@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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@@ -0,0 +1,192 @@
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1
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+
/**
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2
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+
* Probability & scenario metrics for a position (spec §12.6).
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3
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*
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4
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+
* The terminal underlying is modelled as lognormal with an explicit, echoed drift — risk-neutral
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5
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+
* (`r − q`) by default, or a real-world expected return. Probability of profit integrates that density
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6
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+
* over the strategy's profit regions; expected value uses the closed-form expected option intrinsic;
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7
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+
* probability of touch is the GBM first-passage probability to each breakeven.
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8
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+
*/
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9
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+
import { type Assumptions, type Computed, type EpochMs, type QuantWarning } from '../../core/dist/index.js';
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10
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+
import type { MarketSource } from './types.js';
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11
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+
export type ProbabilityMeasure = 'riskNeutral' | 'realWorld';
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12
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+
export interface ProbabilityInput {
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13
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+
/** Underlying spot price (WS3.2: renamed from `underlyingPrice` for workspace consistency). */
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14
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+
spot: number;
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15
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+
/** Snapshot time. Epoch ms, or an ISO date/datetime string parsed at the boundary. */
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16
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+
asOf: EpochMs | string;
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17
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+
expiry: string;
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18
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+
/** Annualized volatility of the terminal lognormal (e.g. the ATM implied vol). */
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19
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+
volatility: number;
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20
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+
riskFreeRate: number;
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21
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+
dividendYield?: number;
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22
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+
/** Terminal measure: `riskNeutral` (drift `r − q`, default) or `realWorld` (drift `expectedReturn − q`). */
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23
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+
measure?: ProbabilityMeasure;
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24
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+
/**
|
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25
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+
* Annualized expected return, the drift of the `realWorld` measure.
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26
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+
*
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27
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+
* **REQUIRED when `measure: 'realWorld'`, and rejected otherwise.** It used to default to
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* `riskFreeRate`, so `measure: 'realWorld'` with no expected return silently returned the
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* risk-neutral probabilities while `assumptions.probabilityModel.measure` still reported
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* `'realWorld'` — a result whose own echoed assumptions contradicted the number it carried.
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* Choosing the real-world measure IS choosing a drift, so the drift must be stated.
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*/
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expectedReturn?: number;
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}
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export interface TouchProbability {
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/** The breakeven price. */
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price: number;
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/** Probability the underlying touches it at any time before expiry (first passage). */
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probability: number;
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}
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/** The explicit probability model behind the metrics (echoed, per spec §12.6). */
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export interface ProbabilityModel {
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43
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measure: ProbabilityMeasure;
|
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44
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/** Annualized drift used for the terminal lognormal. */
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+
drift: number;
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+
/**
|
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+
* Representative annualized volatility. For a lognormal model this is the constant vol; for a
|
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+
* local-volatility model it is `σ_loc(spot, t)` at valuation (the path uses the full surface).
|
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+
*/
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+
volatility: number;
|
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/** Diffusion used: `lognormal` (constant vol) or `localVolatility` (smile-consistent Dupire surface). */
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+
volatilityModel: 'lognormal' | 'localVolatility';
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/** Time to expiry in years. */
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timeToExpiryYears: number;
|
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+
}
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+
export interface ProbabilityMetrics {
|
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/** Probability that expiration P&L is positive (sum of profit-region probabilities). */
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probabilityOfProfit: number;
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/** Expected expiration P&L under the model (closed-form expected intrinsic − premium per leg). */
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expectedValue: number;
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/**
|
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* Reward-to-risk ratio `|maxProfit / maxLoss|`, or `null` when it is undefined — an unbounded
|
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* profit, an unbounded loss, or a zero maximum loss — with the reason in `diagnostics.warnings`
|
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* (`strategy.risk_reward_undefined`). Never `Infinity` (B3).
|
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+
*/
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riskReward: number | null;
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/** Probability of touching each breakeven before expiry. */
|
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probabilityOfTouch: TouchProbability[];
|
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+
/**
|
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+
* Applied conventions, where the market fields came from (`assumptions.marketSource`, R5), and
|
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* the probability model echo (`assumptions.probabilityModel`) — R2: never hoisted to the top
|
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* level.
