@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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# @insiderfinance/totalfinance/scenarios — public API
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> Generated by `tools/api-report`. Do not edit by hand. Run `pnpm api:update` after intentional
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> public API changes; `pnpm api:check` fails on undocumented drift.
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## Exports (69)
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- `const scenarioPortfolioBinding`: ScenarioPortfolioBindingBuilders
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- `const scenarioTarget`: ScenarioTargetBuilders
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- `function runScenarios`: (rawInput: RunScenariosInput) => ScenarioRunResult
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- `function scenarioTargetsFromPortfolio`: (rawInput: ScenarioTargetsFromPortfolioInput) => readonly ScenarioTarget[]
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- `function spotAssetPricer`: () => Pricer<SpotAssetInstrument, SpotAssetPricingResult>
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- `interface FullRevaluationScenarioPortfolioBindingDescriptor`: FullRevaluationScenarioPortfolioBindingDescriptor
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- `interface FullRevaluationScenarioPortfolioBindingInput`: FullRevaluationScenarioPortfolioBindingInput<TInstrument>
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- `interface FullRevaluationScenarioTargetDescriptor`: FullRevaluationScenarioTargetDescriptor
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- `interface FullRevaluationScenarioTargetInput`: FullRevaluationScenarioTargetInput<TInstrument>
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- `interface RunScenariosInput`: RunScenariosInput
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- `interface RunScenariosOptions`: RunScenariosOptions
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- `interface ScenarioAggregateRow`: ScenarioAggregateRow
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- `interface ScenarioAppliedCurveInstruction`: ScenarioAppliedCurveInstruction
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- `interface ScenarioAppliedCustomInstruction`: ScenarioAppliedCustomInstruction
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- `interface ScenarioAppliedInstructionBase`: ScenarioAppliedInstructionBase
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- `interface ScenarioAppliedScalarInstruction`: ScenarioAppliedScalarInstruction
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- `interface ScenarioAxisRow`: ScenarioAxisRow
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- `interface ScenarioBaseAggregateSet`: ScenarioBaseAggregateSet
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- `interface ScenarioBehaviorIdentity`: ScenarioBehaviorIdentity
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- `interface ScenarioCurrencyConversionUse`: ScenarioCurrencyConversionUse
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- `interface ScenarioExecutionFailure`: ScenarioExecutionFailure
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- `interface ScenarioFactorHandler`: ScenarioFactorHandler
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- `interface ScenarioFactorHandlerInput`: ScenarioFactorHandlerInput
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- `interface ScenarioMarketResolver`: ScenarioMarketResolver
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- `interface ScenarioMarketResolverInput`: ScenarioMarketResolverInput
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- `interface ScenarioMetric`: ScenarioMetric
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- `interface ScenarioOutcomeAggregateSet`: ScenarioOutcomeAggregateSet
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- `interface ScenarioPortfolioBindingBaseInput`: ScenarioPortfolioBindingBaseInput
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- `interface ScenarioPortfolioBindingBuilders`: ScenarioPortfolioBindingBuilders
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- `interface ScenarioPortfolioBindingDescriptorBase`: ScenarioPortfolioBindingDescriptorBase
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- `interface ScenarioPricerDescriptor`: ScenarioPricerDescriptor
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- `interface ScenarioReadonlyRateCurve`: ScenarioReadonlyRateCurve
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- `interface ScenarioReadonlyRateCurvePoint`: ScenarioReadonlyRateCurvePoint
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- `interface ScenarioReplayParameters`: ScenarioReplayParameters
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- `interface ScenarioReplayTargetBinding`: ScenarioReplayTargetBinding
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- `interface ScenarioResultLayout`: ScenarioResultLayout
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- `interface ScenarioRunAssumptions`: ScenarioRunAssumptions
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- `interface ScenarioRunDiagnostics`: ScenarioRunDiagnostics
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- `interface ScenarioRunMetrics`: ScenarioRunMetrics
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- `interface ScenarioSuccessfulValueFields`: ScenarioSuccessfulValueFields
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- `interface ScenarioTargetBaseInput`: ScenarioTargetBaseInput
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- `interface ScenarioTargetBuilders`: ScenarioTargetBuilders
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- `interface ScenarioTargetDescriptorBase`: ScenarioTargetDescriptorBase
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- `interface ScenarioTargetsFromPortfolioInput`: ScenarioTargetsFromPortfolioInput
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- `interface SpotAssetInstrument`: SpotAssetInstrument
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- `interface SpotScenarioTargetInput`: SpotScenarioTargetInput
