@insiderfinance/totalfinance 0.1.0

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Files changed (2495) hide show
  1. package/LICENSE +201 -0
  2. package/README.md +339 -0
  3. package/STABILITY.md +23 -0
  4. package/modules/backtest/dist/artifacts.d.ts +23 -0
  5. package/modules/backtest/dist/artifacts.d.ts.map +1 -0
  6. package/modules/backtest/dist/artifacts.js +22 -0
  7. package/modules/backtest/dist/artifacts.js.map +1 -0
  8. package/modules/backtest/dist/broker.d.ts +265 -0
  9. package/modules/backtest/dist/broker.d.ts.map +1 -0
  10. package/modules/backtest/dist/broker.js +1228 -0
  11. package/modules/backtest/dist/broker.js.map +1 -0
  12. package/modules/backtest/dist/costs.d.ts +67 -0
  13. package/modules/backtest/dist/costs.d.ts.map +1 -0
  14. package/modules/backtest/dist/costs.js +171 -0
  15. package/modules/backtest/dist/costs.js.map +1 -0
  16. package/modules/backtest/dist/cross-sectional/engine.d.ts +21 -0
  17. package/modules/backtest/dist/cross-sectional/engine.d.ts.map +1 -0
  18. package/modules/backtest/dist/cross-sectional/engine.js +1399 -0
  19. package/modules/backtest/dist/cross-sectional/engine.js.map +1 -0
  20. package/modules/backtest/dist/cross-sectional/folds.d.ts +134 -0
  21. package/modules/backtest/dist/cross-sectional/folds.d.ts.map +1 -0
  22. package/modules/backtest/dist/cross-sectional/folds.js +375 -0
  23. package/modules/backtest/dist/cross-sectional/folds.js.map +1 -0
  24. package/modules/backtest/dist/cross-sectional/grid.d.ts +142 -0
  25. package/modules/backtest/dist/cross-sectional/grid.d.ts.map +1 -0
  26. package/modules/backtest/dist/cross-sectional/grid.js +394 -0
  27. package/modules/backtest/dist/cross-sectional/grid.js.map +1 -0
  28. package/modules/backtest/dist/cross-sectional/index.d.ts +18 -0
  29. package/modules/backtest/dist/cross-sectional/index.d.ts.map +1 -0
  30. package/modules/backtest/dist/cross-sectional/index.js +15 -0
  31. package/modules/backtest/dist/cross-sectional/index.js.map +1 -0
  32. package/modules/backtest/dist/cross-sectional/types.d.ts +331 -0
  33. package/modules/backtest/dist/cross-sectional/types.d.ts.map +1 -0
  34. package/modules/backtest/dist/cross-sectional/types.js +12 -0
  35. package/modules/backtest/dist/cross-sectional/types.js.map +1 -0
  36. package/modules/backtest/dist/cross-sectional/validate.d.ts +22 -0
  37. package/modules/backtest/dist/cross-sectional/validate.d.ts.map +1 -0
  38. package/modules/backtest/dist/cross-sectional/validate.js +489 -0
  39. package/modules/backtest/dist/cross-sectional/validate.js.map +1 -0
  40. package/modules/backtest/dist/diagnostics.d.ts +16 -0
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  42. package/modules/backtest/dist/diagnostics.js +63 -0
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  44. package/modules/backtest/dist/environment/bench.d.ts +34 -0
  45. package/modules/backtest/dist/environment/bench.d.ts.map +1 -0
  46. package/modules/backtest/dist/environment/bench.js +724 -0
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  48. package/modules/backtest/dist/environment/environment.d.ts +5 -0
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  50. package/modules/backtest/dist/environment/environment.js +618 -0
  51. package/modules/backtest/dist/environment/environment.js.map +1 -0
  52. package/modules/backtest/dist/environment/episode.d.ts +4 -0
  53. package/modules/backtest/dist/environment/episode.d.ts.map +1 -0
  54. package/modules/backtest/dist/environment/episode.js +121 -0
  55. package/modules/backtest/dist/environment/episode.js.map +1 -0
  56. package/modules/backtest/dist/environment/episodes.d.ts +14 -0
  57. package/modules/backtest/dist/environment/episodes.d.ts.map +1 -0
  58. package/modules/backtest/dist/environment/episodes.js +644 -0
  59. package/modules/backtest/dist/environment/episodes.js.map +1 -0
  60. package/modules/backtest/dist/environment/features.d.ts +31 -0
  61. package/modules/backtest/dist/environment/features.d.ts.map +1 -0
  62. package/modules/backtest/dist/environment/features.js +157 -0
  63. package/modules/backtest/dist/environment/features.js.map +1 -0
  64. package/modules/backtest/dist/environment/index.d.ts +14 -0
  65. package/modules/backtest/dist/environment/index.d.ts.map +1 -0
  66. package/modules/backtest/dist/environment/index.js +12 -0
  67. package/modules/backtest/dist/environment/index.js.map +1 -0
  68. package/modules/backtest/dist/environment/limits.d.ts +63 -0
  69. package/modules/backtest/dist/environment/limits.d.ts.map +1 -0
  70. package/modules/backtest/dist/environment/limits.js +253 -0
  71. package/modules/backtest/dist/environment/limits.js.map +1 -0
  72. package/modules/backtest/dist/environment/reward.d.ts +5 -0
  73. package/modules/backtest/dist/environment/reward.d.ts.map +1 -0
  74. package/modules/backtest/dist/environment/reward.js +80 -0
  75. package/modules/backtest/dist/environment/reward.js.map +1 -0
  76. package/modules/backtest/dist/environment/types.d.ts +540 -0
  77. package/modules/backtest/dist/environment/types.d.ts.map +1 -0
  78. package/modules/backtest/dist/environment/types.js +2 -0
  79. package/modules/backtest/dist/environment/types.js.map +1 -0
  80. package/modules/backtest/dist/environment/validate.d.ts +23 -0
  81. package/modules/backtest/dist/environment/validate.d.ts.map +1 -0
  82. package/modules/backtest/dist/environment/validate.js +264 -0
  83. package/modules/backtest/dist/environment/validate.js.map +1 -0
  84. package/modules/backtest/dist/event-driven.d.ts +111 -0
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  86. package/modules/backtest/dist/event-driven.js +325 -0
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  88. package/modules/backtest/dist/execution/conformance.d.ts +33 -0
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  91. package/modules/backtest/dist/execution/conformance.js.map +1 -0
  92. package/modules/backtest/dist/execution/fill-models.d.ts +35 -0
