@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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/** One named Taylor factor and the level at which the supplied sensitivities were measured. */
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26
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export interface TaylorFactorLevel {
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27
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readonly subject: string;
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28
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readonly level: number;
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}
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/** Base valuation instant for time sensitivities. */
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31
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export interface TaylorValuationInstantLevel {
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32
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readonly level: EpochMs;
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}
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34
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/** Explicit base levels used by a Taylor approximation. */
|
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35
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export interface TaylorFactors {
|
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36
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readonly spot?: TaylorFactorLevel;
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37
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+
readonly volatility?: TaylorFactorLevel;
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38
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readonly riskFreeRate?: TaylorFactorLevel;
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readonly dividend?: TaylorFactorLevel;
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40
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readonly valuationInstant?: TaylorValuationInstantLevel;
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}
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42
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+
/** Raw per-unit derivatives in the exact units consumed by `taylorPnl`. */
|
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43
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/**
|
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44
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* Greeks for a Taylor target in TotalFinance's ONE unit system — the units `@insiderfinance/totalfinance/options` reports
|
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45
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+
* (theta per calendar day, vega per volatility point, rho and phi per 1%, second-order terms in the
|
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46
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+
* options package's conventions). See `@insiderfinance/totalfinance/risk`'s `PositionGreeks`; the Taylor engine converts
|
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47
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+
* internally.
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48
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+
*/
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49
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+
export interface TaylorSensitivities {
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delta?: number;
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51
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+
gamma?: number;
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52
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+
vega?: number;
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53
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theta?: number;
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rho?: number;
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+
vanna?: number;
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56
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vomma?: number;
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charm?: number;
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+
veta?: number;
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+
vera?: number;
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deltaRate?: number;
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thetaRate?: number;
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62
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rhoConvexity?: number;
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63
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+
thetaConvexity?: number;
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/** φ = ∂V/∂q per 1% dividend yield (the options package's `phi`). */
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phi?: number;
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+
}
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+
/** Builder input for an explicit Greeks-Taylor approximation. */
|
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68
|
+
export interface TaylorScenarioTargetInput extends ScenarioTargetBaseInput {