|
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+
*/
|
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|
+
assumptions: Assumptions<{
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+
marketSource: MarketSource;
|
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|
+
probabilityModel: ProbabilityModel;
|
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|
+
}>;
|
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78
|
+
/** Structured warnings — the undefined reward-to-risk reason rides here (empty otherwise). */
|
|
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+
diagnostics: {
|
|
80
|
+
warnings: QuantWarning[];
|
|
81
|
+
};
|
|
82
|
+
}
|
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83
|
+
export interface ProbabilityMonteCarloInput extends Omit<ProbabilityInput, 'volatility'> {
|
|
84
|
+
/**
|
|
85
|
+
* Annualized volatility of the constant-vol lognormal. Required unless {@link localVolatility} is supplied
|
|
86
|
+
* (a local-volatility path ignores it except as the model echo's representative vol).
|
|
87
|
+
*/
|
|
88
|
+
volatility?: number;
|
|
89
|
+
/**
|
|
90
|
+
* Optional Dupire local-volatility function `σ_loc(level, t)` (e.g. from
|
|
91
|
+
* `@insiderfinance/totalfinance/volatility`'s `surfaceLocalVolatility` or `@insiderfinance/totalfinance/options`'s `dupireLocalVolatility`). When provided, the
|
|
92
|
+
* simulation steps under local vol instead of a single lognormal σ, so probability-of-profit,
|
|
93
|
+
* expected P&L, and probability-of-touch all reflect the volatility smile/skew — the smile-aware
|
|
94
|
+
* multi-leg read. The function is evaluated at the price and time reached at each step.
|
|
95
|
+
*/
|
|
96
|
+
localVolatility?: (level: number, timeToExpiryYears: number) => number;
|
|
97
|
+
/** Seed for the deterministic PRNG (required — the simulation never reads the system clock). */
|
|
98
|
+
seed: number;
|
|
99
|
+
/** Number of simulated paths (default 50_000). */
|
|
100
|
+
paths?: number;
|
|
101
|
+
/** Monitoring steps per path for the probability-of-touch estimate (default 50). */
|
|
102
|
+
steps?: number;
|
|
103
|
+
/**
|
|
104
|
+
* Optional P&L quantiles to report (each in `(0, 1)`), forming an expiration profit "cone" from the
|
|
105
|
+
* simulated terminal distribution. E.g. `[0.05, 0.5, 0.95]` → 5th/50th/95th-percentile P&L.
|
|
106
|
+
*/
|
|
107
|
+
pnlQuantiles?: number[];
|
|
108
|
+
}
|
|
109
|
+
export interface ProbabilityMonteCarloMetrics {
|
|
110
|
+
/** Monte-Carlo probability of a positive expiration P&L. */
|
|
111
|
+
probabilityOfProfit: number;
|
|
112
|
+
/** Monte-Carlo expected expiration P&L. */
|
|
113
|
+
expectedValue: number;
|
|
114
|
+
/** Standard error of the expected-value estimate. */
|
|
115
|
+
expectedValueStandardError: number;
|
|
116
|
+
/**
|
|
117
|
+
* Probability of touching each breakeven before expiry, estimated from simulated paths with the
|
|
118
|
+
* Brownian-bridge continuous-monitoring correction (discrete sampling alone would under-count).
|
|
119
|
+
*/
|
|
120
|
+
probabilityOfTouch: TouchProbability[];
|
|
121
|
+
/** The probability model, echoed. */
|
|
122
|
+
/**
|
|
123
|
+
* Applied conventions, plus where the market fields came from — construction market, call site,
|
|
124
|
+
* or a merge (R5) — as `assumptions.marketSource` (R2: never hoisted to the top level).
