@insiderfinance/totalfinance 0.1.0

package/modules/volatility/dist/generated/validation-specs.js.map

@@ -0,0 +1 @@
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package/modules/volatility/dist/heston-surface.d.ts

@@ -0,0 +1,67 @@
+/**
+ * Global Heston calibration for the `model: 'heston'` volatility surface (spec §10.1).
+ *
+ * Unlike SVI/SABR (which fit each expiry independently), a single Heston parameter set
+ * `(v0, κ, θ, σ, ρ)` generates the *entire* surface — both the smile and its term structure. This
+ * calibrates those five parameters to all surface IVs at once by least squares (Nelder–Mead over a
+ * bound-enforcing reparameterization), pricing each target with the COS Heston engine from
+ * `@insiderfinance/totalfinance/options`.
+ */
+import { type QuantWarning } from '../../core/dist/index.js';
+import { type HestonParameters } from '../../options/dist/index.js';
+export interface HestonSurfaceTarget {
+    strike: number;
+    timeToExpiryYears: number;
+    impliedVolatility: number;
+    forward: number;
+}
+export interface HestonSurfaceFit {
+    parameters: HestonParameters;
+    /** Root-mean-square IV error across all calibration targets. */
+    rmse: number;
+    /** The RMSE tolerance the `converged` flag was gated on (echoed for interpretability). */
+    rmseTolerance: number;
+    converged: boolean;
+    /** Applied conventions, echoed (Law 2 report grammar). */
+    assumptions: {
+        conventionsVersion: string;
+        targets: number;
+        maximumIterations: number;
+        /** Whether any starting member was caller-supplied (`initialParameters`) or all were data-derived. */
+        initialParameters: 'supplied' | 'default';
+    };
+    /** Structured warnings; always present — a non-converged fit explains itself here. */
+    diagnostics: {
+        warnings: QuantWarning[];
+    };
+}
+/**
+ * Calibrate one Heston parameter set to a set of `(strike, t, iv)` targets. Positives are fit in log
+ * space and `ρ` through `tanh`, so the optimizer is unconstrained while the parameters stay valid.
+ */
+/** The state of the world for {@link calibrateHestonSurface}: spot and the carry rates. */
+export interface HestonSurfaceMarket {
+    spot: number;
+    riskFreeRate: number;
+    dividendYield: number;
+}
+export interface HestonSurfaceCalibrationInput {
+    targets: readonly HestonSurfaceTarget[];
+    market: HestonSurfaceMarket;
+    options?: {
+        /**
+         * Warm start — a partial pin of the five parameters (Stage 4.5; formerly `seed`, retired: `seed`
+         * names randomness everywhere else in the library). Unspecified members keep their data-derived
+         * starts (ATM variance for `v0`/`theta`, κ = 2, σ = 0.5, ρ = −0.5).
+         */
+        initialParameters?: Partial<HestonParameters>;
+        /** Heston COS expansion terms per target price (default 128, maximum 8,192). */
+        terms?: number;
+        /** Outer-search iteration budget (default 300, maximum 10,000). */
+        maximumIterations?: number;
+        /** Max RMSE the `converged` flag tolerates (default 0.02 IV points). */
+        rmseTolerance?: number;
+    };
+}
+export declare function calibrateHestonSurface(request: HestonSurfaceCalibrationInput): HestonSurfaceFit;
+//# sourceMappingURL=heston-surface.d.ts.map

package/modules/volatility/dist/heston-surface.d.ts.map

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package/modules/volatility/dist/heston-surface.js