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+
baseValuePerUnit: number;
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greeks: TaylorSensitivities;
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|
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factors: TaylorFactors;
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+
}
|
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73
|
+
/** Builder input for the common one-unit spot-asset target. */
|
|
74
|
+
export interface SpotScenarioTargetInput {
|
|
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+
id: string;
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76
|
+
symbol: string;
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+
quantity: number;
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|
+
currency: string;
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|
+
strategy?: string;
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|
+
account?: string;
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81
|
+
book?: string;
|
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82
|
+
tags?: readonly string[];
|
|
83
|
+
}
|
|
84
|
+
/** Serializable identity and capabilities of the behavior bound to a target. */
|
|
85
|
+
export interface ScenarioPricerDescriptor {
|
|
86
|
+
readonly name: string;
|
|
87
|
+
readonly version: string;
|
|
88
|
+
readonly capabilities: Readonly<PricerCapabilities>;
|
|
89
|
+
}
|
|
90
|
+
/** Serializable fields common to every target-axis row. */
|
|
91
|
+
export interface ScenarioTargetDescriptorBase {
|
|
92
|
+
readonly id: string;
|
|
93
|
+
readonly quantity: number;
|
|
94
|
+
readonly contractMultiplier: number;
|
|
95
|
+
readonly currency: string;
|
|
96
|
+
readonly underlying?: string;
|
|
97
|
+
readonly strategy?: string;
|
|
98
|
+
readonly account?: string;
|
|
99
|
+
readonly book?: string;
|
|
100
|
+
readonly tags: readonly string[];
|
|
101
|
+
readonly targetDescriptorHash: string;
|
|
102
|
+
}
|
|
103
|
+
/** Serializable full-revaluation target descriptor; behavior is deliberately absent. */
|
|
104
|
+
export interface FullRevaluationScenarioTargetDescriptor extends ScenarioTargetDescriptorBase {
|
|
105
|
+
readonly valuationMethod: 'full-revaluation';
|
|
106
|
+
readonly instrumentDescriptor: unknown;
|
|
107
|
+
readonly instrumentDescriptorHash: string;
|
|
108
|
+
readonly pricer: ScenarioPricerDescriptor;
|
|
109
|
+
}
|
|
110
|
+
/** Serializable Taylor target descriptor. */
|
|
111
|
+
export interface TaylorScenarioTargetDescriptor extends ScenarioTargetDescriptorBase {
|
|
112
|
+
readonly valuationMethod: 'taylor';
|
|
113
|
+
readonly taylor: {
|
|
114
|
+
readonly baseValuePerUnit: number;
|
|
115
|
+
readonly sensitivities: Readonly<TaylorSensitivities>;
|
|
116
|
+
readonly factors: TaylorFactors;
|
|
117
|
+
};
|
|
118
|
+
readonly taylorDescriptorHash: string;
|
|
119
|
+
}
|
|
120
|
+
/** Complete public target data, without the private instrument/pricer binding. */
|
|
121
|
+
export type ScenarioTargetDescriptor = FullRevaluationScenarioTargetDescriptor | TaylorScenarioTargetDescriptor;
|
|
122
|
+
declare const scenarioTargetBrand: unique symbol;
|
|
123
|
+
/** Opaque, builder-produced scenario target. */
|
|
124
|
+
export type ScenarioTarget = ScenarioTargetDescriptor & {
|
|
125
|
+
readonly [scenarioTargetBrand]: true;
|
|
126
|
+
};
|
|
127
|
+
/** The public three-builder target namespace. */
|
|
128
|
+
export interface ScenarioTargetBuilders {
|
|
129
|
+
fullRevaluation<TInstrument>(input: FullRevaluationScenarioTargetInput<TInstrument>): ScenarioTarget;
|
|
130
|
+
taylor(input: TaylorScenarioTargetInput): ScenarioTarget;
|
|
131
|
+
spot(input: SpotScenarioTargetInput): ScenarioTarget;
|
|
132
|
+
}
|
|
133
|
+
/** Plain instrument consumed by the first-party spot pricer. */
|
|
134
|
+
export interface SpotAssetInstrument {
|
|
135
|
+
readonly symbol: string;
|
|
136
|
+
}
|
|
137
|
+
/** Recursively readonly view of canonical scenario callback data. */
|
|
138
|
+
export type ScenarioReadonlyData<T> = T extends object ? {
|
|
139
|
+
readonly [TKey in keyof T]: ScenarioReadonlyData<T[TKey]>;
|
|
140
|
+
} : T;
|
|
141
|
+
/** Readonly curve pillar supplied to or returned from a scenario callback. */
|
|
142
|
+
export interface ScenarioReadonlyRateCurvePoint {
|
|
143
|
+
readonly date: RateCurvePoint['date'];
|
|
144
|
+
readonly zeroRate: RateCurvePoint['zeroRate'];
|
|
145
|
+
}
|
|
146
|
+
/** Readonly callback view of core's existing plain-data `RateCurve`. */
|
|
147
|
+
export interface ScenarioReadonlyRateCurve {
|
|
148
|
+
readonly currency: RateCurve['currency'];
|
|
149
|
+
readonly asOf: RateCurve['asOf'];
|
|
150
|
+
readonly dayCount: RateCurve['dayCount'];
|
|
151
|
+
readonly compounding: ScenarioReadonlyData<RateCurve['compounding']>;
|
|
152
|
+
readonly points: readonly ScenarioReadonlyRateCurvePoint[];
|
|
153
|
+
readonly interpolation?: RateCurve['interpolation'];
|
|
154
|
+
}
|
|
155
|
+
/**
|
|
156
|
+
* Named, tool-walkable readonly projection of core's existing `MarketObservation` union.
|
|
157
|
+
*
|
|
158
|
+
* The arm/value grammar remains owned by `@insiderfinance/totalfinance/core/pricing`; this view references those
|
|
159
|
+
* source types directly and changes only mutability at the callback boundary.