|
|
125
|
+
*/
|
|
126
|
+
assumptions: Assumptions<{
|
|
127
|
+
marketSource: MarketSource;
|
|
128
|
+
probabilityModel: ProbabilityModel;
|
|
129
|
+
}>;
|
|
130
|
+
/** Number of paths simulated. */
|
|
131
|
+
paths: number;
|
|
132
|
+
/** The PRNG seed, echoed for reproducibility (stochastic-provenance rule, cf. `MonteCarloStatistics.seed`). */
|
|
133
|
+
seed: number;
|
|
134
|
+
/** Requested expiration-P&L quantiles (the profit cone), present only when `pnlQuantiles` was set. */
|
|
135
|
+
pnlQuantiles?: {
|
|
136
|
+
quantile: number;
|
|
137
|
+
pnl: number;
|
|
138
|
+
}[];
|
|
139
|
+
}
|
|
140
|
+
export interface TerminalDistributionInput {
|
|
141
|
+
spot: number;
|
|
142
|
+
strike: number;
|
|
143
|
+
/** Annualized drift. */
|
|
144
|
+
drift: number;
|
|
145
|
+
/** Annualized volatility as a decimal. */
|
|
146
|
+
volatility: number;
|
|
147
|
+
/** Time to expiry in years. */
|
|
148
|
+
timeToExpiryYears: number;
|
|
149
|
+
}
|
|
150
|
+
/** P(S_T ≤ strike) under a lognormal terminal distribution. */
|
|
151
|
+
export declare function terminalCdf(input: TerminalDistributionInput): number;
|
|
152
|
+
export interface ExpectedIntrinsicInput extends TerminalDistributionInput {
|
|
153
|
+
type: 'call' | 'put';
|
|
154
|
+
}
|
|
155
|
+
/** Undiscounted expected option intrinsic under the supplied terminal distribution. */
|
|
156
|
+
export declare function expectedIntrinsic(input: ExpectedIntrinsicInput): number;
|
|
157
|
+
export interface TouchProbabilityInput {
|
|
158
|
+
spot: number;
|
|
159
|
+
barrier: number;
|
|
160
|
+
/** Annualized drift. */
|
|
161
|
+
drift: number;
|
|
162
|
+
/** Annualized volatility as a decimal. */
|
|
163
|
+
volatility: number;
|
|
164
|
+
/** Monitoring horizon in years. */
|
|
165
|
+
timeToExpiryYears: number;
|
|
166
|
+
}
|
|
167
|
+
/** GBM first-passage probability of touching `barrier` before expiry. */
|
|
168
|
+
export declare function touchProbability(input: TouchProbabilityInput): number;
|
|
169
|
+
export interface ScenarioRow {
|
|
170
|
+
underlyingPrice: number;
|
|
171
|
+
/** Additive vol shock applied (decimal). */
|
|
172
|
+
volatilityShock: number;
|
|
173
|
+
/** Calendar days advanced from `asOf`. */
|
|
174
|
+
daysForward: number;
|
|
175
|
+
/** Mark-to-market P&L in this scenario. */
|
|
176
|
+
pnl: number;
|
|
177
|
+
delta: number;
|
|
178
|
+
gamma: number;
|
|
179
|
+
theta: number;
|
|
180
|
+
vega: number;
|
|
181
|
+
}
|
|
182
|
+
/**
|
|
183
|
+
* Result of `scenarioTable()` — the R2 one-envelope form: `value` is the grid rows, `assumptions`
|
|
184
|
+
* echoes the conventions plus `marketSource` (construction/call/merged, R5), and warnings ride
|
|
185
|
+
* `diagnostics.warnings` (WS3.7). A shocked volatility that lands at or below the 1e-6 floor is
|
|
186
|
+
* clamped rather than priced at a non-positive vol; when that happens the affected cells are
|
|
187
|
+
* flagged in the diagnostics instead of silently returning floor-vol numbers.
|
|
188
|
+
*/
|
|
189
|
+
export type ScenarioTableResult = Computed<ScenarioRow[], {
|
|
190
|
+
marketSource: MarketSource;
|
|
191
|
+
}>;
|
|
192
|
+
//# sourceMappingURL=probability.d.ts.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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|
|
@@ -0,0 +1,106 @@
|
|
|
1
|
+
/**
|
|
2
|
+
* Probability & scenario metrics for a position (spec §12.6).
