@insiderfinance/totalfinance 0.1.0

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Files changed (2495) hide show
  1. package/LICENSE +201 -0
  2. package/README.md +339 -0
  3. package/STABILITY.md +23 -0
  4. package/modules/backtest/dist/artifacts.d.ts +23 -0
  5. package/modules/backtest/dist/artifacts.d.ts.map +1 -0
  6. package/modules/backtest/dist/artifacts.js +22 -0
  7. package/modules/backtest/dist/artifacts.js.map +1 -0
  8. package/modules/backtest/dist/broker.d.ts +265 -0
  9. package/modules/backtest/dist/broker.d.ts.map +1 -0
  10. package/modules/backtest/dist/broker.js +1228 -0
  11. package/modules/backtest/dist/broker.js.map +1 -0
  12. package/modules/backtest/dist/costs.d.ts +67 -0
  13. package/modules/backtest/dist/costs.d.ts.map +1 -0
  14. package/modules/backtest/dist/costs.js +171 -0
  15. package/modules/backtest/dist/costs.js.map +1 -0
  16. package/modules/backtest/dist/cross-sectional/engine.d.ts +21 -0
  17. package/modules/backtest/dist/cross-sectional/engine.d.ts.map +1 -0
  18. package/modules/backtest/dist/cross-sectional/engine.js +1399 -0
  19. package/modules/backtest/dist/cross-sectional/engine.js.map +1 -0
  20. package/modules/backtest/dist/cross-sectional/folds.d.ts +134 -0
  21. package/modules/backtest/dist/cross-sectional/folds.d.ts.map +1 -0
  22. package/modules/backtest/dist/cross-sectional/folds.js +375 -0
  23. package/modules/backtest/dist/cross-sectional/folds.js.map +1 -0
  24. package/modules/backtest/dist/cross-sectional/grid.d.ts +142 -0
  25. package/modules/backtest/dist/cross-sectional/grid.d.ts.map +1 -0
  26. package/modules/backtest/dist/cross-sectional/grid.js +394 -0
  27. package/modules/backtest/dist/cross-sectional/grid.js.map +1 -0
  28. package/modules/backtest/dist/cross-sectional/index.d.ts +18 -0
  29. package/modules/backtest/dist/cross-sectional/index.d.ts.map +1 -0
  30. package/modules/backtest/dist/cross-sectional/index.js +15 -0
  31. package/modules/backtest/dist/cross-sectional/index.js.map +1 -0
  32. package/modules/backtest/dist/cross-sectional/types.d.ts +331 -0
  33. package/modules/backtest/dist/cross-sectional/types.d.ts.map +1 -0
  34. package/modules/backtest/dist/cross-sectional/types.js +12 -0
  35. package/modules/backtest/dist/cross-sectional/types.js.map +1 -0
  36. package/modules/backtest/dist/cross-sectional/validate.d.ts +22 -0
  37. package/modules/backtest/dist/cross-sectional/validate.d.ts.map +1 -0
  38. package/modules/backtest/dist/cross-sectional/validate.js +489 -0
  39. package/modules/backtest/dist/cross-sectional/validate.js.map +1 -0
  40. package/modules/backtest/dist/diagnostics.d.ts +16 -0
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  42. package/modules/backtest/dist/diagnostics.js +63 -0
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  44. package/modules/backtest/dist/environment/bench.d.ts +34 -0
  45. package/modules/backtest/dist/environment/bench.d.ts.map +1 -0
  46. package/modules/backtest/dist/environment/bench.js +724 -0
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  48. package/modules/backtest/dist/environment/environment.d.ts +5 -0
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  50. package/modules/backtest/dist/environment/environment.js +618 -0
  51. package/modules/backtest/dist/environment/environment.js.map +1 -0
  52. package/modules/backtest/dist/environment/episode.d.ts +4 -0
  53. package/modules/backtest/dist/environment/episode.d.ts.map +1 -0
  54. package/modules/backtest/dist/environment/episode.js +121 -0
  55. package/modules/backtest/dist/environment/episode.js.map +1 -0
  56. package/modules/backtest/dist/environment/episodes.d.ts +14 -0
  57. package/modules/backtest/dist/environment/episodes.d.ts.map +1 -0
  58. package/modules/backtest/dist/environment/episodes.js +644 -0
  59. package/modules/backtest/dist/environment/episodes.js.map +1 -0
  60. package/modules/backtest/dist/environment/features.d.ts +31 -0
  61. package/modules/backtest/dist/environment/features.d.ts.map +1 -0
  62. package/modules/backtest/dist/environment/features.js +157 -0
  63. package/modules/backtest/dist/environment/features.js.map +1 -0
  64. package/modules/backtest/dist/environment/index.d.ts +14 -0
  65. package/modules/backtest/dist/environment/index.d.ts.map +1 -0
  66. package/modules/backtest/dist/environment/index.js +12 -0
  67. package/modules/backtest/dist/environment/index.js.map +1 -0
  68. package/modules/backtest/dist/environment/limits.d.ts +63 -0
  69. package/modules/backtest/dist/environment/limits.d.ts.map +1 -0
  70. package/modules/backtest/dist/environment/limits.js +253 -0
  71. package/modules/backtest/dist/environment/limits.js.map +1 -0
  72. package/modules/backtest/dist/environment/reward.d.ts +5 -0
  73. package/modules/backtest/dist/environment/reward.d.ts.map +1 -0
  74. package/modules/backtest/dist/environment/reward.js +80 -0
  75. package/modules/backtest/dist/environment/reward.js.map +1 -0
  76. package/modules/backtest/dist/environment/types.d.ts +540 -0