|
|
160
|
+
*/
|
|
161
|
+
export type ScenarioReadonlyMarketObservation = {
|
|
162
|
+
readonly requirement: Readonly<ValuationInstantRequirement>;
|
|
163
|
+
readonly value: ObservationValueByKind['valuationInstant'];
|
|
164
|
+
} | {
|
|
165
|
+
readonly requirement: Readonly<SpotRequirement>;
|
|
166
|
+
readonly value: ObservationValueByKind['spot'];
|
|
167
|
+
} | {
|
|
168
|
+
readonly requirement: Readonly<ForwardRequirement>;
|
|
169
|
+
readonly value: ObservationValueByKind['forward'];
|
|
170
|
+
} | {
|
|
171
|
+
readonly requirement: Readonly<ImpliedVolatilityRequirement>;
|
|
172
|
+
readonly value: ObservationValueByKind['impliedVolatility'];
|
|
173
|
+
} | {
|
|
174
|
+
readonly requirement: Readonly<RiskFreeRateRequirement>;
|
|
175
|
+
readonly value: ObservationValueByKind['riskFreeRate'];
|
|
176
|
+
} | {
|
|
177
|
+
readonly requirement: Readonly<DividendYieldRequirement>;
|
|
178
|
+
readonly value: ObservationValueByKind['dividendYield'];
|
|
179
|
+
} | {
|
|
180
|
+
readonly requirement: Readonly<DiscountCurveRequirement>;
|
|
181
|
+
readonly value: ScenarioReadonlyRateCurve;
|
|
182
|
+
};
|
|
183
|
+
/** Frozen, behavior-free input supplied to one market resolver call. */
|
|
184
|
+
export interface ScenarioMarketResolverInput {
|
|
185
|
+
readonly requirement: ScenarioReadonlyData<MarketRequirement>;
|
|
186
|
+
readonly market: ScenarioReadonlyData<MarketSnapshot>;
|
|
187
|
+
readonly target: ScenarioReadonlyData<ScenarioTargetDescriptor>;
|
|
188
|
+
}
|
|
189
|
+
/** One synchronous, per-call market-requirement resolver. */
|
|
190
|
+
export interface ScenarioMarketResolver {
|
|
191
|
+
name: string;
|
|
192
|
+
version: string;
|
|
193
|
+
resolve(this: undefined, input: ScenarioMarketResolverInput): ScenarioReadonlyMarketObservation | undefined;
|
|
194
|
+
}
|
|
195
|
+
/** Frozen, behavior-free input supplied to one custom-factor handler call. */
|
|
196
|
+
export interface ScenarioFactorHandlerInput {
|
|
197
|
+
readonly instruction: ScenarioReadonlyData<ScenarioShock | ScenarioOverride>;
|
|
198
|
+
readonly observations: readonly ScenarioReadonlyMarketObservation[];
|
|
199
|
+
readonly target: ScenarioReadonlyData<ScenarioTargetDescriptor>;
|
|
200
|
+
}
|
|
201
|
+
/** One synchronous, per-call owner of a non-reserved scenario factor. */
|
|
202
|
+
export interface ScenarioFactorHandler {
|
|
203
|
+
factor: string;
|
|
204
|
+
name: string;
|
|
205
|
+
version: string;
|
|
206
|
+
apply(this: undefined, input: ScenarioFactorHandlerInput): readonly ScenarioReadonlyMarketObservation[] | undefined;
|
|
207
|
+
}
|
|
208
|
+
/** Closed execution options for `runScenarios`. */
|
|
209
|
+
export interface RunScenariosOptions {
|
|
210
|
+
failureMode?: 'fail-fast' | 'collect';
|
|
211
|
+
seed?: number;
|
|
212
|
+
maximumValuationCells?: number;
|
|
213
|
+
maximumWorkUnits?: number;
|
|
214
|
+
marketResolvers?: readonly ScenarioMarketResolver[];
|
|
215
|
+
factorHandlers?: readonly ScenarioFactorHandler[];
|
|
216
|
+
}
|
|
217
|
+
/** One complete shared-scenario request. */
|
|
218
|
+
export interface RunScenariosInput {
|
|
219
|
+
scenarioSet: ScenarioSet;
|
|
220
|
+
market: MarketSnapshot;
|
|
221
|
+
targets: readonly ScenarioTarget[];
|
|
222
|
+
reportingCurrency?: string;
|
|
223
|
+
currencyConversions?: readonly CurrencyPairQuote[];
|
|
224
|
+
options?: RunScenariosOptions;
|
|
225
|
+
}
|
|
226
|
+
/** Stable scenario-axis metadata. */
|
|
227
|
+
export interface ScenarioAxisRow {
|
|
228
|
+
readonly scenarioIndex: number;
|
|
229
|
+
readonly name: string;
|
|
230
|
+
readonly scenarioHash: string;
|
|
231
|
+
readonly overrideCount: number;
|
|
232
|
+
readonly shockCount: number;
|
|
233
|
+
}
|
|
234
|
+
/** Stable target-axis metadata. */
|
|
235
|
+
export type ScenarioTargetAxisRow = ScenarioTargetDescriptor & {
|
|
236
|
+
readonly targetIndex: number;
|
|
237
|
+
};
|
|
238
|
+
/** Serializable name/version identity for a callback used by the run. */
|
|
239
|
+
export interface ScenarioBehaviorIdentity {
|
|