|
|
3
|
+
*
|
|
4
|
+
* The terminal underlying is modelled as lognormal with an explicit, echoed drift — risk-neutral
|
|
5
|
+
* (`r − q`) by default, or a real-world expected return. Probability of profit integrates that density
|
|
6
|
+
* over the strategy's profit regions; expected value uses the closed-form expected option intrinsic;
|
|
7
|
+
* probability of touch is the GBM first-passage probability to each breakeven.
|
|
8
|
+
*/
|
|
9
|
+
import { ensureKnownKeys, ensureEnum, requireArgumentObject, requireFiniteFields, } from '../../core/dist/index.js';
|
|
10
|
+
import { normalCdf } from '../../math/dist/index.js';
|
|
11
|
+
/**
|
|
12
|
+
* The terminal-distribution fields, and what each one means to a caller who got it wrong.
|
|
13
|
+
*
|
|
14
|
+
* These functions all take an EARLY RETURN for degenerate inputs — zero volatility or zero time is
|
|
15
|
+
* the intrinsic-value limit, which is correct and documented. Validation has to run BEFORE those
|
|
16
|
+
* branches, because a MISSING field is not a degenerate value: with `spot` absent, `spot <= strike`
|
|
17
|
+
* is `undefined <= undefined` → false, and the function returned a confident `0` probability. A
|
|
18
|
+
* degenerate input has a right answer; an absent one does not.
|
|
19
|
+
*/
|
|
20
|
+
const TERMINAL_FIELDS = ['spot', 'strike', 'drift', 'volatility', 'timeToExpiryYears'];
|
|
21
|
+
const TOUCH_FIELDS = ['spot', 'barrier', 'drift', 'volatility', 'timeToExpiryYears'];
|
|
22
|
+
/**
|
|
23
|
+
* ONE EXAMPLE PER BOUNDARY, not per file.
|
|
24
|
+
*
|
|
25
|
+
* A single file-level example told a caller who omitted `touchProbability`'s `barrier` to write
|
|
26
|
+
* `terminalCdf({ … strike … })` — a different function, without the field they were missing. An
|
|
27
|
+
* example that does not correct the failing call is worse than none: it looks authoritative and
|
|
28
|
+
* sends the reader somewhere else.
|
|
29
|
+
*/
|
|
30
|
+
const TERMINAL_CDF_EXAMPLE_CALL = 'terminalCdf({ spot: 100, strike: 105, drift: 0.04, volatility: 0.2, timeToExpiryYears: 0.25 })';
|
|
31
|
+
const EXPECTED_INTRINSIC_EXAMPLE_CALL = "expectedIntrinsic({ type: 'call', spot: 100, strike: 105, drift: 0.04, volatility: 0.2, " +
|
|
32
|
+
'timeToExpiryYears: 0.25 })';
|
|
33
|
+
const TOUCH_PROBABILITY_EXAMPLE_CALL = 'touchProbability({ spot: 100, barrier: 110, drift: 0.04, volatility: 0.2, ' +
|
|
34
|
+
'timeToExpiryYears: 0.25 })';
|
|
35
|
+
const PROBABILITY_HINTS = {
|
|
36
|
+
drift: 'annualized; use riskFreeRate - dividendYield for risk-neutral',
|
|
37
|
+
volatility: 'annualized decimal, not 20',
|
|
38
|
+
barrier: 'the level being touched',
|
|
39
|
+
timeToExpiryYears: 'in years',
|
|
40
|
+
};
|
|
41
|
+
/** P(S_T ≤ strike) under a lognormal terminal distribution. */
|
|
42
|
+
export function terminalCdf(input) {
|
|
43
|
+
requireArgumentObject('terminalCdf', 'input', input);
|
|
44
|
+
ensureKnownKeys('terminalCdf', 'input', input, TERMINAL_FIELDS);
|
|
45
|
+
requireFiniteFields('terminalCdf', input, TERMINAL_FIELDS, {