  93. package/modules/backtest/dist/execution/fill-models.d.ts.map +1 -0
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  95. package/modules/backtest/dist/execution/fill-models.js.map +1 -0
  96. package/modules/backtest/dist/execution/fill-order.d.ts +55 -0
  97. package/modules/backtest/dist/execution/fill-order.d.ts.map +1 -0
  98. package/modules/backtest/dist/execution/fill-order.js +156 -0
  99. package/modules/backtest/dist/execution/fill-order.js.map +1 -0
  100. package/modules/backtest/dist/execution/index.d.ts +33 -0
  101. package/modules/backtest/dist/execution/index.d.ts.map +1 -0
  102. package/modules/backtest/dist/execution/index.js +27 -0
  103. package/modules/backtest/dist/execution/index.js.map +1 -0
  104. package/modules/backtest/dist/execution/intrabar.d.ts +46 -0
  105. package/modules/backtest/dist/execution/intrabar.d.ts.map +1 -0
  106. package/modules/backtest/dist/execution/intrabar.js +130 -0
  107. package/modules/backtest/dist/execution/intrabar.js.map +1 -0
  108. package/modules/backtest/dist/execution/normalized.d.ts +56 -0
  109. package/modules/backtest/dist/execution/normalized.d.ts.map +1 -0
  110. package/modules/backtest/dist/execution/normalized.js +154 -0
  111. package/modules/backtest/dist/execution/normalized.js.map +1 -0
  112. package/modules/backtest/dist/execution/policy.d.ts +84 -0
  113. package/modules/backtest/dist/execution/policy.d.ts.map +1 -0
  114. package/modules/backtest/dist/execution/policy.js +341 -0
  115. package/modules/backtest/dist/execution/policy.js.map +1 -0
  116. package/modules/backtest/dist/execution/types.d.ts +217 -0
  117. package/modules/backtest/dist/execution/types.d.ts.map +1 -0
  118. package/modules/backtest/dist/execution/types.js +8 -0
  119. package/modules/backtest/dist/execution/types.js.map +1 -0
  120. package/modules/backtest/dist/execution/validate.d.ts +35 -0
  121. package/modules/backtest/dist/execution/validate.d.ts.map +1 -0
  122. package/modules/backtest/dist/execution/validate.js +666 -0
  123. package/modules/backtest/dist/execution/validate.js.map +1 -0
  124. package/modules/backtest/dist/generated/validation-specs.d.ts +12 -0
  125. package/modules/backtest/dist/generated/validation-specs.d.ts.map +1 -0
  126. package/modules/backtest/dist/generated/validation-specs.js +1129 -0
  127. package/modules/backtest/dist/generated/validation-specs.js.map +1 -0
  128. package/modules/backtest/dist/index.d.ts +33 -0
  129. package/modules/backtest/dist/index.d.ts.map +1 -0
  130. package/modules/backtest/dist/index.js +28 -0
  131. package/modules/backtest/dist/index.js.map +1 -0
  132. package/modules/backtest/dist/options/chain.d.ts +68 -0
  133. package/modules/backtest/dist/options/chain.d.ts.map +1 -0
  134. package/modules/backtest/dist/options/chain.js +303 -0
  135. package/modules/backtest/dist/options/chain.js.map +1 -0
  136. package/modules/backtest/dist/options/engine.d.ts +28 -0
  137. package/modules/backtest/dist/options/engine.d.ts.map +1 -0
  138. package/modules/backtest/dist/options/engine.js +1859 -0
  139. package/modules/backtest/dist/options/engine.js.map +1 -0
  140. package/modules/backtest/dist/options/index.d.ts +23 -0
  141. package/modules/backtest/dist/options/index.d.ts.map +1 -0
  142. package/modules/backtest/dist/options/index.js +21 -0
  143. package/modules/backtest/dist/options/index.js.map +1 -0
  144. package/modules/backtest/dist/options/tearsheet.d.ts +77 -0
  145. package/modules/backtest/dist/options/tearsheet.d.ts.map +1 -0
  146. package/modules/backtest/dist/options/tearsheet.js +205 -0
  147. package/modules/backtest/dist/options/tearsheet.js.map +1 -0
  148. package/modules/backtest/dist/options/types.d.ts +571 -0
  149. package/modules/backtest/dist/options/types.d.ts.map +1 -0
  150. package/modules/backtest/dist/options/types.js +19 -0
  151. package/modules/backtest/dist/options/types.js.map +1 -0
  152. package/modules/backtest/dist/paper/index.d.ts +13 -0
  153. package/modules/backtest/dist/paper/index.d.ts.map +1 -0
  154. package/modules/backtest/dist/paper/index.js +12 -0
  155. package/modules/backtest/dist/paper/index.js.map +1 -0
  156. package/modules/backtest/dist/paper/paper.d.ts +8 -0
  157. package/modules/backtest/dist/paper/paper.d.ts.map +1 -0
  158. package/modules/backtest/dist/paper/paper.js +950 -0
  159. package/modules/backtest/dist/paper/paper.js.map +1 -0
  160. package/modules/backtest/dist/paper/types.d.ts +190 -0
  161. package/modules/backtest/dist/paper/types.d.ts.map +1 -0
  162. package/modules/backtest/dist/paper/types.js +3 -0
  163. package/modules/backtest/dist/paper/types.js.map +1 -0
  164. package/modules/backtest/dist/paper/validate.d.ts +9 -0
  165. package/modules/backtest/dist/paper/validate.d.ts.map +1 -0
  166. package/modules/backtest/dist/paper/validate.js +112 -0
  167. package/modules/backtest/dist/paper/validate.js.map +1 -0
  168. package/modules/backtest/dist/portfolio/adapters.d.ts +37 -0
  169. package/modules/backtest/dist/portfolio/adapters.d.ts.map +1 -0
  170. package/modules/backtest/dist/portfolio/adapters.js +555 -0
  171. package/modules/backtest/dist/portfolio/adapters.js.map +1 -0
  172. package/modules/backtest/dist/portfolio/engine.d.ts +35 -0
  173. package/modules/backtest/dist/portfolio/engine.d.ts.map +1 -0
  174. package/modules/backtest/dist/portfolio/engine.js +1300 -0
  175. package/modules/backtest/dist/portfolio/engine.js.map +1 -0
  176. package/modules/backtest/dist/portfolio/index.d.ts +12 -0
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  180. package/modules/backtest/dist/portfolio/types.d.ts +418 -0
  181. package/modules/backtest/dist/portfolio/types.d.ts.map +1 -0
  182. package/modules/backtest/dist/portfolio/types.js +8 -0
  183. package/modules/backtest/dist/portfolio/types.js.map +1 -0
  184. package/modules/backtest/dist/portfolio/validate.d.ts +26 -0
  185. package/modules/backtest/dist/portfolio/validate.d.ts.map +1 -0
  186. package/modules/backtest/dist/portfolio/validate.js +556 -0