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- `interface TaylorFactorLevel`: TaylorFactorLevel
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- `interface TaylorFactors`: TaylorFactors
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- `interface TaylorScenarioPortfolioBindingDescriptor`: TaylorScenarioPortfolioBindingDescriptor
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- `interface TaylorScenarioPortfolioBindingInput`: TaylorScenarioPortfolioBindingInput
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- `interface TaylorScenarioTargetDescriptor`: TaylorScenarioTargetDescriptor
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- `interface TaylorScenarioTargetInput`: TaylorScenarioTargetInput
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- `interface TaylorSensitivities`: TaylorSensitivities
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- `interface TaylorValuationInstantLevel`: TaylorValuationInstantLevel
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- `type ScenarioAppliedInstruction`: ScenarioAppliedInstruction
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- `type ScenarioBaseCell`: ScenarioBaseCell
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- `type ScenarioCell`: ScenarioCell
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- `type ScenarioFullRevaluationValue`: ScenarioFullRevaluationValue
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- `type ScenarioPortfolioBinding`: ScenarioPortfolioBinding
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- `type ScenarioPortfolioBindingDescriptor`: ScenarioPortfolioBindingDescriptor
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- `type ScenarioPricingResult`: ScenarioPricingResult
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- `type ScenarioReadonlyData`: ScenarioReadonlyData<T>
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- `type ScenarioReadonlyMarketObservation`: ScenarioReadonlyMarketObservation
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- `type ScenarioRunResult`: ScenarioRunResult
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- `type ScenarioTarget`: ScenarioTarget
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- `type ScenarioTargetAxisRow`: ScenarioTargetAxisRow
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- `type ScenarioTargetDescriptor`: ScenarioTargetDescriptor
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- `type ScenarioTaylorValue`: ScenarioTaylorValue
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- `type ScenarioValuationMethod`: ScenarioValuationMethod
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@@ -0,0 +1,429 @@
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import { ErrorCode, InputError, PostconditionError, stableSum } from '@totalfinance/core';
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import { checkedAdd, scanCanonicalData, deepFreezeDetached } from './internal/data.js';
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import type {
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ScenarioAggregateRow,
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ScenarioAxisRow,
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ScenarioBaseAggregateSet,
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ScenarioBaseCell,
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ScenarioCell,
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ScenarioOutcomeAggregateSet,
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ScenarioTargetAxisRow,
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} from './types.js';
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type AggregateGroup = ScenarioAggregateRow['group'];
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const GROUP_ORDER = [
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'target',
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'underlying',
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'strategy',
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'account',
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'book',
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'tag',
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'grand-total',
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] as const satisfies readonly AggregateGroup[];
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const INCOMPLETE_BASE_REASON =
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'At least one constituent base valuation failed; partial aggregate totals are intentionally omitted.';
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const INCOMPLETE_SCENARIO_REASON =
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'At least one constituent scenario valuation failed or was blocked by a base valuation failure; partial aggregate totals are intentionally omitted.';
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interface AggregateMembership {
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readonly group: AggregateGroup;
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readonly key: string;
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readonly targetIndexes: readonly number[];
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}
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type AggregateTargetIdentity = Pick<
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ScenarioTargetAxisRow,
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'targetIndex' | 'id' | 'underlying' | 'strategy' | 'account' | 'book' | 'tags'
|
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>;
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export interface BuildScenarioAggregatesInput {
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readonly targets: readonly ScenarioTargetAxisRow[];
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readonly scenarioAxis: readonly ScenarioAxisRow[];
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readonly base: readonly ScenarioBaseCell[];
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/** Flat scenario-major grid: `scenarioIndex * targetCount + targetIndex`. */