|
|
46
|
+
exampleCall: TERMINAL_CDF_EXAMPLE_CALL,
|
|
47
|
+
hints: PROBABILITY_HINTS,
|
|
48
|
+
});
|
|
49
|
+
const { spot, strike, drift, volatility, timeToExpiryYears } = input;
|
|
50
|
+
if (!(timeToExpiryYears > 0) || !(volatility > 0))
|
|
51
|
+
return spot <= strike ? 1 : 0;
|
|
52
|
+
if (!(strike > 0))
|
|
53
|
+
return 0;
|
|
54
|
+
const d2 = (Math.log(spot / strike) + (drift - 0.5 * volatility * volatility) * timeToExpiryYears) /
|
|
55
|
+
(volatility * Math.sqrt(timeToExpiryYears));
|
|
56
|
+
return normalCdf(-d2);
|
|
57
|
+
}
|
|
58
|
+
/** Undiscounted expected option intrinsic under the supplied terminal distribution. */
|
|
59
|
+
export function expectedIntrinsic(input) {
|
|
60
|
+
requireArgumentObject('expectedIntrinsic', 'input', input);
|
|
61
|
+
// Law 12: a `strkie` typo must teach, never silently price intrinsic against undefined.
|
|
62
|
+
ensureKnownKeys('expectedIntrinsic', 'input', input, ['type', ...TERMINAL_FIELDS]);
|
|
63
|
+
ensureEnum(input.type, ['call', 'put'], 'type', 'expectedIntrinsic');
|
|
64
|
+
requireFiniteFields('expectedIntrinsic', input, TERMINAL_FIELDS, {
|
|
65
|
+
exampleCall: EXPECTED_INTRINSIC_EXAMPLE_CALL,
|
|
66
|
+
hints: PROBABILITY_HINTS,
|
|
67
|
+
});
|
|
68
|
+
const { type, spot, strike, drift, volatility, timeToExpiryYears } = input;
|
|
69
|
+
if (!(timeToExpiryYears > 0) || !(volatility > 0)) {
|
|
70
|
+
return type === 'call' ? Math.max(spot - strike, 0) : Math.max(strike - spot, 0);
|
|
71
|
+
}
|
|
72
|
+
const fwd = spot * Math.exp(drift * timeToExpiryYears);
|
|
73
|
+
const d1 = (Math.log(spot / strike) + (drift + 0.5 * volatility * volatility) * timeToExpiryYears) /
|
|
74
|
+
(volatility * Math.sqrt(timeToExpiryYears));
|
|
75
|
+
const d2 = d1 - volatility * Math.sqrt(timeToExpiryYears);
|
|
76
|
+
return type === 'call'
|
|
77
|
+
? fwd * normalCdf(d1) - strike * normalCdf(d2)
|
|
78
|
+
: strike * normalCdf(-d2) - fwd * normalCdf(-d1);
|
|
79
|
+
}
|
|
80
|
+
/** GBM first-passage probability of touching `barrier` before expiry. */
|
|
81
|
+
export function touchProbability(input) {
|
|
82
|
+
requireArgumentObject('touchProbability', 'input', input);
|
|
83
|
+
ensureKnownKeys('touchProbability', 'input', input, TOUCH_FIELDS);
|
|
84
|
+
requireFiniteFields('touchProbability', input, TOUCH_FIELDS, {
|
|
85
|
+
exampleCall: TOUCH_PROBABILITY_EXAMPLE_CALL,
|
|
86
|
+
hints: PROBABILITY_HINTS,
|
|
87
|
+
});
|
|
88
|
+
const { spot, barrier, drift, volatility, timeToExpiryYears } = input;
|
|
89
|
+
if (!(timeToExpiryYears > 0) || !(volatility > 0) || !(barrier > 0)) {
|
|
90
|
+
return spot === barrier ? 1 : 0;
|
|
91
|
+
}
|
|
92
|
+
if (barrier === spot)
|
|
93
|
+
return 1;
|
|
94
|
+
const nu = drift - 0.5 * volatility * volatility;
|
|
95
|
+
const sigT = volatility * Math.sqrt(timeToExpiryYears);
|
|
96
|
+
const a = Math.log(barrier / spot);
|
|
97
|
+
const p = barrier > spot
|
|
98
|
+
? normalCdf((-a + nu * timeToExpiryYears) / sigT) +
|
|
99
|
+