  187. package/modules/backtest/dist/portfolio/validate.js.map +1 -0
  188. package/modules/backtest/dist/run-artifacts.d.ts +425 -0
  189. package/modules/backtest/dist/run-artifacts.d.ts.map +1 -0
  190. package/modules/backtest/dist/run-artifacts.js +1843 -0
  191. package/modules/backtest/dist/run-artifacts.js.map +1 -0
  192. package/modules/backtest/dist/signals.d.ts +110 -0
  193. package/modules/backtest/dist/signals.d.ts.map +1 -0
  194. package/modules/backtest/dist/signals.js +207 -0
  195. package/modules/backtest/dist/signals.js.map +1 -0
  196. package/modules/backtest/dist/tearsheet.d.ts +126 -0
  197. package/modules/backtest/dist/tearsheet.d.ts.map +1 -0
  198. package/modules/backtest/dist/tearsheet.js +266 -0
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  200. package/modules/backtest/dist/types.d.ts +175 -0
  201. package/modules/backtest/dist/types.d.ts.map +1 -0
  202. package/modules/backtest/dist/types.js +29 -0
  203. package/modules/backtest/dist/types.js.map +1 -0
  204. package/modules/backtest/dist/validate.d.ts +13 -0
  205. package/modules/backtest/dist/validate.d.ts.map +1 -0
  206. package/modules/backtest/dist/validate.js +37 -0
  207. package/modules/backtest/dist/validate.js.map +1 -0
  208. package/modules/backtest/dist/vectorized.d.ts +53 -0
  209. package/modules/backtest/dist/vectorized.d.ts.map +1 -0
  210. package/modules/backtest/dist/vectorized.js +383 -0
  211. package/modules/backtest/dist/vectorized.js.map +1 -0
  212. package/modules/backtest/dist/walk-forward.d.ts +57 -0
  213. package/modules/backtest/dist/walk-forward.d.ts.map +1 -0
  214. package/modules/backtest/dist/walk-forward.js +125 -0
  215. package/modules/backtest/dist/walk-forward.js.map +1 -0
  216. package/modules/backtest/etc/backtest.api.md +139 -0
  217. package/modules/backtest/src/artifacts.ts +54 -0
  218. package/modules/backtest/src/broker.ts +1529 -0
  219. package/modules/backtest/src/costs.ts +225 -0
  220. package/modules/backtest/src/cross-sectional/engine.ts +1608 -0
  221. package/modules/backtest/src/cross-sectional/folds.ts +718 -0
  222. package/modules/backtest/src/cross-sectional/grid.ts +646 -0
  223. package/modules/backtest/src/cross-sectional/index.ts +76 -0
  224. package/modules/backtest/src/cross-sectional/types.ts +363 -0
  225. package/modules/backtest/src/cross-sectional/validate.ts +906 -0
  226. package/modules/backtest/src/diagnostics.ts +66 -0
  227. package/modules/backtest/src/environment/bench.ts +1022 -0
  228. package/modules/backtest/src/environment/environment.ts +766 -0
  229. package/modules/backtest/src/environment/episode.ts +146 -0
  230. package/modules/backtest/src/environment/episodes.ts +786 -0
  231. package/modules/backtest/src/environment/features.ts +184 -0
  232. package/modules/backtest/src/environment/index.ts +79 -0
  233. package/modules/backtest/src/environment/limits.ts +383 -0
  234. package/modules/backtest/src/environment/reward.ts +98 -0
  235. package/modules/backtest/src/environment/types.ts +595 -0
  236. package/modules/backtest/src/environment/validate.ts +415 -0
  237. package/modules/backtest/src/event-driven.ts +528 -0
  238. package/modules/backtest/src/execution/conformance.ts +346 -0
  239. package/modules/backtest/src/execution/fill-models.ts +410 -0
  240. package/modules/backtest/src/execution/fill-order.ts +261 -0
  241. package/modules/backtest/src/execution/index.ts +91 -0
  242. package/modules/backtest/src/execution/intrabar.ts +185 -0
  243. package/modules/backtest/src/execution/normalized.ts +216 -0
  244. package/modules/backtest/src/execution/policy.ts +447 -0
  245. package/modules/backtest/src/execution/types.ts +239 -0
  246. package/modules/backtest/src/execution/validate.ts +889 -0
  247. package/modules/backtest/src/generated/validation-specs.ts +1132 -0
  248. package/modules/backtest/src/index.ts +157 -0
  249. package/modules/backtest/src/options/chain.ts +410 -0
  250. package/modules/backtest/src/options/engine.ts +2240 -0
  251. package/modules/backtest/src/options/index.ts +68 -0
  252. package/modules/backtest/src/options/tearsheet.ts +327 -0
  253. package/modules/backtest/src/options/types.ts +573 -0
  254. package/modules/backtest/src/paper/index.ts +27 -0
  255. package/modules/backtest/src/paper/paper.ts +1288 -0
  256. package/modules/backtest/src/paper/types.ts +221 -0
  257. package/modules/backtest/src/paper/validate.ts +168 -0
  258. package/modules/backtest/src/portfolio/adapters.ts +651 -0
  259. package/modules/backtest/src/portfolio/engine.ts +1518 -0
  260. package/modules/backtest/src/portfolio/index.ts +64 -0
  261. package/modules/backtest/src/portfolio/types.ts +456 -0
  262. package/modules/backtest/src/portfolio/validate.ts +861 -0
  263. package/modules/backtest/src/run-artifacts.ts +2873 -0
  264. package/modules/backtest/src/signals.ts +267 -0
  265. package/modules/backtest/src/tearsheet.ts +425 -0
  266. package/modules/backtest/src/types.ts +200 -0
  267. package/modules/backtest/src/validate.ts +43 -0
  268. package/modules/backtest/src/vectorized.ts +541 -0
  269. package/modules/backtest/src/walk-forward.ts +215 -0
  270. package/modules/calendars/dist/cboe.d.ts +15 -0
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  298. package/modules/calendars/etc/calendars.api.md +22 -0
  299. package/modules/calendars/src/cboe.ts +17 -0
  300. package/modules/calendars/src/crypto.ts +17 -0
  301. package/modules/calendars/src/expirations.ts +200 -0
  302. package/modules/calendars/src/index.ts +23 -0
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@@ -0,0 +1,35 @@
1
+ /**
2
+ * Zero-dependency payoff SVG rendering (spec §12.5, roadmap Tier 3). Turn any {@link Position} into a
3
+ * self-contained `<svg>` payoff diagram — the expiration P&L curve with profit shaded green / loss red,
4
+ * break-even markers, the spot, and max-profit/max-loss guides. No dependencies, no external refs
5
+ * (CSP-safe), no DOM — just a string, so a strategy becomes a picture in a README, notebook, email, or
6
+ * MCP artifact.