  77. package/modules/backtest/dist/environment/types.d.ts.map +1 -0
  78. package/modules/backtest/dist/environment/types.js +2 -0
  79. package/modules/backtest/dist/environment/types.js.map +1 -0
  80. package/modules/backtest/dist/environment/validate.d.ts +23 -0
  81. package/modules/backtest/dist/environment/validate.d.ts.map +1 -0
  82. package/modules/backtest/dist/environment/validate.js +264 -0
  83. package/modules/backtest/dist/environment/validate.js.map +1 -0
  84. package/modules/backtest/dist/event-driven.d.ts +111 -0
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  86. package/modules/backtest/dist/event-driven.js +325 -0
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  88. package/modules/backtest/dist/execution/conformance.d.ts +33 -0
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  91. package/modules/backtest/dist/execution/conformance.js.map +1 -0
  92. package/modules/backtest/dist/execution/fill-models.d.ts +35 -0
  93. package/modules/backtest/dist/execution/fill-models.d.ts.map +1 -0
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  95. package/modules/backtest/dist/execution/fill-models.js.map +1 -0
  96. package/modules/backtest/dist/execution/fill-order.d.ts +55 -0
  97. package/modules/backtest/dist/execution/fill-order.d.ts.map +1 -0
  98. package/modules/backtest/dist/execution/fill-order.js +156 -0
  99. package/modules/backtest/dist/execution/fill-order.js.map +1 -0
  100. package/modules/backtest/dist/execution/index.d.ts +33 -0
  101. package/modules/backtest/dist/execution/index.d.ts.map +1 -0
  102. package/modules/backtest/dist/execution/index.js +27 -0
  103. package/modules/backtest/dist/execution/index.js.map +1 -0
  104. package/modules/backtest/dist/execution/intrabar.d.ts +46 -0
  105. package/modules/backtest/dist/execution/intrabar.d.ts.map +1 -0
  106. package/modules/backtest/dist/execution/intrabar.js +130 -0
  107. package/modules/backtest/dist/execution/intrabar.js.map +1 -0
  108. package/modules/backtest/dist/execution/normalized.d.ts +56 -0
  109. package/modules/backtest/dist/execution/normalized.d.ts.map +1 -0
  110. package/modules/backtest/dist/execution/normalized.js +154 -0
  111. package/modules/backtest/dist/execution/normalized.js.map +1 -0
  112. package/modules/backtest/dist/execution/policy.d.ts +84 -0
  113. package/modules/backtest/dist/execution/policy.d.ts.map +1 -0
  114. package/modules/backtest/dist/execution/policy.js +341 -0
  115. package/modules/backtest/dist/execution/policy.js.map +1 -0
  116. package/modules/backtest/dist/execution/types.d.ts +217 -0
  117. package/modules/backtest/dist/execution/types.d.ts.map +1 -0
  118. package/modules/backtest/dist/execution/types.js +8 -0
  119. package/modules/backtest/dist/execution/types.js.map +1 -0
  120. package/modules/backtest/dist/execution/validate.d.ts +35 -0
  121. package/modules/backtest/dist/execution/validate.d.ts.map +1 -0
  122. package/modules/backtest/dist/execution/validate.js +666 -0
  123. package/modules/backtest/dist/execution/validate.js.map +1 -0
  124. package/modules/backtest/dist/generated/validation-specs.d.ts +12 -0
  125. package/modules/backtest/dist/generated/validation-specs.d.ts.map +1 -0
  126. package/modules/backtest/dist/generated/validation-specs.js +1129 -0
  127. package/modules/backtest/dist/generated/validation-specs.js.map +1 -0
  128. package/modules/backtest/dist/index.d.ts +33 -0
  129. package/modules/backtest/dist/index.d.ts.map +1 -0
  130. package/modules/backtest/dist/index.js +28 -0
  131. package/modules/backtest/dist/index.js.map +1 -0
  132. package/modules/backtest/dist/options/chain.d.ts +68 -0
  133. package/modules/backtest/dist/options/chain.d.ts.map +1 -0
  134. package/modules/backtest/dist/options/chain.js +303 -0
  135. package/modules/backtest/dist/options/chain.js.map +1 -0
  136. package/modules/backtest/dist/options/engine.d.ts +28 -0
  137. package/modules/backtest/dist/options/engine.d.ts.map +1 -0
  138. package/modules/backtest/dist/options/engine.js +1859 -0
  139. package/modules/backtest/dist/options/engine.js.map +1 -0
  140. package/modules/backtest/dist/options/index.d.ts +23 -0
  141. package/modules/backtest/dist/options/index.d.ts.map +1 -0
  142. package/modules/backtest/dist/options/index.js +21 -0
  143. package/modules/backtest/dist/options/index.js.map +1 -0
  144. package/modules/backtest/dist/options/tearsheet.d.ts +77 -0
  145. package/modules/backtest/dist/options/tearsheet.d.ts.map +1 -0
  146. package/modules/backtest/dist/options/tearsheet.js +205 -0
  147. package/modules/backtest/dist/options/tearsheet.js.map +1 -0
  148. package/modules/backtest/dist/options/types.d.ts +571 -0
  149. package/modules/backtest/dist/options/types.d.ts.map +1 -0
  150. package/modules/backtest/dist/options/types.js +19 -0
  151. package/modules/backtest/dist/options/types.js.map +1 -0
  152. package/modules/backtest/dist/paper/index.d.ts +13 -0
  153. package/modules/backtest/dist/paper/index.d.ts.map +1 -0
  154. package/modules/backtest/dist/paper/index.js +12 -0