Math.exp((2 * nu * a) / (volatility * volatility)) *
|
|
100
|
+
normalCdf((-a - nu * timeToExpiryYears) / sigT)
|
|
101
|
+
: normalCdf((a - nu * timeToExpiryYears) / sigT) +
|
|
102
|
+
Math.exp((2 * nu * a) / (volatility * volatility)) *
|
|
103
|
+
normalCdf((a + nu * timeToExpiryYears) / sigT);
|
|
104
|
+
return Math.min(1, Math.max(0, p));
|
|
105
|
+
}
|
|
106
|
+
//# sourceMappingURL=probability.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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|
|
@@ -0,0 +1,147 @@
|
|
|
1
|
+
/**
|
|
2
|
+
* Strategy scanner / optimizer (spec §12, product review §1). Enumerate the classic defined-risk
|
|
3
|
+
* option structures over a strike grid, score each with the existing closed-form probability/payoff
|
|
4
|
+
* metrics (probability of profit, expected value, max profit/loss, return-on-risk, a bid/ask liquidity
|
|
5
|
+
* score), filter, and rank by a chosen objective. Pure and clock-free: it prices any missing leg
|
|
6
|
+
* premiums off an explicit `volatility`/`smile` via Black–Scholes and takes an injected valuation date.
|
|
7
|
+
*
|
|
8
|
+
* The scanner reuses the same `Position` engine a hand-built strategy uses, so a ranked candidate's
|
|
9
|
+
* metrics are identical to constructing that structure directly — this is a search over structures,
|
|
10
|
+
* not a second pricing path.
|
|
11
|
+
*/
|
|
12
|
+
import { type Diagnostics, type EpochMs } from '../../core/dist/index.js';
|
|
13
|
+
import type { Leg } from './types.js';
|
|
14
|
+
/** The structures the scanner can enumerate (all single-expiry, defined-risk or long-premium). */
|
|
15
|
+
export type ScanStructure = 'bullCallSpread' | 'bearCallSpread' | 'bullPutSpread' | 'bearPutSpread' | 'ironCondor' | 'ironButterfly' | 'longCallButterfly' | 'longPutButterfly' | 'straddle' | 'strangle';
|
|
16
|
+
/** One strike's market data. `call`/`put` are mid premiums; bid/ask feed the liquidity score. */
|
|
17
|
+
export interface ScanQuoteRow {
|
|
18
|
+
strike: number;
|
|
19
|
+
/** Call mid premium. If omitted, priced from `volatility`/`smile` via Black–Scholes. */
|
|
20
|
+
call?: number;
|
|
21
|
+
/** Put mid premium. If omitted, priced from `volatility`/`smile` via Black–Scholes. */
|
|
22
|
+
put?: number;
|
|
23
|
+
callBid?: number;
|
|
24
|
+
callAsk?: number;
|
|
25
|
+
putBid?: number;
|
|
26
|
+
putAsk?: number;
|
|
27
|
+
}
|
|
28
|
+
/**
|
|
29
|
+
* Every ranking objective a scan accepts, as DATA — the single source the type, the runtime guard and
|
|
30
|
+
* the error message are all derived from.
|
|
31
|
+
*
|
|
32
|
+
* RV11 — these were three copies: a hand-written union here, a hand-written array in `optimizer.ts`,
|
|
33
|
+
* and a third hand-written list inside the error string. The string copy drifted and kept teaching
|
|
34
|
+
* `pop|ev` after both were renamed, because plain prose is invisible to a rename of the quoted
|
|
35
|
+
* literals. One tuple, and `.join(', ')` for the message, is what makes that impossible rather than
|
|
36
|
+
* merely fixed.