240
|
+
readonly name: string;
|
|
241
|
+
readonly version: string;
|
|
242
|
+
}
|
|
243
|
+
/** Exact currency quote and orientation used for one conversion. */
|
|
244
|
+
export interface ScenarioCurrencyConversionUse {
|
|
245
|
+
readonly sourceQuoteIndex: number;
|
|
246
|
+
readonly orientation: 'direct' | 'inverted';
|
|
247
|
+
readonly quote: Readonly<CurrencyPairQuote>;
|
|
248
|
+
}
|
|
249
|
+
/** Shared coordinates recorded for every applied instruction. */
|
|
250
|
+
export interface ScenarioAppliedInstructionBase {
|
|
251
|
+
readonly phase: 'override' | 'shock';
|
|
252
|
+
readonly instructionIndex: number;
|
|
253
|
+
readonly factor: string;
|
|
254
|
+
readonly target?: string;
|
|
255
|
+
readonly subject: string;
|
|
256
|
+
}
|
|
257
|
+
/** Scalar or foreign-exchange instruction detail. */
|
|
258
|
+
export interface ScenarioAppliedScalarInstruction extends ScenarioAppliedInstructionBase {
|
|
259
|
+
readonly detail: 'scalar' | 'foreign-exchange-rate';
|
|
260
|
+
readonly before: number;
|
|
261
|
+
readonly after: number;
|
|
262
|
+
}
|
|
263
|
+
/** Compact discount-curve instruction detail. */
|
|
264
|
+
export interface ScenarioAppliedCurveInstruction extends ScenarioAppliedInstructionBase {
|
|
265
|
+
readonly detail: 'discount-curve';
|
|
266
|
+
readonly pillarCount: number;
|
|
267
|
+
readonly beforeCurveHash: string;
|
|
268
|
+
readonly afterCurveHash: string;
|
|
269
|
+
}
|
|
270
|
+
/** Compact custom-handler instruction detail. */
|
|
271
|
+
export interface ScenarioAppliedCustomInstruction extends ScenarioAppliedInstructionBase {
|
|
272
|
+
readonly detail: 'custom';
|
|
273
|
+
readonly handler: ScenarioBehaviorIdentity;
|
|
274
|
+
readonly beforeObservationsHash: string;
|
|
275
|
+
readonly afterObservationsHash: string;
|
|
276
|
+
}
|
|
277
|
+
/** Lossless identity of an instruction applied to one target cell. */
|
|
278
|
+
export type ScenarioAppliedInstruction = ScenarioAppliedScalarInstruction | ScenarioAppliedCurveInstruction | ScenarioAppliedCustomInstruction;
|
|
279
|
+
/** Detached Gate-C pricing result retained without discarding domain-specific fields. */
|
|
280
|
+
export type ScenarioPricingResult = Readonly<Record<string, unknown>> & {
|
|
281
|
+
readonly value: number;
|
|
282
|
+
readonly assumptions: Readonly<Record<string, unknown>>;
|
|
283
|
+
readonly diagnostics: Readonly<Diagnostics> & {
|
|
284
|
+
readonly warnings: readonly QuantWarning[];
|
|
285
|
+
};
|
|
286
|
+
};
|
|
287
|
+
/** Valuation method used by one target. */
|
|
288
|
+
export type ScenarioValuationMethod = 'full-revaluation' | 'taylor';
|
|
289
|
+
/** Successful value fields common to base and scenario cells. */
|
|
290
|
+
export interface ScenarioSuccessfulValueFields {
|
|
291
|
+
readonly targetIndex: number;
|
|
292
|
+
readonly targetId: string;
|
|
293
|
+
readonly quantity: number;
|
|
294
|
+
readonly contractMultiplier: number;
|
|
295
|
+
readonly valuationCurrency: string;
|
|
296
|
+
readonly reportingCurrency: string;
|
|
297
|
+
readonly valuePerUnit: number;
|
|
298
|
+
readonly positionValue: number;
|
|
299
|
+
readonly reportingPositionValue: number;
|
|
300
|
+
readonly currencyConversion: ScenarioCurrencyConversionUse | null;
|
|
301
|
+
readonly observationOrFactorSetHash: string;
|
|
302
|
+
readonly appliedInstructions: readonly ScenarioAppliedInstruction[];
|
|
303
|
+
readonly resolvers: readonly ScenarioBehaviorIdentity[];
|
|
304
|
+
readonly factorHandlers: readonly ScenarioBehaviorIdentity[];
|
|
305
|
+
readonly effectiveSeed: number | null;
|
|
306
|
+
}
|
|
307
|
+
/** Successful full-revaluation cell payload. */
|
|
308
|
+
export type ScenarioFullRevaluationValue = ScenarioSuccessfulValueFields & {
|
|
309
|
+
readonly valuationMethod: 'full-revaluation';
|
|
310
|
+
readonly pricer: ScenarioPricerDescriptor;
|
|
311
|
+
readonly pricingResult: ScenarioPricingResult;
|
|
312
|
+
};
|
|
313
|
+
/** Successful Taylor scenario cell payload. */
|
|
314
|
+
export type ScenarioTaylorValue = ScenarioSuccessfulValueFields & {