  155. package/modules/backtest/dist/paper/index.js.map +1 -0
  156. package/modules/backtest/dist/paper/paper.d.ts +8 -0
  157. package/modules/backtest/dist/paper/paper.d.ts.map +1 -0
  158. package/modules/backtest/dist/paper/paper.js +950 -0
  159. package/modules/backtest/dist/paper/paper.js.map +1 -0
  160. package/modules/backtest/dist/paper/types.d.ts +190 -0
  161. package/modules/backtest/dist/paper/types.d.ts.map +1 -0
  162. package/modules/backtest/dist/paper/types.js +3 -0
  163. package/modules/backtest/dist/paper/types.js.map +1 -0
  164. package/modules/backtest/dist/paper/validate.d.ts +9 -0
  165. package/modules/backtest/dist/paper/validate.d.ts.map +1 -0
  166. package/modules/backtest/dist/paper/validate.js +112 -0
  167. package/modules/backtest/dist/paper/validate.js.map +1 -0
  168. package/modules/backtest/dist/portfolio/adapters.d.ts +37 -0
  169. package/modules/backtest/dist/portfolio/adapters.d.ts.map +1 -0
  170. package/modules/backtest/dist/portfolio/adapters.js +555 -0
  171. package/modules/backtest/dist/portfolio/adapters.js.map +1 -0
  172. package/modules/backtest/dist/portfolio/engine.d.ts +35 -0
  173. package/modules/backtest/dist/portfolio/engine.d.ts.map +1 -0
  174. package/modules/backtest/dist/portfolio/engine.js +1300 -0
  175. package/modules/backtest/dist/portfolio/engine.js.map +1 -0
  176. package/modules/backtest/dist/portfolio/index.d.ts +12 -0
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  180. package/modules/backtest/dist/portfolio/types.d.ts +418 -0
  181. package/modules/backtest/dist/portfolio/types.d.ts.map +1 -0
  182. package/modules/backtest/dist/portfolio/types.js +8 -0
  183. package/modules/backtest/dist/portfolio/types.js.map +1 -0
  184. package/modules/backtest/dist/portfolio/validate.d.ts +26 -0
  185. package/modules/backtest/dist/portfolio/validate.d.ts.map +1 -0
  186. package/modules/backtest/dist/portfolio/validate.js +556 -0
  187. package/modules/backtest/dist/portfolio/validate.js.map +1 -0
  188. package/modules/backtest/dist/run-artifacts.d.ts +425 -0
  189. package/modules/backtest/dist/run-artifacts.d.ts.map +1 -0
  190. package/modules/backtest/dist/run-artifacts.js +1843 -0
  191. package/modules/backtest/dist/run-artifacts.js.map +1 -0
  192. package/modules/backtest/dist/signals.d.ts +110 -0
  193. package/modules/backtest/dist/signals.d.ts.map +1 -0
  194. package/modules/backtest/dist/signals.js +207 -0
  195. package/modules/backtest/dist/signals.js.map +1 -0
  196. package/modules/backtest/dist/tearsheet.d.ts +126 -0
  197. package/modules/backtest/dist/tearsheet.d.ts.map +1 -0
  198. package/modules/backtest/dist/tearsheet.js +266 -0
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  200. package/modules/backtest/dist/types.d.ts +175 -0
  201. package/modules/backtest/dist/types.d.ts.map +1 -0
  202. package/modules/backtest/dist/types.js +29 -0
  203. package/modules/backtest/dist/types.js.map +1 -0
  204. package/modules/backtest/dist/validate.d.ts +13 -0
  205. package/modules/backtest/dist/validate.d.ts.map +1 -0
  206. package/modules/backtest/dist/validate.js +37 -0
  207. package/modules/backtest/dist/validate.js.map +1 -0
  208. package/modules/backtest/dist/vectorized.d.ts +53 -0
  209. package/modules/backtest/dist/vectorized.d.ts.map +1 -0
  210. package/modules/backtest/dist/vectorized.js +383 -0
  211. package/modules/backtest/dist/vectorized.js.map +1 -0
  212. package/modules/backtest/dist/walk-forward.d.ts +57 -0
  213. package/modules/backtest/dist/walk-forward.d.ts.map +1 -0
  214. package/modules/backtest/dist/walk-forward.js +125 -0
  215. package/modules/backtest/dist/walk-forward.js.map +1 -0
  216. package/modules/backtest/etc/backtest.api.md +139 -0
  217. package/modules/backtest/src/artifacts.ts +54 -0
  218. package/modules/backtest/src/broker.ts +1529 -0
  219. package/modules/backtest/src/costs.ts +225 -0
  220. package/modules/backtest/src/cross-sectional/engine.ts +1608 -0
  221. package/modules/backtest/src/cross-sectional/folds.ts +718 -0
  222. package/modules/backtest/src/cross-sectional/grid.ts +646 -0
  223. package/modules/backtest/src/cross-sectional/index.ts +76 -0
  224. package/modules/backtest/src/cross-sectional/types.ts +363 -0
  225. package/modules/backtest/src/cross-sectional/validate.ts +906 -0
  226. package/modules/backtest/src/diagnostics.ts +66 -0
  227. package/modules/backtest/src/environment/bench.ts +1022 -0
  228. package/modules/backtest/src/environment/environment.ts +766 -0
  229. package/modules/backtest/src/environment/episode.ts +146 -0
  230. package/modules/backtest/src/environment/episodes.ts +786 -0
  231. package/modules/backtest/src/environment/features.ts +184 -0
  232. package/modules/backtest/src/environment/index.ts +79 -0
  233. package/modules/backtest/src/environment/limits.ts +383 -0
  234. package/modules/backtest/src/environment/reward.ts +98 -0
  235. package/modules/backtest/src/environment/types.ts +595 -0
  236. package/modules/backtest/src/environment/validate.ts +415 -0
  237. package/modules/backtest/src/event-driven.ts +528 -0