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readonly cells: readonly ScenarioCell[];
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readonly reportingCurrency: string;
|
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}
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export interface ScenarioAggregates {
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readonly base: ScenarioBaseAggregateSet;
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readonly scenarios: readonly ScenarioOutcomeAggregateSet[];
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}
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function aggregateShapeError(message: string): never {
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throw new InputError(`buildScenarioAggregates: ${message}`, {
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code: ErrorCode.InputWrongShape,
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context: { function: 'buildScenarioAggregates' },
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});
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}
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function compareKeys(left: string, right: string): number {
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return left < right ? -1 : left > right ? 1 : 0;
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}
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function addMembership(family: Map<string, number[]>, key: string, targetIndex: number): void {
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const indexes = family.get(key);
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if (indexes === undefined) family.set(key, [targetIndex]);
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else indexes.push(targetIndex);
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}
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function buildMemberships(
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targetAxis: readonly AggregateTargetIdentity[],
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): readonly AggregateMembership[] {
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const families = new Map<AggregateGroup, Map<string, number[]>>();
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for (const group of GROUP_ORDER) families.set(group, new Map());
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for (let targetIndex = 0; targetIndex < targetAxis.length; targetIndex++) {
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const target = targetAxis[targetIndex]!;
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if (target.targetIndex !== targetIndex) {
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aggregateShapeError(
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`targetAxis[${targetIndex}].targetIndex must equal its axis position ${targetIndex}.`,
|
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);
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}
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addMembership(families.get('target')!, target.id, targetIndex);
|
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|
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if (target.underlying !== undefined) {
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addMembership(families.get('underlying')!, target.underlying, targetIndex);
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}
|
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if (target.strategy !== undefined) {
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addMembership(families.get('strategy')!, target.strategy, targetIndex);
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|
+
}
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if (target.account !== undefined) {
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addMembership(families.get('account')!, target.account, targetIndex);
|
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}
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if (target.book !== undefined) {
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|
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addMembership(families.get('book')!, target.book, targetIndex);
|
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|
+
}
|
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|
+
for (const tag of target.tags) addMembership(families.get('tag')!, tag, targetIndex);
|
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|
+
addMembership(families.get('grand-total')!, 'all', targetIndex);
|
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|
+
}
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+
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|
+
const memberships: AggregateMembership[] = [];
|
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|
+
for (const group of GROUP_ORDER) {
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const family = families.get(group)!;
|
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|
+
const keys = [...family.keys()].sort(compareKeys);
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+
for (const key of keys) {
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+
memberships.push({ group, key, targetIndexes: Object.freeze(family.get(key)!.slice()) });
|
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|
+
}
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|
+
}
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|
+
return Object.freeze(memberships);
|
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|
+
}
|
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|
+
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|
+
const WORST_INCOMPLETE_REASON =
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|
+
'At least one constituent scenario valuation failed or was blocked by a base valuation failure; partial aggregate totals are intentionally omitted.';
|
|
115
|
+
|
|
116
|
+
/**
|
|
117
|
+
* Exact conservative canonical-data reserve for retained aggregate wrappers and worst-case rows.
|
|
118
|
+
* It iterates memberships but never materializes the scenario-by-row product before Barrier B.