|
|
315
|
+
readonly valuationMethod: 'taylor';
|
|
316
|
+
readonly taylorResult: Readonly<TaylorPnlResult>;
|
|
317
|
+
};
|
|
318
|
+
/** Behavior-free execution failure safe to retain in an artifact. */
|
|
319
|
+
export interface ScenarioExecutionFailure {
|
|
320
|
+
readonly code: string;
|
|
321
|
+
readonly message: string;
|
|
322
|
+
readonly context: Readonly<Record<string, unknown>> | null;
|
|
323
|
+
readonly contextStatus: 'absent' | 'preserved' | 'omitted-unsafe';
|
|
324
|
+
readonly targetIndex: number;
|
|
325
|
+
readonly targetId: string;
|
|
326
|
+
readonly scenarioIndex: number | null;
|
|
327
|
+
readonly scenarioName: string | null;
|
|
328
|
+
readonly valuationMethod: ScenarioValuationMethod;
|
|
329
|
+
}
|
|
330
|
+
/** Base valuation cell. */
|
|
331
|
+
export type ScenarioBaseCell = (ScenarioFullRevaluationValue & {
|
|
332
|
+
readonly kind: 'base';
|
|
333
|
+
readonly status: 'complete';
|
|
334
|
+
}) | (ScenarioSuccessfulValueFields & {
|
|
335
|
+
readonly kind: 'base';
|
|
336
|
+
readonly status: 'complete';
|
|
337
|
+
readonly valuationMethod: 'taylor';
|
|
338
|
+
readonly baseValueSource: 'supplied-base-value-per-unit';
|
|
339
|
+
}) | {
|
|
340
|
+
readonly kind: 'base';
|
|
341
|
+
readonly status: 'failed';
|
|
342
|
+
readonly targetIndex: number;
|
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343
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+
readonly targetId: string;
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344
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+
readonly valuationMethod: ScenarioValuationMethod;
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345
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+
readonly valuePerUnit: null;
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346
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+
readonly positionValue: null;
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347
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+
readonly reportingPositionValue: null;
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348
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+
readonly failure: ScenarioExecutionFailure;
|
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349
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+
};
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350
|
+
/** Scenario valuation cell. */
|
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351
|
+
export type ScenarioCell = ((ScenarioFullRevaluationValue | ScenarioTaylorValue) & {
|
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352
|
+
readonly kind: 'scenario';
|
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353
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+
readonly status: 'complete';
|
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354
|
+
readonly scenarioIndex: number;
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355
|
+
readonly scenarioName: string;
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356
|
+
readonly localPnl: number;
|
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357
|
+
readonly reportingPnl: number;
|
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358
|
+
}) | {
|
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359
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+
readonly kind: 'scenario';
|
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360
|
+
readonly status: 'failed';
|
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361
|
+
readonly targetIndex: number;
|
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362
|
+
readonly targetId: string;
|
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363
|
+
readonly scenarioIndex: number;
|
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364
|
+
readonly scenarioName: string;
|
|
365
|
+
readonly valuationMethod: ScenarioValuationMethod;
|
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366
|
+
readonly valuePerUnit: null;
|
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367