  238. package/modules/backtest/src/execution/conformance.ts +346 -0
  239. package/modules/backtest/src/execution/fill-models.ts +410 -0
  240. package/modules/backtest/src/execution/fill-order.ts +261 -0
  241. package/modules/backtest/src/execution/index.ts +91 -0
  242. package/modules/backtest/src/execution/intrabar.ts +185 -0
  243. package/modules/backtest/src/execution/normalized.ts +216 -0
  244. package/modules/backtest/src/execution/policy.ts +447 -0
  245. package/modules/backtest/src/execution/types.ts +239 -0
  246. package/modules/backtest/src/execution/validate.ts +889 -0
  247. package/modules/backtest/src/generated/validation-specs.ts +1132 -0
  248. package/modules/backtest/src/index.ts +157 -0
  249. package/modules/backtest/src/options/chain.ts +410 -0
  250. package/modules/backtest/src/options/engine.ts +2240 -0
  251. package/modules/backtest/src/options/index.ts +68 -0
  252. package/modules/backtest/src/options/tearsheet.ts +327 -0
  253. package/modules/backtest/src/options/types.ts +573 -0
  254. package/modules/backtest/src/paper/index.ts +27 -0
  255. package/modules/backtest/src/paper/paper.ts +1288 -0
  256. package/modules/backtest/src/paper/types.ts +221 -0
  257. package/modules/backtest/src/paper/validate.ts +168 -0
  258. package/modules/backtest/src/portfolio/adapters.ts +651 -0
  259. package/modules/backtest/src/portfolio/engine.ts +1518 -0
  260. package/modules/backtest/src/portfolio/index.ts +64 -0
  261. package/modules/backtest/src/portfolio/types.ts +456 -0
  262. package/modules/backtest/src/portfolio/validate.ts +861 -0
  263. package/modules/backtest/src/run-artifacts.ts +2873 -0
  264. package/modules/backtest/src/signals.ts +267 -0
  265. package/modules/backtest/src/tearsheet.ts +425 -0
  266. package/modules/backtest/src/types.ts +200 -0
  267. package/modules/backtest/src/validate.ts +43 -0
  268. package/modules/backtest/src/vectorized.ts +541 -0
  269. package/modules/backtest/src/walk-forward.ts +215 -0
  270. package/modules/calendars/dist/cboe.d.ts +15 -0
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  298. package/modules/calendars/etc/calendars.api.md +22 -0
  299. package/modules/calendars/src/cboe.ts +17 -0
  300. package/modules/calendars/src/crypto.ts +17 -0
  301. package/modules/calendars/src/expirations.ts +200 -0
  302. package/modules/calendars/src/index.ts +23 -0
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@@ -0,0 +1,507 @@
1
+ import { ErrorCode, InputError } from '../../core/dist/index.js';
2
+ import { contentHash } from '../../core/dist/artifacts/index.js';
3
+ import { definePricer } from '../../core/dist/pricing.js';
4
+ import { requireCurrencyCode } from '../../foreign-exchange/dist/index.js';
5
+ import { detachCanonicalData, describeInputValue, readPlainArrayLength, scanCanonicalData, snapshotClosedRecord, snapshotDenseArray, } from './internal/data.js';
6
+ import { spotAssetPricer } from './spot-pricer.js';
7
+ const TARGET_BRAND = Symbol('totalfinance.scenarios.target.brand');
8
+ const FULL_REVALUATION_BINDING = Symbol('totalfinance.scenarios.target.full-revaluation-binding');
9
+ const BASE_KEYS = [
10
+ 'id',
11
+ 'quantity',
12
+ 'contractMultiplier',
13
+ 'currency',
14
+ 'underlying',
15
+ 'strategy',
16
+ 'account',
17
+ 'book',
18
+ 'tags',
19
+ ];
20
+ const FULL_REVALUATION_INPUT_KEYS = [
21
+ ...BASE_KEYS,
22
+ 'instrument',
23
+ 'instrumentDescriptor',
24
+ 'pricer',
25
+ ];
26
+ const TAYLOR_INPUT_KEYS = [...BASE_KEYS, 'baseValuePerUnit', 'greeks', 'factors'];
27
+ const SPOT_INPUT_KEYS = [
28
+ 'id',
29
+ 'symbol',
30
+ 'quantity',
31
+ 'currency',
32
+ 'strategy',
33
+ 'account',
34
+ 'book',
35
+ 'tags',
36
+ ];
37
+ const SENSITIVITY_KEYS = [
38
+ 'delta',
39
+ 'gamma',
40
+ 'vega',
41
+ 'theta',
42
+ 'rho',
43
+ 'vanna',
44
+ 'vomma',
45
+ 'charm',
46
+ 'veta',
47
+ 'vera',
48
+ 'deltaRate',
49
+ 'thetaRate',
50
+ 'rhoConvexity',
51
+ 'thetaConvexity',
52
+ 'phi',
53
+ ];
54
+ const FACTOR_KEYS = [
55
+ 'spot',
56
+ 'volatility',
57
+ 'riskFreeRate',
58
+ 'dividend',
59
+ 'valuationInstant',
60
+ ];
61
+ const TARGET_BASE_DESCRIPTOR_KEYS = [
62
+ 'id',
63
+ 'quantity',
64
+ 'contractMultiplier',
65
+ 'currency',
66
+ 'underlying',
67
+ 'strategy',
68
+ 'account',
69
+ 'book',
70
+ 'tags',
71
+ 'targetDescriptorHash',
72
+ ];
73
+ function targetError(functionName, field, message, code = ErrorCode.InputWrongType) {
74
+ throw new InputError(`${functionName}: ${field} ${message}`, {
75
+ code,
76
+ context: { function: functionName, field },
77
+ });
78
+ }
79
+ function requireNonEmptyString(functionName, field, value) {
80
+ if (typeof value !== 'string' || value.trim().length === 0) {
81
+ targetError(functionName, field, 'must be a non-empty string.');
82
+ }
83
+ return value;
84
+ }
85
+ function requireFiniteNumber(functionName, field, value) {
86
+ if (typeof value !== 'number') {
87
+ targetError(functionName, field, `must be a finite number; received ${value === null ? 'null' : typeof value}.`);
88
+ }
89
+ if (!Number.isFinite(value)) {