|
|
119
|
+
*/
|
|
120
|
+
export function estimateScenarioAggregateWork(input: {
|
|
121
|
+
readonly targets: readonly AggregateTargetIdentity[];
|
|
122
|
+
readonly scenarioNames: readonly string[];
|
|
123
|
+
readonly reportingCurrency: string;
|
|
124
|
+
}): number {
|
|
125
|
+
const memberships = buildMemberships(input.targets);
|
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126
|
+
const rowOptions = {
|
|
127
|
+
functionName: 'runScenarios',
|
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|
+
label: 'aggregate row reserve',
|
|
129
|
+
requireFiniteNumbers: true,
|
|
130
|
+
} as const;
|
|
131
|
+
let rowsWork = 0;
|
|
132
|
+
for (const membership of memberships) {
|
|
133
|
+
const targetIds = membership.targetIndexes.map((index) => input.targets[index]!.id);
|
|
134
|
+
rowsWork = checkedAdd(
|
|
135
|
+
'runScenarios',
|
|
136
|
+
'aggregate row reserve',
|
|
137
|
+
rowsWork,
|
|
138
|
+
scanCanonicalData(
|
|
139
|
+
{
|
|
140
|
+
group: membership.group,
|
|
141
|
+
key: membership.key,
|
|
142
|
+
reportingCurrency: input.reportingCurrency,
|
|
143
|
+
status: 'incomplete',
|
|
144
|
+
baseValue: null,
|
|
145
|
+
scenarioValue: null,
|
|
146
|
+
pnl: null,
|
|
147
|
+
targetIds,
|
|
148
|
+
failedTargetIds: targetIds,
|
|
149
|
+
reason: WORST_INCOMPLETE_REASON,
|
|
150
|
+
},
|
|
151
|
+
rowOptions,
|
|
152
|
+
),
|
|
153
|
+
);
|
|
154
|
+
}
|
|
155
|
+
|
|
156
|
+
const baseSkeleton = {
|
|
157
|
+
kind: 'base',
|
|
158
|
+
scenarioIndex: null,
|
|
159
|
+
scenarioName: null,
|
|
160
|
+
rows: [],
|
|
161
|
+
} as const;
|
|
162
|
+
let total = scanCanonicalData(
|
|
163
|
+
{ base: baseSkeleton, scenarios: [] },
|
|
164
|
+
{
|
|
165
|
+
functionName: 'runScenarios',
|
|
166
|
+
label: 'aggregate result reserve',
|
|
167
|
+
requireFiniteNumbers: true,
|
|
168
|
+
},
|
|
169
|
+
);
|
|
170
|
+
total = checkedAdd(
|
|
171
|
+
'runScenarios',
|
|
172
|
+
'base aggregate rows reserve',
|
|
173
|
+
total,
|
|
174
|
+
memberships.length + rowsWork,
|
|
175
|
+
);
|
|
176
|
+
for (let scenarioIndex = 0; scenarioIndex < input.scenarioNames.length; scenarioIndex++) {
|
|
177
|
+
const scenarioSkeleton = {
|
|
178
|
+
kind: 'scenario',
|
|
179
|
+
scenarioIndex,
|
|
180
|
+
scenarioName: input.scenarioNames[scenarioIndex]!,
|
|
181
|
+
rows: [],
|
|
182
|
+
} as const;
|
|
183
|
+
const wrapperWork = scanCanonicalData(scenarioSkeleton, {
|
|
184
|
+
functionName: 'runScenarios',
|
|
185
|
+
label: 'scenario aggregate wrapper reserve',
|
|
186
|
+
requireFiniteNumbers: true,
|
|
187
|
+
});
|
|
188
|
+
total = checkedAdd(
|
|
189
|
+
'runScenarios',
|
|
190
|
+
'scenario aggregate reserve',
|
|
191
|
+
total,
|
|
192
|
+
1 + wrapperWork + memberships.length + rowsWork,
|
|
193
|
+
);
|
|
194
|
+
}
|
|
195
|
+
return total;
|
|
196
|
+
}
|
|
197
|
+
|
|
198
|
+
function requireFinite(value: unknown, path: string): number {
|
|
199
|
+
if (typeof value !== 'number' || !Number.isFinite(value)) {
|
|
200
|
+
throw new PostconditionError(
|
|
201
|
+