|
+
readonly positionValue: null;
|
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368
|
+
readonly reportingPositionValue: null;
|
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369
|
+
readonly localPnl: null;
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370
|
+
readonly reportingPnl: null;
|
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371
|
+
readonly failure: ScenarioExecutionFailure;
|
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372
|
+
} | {
|
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373
|
+
readonly kind: 'scenario';
|
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374
|
+
readonly status: 'blocked';
|
|
375
|
+
readonly targetIndex: number;
|
|
376
|
+
readonly targetId: string;
|
|
377
|
+
readonly scenarioIndex: number;
|
|
378
|
+
readonly scenarioName: string;
|
|
379
|
+
readonly valuationMethod: ScenarioValuationMethod;
|
|
380
|
+
readonly valuePerUnit: null;
|
|
381
|
+
readonly positionValue: null;
|
|
382
|
+
readonly reportingPositionValue: null;
|
|
383
|
+
readonly localPnl: null;
|
|
384
|
+
readonly reportingPnl: null;
|
|
385
|
+
readonly blockedByBaseFailure: ScenarioExecutionFailure;
|
|
386
|
+
};
|
|
387
|
+
/** One deterministic aggregate row. */
|
|
388
|
+
export interface ScenarioAggregateRow {
|
|
389
|
+
readonly group: 'target' | 'underlying' | 'strategy' | 'account' | 'book' | 'tag' | 'grand-total';
|
|
390
|
+
readonly key: string;
|
|
391
|
+
readonly reportingCurrency: string;
|
|
392
|
+
readonly status: 'complete' | 'incomplete';
|
|
393
|
+
readonly baseValue: number | null;
|
|
394
|
+
readonly scenarioValue: number | null;
|
|
395
|
+
readonly pnl: number | null;
|
|
396
|
+
readonly targetIds: readonly string[];
|
|
397
|
+
readonly failedTargetIds: readonly string[];
|
|
398
|
+
readonly reason?: string;
|
|
399
|
+
}
|
|
400
|
+
/** Aggregate rows for the base axis. */
|
|
401
|
+
export interface ScenarioBaseAggregateSet {
|
|
402
|
+
readonly kind: 'base';
|
|
403
|
+
readonly scenarioIndex: null;
|
|
404
|
+
readonly scenarioName: null;
|
|
405
|
+
readonly rows: readonly ScenarioAggregateRow[];
|
|
406
|
+
}
|
|
407
|
+
/** Aggregate rows for one scenario. */
|
|
408
|
+
export interface ScenarioOutcomeAggregateSet {
|
|
409
|
+
readonly kind: 'scenario';
|
|
410
|
+
readonly scenarioIndex: number;
|
|
411
|
+
readonly scenarioName: string;
|
|
412
|
+
readonly rows: readonly ScenarioAggregateRow[];
|
|
413
|
+
}
|
|
414
|
+
/** Canonical JSON-safe parameters needed to reproduce a run. */
|
|
415
|
+
export interface ScenarioReplayParameters {
|
|
416
|
+
readonly reportingCurrency: string;
|
|
417
|
+
readonly currencyConversions: readonly Readonly<CurrencyPairQuote>[];
|
|
418
|
+
readonly failureMode: 'fail-fast' | 'collect';
|
|
419
|
+
readonly seed: number | null;
|
|
420
|
+
readonly maximumValuationCells: number;
|
|
421
|
+
readonly maximumWorkUnits: number;
|
|
422
|
+
readonly resolvers: readonly ScenarioBehaviorIdentity[];
|
|
423
|
+
readonly factorHandlers: readonly ScenarioBehaviorIdentity[];
|
|
424
|
+
readonly timeShockDayCount: 'ACT/365F';
|
|
425
|
+
readonly millisecondsPerYear: 31_536_000_000;
|
|
426
|
+
readonly resultLayout: 'scenario-major-v1';
|
|
427
|
+
}
|
|
428
|
+
/** Complete assumptions and execution laws applied by the runner. */
|
|
429
|
+
export interface ScenarioRunAssumptions {
|
|
430
|
+
readonly conventionsVersion: string;
|
|
431
|
+
readonly scenarioSetName: string;
|
|
432
|
+
readonly scenarioSetHash: string;
|
|
433
|
+
readonly marketSnapshotHash: string;
|
|
434
|
+
readonly marketAsOf: EpochMs;
|
|
435
|
+
readonly inputRateDayCount: DayCount | null;
|
|
436
|
+
readonly inputRateCompounding: InterestCompounding | null;
|
|
437
|
+
readonly resolvedScalarRateDayCount: 'ACT/365F';
|
|
438
|
+
readonly resolvedScalarRateCompounding: 'continuous';
|
|
439
|
+
readonly reportingCurrency: string;
|
|
440
|
+
readonly currencyConversionPolicy: 'direct-or-inverse-only';
|
|
441
|
+
readonly tagAggregationPolicy: 'overlapping-non-additive; grand total is target-based';