90
+ targetError(functionName, field, `must be a finite number; received ${describeInputValue(value)}.`, Number.isNaN(value) ? ErrorCode.InputNaN : ErrorCode.InputNotFinite);
91
+ }
92
+ return value;
93
+ }
94
+ function requireEpochMs(functionName, field, value) {
95
+ const epochMs = requireFiniteNumber(functionName, field, value);
96
+ if (!Number.isSafeInteger(epochMs) || Math.abs(epochMs) > 8_640_000_000_000_000) {
97
+ targetError(functionName, field, 'must be a safe integer epoch-millisecond instant inside the ECMAScript date range.', ErrorCode.InputOutOfRange);
98
+ }
99
+ return epochMs;
100
+ }
101
+ function optionalString(functionName, field, value) {
102
+ return value === undefined ? undefined : requireNonEmptyString(functionName, field, value);
103
+ }
104
+ function requireTags(functionName, value) {
105
+ if (value === undefined)
106
+ return Object.freeze([]);
107
+ const count = readPlainArrayLength(value, functionName, 'input.tags');
108
+ if (count > 128) {
109
+ targetError(functionName, 'input.tags', `may contain at most 128 tags; received ${count}.`, ErrorCode.InputOutOfRange);
110
+ }
111
+ const raw = snapshotDenseArray(value, functionName, 'input.tags');
112
+ const tags = [];
113
+ const seen = new Set();
114
+ for (let index = 0; index < raw.length; index++) {
115
+ const tag = requireNonEmptyString(functionName, `input.tags[${index}]`, raw[index]);
116
+ if (seen.has(tag)) {
117
+ targetError(functionName, `input.tags[${index}]`, `duplicates ${JSON.stringify(tag)} — target tags must be unique.`, ErrorCode.InputOutOfRange);
118
+ }
119
+ seen.add(tag);
120
+ tags.push(tag);
121
+ }
122
+ return Object.freeze(tags);
123
+ }
124
+ function validateBase(functionName, input) {
125
+ const id = requireNonEmptyString(functionName, 'input.id', input['id']);
126
+ const quantity = requireFiniteNumber(functionName, 'input.quantity', input['quantity']);
127
+ if (quantity === 0) {
128
+ targetError(functionName, 'input.quantity', 'must be non-zero; positive is long and negative is short.', ErrorCode.InputOutOfRange);
129
+ }
130
+ const contractMultiplier = requireFiniteNumber(functionName, 'input.contractMultiplier', input['contractMultiplier']);
131
+ if (contractMultiplier <= 0) {
132
+ targetError(functionName, 'input.contractMultiplier', 'must be strictly positive; contract scaling is never guessed.', ErrorCode.InputOutOfRange);
133
+ }
134
+ const currency = input['currency'];
135
+ requireCurrencyCode(functionName, 'input.currency', currency);
136
+ return {
137
+ id,
138
+ quantity,
139
+ contractMultiplier,
140
+ currency,
141
+ ...(optionalString(functionName, 'input.underlying', input['underlying']) !== undefined
142
+ ? { underlying: input['underlying'] }
143
+ : {}),
144
+ ...(optionalString(functionName, 'input.strategy', input['strategy']) !== undefined
145
+ ? { strategy: input['strategy'] }
146
+ : {}),
147
+ ...(optionalString(functionName, 'input.account', input['account']) !== undefined
148
+ ? { account: input['account'] }
149
+ : {}),
150
+ ...(optionalString(functionName, 'input.book', input['book']) !== undefined
151
+ ? { book: input['book'] }
152
+ : {}),
153
+ tags: requireTags(functionName, input['tags']),
154
+ };
155
+ }
156
+ function descriptorOfPricer(functionName, pricer) {
157
+ const validated = definePricer(pricer);
158
+ const descriptor = detachCanonicalData({
159
+ name: validated.name,
160
+ version: validated.version,
161
+ capabilities: {
162
+ greeks: validated.capabilities.greeks,
163
+ randomness: validated.capabilities.randomness,
164
+ batch: validated.capabilities.batch,
165
+ },
166
+ }, {
167
+ functionName,
168
+ label: 'input.pricer descriptor',
169
+ requireFiniteNumbers: true,
170
+ });
171
+ return { descriptor, pricer: validated };
172
+ }
173
+ function canonicalInstrumentDescriptor(functionName, instrument, supplied, wasSupplied) {
174
+ const descriptor = wasSupplied ? supplied : instrument;
175
+ try {
176
+ return detachCanonicalData(descriptor, {
177
+ functionName,
178
+ label: wasSupplied ? 'input.instrumentDescriptor' : 'input.instrument',
179
+ requireFiniteNumbers: true,
180
+ });
181
+ }
182
+ catch (error) {
183
+ if (!wasSupplied) {
184
+ throw new InputError(`${functionName}: input.instrument cannot be derived into a canonical replay descriptor — supply input.instrumentDescriptor as plain JSON-safe stored data. The runner retains behavior separately and never serializes it blindly.`, {
185
+ code: ErrorCode.SerializationUnsupportedValue,
186
+ context: { function: functionName, field: 'input.instrumentDescriptor' },
187
+ cause: error,
188
+ });
189
+ }
190
+ throw error;
191
+ }
192
+ }
193
+ function targetHashPayload(descriptor) {
194
+ return descriptor;
195
+ }
196
+ function attachTarget(descriptor, binding) {
197
+ // `detachCanonicalData` has already deeply frozen every public nested value. Attach the two
198
+ // private own-data slots to a fresh extensible shell, then freeze that shell; never thaw or
199
+ // recursively traverse the caller-owned behavior binding.