7
+ *
8
+ * A renderer, not a second payoff engine: the curve is exactly `chartData`/`pnlAtExpiry`, and the
9
+ * annotations are exactly `metrics()`. See `docs/specs/payoff-svg.md`.
10
+ */
11
+ import type { Position } from './position.js';
12
+ import type { MarkToMarketInput, PriceRange } from './types.js';
13
+ /** Options for {@link payoffSvg}. */
14
+ export interface PayoffSvgOptions {
15
+ /** X-axis price range. Omit for an auto-range around the strikes + breakevens. */
16
+ prices?: PriceRange;
17
+ /** Width in px (default 640). */
18
+ width?: number;
19
+ /** Height in px (default 360). */
20
+ height?: number;
21
+ /** Draw a marker at the current spot. */
22
+ spot?: number;
23
+ /** Also draw the CURRENT (pre-expiry) P&L curve (dashed); needs a market (or the position's own). */
24
+ includeCurrentPnl?: boolean;
25
+ market?: Partial<Omit<MarkToMarketInput, 'spot'>>;
26
+ /** Chart title (XML-escaped). */
27
+ title?: string;
28
+ /** Color theme (default 'light'). */
29
+ theme?: 'light' | 'dark';
30
+ }
31
+ /**
32
+ * Render a {@link Position}'s payoff diagram as a self-contained `<svg>` string. See the spec.
33
+ */
34
+ export declare function payoffSvg(position: Position, options?: PayoffSvgOptions): string;
35
+ //# sourceMappingURL=svg.d.ts.map
@@ -0,0 +1 @@
1
+ {"version":3,"file":"svg.d.ts","sourceRoot":"","sources":["../src/svg.ts"],"names":[],"mappings":"AAAA;;;;;;;;;GASG;AAcH,OAAO,KAAK,EAAE,QAAQ,EAAE,MAAM,eAAe,CAAC;AAC9C,OAAO,KAAK,EAAE,iBAAiB,EAAE,UAAU,EAAE,MAAM,YAAY,CAAC;AAGhE,qCAAqC;AACrC,MAAM,WAAW,gBAAgB;IAC/B,kFAAkF;IAClF,MAAM,CAAC,EAAE,UAAU,CAAC;IACpB,iCAAiC;IACjC,KAAK,CAAC,EAAE,MAAM,CAAC;IACf,kCAAkC;IAClC,MAAM,CAAC,EAAE,MAAM,CAAC;IAChB,yCAAyC;IACzC,IAAI,CAAC,EAAE,MAAM,CAAC;IACd,qGAAqG;IACrG,iBAAiB,CAAC,EAAE,OAAO,CAAC;IAC5B,MAAM,CAAC,EAAE,OAAO,CAAC,IAAI,CAAC,iBAAiB,EAAE,MAAM,CAAC,CAAC,CAAC;IAClD,iCAAiC;IACjC,KAAK,CAAC,EAAE,MAAM,CAAC;IACf,qCAAqC;IACrC,KAAK,CAAC,EAAE,OAAO,GAAG,MAAM,CAAC;CAC1B;AAuMD;;GAEG;AACH,wBAAgB,SAAS,CAAC,QAAQ,EAAE,QAAQ,EAAE,OAAO,GAAE,gBAAqB,GAAG,MAAM,CAwKpF"}
@@ -0,0 +1,298 @@
1
+ /**
2
+ * Zero-dependency payoff SVG rendering (spec §12.5, roadmap Tier 3). Turn any {@link Position} into a
3
+ * self-contained `<svg>` payoff diagram — the expiration P&L curve with profit shaded green / loss red,
4
+ * break-even markers, the spot, and max-profit/max-loss guides. No dependencies, no external refs
5
+ * (CSP-safe), no DOM — just a string, so a strategy becomes a picture in a README, notebook, email, or
6
+ * MCP artifact.
7
+ *
8
+ * A renderer, not a second payoff engine: the curve is exactly `chartData`/`pnlAtExpiry`, and the
9
+ * annotations are exactly `metrics()`. See `docs/specs/payoff-svg.md`.
10
+ */
11
+ import { ErrorCode, InputError, ensureEnum, ensureFiniteWhenPresent, ensureKnownKeys, ensurePositive, requireArgumentObject, requireFiniteFields, resolveValuationAsOf, } from '../../core/dist/index.js';
12
+ import { autoPriceRange } from './auto-range.js';
13
+ import { ensureOptionalMarketExpiry } from './validate.js';
14
+ const PAYOFF_SVG_OPTION_KEYS = [
15
+ 'prices',
16
+ 'width',
17
+ 'height',
18
+ 'spot',
19
+ 'includeCurrentPnl',
20
+ 'market',
21
+ 'title',
22
+ 'theme',
23
+ ];
24
+ const PRICE_RANGE_KEYS = ['from', 'to', 'steps'];
25
+ const MARKET_KEYS = [
26
+ 'asOf',
27
+ 'expiry',
28
+ 'volatility',
29
+ 'riskFreeRate',
30
+ 'dividendYield',
31
+ 'volatilityShock',
32
+ ];
33
+ const MARKET_NUMERIC_KEYS = [
34
+ 'volatility',
35
+ 'riskFreeRate',
36
+ 'dividendYield',
37
+ 'volatilityShock',
38
+ ];
39
+ const THEMES = {
40
+ light: {
41
+ bg: '#ffffff',
42
+ text: '#334155',
43
+ grid: '#e2e8f0',
44
+ curve: '#2563eb',
45
+ current: '#7c3aed',
46
+ profit: '#16a34a',
47
+ loss: '#dc2626',
48
+ zero: '#94a3b8',
49
+ spot: '#0f172a',
50
+ },
51
+ dark: {
52
+ bg: '#0f172a',
53
+ text: '#cbd5e1',
54
+ grid: '#1e293b',
55
+ curve: '#60a5fa',
56
+ current: '#c4b5fd',
57
+ profit: '#22c55e',
58
+ loss: '#f87171',
59
+ zero: '#475569',
60
+ spot: '#e2e8f0',
61
+ },
62
+ };
63
+ /** XML-escape text content / attribute values. */
64
+ function esc(s) {
65
+ return s
66
+ .replace(/&/g, '&amp;')
67
+ .replace(/</g, '&lt;')
68
+ .replace(/>/g, '&gt;')
69
+ .replace(/"/g, '&quot;')
70
+ .replace(/'/g, '&#39;');
71
+ }
72
+ /** XML 1.0 cannot represent control characters or lone surrogate code units, escaped or not. */
73
+ function requireXmlText(value, functionName, field) {
74
+ for (let index = 0; index < value.length; index++) {
75
+ const unit = value.charCodeAt(index);
76
+ const isForbiddenControl = unit <= 0x08 || unit === 0x0b || unit === 0x0c || (unit >= 0x0e && unit <= 0x1f);
77
+ const isForbiddenNoncharacter = unit === 0xfffe || unit === 0xffff;
78
+ const isHighSurrogate = unit >= 0xd800 && unit <= 0xdbff;
79
+ const isLowSurrogate = unit >= 0xdc00 && unit <= 0xdfff;
80
+ if (isHighSurrogate) {
81
+ const next = value.charCodeAt(index + 1);
82
+ if (next >= 0xdc00 && next <= 0xdfff) {
83
+ index++;
84
+ continue;
85
+ }
86
+ }
87
+ if (!isForbiddenControl && !isForbiddenNoncharacter && !isHighSurrogate && !isLowSurrogate) {
88
+ continue;
