (seen.has(key)) {
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throw new InputError(`${functionName}: ${label}[${index}] duplicates behavior identity ${JSON.stringify(identity.name)} @ ${JSON.stringify(identity.version)} — names and versions must identify one callback per run.`, {
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code: ErrorCode.InputOutOfRange,
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context: { function: functionName, field: `${label}[${index}]`, ...identity },
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});
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}
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seen.add(key);
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}
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}
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66
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/** Snapshot and validate all per-call market resolvers without invoking them. */
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67
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export function snapshotResolvers(value, functionName = 'runScenarios') {
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68
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if (value === undefined)
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return Object.freeze([]);
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70
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const count = readPlainArrayLength(value, functionName, 'options.marketResolvers');
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if (count > 32) {
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throw new InputError(`${functionName}: options.marketResolvers may contain at most 32 resolvers; received ${count}.`, {
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code: ErrorCode.InputOutOfRange,
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context: { function: functionName, field: 'options.marketResolvers', count },
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});
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}
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const list = snapshotDenseArray(value, functionName, 'options.marketResolvers');
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const snapshots = list.map((valueAtIndex, index) => {
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const label = `options.marketResolvers[${index}]`;
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const record = snapshotClosedRecord(valueAtIndex, {
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functionName,
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label,
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allowedKeys: ['name', 'version', 'resolve'],
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requiredKeys: ['name', 'version', 'resolve'],
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});
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const name = requireNonEmptyString(functionName, `${label}.name`, record['name']);
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87
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const version = requireNonEmptyString(functionName, `${label}.version`, record['version']);
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if (typeof record['resolve'] !== 'function') {
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behaviorError(functionName, `${label}.resolve`, 'must be a synchronous function.');
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}
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91
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const object = valueAtIndex;
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return Object.freeze({
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object,
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identity: Object.freeze({ name, version }),
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descriptors: snapshotDescriptors(object),
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resolve: record['resolve'],
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});
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});
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ensureUniqueIdentities(functionName, 'options.marketResolvers', snapshots.map((snapshot) => snapshot.identity));
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return Object.freeze(snapshots);
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101
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}
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102
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/** Snapshot and validate all per-call custom factor handlers without invoking them. */
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103
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+
export function snapshotFactorHandlers(value, functionName = 'runScenarios') {
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104
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if (value === undefined)
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105
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return Object.freeze([]);
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106
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const count = readPlainArrayLength(value, functionName, 'options.factorHandlers');
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107
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if (count > 32) {
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108
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throw new InputError(`${functionName}: options.factorHandlers may contain at most 32 handlers; received ${count}.`, {
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code: ErrorCode.InputOutOfRange,
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context: { function: functionName, field: 'options.factorHandlers', count },
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111
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});
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112
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}
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113
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const list = snapshotDenseArray(value, functionName, 'options.factorHandlers');
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114
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const snapshots = list.map((valueAtIndex, index) => {
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115
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const label = `options.factorHandlers[${index}]`;
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116
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const record = snapshotClosedRecord(valueAtIndex, {
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117
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functionName,
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118
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label,
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119
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allowedKeys: ['factor', 'name', 'version', 'apply'],
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120
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requiredKeys: ['factor', 'name', 'version', 'apply'],
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});
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122
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const factor = requireNonEmptyString(functionName, `${label}.factor`, record['factor']);
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123
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const name = requireNonEmptyString(functionName, `${label}.name`, record['name']);
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124
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const version = requireNonEmptyString(functionName, `${label}.version`, record['version']);
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125
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if (typeof record['apply'] !== 'function') {
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126
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behaviorError(functionName, `${label}.apply`, 'must be a synchronous function.');
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}
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const object = valueAtIndex;
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return Object.freeze({
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object,
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factor,
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identity: Object.freeze({ name, version }),
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descriptors: snapshotDescriptors(object),
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apply: record['apply'],
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});
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});
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ensureUniqueIdentities(functionName, 'options.factorHandlers', snapshots.map((snapshot) => snapshot.identity));
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138
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const byFactor = new Set();
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139
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for (let index = 0; index < snapshots.length; index++) {
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140
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const handler = snapshots[index];
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141
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if (byFactor.has(handler.factor)) {
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throw new InputError(`${functionName}: options.factorHandlers[${index}] is a second owner for factor ${JSON.stringify(handler.factor)} — one custom factor has exactly one handler.`, {
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143
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code: ErrorCode.InputOutOfRange,
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context: { function: functionName, field: `options.factorHandlers[${index}].factor` },
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});
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146
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}
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147
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byFactor.add(handler.factor);
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148
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}
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149
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return Object.freeze(snapshots);
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150
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+
}
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151
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+
export function isThenable(value) {
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152
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+
if (value === null || (typeof value !== 'object' && typeof value !== 'function'))
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153
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return false;
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154
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let object = value;
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155
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while (object !== null) {
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156
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const descriptor = Object.getOwnPropertyDescriptor(object, 'then');
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157
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if (descriptor !== undefined) {
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158
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return 'value' in descriptor && typeof descriptor.value === 'function';
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159
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}
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160
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object = Object.getPrototypeOf(object);
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161
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+
}
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162
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return false;
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163
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+
}
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164
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export function countCurvePillars(observations) {
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165
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return observations.map((observation) => observation.requirement.kind === 'discountCurve'
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166
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+
? observation.value.points.length
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167
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: 0);
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168
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}
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169
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//# sourceMappingURL=behaviors.js.map
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@@ -0,0 +1 @@
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1
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+
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