200
+ const target = { ...descriptor };
201
+ Object.defineProperty(target, TARGET_BRAND, {
202
+ configurable: false,
203
+ enumerable: false,
204
+ value: true,
205
+ writable: false,
206
+ });
207
+ if (binding !== null) {
208
+ Object.defineProperty(target, FULL_REVALUATION_BINDING, {
209
+ configurable: false,
210
+ enumerable: false,
211
+ value: Object.freeze(binding),
212
+ writable: false,
213
+ });
214
+ }
215
+ return Object.freeze(target);
216
+ }
217
+ function fullRevaluation(rawInput) {
218
+ const functionName = 'scenarioTarget.fullRevaluation';
219
+ const input = snapshotClosedRecord(rawInput, {
220
+ functionName,
221
+ label: 'input',
222
+ allowedKeys: FULL_REVALUATION_INPUT_KEYS,
223
+ requiredKeys: ['id', 'quantity', 'contractMultiplier', 'currency', 'instrument', 'pricer'],
224
+ });
225
+ const base = validateBase(functionName, input);
226
+ const { descriptor: pricerDescriptor, pricer } = descriptorOfPricer(functionName, input['pricer']);
227
+ const descriptorWasSupplied = Object.prototype.hasOwnProperty.call(input, 'instrumentDescriptor') &&
228
+ input['instrumentDescriptor'] !== undefined;
229
+ const instrumentDescriptor = canonicalInstrumentDescriptor(functionName, input['instrument'], input['instrumentDescriptor'], descriptorWasSupplied);
230
+ const instrumentDescriptorHash = contentHash(instrumentDescriptor);
231
+ const withoutTargetHash = targetHashPayload({
232
+ ...base,
233
+ valuationMethod: 'full-revaluation',
234
+ instrumentDescriptor,
235
+ instrumentDescriptorHash,
236
+ pricer: pricerDescriptor,
237
+ });
238
+ const descriptor = detachCanonicalData({ ...withoutTargetHash, targetDescriptorHash: contentHash(withoutTargetHash) }, { functionName, label: 'target descriptor', requireFiniteNumbers: true });
239
+ return attachTarget(descriptor, {
240
+ instrument: input['instrument'],
241
+ pricer: pricer,
242
+ });
243
+ }
244
+ function requiredTaylorFactors(sensitivities) {
245
+ const required = new Set();
246
+ const add = (...factors) => {
247
+ for (const factor of factors)
248
+ required.add(factor);
249
+ };
250
+ if (sensitivities.delta !== undefined || sensitivities.gamma !== undefined)
251
+ add('spot');
252
+ if (sensitivities.vega !== undefined || sensitivities.vomma !== undefined)
253
+ add('volatility');
254
+ if (sensitivities.rho !== undefined || sensitivities.rhoConvexity !== undefined)
255
+ add('riskFreeRate');
256
+ if (sensitivities.theta !== undefined || sensitivities.thetaConvexity !== undefined)
257
+ add('valuationInstant');
258
+ if (sensitivities.vanna !== undefined)
259
+ add('spot', 'volatility');
260
+ if (sensitivities.charm !== undefined)
261
+ add('spot', 'valuationInstant');
262
+ if (sensitivities.veta !== undefined)
263
+ add('volatility', 'valuationInstant');
264
+ if (sensitivities.vera !== undefined)
265
+ add('volatility', 'riskFreeRate');
266
+ if (sensitivities.deltaRate !== undefined)
267
+ add('spot', 'riskFreeRate');
268
+ if (sensitivities.thetaRate !== undefined)
269
+ add('valuationInstant', 'riskFreeRate');
270
+ if (sensitivities.phi !== undefined)
271
+ add('dividend');
272
+ return required;
273
+ }
274
+ function validateTaylorData(functionName, rawGreeks, rawFactors) {
275
+ const greekRecord = snapshotClosedRecord(rawGreeks, {
276
+ functionName,
277
+ label: 'input.greeks',
278
+ allowedKeys: SENSITIVITY_KEYS,
279
+ });
280
+ const sensitivities = {};
281
+ for (const key of SENSITIVITY_KEYS) {
282
+ if (greekRecord[key] !== undefined) {
283
+ sensitivities[key] = requireFiniteNumber(functionName, `input.greeks.${key}`, greekRecord[key]);
284
+ }
285
+ }
286
+ if (Object.keys(sensitivities).length === 0) {
287
+ targetError(functionName, 'input.greeks', 'must contain at least one finite Taylor sensitivity.', ErrorCode.InputMissingField);
288
+ }
289
+ const factorRecord = snapshotClosedRecord(rawFactors, {
290
+ functionName,
291
+ label: 'input.factors',
292
+ allowedKeys: FACTOR_KEYS,
293
+ });
294
+ const required = requiredTaylorFactors(sensitivities);
295
+ const factors = {};
296
+ for (const key of FACTOR_KEYS) {
297
+ const value = factorRecord[key];
298
+ if (value === undefined) {
299
+ if (required.has(key)) {
300
+ targetError(functionName, `input.factors.${key}`, 'is required by the supplied sensitivities.', ErrorCode.InputMissingField);
301
+ }
302
+ continue;
303
+ }
304
+ if (!required.has(key)) {
305
+ targetError(functionName, `input.factors.${key}`, 'has no supplied sensitivity that can consume it — remove the unused factor.', ErrorCode.InputUnknownField);
306
+ }
307
+ if (key === 'valuationInstant') {
308
+ const record = snapshotClosedRecord(value, {
309
+ functionName,
310
+ label: `input.factors.${key}`,
311
+ allowedKeys: ['level'],
312
+ requiredKeys: ['level'],
313
+ });
314
+ factors[key] = {
315
+ level: requireEpochMs(functionName, `input.factors.${key}.level`, record['level']),
316
+ };
317
+ }
318
+ else {
319
+ const record = snapshotClosedRecord(value, {
320
+ functionName,
321
+ label: `input.factors.${key}`,
322
+ allowedKeys: ['subject', 'level'],
323
+ requiredKeys: ['subject', 'level'],
324
+ });
325
+ factors[key] = {
326
+ subject: requireNonEmptyString(functionName, `input.factors.${key}.subject`, record['subject']),