`buildScenarioAggregates: successful constituent ${path} must be finite.`,
|
|
202
|
+
{
|
|
203
|
+
code: ErrorCode.PostconditionNonFinite,
|
|
204
|
+
context: { function: 'buildScenarioAggregates', path },
|
|
205
|
+
},
|
|
206
|
+
);
|
|
207
|
+
}
|
|
208
|
+
return value;
|
|
209
|
+
}
|
|
210
|
+
|
|
211
|
+
function finiteSum(values: readonly number[], path: string): number {
|
|
212
|
+
const total = stableSum(values);
|
|
213
|
+
if (!Number.isFinite(total)) {
|
|
214
|
+
throw new PostconditionError(
|
|
215
|
+
`buildScenarioAggregates: ${path} is not representable as a finite aggregate.`,
|
|
216
|
+
{
|
|
217
|
+
code: ErrorCode.PostconditionNonFinite,
|
|
218
|
+
context: { function: 'buildScenarioAggregates', path },
|
|
219
|
+
},
|
|
220
|
+
);
|
|
221
|
+
}
|
|
222
|
+
return total;
|
|
223
|
+
}
|
|
224
|
+
|
|
225
|
+
function targetIdsFor(
|
|
226
|
+
membership: AggregateMembership,
|
|
227
|
+
targetAxis: readonly ScenarioTargetAxisRow[],
|
|
228
|
+
): readonly string[] {
|
|
229
|
+
return membership.targetIndexes.map((targetIndex) => targetAxis[targetIndex]!.id);
|
|
230
|
+
}
|
|
231
|
+
|
|
232
|
+
function incompleteRow(
|
|
233
|
+
membership: AggregateMembership,
|
|
234
|
+
targetAxis: readonly ScenarioTargetAxisRow[],
|
|
235
|
+
failedIndexes: ReadonlySet<number>,
|
|
236
|
+
reportingCurrency: string,
|
|
237
|
+
reason: string,
|
|
238
|
+
): ScenarioAggregateRow {
|
|
239
|
+
const failedTargetIds = membership.targetIndexes
|
|
240
|
+
.filter((targetIndex) => failedIndexes.has(targetIndex))
|
|
241
|
+
.map((targetIndex) => targetAxis[targetIndex]!.id);
|
|
242
|
+
return {
|
|
243
|
+
group: membership.group,
|
|
244
|
+
key: membership.key,
|
|
245
|
+
reportingCurrency,
|
|
246
|
+
status: 'incomplete',
|
|
247
|
+
baseValue: null,
|
|
248
|
+
scenarioValue: null,
|
|
249
|
+
pnl: null,
|
|
250
|
+
targetIds: targetIdsFor(membership, targetAxis),
|
|
251
|
+
failedTargetIds,
|
|
252
|
+
reason,
|
|
253
|
+
};
|
|
254
|
+
}
|
|
255
|
+
|
|
256
|
+
function buildBaseRows(
|
|
257
|
+
memberships: readonly AggregateMembership[],
|
|
258
|
+
targetAxis: readonly ScenarioTargetAxisRow[],
|
|
259
|
+
base: readonly ScenarioBaseCell[],
|
|
260
|
+
reportingCurrency: string,
|
|
261
|
+
): readonly ScenarioAggregateRow[] {
|
|
262
|
+
const failedIndexes = new Set<number>();
|
|
263
|
+
for (let targetIndex = 0; targetIndex < base.length; targetIndex++) {
|
|
264
|
+
const cell = base[targetIndex]!;
|
|
265
|
+
if (cell.targetIndex !== targetIndex || cell.targetId !== targetAxis[targetIndex]!.id) {
|
|
266
|
+
aggregateShapeError(`base[${targetIndex}] does not match targetAxis[${targetIndex}].`);
|
|
267
|
+
}
|
|
268
|
+
if (cell.status !== 'complete') failedIndexes.add(targetIndex);
|
|
269
|
+
}
|
|
270
|
+
|
|
271
|
+
return memberships.map((membership) => {
|
|
272
|
+
if (membership.targetIndexes.some((targetIndex) => failedIndexes.has(targetIndex))) {
|
|
273
|
+
return incompleteRow(
|
|
274
|
+
membership,
|
|
275
|
+
targetAxis,
|
|
276
|