|
|
37
|
+
*
|
|
38
|
+
* `'return'` became `'returnOnRisk'` in the same pass: it ranked by `returnOnRisk` and the candidate
|
|
39
|
+
* output already called that number `returnOnRisk`, so one quantity carried two public names.
|
|
40
|
+
*/
|
|
41
|
+
export declare const SCAN_OBJECTIVES: readonly ["probabilityOfProfit", "expectedValue", "returnOnRisk", "expectedValuePerRisk"];
|
|
42
|
+
/** Ranking objective; `expectedValuePerRisk` (expected value ÷ max loss) is the default. */
|
|
43
|
+
export type ScanObjective = (typeof SCAN_OBJECTIVES)[number];
|
|
44
|
+
export interface ScanOptions {
|
|
45
|
+
/** Underlying spot price (WS3.2: renamed from `underlyingPrice` for workspace consistency). */
|
|
46
|
+
spot: number;
|
|
47
|
+
/**
|
|
48
|
+
* Valuation instant. Epoch ms or a zoned ISO datetime, resolved at the boundary by core's
|
|
49
|
+
* `resolveValuationAsOf` — the ONE valuation-instant grammar shared by `Position.probability()`,
|
|
50
|
+
* the what-if cube and every other pricing boundary. A bare date is refused: a 0DTE's value
|
|
51
|
+
* depends on the time of day.
|
|
52
|
+
*/
|
|
53
|
+
asOf: EpochMs | string;
|
|
54
|
+
/** Option expiry (`YYYY-MM-DD` → 16:00 ET, or a full datetime). */
|
|
55
|
+
expiry: string;
|
|
56
|
+
riskFreeRate: number;
|
|
57
|
+
dividendYield?: number;
|
|
58
|
+
/** The option chain — one row per strike, ascending or not (sorted internally). */
|
|
59
|
+
chain: ScanQuoteRow[];
|
|
60
|
+
/** Constant annualized volatility used for probabilityOfProfit / expectedValue scoring and to price any missing premiums. */
|
|
61
|
+
volatility?: number;
|
|
62
|
+
/**
|
|
63
|
+
* Per-strike implied-volatility smile. Used to price any missing per-strike premiums (takes
|
|
64
|
+
* precedence over `volatility`). **Scoring uses a SINGLE volatility:** `probabilityOfProfit` and
|
|
65
|
+
* `expectedValue` are computed closed-form at the at-spot volatility `smile(spot)` (or
|
|
66
|
+
* `volatility`), not the full smile — for smile-consistent probabilities, price a specific structure
|
|
67
|
+
* with `Position.monteCarloProbability({ localVolatility })`.
|
|
68
|
+
*/
|
|
69
|
+
smile?: (strike: number) => number;
|
|
70
|
+
/** Which structures to enumerate (default: all). */
|
|
71
|
+
structures?: ScanStructure[];
|
|
72
|
+
/** Cap on the width (strike distance) of any single wing/spread, in price units. */
|
|
73
|
+
maxWidth?: number;
|
|
74
|
+
/** Keep only candidates with probability-of-profit ≥ this. */
|
|
75
|
+
minProbabilityOfProfit?: number;
|
|
76
|
+
/** Keep only candidates whose max loss ≤ this (in the position's P&L units — per contract, 100×). */
|
|
77
|
+
maxRisk?: number;
|
|
78
|
+
/** Ranking objective (default `expectedValuePerRisk`). */
|
|
79
|
+
rankBy?: ScanObjective;
|
|
80
|
+
/** Return only the top-N ranked candidates (default 25). */
|
|
81
|
+
top?: number;
|
|
82
|
+
}
|
|
83
|
+
export interface ScanCandidate {
|
|
84
|
+
structure: ScanStructure;
|
|
85
|
+
/** The structure's strikes, ascending. */
|
|
86
|
+
strikes: number[];
|
|
87
|
+
/** Net debit (> 0 paid) or credit (< 0 received), PER CONTRACT (multiplier-scaled, 100×) — the
|
|
88
|
+
* same units as `maxProfit`/`maxLoss`/`expectedValue` and `Position.netDebit()`. */
|
|
89
|
+
netDebit: number;
|
|
90
|
+
/** Max profit / max loss / expected value are per contract (100× multiplier, as in `Position`). */
|
|
91
|
+
maxProfit: number | null;
|
|
92
|
+
maxLoss: number | null;
|
|
93
|
+
/** Whether each tail of the expiration payoff is bounded (a `null` bound above is unbounded). */
|
|
94
|
+
bounded: {
|
|
95
|
+
profit: boolean;
|
|
96
|
+
loss: boolean;
|
|
97
|
+
};
|
|
98
|
+
breakevens: number[];
|
|
99
|
+
probabilityOfProfit: number;
|
|
100
|
+
expectedValue: number;
|
|
101
|
+
/**
|
|
102
|
+
* `|maxProfit / maxLoss|` — the same definition as `Position.probability().riskReward` — or
|
|
103
|
+
* `null` when undefined (an unbounded side or a zero max loss). Never `Infinity` (B3).