327
+ level: requireFiniteNumber(functionName, `input.factors.${key}.level`, record['level']),
328
+ };
329
+ }
330
+ }
331
+ return detachCanonicalData({ sensitivities, factors }, { functionName, label: 'Taylor descriptor', requireFiniteNumbers: true });
332
+ }
333
+ function taylor(rawInput) {
334
+ const functionName = 'scenarioTarget.taylor';
335
+ const input = snapshotClosedRecord(rawInput, {
336
+ functionName,
337
+ label: 'input',
338
+ allowedKeys: TAYLOR_INPUT_KEYS,
339
+ requiredKeys: [
340
+ 'id',
341
+ 'quantity',
342
+ 'contractMultiplier',
343
+ 'currency',
344
+ 'baseValuePerUnit',
345
+ 'greeks',
346
+ 'factors',
347
+ ],
348
+ });
349
+ const base = validateBase(functionName, input);
350
+ const baseValuePerUnit = requireFiniteNumber(functionName, 'input.baseValuePerUnit', input['baseValuePerUnit']);
351
+ const { sensitivities, factors } = validateTaylorData(functionName, input['greeks'], input['factors']);
352
+ const taylorDescriptor = detachCanonicalData({ baseValuePerUnit, sensitivities, factors }, { functionName, label: 'target taylor descriptor', requireFiniteNumbers: true });
353
+ const withoutTargetHash = targetHashPayload({
354
+ ...base,
355
+ valuationMethod: 'taylor',
356
+ taylor: taylorDescriptor,
357
+ taylorDescriptorHash: contentHash(taylorDescriptor),
358
+ });
359
+ const descriptor = detachCanonicalData({ ...withoutTargetHash, targetDescriptorHash: contentHash(withoutTargetHash) }, { functionName, label: 'target descriptor', requireFiniteNumbers: true });
360
+ return attachTarget(descriptor, null);
361
+ }
362
+ function spot(rawInput) {
363
+ const functionName = 'scenarioTarget.spot';
364
+ const input = snapshotClosedRecord(rawInput, {
365
+ functionName,
366
+ label: 'input',
367
+ allowedKeys: SPOT_INPUT_KEYS,
368
+ requiredKeys: ['id', 'symbol', 'quantity', 'currency'],
369
+ });
370
+ const symbol = requireNonEmptyString(functionName, 'input.symbol', input['symbol']);
371
+ return fullRevaluation({
372
+ id: requireNonEmptyString(functionName, 'input.id', input['id']),
373
+ quantity: requireFiniteNumber(functionName, 'input.quantity', input['quantity']),
374
+ contractMultiplier: 1,
375
+ currency: input['currency'],
376
+ underlying: symbol,
377
+ ...(input['strategy'] !== undefined ? { strategy: input['strategy'] } : {}),
378
+ ...(input['account'] !== undefined ? { account: input['account'] } : {}),
379
+ ...(input['book'] !== undefined ? { book: input['book'] } : {}),
380
+ ...(input['tags'] !== undefined ? { tags: input['tags'] } : {}),
381
+ instrument: { symbol },
382
+ instrumentDescriptor: { kind: 'spot-asset', symbol },
383
+ pricer: spotAssetPricer(),
384
+ });
385
+ }
386
+ /** Builder namespace for opaque, immutable scenario targets. */
387
+ export const scenarioTarget = Object.freeze({
388
+ fullRevaluation,
389
+ taylor,
390
+ spot,
391
+ });
392
+ function descriptorHashPayload(descriptor) {
393
+ const payload = {};
394
+ for (const key of Reflect.ownKeys(descriptor)) {
395
+ if (typeof key !== 'string' || key === 'targetDescriptorHash')
396
+ continue;
397
+ const property = Object.getOwnPropertyDescriptor(descriptor, key);
398
+ if (property !== undefined && 'value' in property)
399
+ payload[key] = property.value;
400
+ }
401
+ return payload;
402
+ }
403
+ /** Validate one opaque target and recover its private behavior binding for the runner. */
404
+ export function validateScenarioTarget(value, targetIndex) {
405
+ const functionName = 'runScenarios';
406
+ const label = `targets[${targetIndex}]`;
407
+ if (value === null || typeof value !== 'object' || Array.isArray(value)) {
408
+ targetError(functionName, label, 'must be produced by scenarioTarget.*.');
409
+ }
410
+ const object = value;
411
+ if (Object.getPrototypeOf(object) !== Object.prototype || !Object.isFrozen(object)) {
412
+ targetError(functionName, label, 'must be the frozen opaque value returned by scenarioTarget.*; hand-assembled targets are not accepted.');
413
+ }
414
+ const brand = Object.getOwnPropertyDescriptor(object, TARGET_BRAND);
415
+ if (brand === undefined ||
416
+ brand.enumerable ||
417
+ brand.configurable ||
418
+ !('value' in brand) ||
419
+ brand.value !== true ||
420
+ brand.writable) {
421
+ targetError(functionName, label, 'does not carry an intact builder-owned target brand.');
422
+ }
423
+ const publicKeys = [];
424
+ for (const key of Reflect.ownKeys(object)) {
425
+ if (key === TARGET_BRAND || key === FULL_REVALUATION_BINDING)
426
+ continue;
427
+ if (typeof key !== 'string') {
428
+ targetError(functionName, label, `contains an unrecognized symbol ${String(key)}.`);
429
+ }
430
+ const property = Object.getOwnPropertyDescriptor(object, key);
431
+ if (property === undefined || !property.enumerable || !('value' in property)) {
432
+ targetError(functionName, `${label}.${key}`, 'must be an enumerable own stored-data field.');
433
+ }
434
+ publicKeys.push(key);
435
+ }
436
+ const methodProperty = Object.getOwnPropertyDescriptor(object, 'valuationMethod');
437
+ const method = methodProperty !== undefined && 'value' in methodProperty ? methodProperty.value : undefined;
438
+ const allowed = method === 'full-revaluation'
439