89
+ }
90
+ throw new InputError(`${functionName}: ${field} contains a character XML 1.0 cannot represent (control characters and lone UTF-16 surrogates are not allowed).`, {
91
+ code: ErrorCode.InputOutOfRange,
92
+ context: { function: functionName, field },
93
+ });
94
+ }
95
+ }
96
+ /** Compact number formatting: integers plain, otherwise up to 2 decimals (trailing zeros trimmed). */
97
+ function fmt(n) {
98
+ if (!Number.isFinite(n))
99
+ return n > 0 ? '∞' : '−∞';
100
+ if (Number.isInteger(n))
101
+ return String(n);
102
+ return Number(n.toFixed(2)).toString();
103
+ }
104
+ /** A stable, content-derived id suffix so clipPath ids never collide across inlined SVGs. */
105
+ function hashId(s) {
106
+ let h = 5381;
107
+ for (let i = 0; i < s.length; i++)
108
+ h = ((h << 5) + h + s.charCodeAt(i)) | 0;
109
+ return 'totalfinance' + (h >>> 0).toString(36);
110
+ }
111
+ /** A strategy Position built by `strategy(...)` / a named builder — not a raw object. */
112
+ function requirePosition(position) {
113
+ const p = position;
114
+ if (p === null ||
115
+ typeof p !== 'object' ||
116
+ !Array.isArray(p.legs) ||
117
+ typeof p.metrics !== 'function' ||
118
+ typeof p.chartData !== 'function') {
119
+ throw new InputError('payoffSvg: position must be a strategy Position (from strategy(...) or a named builder).', { code: ErrorCode.InputWrongType });
120
+ }
121
+ }
122
+ function validateOptions(options) {
123
+ const functionName = 'payoffSvg';
124
+ ensureKnownKeys(functionName, 'options', options, PAYOFF_SVG_OPTION_KEYS);
125
+ for (const field of ['width', 'height', 'spot']) {
126
+ ensureFiniteWhenPresent(options[field], field, functionName);
127
+ }
128
+ if (options.includeCurrentPnl !== undefined && typeof options.includeCurrentPnl !== 'boolean') {
129
+ throw new InputError(`${functionName}: includeCurrentPnl must be a boolean when provided. Received ${options.includeCurrentPnl === null ? 'null' : typeof options.includeCurrentPnl}.`, {
130
+ code: ErrorCode.InputWrongType,
131
+ context: { function: functionName, field: 'includeCurrentPnl' },
132
+ });
133
+ }
134
+ if (options.title !== undefined && typeof options.title !== 'string') {
135
+ throw new InputError(`${functionName}: title must be a string when provided. Received ${options.title === null ? 'null' : typeof options.title}.`, {
136
+ code: ErrorCode.InputWrongType,
137
+ context: { function: functionName, field: 'title' },
138
+ });
139
+ }
140
+ if (options.title !== undefined)
141
+ requireXmlText(options.title, functionName, 'title');
142
+ if (options.theme !== undefined) {
143
+ ensureEnum(options.theme, ['light', 'dark'], 'theme', functionName);
144
+ }
145
+ if (options.prices !== undefined) {
146
+ requireArgumentObject(functionName, 'options.prices', options.prices);
147
+ ensureKnownKeys(functionName, 'options.prices', options.prices, PRICE_RANGE_KEYS);
148
+ requireFiniteFields(functionName, options.prices, PRICE_RANGE_KEYS, { exampleCall: 'payoffSvg(position, { prices: { from: 80, to: 120, steps: 201 } })' });
149
+ }
150
+ if (options.market !== undefined) {
151
+ requireArgumentObject(functionName, 'options.market', options.market);
152
+ ensureKnownKeys(functionName, 'options.market', options.market, MARKET_KEYS);
153
+ for (const field of MARKET_NUMERIC_KEYS) {
154
+ ensureFiniteWhenPresent(options.market[field], `market.${field}`, functionName);
155
+ }
156
+ ensureOptionalMarketExpiry(options.market.expiry, functionName);
157
+ const asOf = options.market.asOf;
158
+ if (asOf !== undefined) {
159
+ if (typeof asOf !== 'string' && typeof asOf !== 'number') {
160
+ throw new InputError(`${functionName}: market.asOf must be an ISO date string or epoch-ms number when provided. Received ${asOf === null ? 'null' : typeof asOf}.`, {
161
+ code: ErrorCode.InputWrongType,
162
+ context: { function: functionName, field: 'market.asOf' },
163
+ });
164
+ }
165
+ resolveValuationAsOf(asOf, functionName);
166
+ }
167
+ }
168
+ }
169
+ /**
170
+ * Render a {@link Position}'s payoff diagram as a self-contained `<svg>` string. See the spec.
171
+ */
172
+ export function payoffSvg(position, options = {}) {
173
+ requirePosition(position);
174
+ requireArgumentObject('payoffSvg', 'options', options);
175
+ validateOptions(options);
176
+ const width = options.width ?? 640;
177
+ const height = options.height ?? 360;
178
+ ensurePositive(width, 'width', 'payoffSvg');
179
+ ensurePositive(height, 'height', 'payoffSvg');
180
+ // The plot area must be positive after the fixed axis padding (padL+padR = 72, padT+padB ≤ 74),
181
+ // else the frame/clip rects would get negative dimensions (a broken, non-rendering SVG).
182
+ const MIN_W = 120;
183
+ const MIN_H = 100;
184
+ if (width < MIN_W || height < MIN_H) {
185
+ throw new InputError(`payoffSvg: width must be ≥ ${MIN_W} and height ≥ ${MIN_H} to fit the axes; got ${width}×${height}.`, { code: ErrorCode.InputOutOfRange, context: { width, height } });
186
+ }
187
+ const theme = THEMES[options.theme ?? 'light'];
188
+ // metrics() also enforces single-expiry (a payoff diagram is single-expiration).