|
|
442
|
+
readonly valuationUnitScaling: 'valuePerUnit * quantity * contractMultiplier';
|
|
443
|
+
readonly timeShockDayCount: 'ACT/365F';
|
|
444
|
+
readonly millisecondsPerYear: 31_536_000_000;
|
|
445
|
+
readonly failureMode: 'fail-fast' | 'collect';
|
|
446
|
+
readonly baseSeed: number | null;
|
|
447
|
+
readonly seedDerivation: 'seed + targetIndex; common across base and scenarios' | null;
|
|
448
|
+
readonly resolvers: readonly ScenarioBehaviorIdentity[];
|
|
449
|
+
readonly factorHandlers: readonly ScenarioBehaviorIdentity[];
|
|
450
|
+
readonly resultLayout: 'scenario-major-v1';
|
|
451
|
+
readonly workBudgets: {
|
|
452
|
+
readonly valuationCells: {
|
|
453
|
+
readonly configured: number;
|
|
454
|
+
readonly default: 10_000;
|
|
455
|
+
readonly hardMaximum: 50_000;
|
|
456
|
+
};
|
|
457
|
+
readonly workUnits: {
|
|
458
|
+
readonly configured: number;
|
|
459
|
+
readonly default: 20_000_000;
|
|
460
|
+
readonly hardMaximum: 100_000_000;
|
|
461
|
+
};
|
|
462
|
+
};
|
|
463
|
+
readonly replayParameters: ScenarioReplayParameters;
|
|
464
|
+
}
|
|
465
|
+
/** Estimated and observed value for one execution metric. */
|
|
466
|
+
export interface ScenarioMetric {
|
|
467
|
+
readonly estimated: number;
|
|
468
|
+
readonly actual: number | null;
|
|
469
|
+
readonly unavailableReason: string | null;
|
|
470
|
+
}
|
|
471
|
+
/** Bounded-work and execution counters for one run. */
|
|
472
|
+
export interface ScenarioRunMetrics {
|
|
473
|
+
readonly valuationCells: ScenarioMetric;
|
|
474
|
+
readonly pricerCalls: ScenarioMetric;
|
|
475
|
+
readonly taylorCalls: ScenarioMetric;
|
|
476
|
+
readonly supportsCalls: ScenarioMetric;
|
|
477
|
+
readonly requirements: ScenarioMetric;
|
|
478
|
+
readonly resolverCalls: ScenarioMetric;
|
|
479
|
+
readonly factorHandlerCalls: ScenarioMetric;
|
|
480
|
+
readonly inputDataWorkUnits: ScenarioMetric;
|
|
481
|
+
readonly transformationWorkUnits: ScenarioMetric;
|
|
482
|
+
readonly valuationResultWorkUnits: ScenarioMetric;
|
|
483
|
+
readonly resultEnvelopeWorkUnits: ScenarioMetric;
|
|
484
|
+
readonly failureSnapshotWorkUnits: ScenarioMetric;
|
|
485
|
+
readonly totalWorkUnits: ScenarioMetric;
|
|
486
|
+
readonly successfulCells: ScenarioMetric;
|
|
487
|
+
readonly failedCells: ScenarioMetric;
|
|
488
|
+
readonly blockedCells: ScenarioMetric;
|
|
489
|
+
}
|
|
490
|
+
/** Warnings, failures, unused inputs, and bounded-work evidence. */
|
|
491
|
+
export interface ScenarioRunDiagnostics {
|
|
492
|
+
readonly warnings: readonly QuantWarning[];
|
|
493
|
+
readonly failures: readonly ScenarioExecutionFailure[];
|
|
494
|
+
readonly unusedCurrencyConversions: readonly Readonly<CurrencyPairQuote>[];
|
|
495
|
+
readonly metrics: ScenarioRunMetrics;
|
|
496
|
+
}
|
|
497
|
+
/** Stable flat-grid indexing contract. */
|
|
498
|
+
export interface ScenarioResultLayout {
|
|
499
|
+
readonly order: 'scenario-major-v1';
|
|
500
|
+
readonly targetCount: number;
|
|
501
|
+
readonly scenarioCount: number;
|
|
502
|
+
readonly cellsPerScenario: number;
|
|
503
|
+
readonly cellCount: number;
|
|
504
|
+
readonly indexFormula: 'scenarioIndex * targetCount + targetIndex';
|
|
505
|
+
}
|
|
506
|
+
/** Complete shared scenario analysis result. */
|
|
507
|
+
export type ScenarioRunResult = Readonly<Record<string, unknown>> & {
|
|
508
|
+
readonly layout: ScenarioResultLayout;
|
|
509
|
+
readonly scenarioAxis: readonly ScenarioAxisRow[];
|
|
510
|
+
readonly targetAxis: readonly ScenarioTargetAxisRow[];
|
|
511
|
+
readonly base: readonly ScenarioBaseCell[];
|
|
512
|
+
readonly cells: readonly ScenarioCell[];
|
|
513
|
+
readonly aggregates: {
|
|
514
|
+
readonly base: ScenarioBaseAggregateSet;
|
|
515
|
+
readonly scenarios: readonly ScenarioOutcomeAggregateSet[];
|
|
516
|
+
};
|
|
517
|
+
readonly assumptions: ScenarioRunAssumptions;
|
|
518
|
+
readonly diagnostics: ScenarioRunDiagnostics;
|
|
519
|
+
};
|
|
520
|
+
/** Identity and grouping supplied by a durable-portfolio binding. */
|
|