|
|
104
|
+
*/
|
|
105
|
+
returnOnRisk: number | null;
|
|
106
|
+
/** `expectedValue / |maxLoss|` — a risk-normalized EV; 0 when risk is unbounded. */
|
|
107
|
+
expectedValuePerRisk: number;
|
|
108
|
+
/** Liquidity in `[0, 1]` from the legs' relative bid/ask spreads (1 = tight), null if unpriced. */
|
|
109
|
+
liquidity: number | null;
|
|
110
|
+
/** The value of the ranking objective for this candidate; `null` when the objective is undefined for it. */
|
|
111
|
+
score: number | null;
|
|
112
|
+
/**
|
|
113
|
+
* The resolved legs (premiums included, whatever their source), so every candidate is
|
|
114
|
+
* MATERIALIZABLE (WS7.3): `strategy(candidate.legs)` reconstructs the exact position for charting or
|
|
115
|
+
* mark-to-market, and `strategy(candidate.legs).metrics()` reproduces the reported payoff metrics.
|
|
116
|
+
*/
|
|
117
|
+
legs: Leg[];
|
|
118
|
+
}
|
|
119
|
+
/**
|
|
120
|
+
* The scan report (Law 2 report grammar): the ranked candidates plus the applied conventions
|
|
121
|
+
* (`assumptions`) and a warnings channel (`diagnostics`).
|
|
122
|
+
*/
|
|
123
|
+
export interface ScanResult {
|
|
124
|
+
/** The top-N candidates by the ranking objective, descending, each fully metric'd. */
|
|
125
|
+
candidates: ScanCandidate[];
|
|
126
|
+
/** Applied conventions, echoed (Law 2 report grammar). */
|
|
127
|
+
assumptions: {
|
|
128
|
+
conventionsVersion: string;
|
|
129
|
+
dayCount: 'ACT/365F';
|
|
130
|
+
/** The ranking objective that produced the order (and each candidate's `score`). */
|
|
131
|
+
rankBy: ScanObjective;
|
|
132
|
+
/** The structures that were enumerated. */
|
|
133
|
+
structures: ScanStructure[];
|
|
134
|
+
/** Year fraction to the scanned expiry. */
|
|
135
|
+
timeToExpiryYears: number;
|
|
136
|
+
/** The single at-spot volatility that `probabilityOfProfit`/`expectedValue` are scored at (see the `smile` doc). */
|
|
137
|
+
scoringVolatility: number;
|
|
138
|
+
};
|
|
139
|
+
/** Structured warnings; always present (possibly empty). */
|
|
140
|
+
diagnostics: Diagnostics;
|
|
141
|
+
}
|
|
142
|
+
/**
|
|
143
|
+
* Enumerate, score, and rank option structures over a strike grid. `candidates` carries the top-N
|
|
144
|
+
* by the chosen objective, each with the full payoff/probability metrics.
|
|
145
|
+
*/
|
|
146
|
+
export declare function scanStrategies(options: ScanOptions): ScanResult;
|
|
147
|
+
//# sourceMappingURL=scanner.d.ts.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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