189
+ const metrics = position.metrics();
190
+ // Price range: explicit, or an auto-range around the strikes + finite breakevens (+ spot).
191
+ let range;
192
+ if (options.prices !== undefined) {
193
+ range = options.prices;
194
+ }
195
+ else {
196
+ range = autoPriceRange([
197
+ ...position.legs.map((l) => (l.kind === 'stock' ? l.price : l.strike)),
198
+ ...metrics.breakevens,
199
+ ...(options.spot !== undefined ? [options.spot] : []),
200
+ ]);
201
+ }
202
+ const includeCurrent = options.includeCurrentPnl === true;
203
+ const rows = position.chartData({
204
+ prices: range,
205
+ include: { expirationPnl: true, ...(includeCurrent ? { currentPnl: true } : {}) },
206
+ ...(options.market !== undefined ? { market: options.market } : {}),
207
+ });
208
+ if (rows.length < 2) {
209
+ throw new InputError('payoffSvg: prices range must produce at least 2 points.', {
210
+ code: ErrorCode.InputOutOfRange,
211
+ context: { steps: rows.length },
212
+ });
213
+ }
214
+ const xs = rows.map((r) => r.underlyingPrice);
215
+ const expPnl = rows.map((r) => r.expirationPnl ?? 0);
216
+ const curPnl = includeCurrent ? rows.map((r) => r.currentPnl ?? 0) : [];
217
+ const xLo = Math.min(...xs);
218
+ const xHi = Math.max(...xs);
219
+ const allPnl = [...expPnl, ...curPnl, 0];
220
+ let yLo = Math.min(...allPnl);
221
+ let yHi = Math.max(...allPnl);
222
+ const pad = (yHi - yLo) * 0.12 || Math.max(1, Math.abs(yHi) * 0.2);
223
+ yLo -= pad;
224
+ yHi += pad;
225
+ // Plot area.
226
+ const padL = 56;
227
+ const padR = 16;
228
+ const padT = options.title ? 34 : 16;
229
+ const padB = 40;
230
+ const px0 = padL;
231
+ const py0 = padT;
232
+ const px1 = width - padR;
233
+ const py1 = height - padB;
234
+ const sx = (price) => px0 + ((price - xLo) / (xHi - xLo || 1)) * (px1 - px0);
235
+ const sy = (pnl) => py1 - ((pnl - yLo) / (yHi - yLo || 1)) * (py1 - py0);
236
+ const zeroY = sy(0);
237
+ const n2 = (v) => Math.round(v * 100) / 100; // trim coordinate noise
238
+ const polyline = (values) => xs.map((price, i) => `${n2(sx(price))},${n2(sy(values[i]))}`).join(' ');
239
+ // Area between the payoff curve and the zero line — filled green (clipped above 0) + red (below 0).
240
+ const areaPath = `M ${n2(sx(xs[0]))} ${n2(zeroY)} ${xs
241
+ .map((price, i) => `L ${n2(sx(price))} ${n2(sy(expPnl[i]))}`)
242
+ .join(' ')} L ${n2(sx(xs[xs.length - 1]))} ${n2(zeroY)} Z`;
243
+ const id = hashId(`${xLo},${xHi},${yLo},${yHi},${width},${height}`);
244
+ const parts = [];
245
+ parts.push(`<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 ${width} ${height}" width="${width}" height="${height}" font-family="ui-sans-serif, system-ui, sans-serif" role="img">`);
246
+ parts.push(`<defs>` +
247
+ `<clipPath id="${id}-up"><rect x="${n2(px0)}" y="${n2(py0)}" width="${n2(px1 - px0)}" height="${n2(Math.max(0, zeroY - py0))}"/></clipPath>` +
248
+ `<clipPath id="${id}-dn"><rect x="${n2(px0)}" y="${n2(zeroY)}" width="${n2(px1 - px0)}" height="${n2(Math.max(0, py1 - zeroY))}"/></clipPath>` +
249
+ `</defs>`);
250
+ parts.push(`<rect x="0" y="0" width="${width}" height="${height}" fill="${theme.bg}"/>`);
251
+ // Profit / loss shading.
252
+ parts.push(`<path d="${areaPath}" fill="${theme.profit}" fill-opacity="0.16" clip-path="url(#${id}-up)"/>`);
253
+ parts.push(`<path d="${areaPath}" fill="${theme.loss}" fill-opacity="0.16" clip-path="url(#${id}-dn)"/>`);
254
+ // Zero line + plot frame.
255
+ parts.push(`<line x1="${n2(px0)}" y1="${n2(zeroY)}" x2="${n2(px1)}" y2="${n2(zeroY)}" stroke="${theme.zero}" stroke-width="1"/>`);
256
+ parts.push(`<rect x="${n2(px0)}" y="${n2(py0)}" width="${n2(px1 - px0)}" height="${n2(py1 - py0)}" fill="none" stroke="${theme.grid}" stroke-width="1"/>`);
257
+ // Breakevens.
258
+ for (const be of metrics.breakevens) {
259
+ if (!Number.isFinite(be) || be < xLo || be > xHi)
260
+ continue;
261
+ const x = n2(sx(be));
262
+ parts.push(`<line x1="${x}" y1="${n2(py0)}" x2="${x}" y2="${n2(py1)}" stroke="${theme.grid}" stroke-width="1" stroke-dasharray="3 3"/>`);
263
+ parts.push(`<text x="${x}" y="${n2(py1 + 13)}" fill="${theme.text}" font-size="10" text-anchor="middle">${esc(fmt(be))}</text>`);
264
+ }
265
+ // Spot marker.
266
+ if (options.spot !== undefined && options.spot >= xLo && options.spot <= xHi) {
267
+ const x = n2(sx(options.spot));
268
+ parts.push(`<line x1="${x}" y1="${n2(py0)}" x2="${x}" y2="${n2(py1)}" stroke="${theme.spot}" stroke-width="1.5" stroke-dasharray="2 2"/>`);
269
+ parts.push(`<text x="${x}" y="${n2(py0 - 3)}" fill="${theme.spot}" font-size="10" text-anchor="middle">spot ${esc(fmt(options.spot))}</text>`);
270
+ }
271
+ // Current-P&L curve (dashed) then the expiration curve on top.
272
+ if (includeCurrent) {
273
+ parts.push(`<polyline points="${polyline(curPnl)}" fill="none" stroke="${theme.current}" stroke-width="1.5" stroke-dasharray="5 3"/>`);
274
+ }
275
+ parts.push(`<polyline points="${polyline(expPnl)}" fill="none" stroke="${theme.curve}" stroke-width="2"/>`);
276
+ // Axis labels.