+
failedIndexes,
|
|
277
|
+
reportingCurrency,
|
|
278
|
+
INCOMPLETE_BASE_REASON,
|
|
279
|
+
);
|
|
280
|
+
}
|
|
281
|
+
const baseValue = finiteSum(
|
|
282
|
+
membership.targetIndexes.map((targetIndex) =>
|
|
283
|
+
requireFinite(
|
|
284
|
+
base[targetIndex]!.reportingPositionValue,
|
|
285
|
+
`base[${targetIndex}].reportingPositionValue`,
|
|
286
|
+
),
|
|
287
|
+
),
|
|
288
|
+
`${membership.group}:${membership.key}.baseValue`,
|
|
289
|
+
);
|
|
290
|
+
return {
|
|
291
|
+
group: membership.group,
|
|
292
|
+
key: membership.key,
|
|
293
|
+
reportingCurrency,
|
|
294
|
+
status: 'complete',
|
|
295
|
+
baseValue,
|
|
296
|
+
scenarioValue: baseValue,
|
|
297
|
+
pnl: 0,
|
|
298
|
+
targetIds: targetIdsFor(membership, targetAxis),
|
|
299
|
+
failedTargetIds: [],
|
|
300
|
+
} satisfies ScenarioAggregateRow;
|
|
301
|
+
});
|
|
302
|
+
}
|
|
303
|
+
|
|
304
|
+
function buildScenarioRows(
|
|
305
|
+
memberships: readonly AggregateMembership[],
|
|
306
|
+
targetAxis: readonly ScenarioTargetAxisRow[],
|
|
307
|
+
base: readonly ScenarioBaseCell[],
|
|
308
|
+
cells: readonly ScenarioCell[],
|
|
309
|
+
reportingCurrency: string,
|
|
310
|
+
): readonly ScenarioAggregateRow[] {
|
|
311
|
+
const failedIndexes = new Set<number>();
|
|
312
|
+
for (let targetIndex = 0; targetIndex < targetAxis.length; targetIndex++) {
|
|
313
|
+
if (base[targetIndex]!.status !== 'complete' || cells[targetIndex]!.status !== 'complete') {
|
|
314
|
+
failedIndexes.add(targetIndex);
|
|
315
|
+
}
|
|
316
|
+
}
|
|
317
|
+
|
|
318
|
+
return memberships.map((membership) => {
|
|
319
|
+
if (membership.targetIndexes.some((targetIndex) => failedIndexes.has(targetIndex))) {
|
|
320
|
+
return incompleteRow(
|
|
321
|
+
membership,
|
|
322
|
+
targetAxis,
|
|
323
|
+
failedIndexes,
|
|
324
|
+
reportingCurrency,
|
|
325
|
+
INCOMPLETE_SCENARIO_REASON,
|
|
326
|
+
);
|
|
327
|
+
}
|
|
328
|
+
const baseValue = finiteSum(
|
|
329
|
+
membership.targetIndexes.map((targetIndex) =>
|
|
330
|
+
requireFinite(
|
|
331
|
+
base[targetIndex]!.reportingPositionValue,
|
|
332
|
+
`base[${targetIndex}].reportingPositionValue`,
|
|
333
|
+
),
|
|
334
|
+
),
|
|
335
|
+
`${membership.group}:${membership.key}.baseValue`,
|
|
336
|
+
);
|
|
337
|
+
const scenarioValue = finiteSum(
|
|
338
|
+
membership.targetIndexes.map((targetIndex) =>
|
|
339
|
+
requireFinite(
|
|
340
|
+
cells[targetIndex]!.reportingPositionValue,
|
|
341
|
+
`scenarioCell[${targetIndex}].reportingPositionValue`,
|
|
342
|
+
),
|
|
343
|
+
),
|
|
344
|
+
`${membership.group}:${membership.key}.scenarioValue`,
|
|
345
|
+
);
|
|
346
|
+
const pnl = finiteSum(
|
|
347
|
+
membership.targetIndexes.map((targetIndex) =>
|
|
348
|
+
requireFinite(
|
|
349
|
+
cells[targetIndex]!.reportingPnl,
|
|
350
|
+
`scenarioCell[${targetIndex}].reportingPnl`,
|
|
351
|
+
),
|
|
352
|
+
),
|
|
353
|
+
`${membership.group}:${membership.key}.pnl`,
|
|
354
|
+
);
|
|
355
|
+
return {
|
|
356
|
+
group: membership.group,
|
|
357
|
+
key: membership.key,
|
|