+ ? [
440
+ ...TARGET_BASE_DESCRIPTOR_KEYS,
441
+ 'valuationMethod',
442
+ 'instrumentDescriptor',
443
+ 'instrumentDescriptorHash',
444
+ 'pricer',
445
+ ]
446
+ : method === 'taylor'
447
+ ? [...TARGET_BASE_DESCRIPTOR_KEYS, 'valuationMethod', 'taylor', 'taylorDescriptorHash']
448
+ : [];
449
+ const unknown = publicKeys.filter((key) => !allowed.includes(key));
450
+ const missing = allowed.filter((key) => !publicKeys.includes(key));
451
+ for (const optional of ['underlying', 'strategy', 'account', 'book']) {
452
+ const index = missing.indexOf(optional);
453
+ if (index >= 0)
454
+ missing.splice(index, 1);
455
+ }
456
+ if (unknown.length > 0 || missing.length > 0) {
457
+ targetError(functionName, label, `has descriptor-key drift (unknown: ${unknown.join(', ') || 'none'}; missing: ${missing.join(', ') || 'none'}).`, unknown.length > 0 ? ErrorCode.InputUnknownField : ErrorCode.InputMissingField);
458
+ }
459
+ const target = value;
460
+ scanCanonicalData(target, {
461
+ functionName,
462
+ label,
463
+ ignoredSymbols: new Set([TARGET_BRAND, FULL_REVALUATION_BINDING]),
464
+ requireFiniteNumbers: true,
465
+ });
466
+ validateBase(functionName, target);
467
+ const expectedTargetHash = contentHash(descriptorHashPayload(target));
468
+ if (target.targetDescriptorHash !== expectedTargetHash) {
469
+ targetError(functionName, `${label}.targetDescriptorHash`, 'does not match the complete public descriptor — rebuild the target with scenarioTarget.*.', ErrorCode.InputOutOfRange);
470
+ }
471
+ // The opaque target shell intentionally carries two private symbols. Everything handed to
472
+ // resolvers, handlers, axes, and replay is a separate behavior-free public descriptor.
473
+ const publicDescriptor = detachCanonicalData({ ...target }, { functionName, label: `${label} public descriptor`, requireFiniteNumbers: true });
474
+ if (target.valuationMethod === 'taylor') {
475
+ if (contentHash(target.taylor) !== target.taylorDescriptorHash) {
476
+ targetError(functionName, `${label}.taylorDescriptorHash`, 'does not match target.taylor.', ErrorCode.InputOutOfRange);
477
+ }
478
+ validateTaylorData(functionName, target.taylor.sensitivities, target.taylor.factors);
479
+ return { target, descriptor: publicDescriptor, binding: null };
480
+ }
481
+ if (contentHash(target.instrumentDescriptor) !== target.instrumentDescriptorHash) {
482
+ targetError(functionName, `${label}.instrumentDescriptorHash`, 'does not match target.instrumentDescriptor.', ErrorCode.InputOutOfRange);
483
+ }
484
+ const bindingProperty = Object.getOwnPropertyDescriptor(object, FULL_REVALUATION_BINDING);
485
+ if (bindingProperty === undefined ||
486
+ bindingProperty.enumerable ||
487
+ bindingProperty.configurable ||
488
+ !('value' in bindingProperty) ||
489
+ bindingProperty.writable ||
490
+ bindingProperty.value === null ||
491
+ typeof bindingProperty.value !== 'object' ||
492
+ !Object.isFrozen(bindingProperty.value)) {
493
+ targetError(functionName, label, 'does not carry an intact full-revaluation behavior binding.');
494
+ }
495
+ const binding = bindingProperty.value;
496
+ if (binding.pricer.name !== target.pricer.name ||
497
+ binding.pricer.version !== target.pricer.version ||
498
+ contentHash(binding.pricer.capabilities) !== contentHash(target.pricer.capabilities)) {
499
+ targetError(functionName, label, 'has a pricer binding whose identity or capabilities differ from its public descriptor.', ErrorCode.InputOutOfRange);
500
+ }
501
+ return { target, descriptor: publicDescriptor, binding };
502
+ }
503
+ export const scenarioTargetPrivateSymbols = new Set([
504
+ TARGET_BRAND,
505
+ FULL_REVALUATION_BINDING,
506
+ ]);
507
+ //# sourceMappingURL=targets.js.map
@@ -0,0 +1 @@
1
+ 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@@ -0,0 +1,23 @@
1
+ import { type MarketSnapshot, type ScenarioDefinition } from '../../core/dist/artifacts/index.js';
2
+ import type { Scenario } from '../../risk/dist/index.js';
3
+ import type { ScenarioAppliedInstruction, TaylorFactors, TaylorScenarioTargetDescriptor } from './types.js';
4
+ export interface TaylorScenarioPlan {
5
+ readonly factors: TaylorFactors;
6
+ readonly factorSetHash: string;
7
+ readonly scenario: Scenario;
8
+ readonly appliedInstructions: readonly ScenarioAppliedInstruction[];
9
+ }
10
+ export interface TaylorTransformationResult {
11
+ readonly baseFactorSetHash: string;
12
+ readonly scenarios: readonly TaylorScenarioPlan[];
13
+ readonly matchedInstructions: ReadonlySet<string>;
14
+ readonly transformationWorkUnits: number;
15
+ }
16
+ /** Prove explicit Taylor base levels describe the same market snapshot used by the run. */
17
+ export declare function validateTaylorBaseCoherence(target: TaylorScenarioTargetDescriptor, market: MarketSnapshot): void;
18
+ /** Resolve Taylor factor levels and direct `taylorPnl` scenarios without reimplementing its math. */
19
+ export declare function transformTaylorScenarios(input: {
20
+ readonly target: TaylorScenarioTargetDescriptor;
21
+ readonly scenarioDefinitions: readonly ScenarioDefinition[];
22
+ }): TaylorTransformationResult;
23
+ //# sourceMappingURL=taylor.d.ts.map
@@ -0,0 +1 @@
1
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