277
+ const axisText = (x, y, s, anchor) => `<text x="${n2(x)}" y="${n2(y)}" fill="${theme.text}" font-size="10" text-anchor="${anchor}">${esc(s)}</text>`;
278
+ parts.push(axisText(px0, py1 + 26, fmt(xLo), 'start'));
279
+ parts.push(axisText(px1, py1 + 26, fmt(xHi), 'end'));
280
+ parts.push(axisText(px0 - 6, py0 + 4, fmt(yHi), 'end'));
281
+ parts.push(axisText(px0 - 6, py1, fmt(yLo), 'end'));
282
+ parts.push(axisText(px0 - 6, n2(zeroY) + 3, '0', 'end'));
283
+ // Max profit / loss labels.
284
+ // An unbounded tail is labelled as the word (B3): there is no number to draw.
285
+ parts.push(`<text x="${n2(px1 - 4)}" y="${n2(py0 + 12)}" fill="${theme.profit}" font-size="10" text-anchor="end">max ${metrics.maxProfit === null ? 'unbounded' : `+${esc(fmt(metrics.maxProfit))}`}</text>`);
286
+ parts.push(`<text x="${n2(px1 - 4)}" y="${n2(py1 - 4)}" fill="${theme.loss}" font-size="10" text-anchor="end">max ${metrics.maxLoss === null ? 'unbounded' : esc(fmt(metrics.maxLoss))}</text>`);
287
+ // Title + legend.
288
+ if (options.title) {
289
+ parts.push(`<text x="${n2((px0 + px1) / 2)}" y="18" fill="${theme.text}" font-size="13" font-weight="600" text-anchor="middle">${esc(options.title)}</text>`);
290
+ }
291
+ if (includeCurrent) {
292
+ parts.push(`<text x="${n2(px0 + 4)}" y="${n2(py0 + 12)}" fill="${theme.text}" font-size="10">` +
293
+ `<tspan fill="${theme.curve}">— expiry</tspan> <tspan fill="${theme.current}">- - current</tspan></text>`);
294
+ }
295
+ parts.push('</svg>');
296
+ return parts.join('');
297
+ }
298
+ //# sourceMappingURL=svg.js.map
@@ -0,0 +1 @@
1
+ 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@@ -0,0 +1,79 @@
1
+ /**
2
+ * Shared terminal-price distribution quadrature (Wave 6 §2B) — the ONE probability-mass path the
3
+ * strategy optimizer and the what-if cube both integrate against, so a probability is always a *mass
4
+ * over an interval*, never an unscaled point density.
5
+ *
6
+ * `priceGridDistribution` turns an ordered price grid into non-overlapping midpoint bins and assigns
7
+ * each bin a probability: a lognormal law uses exact CDF differences (in log space); a custom density
8
+ * uses normalized trapezoidal quadrature over its explicit support. Mass outside the grid is disclosed
9
+ * as `tailBelow` / `tailAbove`; the returned node probabilities are renormalized to sum to 1 over the
10
+ * in-grid mass (a `report-and-renormalize` policy — the tails are never silently dropped). This module
11
+ * is INTERNAL: it is imported directly by `optimizer.ts` and `what-if-cube.ts`, not from the package
12
+ * root.
13
+ */
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+ /** A lognormal terminal-price law with the horizon already folded into `muLog` / `sigma`. */
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+ export interface LognormalLaw {
16
+ kind: 'lognormal';
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+ /** Mean of `ln S_T`. */
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+ muLog: number;
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+ /** Standard deviation of `ln S_T` (`vol · √t`), > 0. */
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+ sigma: number;
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+ }
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+ /** A custom terminal-price density over an explicit, finite support, evaluated at a fixed horizon. */
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+ export interface CustomDensityLaw {
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+ kind: 'custom';
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+ density: (price: number, yearsForward: number) => number;
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+ from: number;
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+ to: number;
28
+ yearsForward: number;
29
+ }
30
+ export type TerminalPriceLaw = LognormalLaw | CustomDensityLaw;
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+ /** A resolved terminal-price bin: a representative price and its (renormalized in-grid) mass. */
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+ export interface PriceMassNode {
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+ price: number;
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+ probability: number;
35
+ }
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+ /** An ordered price grid resolved into probability mass, with the out-of-grid tails disclosed. */
37
+ export interface ResolvedPriceDistribution {
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+ /** One node per input price, `probability` renormalized to sum to 1 over the in-grid mass. */
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+ nodes: PriceMassNode[];
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+ /** Probability mass below the grid's lower edge (before renormalization). */
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+ tailBelow: number;
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+ /** Probability mass above the grid's upper edge (before renormalization). */
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+ tailAbove: number;
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+ /** In-grid mass before renormalization (`= 1 − tailBelow − tailAbove` for a proper law). */
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+ inGridMass: number;
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+ }
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+ /**
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+ * The probability mass over the midpoint bins of `prices` under `law`, renormalized to sum to 1 with
49
+ * the out-of-grid tails disclosed. `prices` must be strictly increasing with ≥ 2 entries.
50
+ */
51
+ export declare function priceGridDistribution(input: {
52
+ prices: readonly number[];
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+ law: TerminalPriceLaw;
54
+ }): ResolvedPriceDistribution;
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+ /** Build a log-uniform price grid spanning `±windowSigmas` of a lognormal law (geometric spacing). */
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+ export declare function lognormalPriceGrid(law: LognormalLaw, gridPoints: number, windowSigmas?: number): number[];
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+ /** Build a linearly spaced price grid over a custom density's explicit `[from, to]` support. */
58
+ export declare function customPriceGrid(range: {
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+ from: number;
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+ to: number;
61
+ gridPoints: number;
62
+ }): number[];
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+ /** One terminal-price outcome scored against a position's expiration P&L. */
64
+ export interface ThesisOutcomeNode {
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+ terminalPrice: number;
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+ probability: number;
67
+ pnl: number;
68
+ }
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+ /**
70
+ * Score a resolved price distribution against an expiration-P&L function: the probability-weighted EV
71
+ * and the probability of a positive P&L, plus the per-node outcomes. This is the single source the
72
+ * optimizer's thesis EV / PoP flow through.
73
+ */
74
+ export declare function scoreOutcomes(distribution: ResolvedPriceDistribution, pnlAt: (price: number) => number): {
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+ nodes: ThesisOutcomeNode[];
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+ ev: number;
77
+ pop: number;
78
+ };
79
+ //# sourceMappingURL=thesis-distribution.d.ts.map
@@ -0,0 +1 @@
1
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@@ -0,0 +1,125 @@
1
+ /**
2
+ * Shared terminal-price distribution quadrature (Wave 6 §2B) — the ONE probability-mass path the
3
+ * strategy optimizer and the what-if cube both integrate against, so a probability is always a *mass
4
+ * over an interval*, never an unscaled point density.