358
|
+
reportingCurrency,
|
|
359
|
+
status: 'complete',
|
|
360
|
+
baseValue,
|
|
361
|
+
scenarioValue,
|
|
362
|
+
pnl,
|
|
363
|
+
targetIds: targetIdsFor(membership, targetAxis),
|
|
364
|
+
failedTargetIds: [],
|
|
365
|
+
} satisfies ScenarioAggregateRow;
|
|
366
|
+
});
|
|
367
|
+
}
|
|
368
|
+
|
|
369
|
+
/** Build all deterministic base/scenario aggregate families from the runner's flat result grid. */
|
|
370
|
+
export function buildScenarioAggregates(input: BuildScenarioAggregatesInput): ScenarioAggregates {
|
|
371
|
+
const targetCount = input.targets.length;
|
|
372
|
+
if (targetCount === 0) aggregateShapeError('targets must be non-empty.');
|
|
373
|
+
if (input.base.length !== targetCount) {
|
|
374
|
+
aggregateShapeError(`base length ${input.base.length} must equal target count ${targetCount}.`);
|
|
375
|
+
}
|
|
376
|
+
if (input.cells.length !== targetCount * input.scenarioAxis.length) {
|
|
377
|
+
aggregateShapeError(
|
|
378
|
+
`cells length ${input.cells.length} must equal targetCount * scenarioCount (${targetCount * input.scenarioAxis.length}).`,
|
|
379
|
+
);
|
|
380
|
+
}
|
|
381
|
+
|
|
382
|
+
const memberships = buildMemberships(input.targets);
|
|
383
|
+
const baseRows = buildBaseRows(memberships, input.targets, input.base, input.reportingCurrency);
|
|
384
|
+
const scenarios: ScenarioOutcomeAggregateSet[] = input.scenarioAxis.map((scenario, axisIndex) => {
|
|
385
|
+
if (scenario.scenarioIndex !== axisIndex) {
|
|
386
|
+
aggregateShapeError(
|
|
387
|
+
`scenarioAxis[${axisIndex}].scenarioIndex must equal its axis position ${axisIndex}.`,
|
|
388
|
+
);
|
|
389
|
+
}
|
|
390
|
+
const offset = axisIndex * targetCount;
|
|
391
|
+
const scenarioCells = input.cells.slice(offset, offset + targetCount);
|
|
392
|
+
for (let targetIndex = 0; targetIndex < targetCount; targetIndex++) {
|
|
393
|
+
const cell = scenarioCells[targetIndex]!;
|
|
394
|
+
if (
|
|
395
|
+
cell.targetIndex !== targetIndex ||
|
|
396
|
+
cell.targetId !== input.targets[targetIndex]!.id ||
|
|
397
|
+
cell.scenarioIndex !== axisIndex ||
|
|
398
|
+
cell.scenarioName !== scenario.name
|
|
399
|
+
) {
|
|
400
|
+
aggregateShapeError(
|
|
401
|
+
`cells[${offset + targetIndex}] does not match scenarioAxis[${axisIndex}] and targets[${targetIndex}].`,
|
|
402
|
+
);
|
|
403
|
+
}
|
|
404
|
+
}
|
|
405
|
+
return {
|
|
406
|
+
kind: 'scenario',
|
|
407
|
+
scenarioIndex: axisIndex,
|
|
408
|
+
scenarioName: scenario.name,
|
|
409
|
+
rows: buildScenarioRows(
|
|
410
|
+
memberships,
|
|
411
|
+
input.targets,
|
|
412
|
+
input.base,
|
|
413
|
+
scenarioCells,
|
|
414
|
+
input.reportingCurrency,
|
|
415
|
+
),
|
|
416
|
+
};
|
|
417
|
+
});
|
|
418
|
+
|
|
419
|
+
const result: ScenarioAggregates = {
|
|
420
|
+
base: {
|
|
421
|
+
kind: 'base',
|
|
422
|
+
scenarioIndex: null,
|
|
423
|
+
scenarioName: null,
|
|
424
|
+
rows: baseRows,
|
|
425
|
+
},
|
|
426
|
+
scenarios,
|
|
427
|
+
};
|
|
428
|
+
return deepFreezeDetached(result) as ScenarioAggregates;
|
|
429
|
+
}
|