521
|
+
export interface ScenarioPortfolioBindingBaseInput {
|
|
522
|
+
id: string;
|
|
523
|
+
accountId: string;
|
|
524
|
+
instrumentId: string;
|
|
525
|
+
strategy?: string;
|
|
526
|
+
book?: string;
|
|
527
|
+
tags?: readonly string[];
|
|
528
|
+
}
|
|
529
|
+
/** Full-revaluation durable-portfolio binding. */
|
|
530
|
+
export interface FullRevaluationScenarioPortfolioBindingInput<TInstrument> extends ScenarioPortfolioBindingBaseInput {
|
|
531
|
+
instrument: TInstrument;
|
|
532
|
+
instrumentDescriptor?: unknown;
|
|
533
|
+
pricer: Pricer<NoInfer<TInstrument>, PricerValuationResult>;
|
|
534
|
+
}
|
|
535
|
+
/** Taylor durable-portfolio binding. */
|
|
536
|
+
export interface TaylorScenarioPortfolioBindingInput extends ScenarioPortfolioBindingBaseInput {
|
|
537
|
+
baseValuePerUnit: number;
|
|
538
|
+
greeks: TaylorSensitivities;
|
|
539
|
+
factors: TaylorFactors;
|
|
540
|
+
}
|
|
541
|
+
/** Serializable durable-portfolio binding identity. */
|
|
542
|
+
export interface ScenarioPortfolioBindingDescriptorBase {
|
|
543
|
+
readonly id: string;
|
|
544
|
+
readonly accountId: string;
|
|
545
|
+
readonly instrumentId: string;
|
|
546
|
+
readonly strategy?: string;
|
|
547
|
+
readonly book?: string;
|
|
548
|
+
readonly tags: readonly string[];
|
|
549
|
+
readonly bindingDescriptorHash: string;
|
|
550
|
+
}
|
|
551
|
+
/** Serializable full-revaluation durable-portfolio binding descriptor. */
|
|
552
|
+
export interface FullRevaluationScenarioPortfolioBindingDescriptor extends ScenarioPortfolioBindingDescriptorBase {
|
|
553
|
+
readonly valuationMethod: 'full-revaluation';
|
|
554
|
+
readonly instrumentDescriptor: unknown;
|
|
555
|
+
readonly instrumentDescriptorHash: string;
|
|
556
|
+
readonly pricer: ScenarioPricerDescriptor;
|
|
557
|
+
}
|
|
558
|
+
/** Serializable Taylor durable-portfolio binding descriptor. */
|
|
559
|
+
export interface TaylorScenarioPortfolioBindingDescriptor extends ScenarioPortfolioBindingDescriptorBase {
|
|
560
|
+
readonly valuationMethod: 'taylor';
|
|
561
|
+
readonly taylor: {
|
|
562
|
+
readonly baseValuePerUnit: number;
|
|
563
|
+
readonly sensitivities: Readonly<TaylorSensitivities>;
|
|
564
|
+
readonly factors: TaylorFactors;
|
|
565
|
+
};
|
|
566
|
+
readonly taylorDescriptorHash: string;
|
|
567
|
+
}
|
|
568
|
+
/** Complete public durable-portfolio binding data. */
|
|
569
|
+
export type ScenarioPortfolioBindingDescriptor = FullRevaluationScenarioPortfolioBindingDescriptor | TaylorScenarioPortfolioBindingDescriptor;
|
|
570
|
+
declare const scenarioPortfolioBindingBrand: unique symbol;
|
|
571
|
+
/** Opaque, builder-produced durable-portfolio scenario binding. */
|
|
572
|
+
export type ScenarioPortfolioBinding = ScenarioPortfolioBindingDescriptor & {
|
|
573
|
+
readonly [scenarioPortfolioBindingBrand]: true;
|
|
574
|
+
};
|
|
575
|
+
/** The public two-builder durable-portfolio binding namespace. */
|
|
576
|
+
export interface ScenarioPortfolioBindingBuilders {
|
|
577
|
+
fullRevaluation<TInstrument>(input: FullRevaluationScenarioPortfolioBindingInput<TInstrument>): ScenarioPortfolioBinding;
|
|
578
|
+
taylor(input: TaylorScenarioPortfolioBindingInput): ScenarioPortfolioBinding;
|
|
579
|
+
}
|
|
580
|
+
/** Convert one detached durable portfolio state into runner targets. */
|
|
581
|
+
export interface ScenarioTargetsFromPortfolioInput {
|
|
582
|
+
state: PortfolioState;
|
|
583
|
+
bindings: readonly ScenarioPortfolioBinding[];
|
|
584
|
+
}
|
|
585
|
+
/** Explicit behavior-only handoff used by artifact replay fixtures. */
|
|
586
|
+
export interface ScenarioReplayTargetBinding {
|
|
587
|
+
readonly targetId: string;
|
|
588
|
+
readonly target: ScenarioTarget;
|
|
589
|
+
}
|
|
590
|
+
export {};
|
|
591
|
+
//# sourceMappingURL=types.d.ts.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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{"version":3,"file":"types.js","sourceRoot":"","sources":["../src/types.ts"],"names":[],"mappings":""}
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