5
+ *
6
+ * `priceGridDistribution` turns an ordered price grid into non-overlapping midpoint bins and assigns
7
+ * each bin a probability: a lognormal law uses exact CDF differences (in log space); a custom density
8
+ * uses normalized trapezoidal quadrature over its explicit support. Mass outside the grid is disclosed
9
+ * as `tailBelow` / `tailAbove`; the returned node probabilities are renormalized to sum to 1 over the
10
+ * in-grid mass (a `report-and-renormalize` policy — the tails are never silently dropped). This module
11
+ * is INTERNAL: it is imported directly by `optimizer.ts` and `what-if-cube.ts`, not from the package
12
+ * root.
13
+ */
14
+ import { normalCdf } from '../../math/dist/index.js';
15
+ /** Midpoint bin edges of an ordered grid: interior edges are neighbor midpoints, ends extrapolate. */
16
+ function midpointEdges(prices) {
17
+ const n = prices.length;
18
+ const lo = new Array(n);
19
+ const hi = new Array(n);
20
+ for (let i = 0; i < n; i++) {
21
+ lo[i] =
22
+ i === 0 ? prices[0] - (prices[1] - prices[0]) / 2 : (prices[i - 1] + prices[i]) / 2;
23
+ hi[i] =
24
+ i === n - 1
25
+ ? prices[n - 1] + (prices[n - 1] - prices[n - 2]) / 2
26
+ : (prices[i] + prices[i + 1]) / 2;
27
+ }
28
+ return { lo, hi };
29
+ }
30
+ /** Trapezoidal integral of a non-negative density over `[a, b]` at a fixed horizon; 0 when `b ≤ a`. */
31
+ function integrateDensity(input) {
32
+ const { density, yearsForward, a, b } = input;
33
+ if (!(b > a))
34
+ return 0;
35
+ const STEPS = 256;
36
+ const h = (b - a) / STEPS;
37
+ let sum = 0;
38
+ for (let i = 0; i <= STEPS; i++) {
39
+ const d = density(a + i * h, yearsForward);
40
+ if (Number.isFinite(d) && d >= 0)
41
+ sum += (i === 0 || i === STEPS ? 0.5 : 1) * d;
42
+ }
43
+ return sum * h;
44
+ }
45
+ /**
46
+ * The probability mass over the midpoint bins of `prices` under `law`, renormalized to sum to 1 with
47
+ * the out-of-grid tails disclosed. `prices` must be strictly increasing with ≥ 2 entries.
48
+ */
49
+ export function priceGridDistribution(input) {
50
+ const { prices, law } = input;
51
+ const n = prices.length;
52
+ const { lo, hi } = midpointEdges(prices);
53
+ const rawMass = new Array(n);
54
+ let tailBelow = 0;
55
+ let tailAbove = 0;
56
+ if (law.kind === 'lognormal') {
57
+ const zln = (price) => (Math.log(Math.max(Number.MIN_VALUE, price)) - law.muLog) / law.sigma;
58
+ for (let i = 0; i < n; i++)
59
+ rawMass[i] = normalCdf(zln(hi[i])) - normalCdf(zln(lo[i]));
60
+ tailBelow = normalCdf(zln(lo[0]));
61
+ tailAbove = 1 - normalCdf(zln(hi[n - 1]));
62
+ }
63
+ else {
64
+ // Custom density: midpoint-bin quadrature (density × bin width) — correct for a NON-uniform grid,
65
+ // and the same midpoint-bin convention as the lognormal branch. Mass in the explicit support but
66
+ // OUTSIDE the grid is integrated as the disclosed tails (≈ 0 when the grid already spans the
67
+ // support, e.g. the optimizer's `customPriceGrid`; > 0 when the grid is narrower, e.g. the cube).
68
+ for (let i = 0; i < n; i++) {
69
+ const d = law.density(prices[i], law.yearsForward);
70
+ const width = hi[i] - lo[i];
71
+ rawMass[i] = Number.isFinite(d) && d >= 0 && width > 0 ? d * width : 0;
72
+ }
73
+ tailBelow = integrateDensity({
74
+ density: law.density,
75
+ yearsForward: law.yearsForward,
76
+ a: law.from,
77
+ b: lo[0],
78
+ });
79
+ tailAbove = integrateDensity({
80
+ density: law.density,
81
+ yearsForward: law.yearsForward,
82
+ a: hi[n - 1],
83
+ b: law.to,
84
+ });
85
+ }
86
+ let inGridMass = 0;
87
+ for (let i = 0; i < n; i++)
88
+ inGridMass += rawMass[i];
89
+ const norm = inGridMass > 0 ? inGridMass : 1;
90
+ const nodes = prices.map((price, i) => ({
91
+ price,
92
+ probability: rawMass[i] / norm,
93
+ }));
94
+ return { nodes, tailBelow, tailAbove, inGridMass };
95
+ }
96
+ /** Build a log-uniform price grid spanning `±windowSigmas` of a lognormal law (geometric spacing). */
97
+ export function lognormalPriceGrid(law, gridPoints, windowSigmas = 6) {
98
+ const lo = law.muLog - windowSigmas * law.sigma;
99
+ const du = (2 * windowSigmas * law.sigma) / (gridPoints - 1);
100
+ return Array.from({ length: gridPoints }, (_, i) => Math.exp(lo + i * du));
101
+ }
102
+ /** Build a linearly spaced price grid over a custom density's explicit `[from, to]` support. */
103
+ export function customPriceGrid(range) {
104
+ const { from, to, gridPoints } = range;
105
+ const dS = (to - from) / (gridPoints - 1);
106
+ return Array.from({ length: gridPoints }, (_, i) => from + i * dS);
107
+ }
108
+ /**
109
+ * Score a resolved price distribution against an expiration-P&L function: the probability-weighted EV
110
+ * and the probability of a positive P&L, plus the per-node outcomes. This is the single source the
111
+ * optimizer's thesis EV / PoP flow through.
112
+ */
113
+ export function scoreOutcomes(distribution, pnlAt) {
114
+ let ev = 0;
115
+ let pop = 0;
116
+ const nodes = distribution.nodes.map((nd) => {
117
+ const pnl = pnlAt(nd.price);
118
+ ev += nd.probability * pnl;
119
+ if (pnl > 0)
120
+ pop += nd.probability;
121
+ return { terminalPrice: nd.price, probability: nd.probability, pnl };
122
+ });
123
+ return { nodes, ev, pop };
124
+ }
125
+ //# sourceMappingURL=thesis-distribution.js.map
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+ 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