@@ -0,0 +1,135 @@
+/**
+ * Global Heston calibration for the `model: 'heston'` volatility surface (spec §10.1).
+ *
+ * Unlike SVI/SABR (which fit each expiry independently), a single Heston parameter set
+ * `(v0, κ, θ, σ, ρ)` generates the *entire* surface — both the smile and its term structure. This
+ * calibrates those five parameters to all surface IVs at once by least squares (Nelder–Mead over a
+ * bound-enforcing reparameterization), pricing each target with the COS Heston engine from
+ * `@insiderfinance/totalfinance/options`.
+ */
+import { CONVENTIONS_VERSION, validateClosedRequest, WarningCode, } from '../../core/dist/index.js';
+import { nelderMead } from '../../math/dist/index.js';
+import {} from '../../options/dist/index.js';
+import { hestonImpliedVolatility } from '../../options/dist/heston.js';
+import { requireCalibrationIterationBudget, requireHestonCosineTermCount, } from './calibration-limits.js';
+import { VALIDATION_SPECS } from './generated/validation-specs.js';
+/**
+ * Generated closed-request spec (spec 3B.1b): the allowlist projected from the declaration.
+ * Resolved at module load so a stale key fails at import.
+ */
+function hestonSurfaceSpecOf(key) {
+    const spec = VALIDATION_SPECS[key];
+    if (spec === undefined) {
+        throw new Error(`heston-surface: no generated validation spec for '${key}' — run \`pnpm validation:update\``);
+    }
+    return spec;
+}
+const CALIBRATE_HESTON_SURFACE_SPEC = hestonSurfaceSpecOf('calibrateHestonSurface#0');
+const CALIBRATE_HESTON_SURFACE_EXAMPLE = () => 'calibrateHestonSurface({ targets: [{ strike: 100, timeToExpiryYears: 0.25, ' +
+    'impliedVolatility: 0.2, forward: 100.5 }], market: { spot: 100, riskFreeRate: 0.04, ' +
+    'dividendYield: 0 } })';
+const clampRho = (r) => Math.max(-0.999, Math.min(0.999, r));
+export function calibrateHestonSurface(request) {
+    validateClosedRequest('calibrateHestonSurface', request, CALIBRATE_HESTON_SURFACE_SPEC, {
+        argumentName: 'request',
+        subject: true,
+        exampleCall: CALIBRATE_HESTON_SURFACE_EXAMPLE,
+    });
+    const { targets, market, options: options = {} } = request;
+    requireCalibrationIterationBudget('calibrateHestonSurface', options.maximumIterations);
+    requireHestonCosineTermCount('calibrateHestonSurface', options.terms);
+    const { spot, riskFreeRate, dividendYield } = market;
+    // ATM variance seed: the IV nearest each target's forward, squared (use the first target's scale).
+    const atmVar = (() => {
+        let best = targets[0]?.impliedVolatility ?? 0.2;
+        let bestD = Infinity;
+        for (const t of targets) {
+            const d = Math.abs(t.strike - t.forward);
+            if (d < bestD) {
+                bestD = d;
+                best = t.impliedVolatility;
+            }
+        }
+        return Math.max(1e-4, best * best);
+    })();
+    const seedV0 = options.initialParameters?.v0 ?? atmVar;
+    const seedTheta = options.initialParameters?.theta ?? atmVar;
+    const seedKappa = options.initialParameters?.kappa ?? 2;
+    const seedSigma = options.initialParameters?.sigma ?? 0.5;
+    const seedRho = options.initialParameters?.rho ?? -0.5;
+    const x0 = [
+        Math.log(seedV0),
+        Math.log(seedTheta),
+        Math.log(seedKappa),
+        Math.log(seedSigma),
+        Math.atanh(clampRho(seedRho)),
+    ];
+    const cosOpts = { terms: options.terms ?? 128, greeks: false };
+    const toParams = (x) => ({
+        v0: Math.exp(x[0]),
+        theta: Math.exp(x[1]),
+        kappa: Math.exp(x[2]),
+        sigma: Math.exp(x[3]),
+        rho: Math.tanh(x[4]),
+    });
+    const objective = (x) => {
+        const p = toParams(x);
+        let sse = 0;
+        for (const tgt of targets) {
+            let impliedVolatility;
+            try {
+                impliedVolatility = hestonImpliedVolatility({
+                    type: 'call',
+                    input: {
+                        spot,
+                        strike: tgt.strike,
+                        timeToExpiryYears: tgt.timeToExpiryYears,
+                        riskFreeRate,
+                        dividendYield,
+                    },
+                    parameters: p,
+                    options: cosOpts,
+                });
+            }
+            catch {
+                return 1e6;
+            }
+            // A non-converged inversion (below-intrinsic / unstable COS price) can't score the fit.
+            if (!impliedVolatility.converged ||
+                !Number.isFinite(impliedVolatility.value) ||
+                impliedVolatility.value <= 0)
+                return 1e6;
+            sse += (impliedVolatility.value - tgt.impliedVolatility) ** 2;
+        }
+        return sse;
+    };
+    const rmseTolerance = options.rmseTolerance ?? 0.02;
+    const maximumIterations = options.maximumIterations ?? 300;
+    const res = nelderMead(objective, x0, { maximumIterations, tolerance: 1e-10 });
+    const parameters = toParams(res.argMin);
+    const rmse = Math.sqrt(res.minimum / targets.length);
+    const converged = res.converged && rmse < rmseTolerance;
+    const warnings = [];
+    if (!converged) {
+        warnings.push({
+            code: WarningCode.VolatilityCalibrationNotConverged,
+            message: `calibrateHestonSurface: best-effort fit did not meet tolerance (rmse ${rmse.toExponential(3)} vs rmseTolerance ${rmseTolerance}) — parameters are the best point found, gate on \`converged\` before trusting them.`,
+            severity: 'warn',
+            context: { rmse, rmseTolerance, maximumIterations },
+        });
+    }
+    return {
+        parameters,
+        rmse,
+        rmseTolerance,
+        converged,
+        assumptions: {
+            conventionsVersion: CONVENTIONS_VERSION,
+            targets: targets.length,
+            maximumIterations,
+            initialParameters: options.initialParameters !== undefined ? 'supplied' : 'default',
+        },
+        diagnostics: { warnings },
+    };
+}
+//# sourceMappingURL=heston-surface.js.map

package/modules/volatility/dist/heston-surface.js.map

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package/modules/volatility/dist/index.d.ts

@@ -0,0 +1,64 @@
+/**
+ * `@insiderfinance/totalfinance/volatility` — implied-volatility surfaces, skew/smile metrics, IV rank/percentile, and
+ * event-volatility analytics. Browser-safe; builds on `@insiderfinance/totalfinance/options` IV solving and
+ * `@insiderfinance/totalfinance/math` interpolation.
+ *
+ * Consumes a chain as `OptionQuote[]` from `@insiderfinance/totalfinance/core` (re-use the canonical market-data type).
+ * Surfaces come in six flavours — non-parametric `raw`/`interpolated`/`smoothed`, parametric
+ * `svi`/`sabr` (per expiry), and a globally-calibrated `heston` — plus static no-arbitrage diagnostics,
+ * skew + term structure, IV-rank, and event-vol facades.
+ */
+export { volatilitySurface, VolatilitySurface, SURFACE_SCHEMA_VERSION } from './surface.js';
+export type { SurfaceModel, SurfaceMarket, SurfaceConfig, SurfaceSlice, SurfacePoint, SurfaceLookup, SurfaceRow, SurfaceShock, VolatilitySurfaceSnapshot, } from './surface.js';
+export { calibrateSvi } from './svi.js';
+export type { SVIParameters, SVICalibrationOptions, SVICalibrationResult, SVISmileInput, SVIWarmStart, } from './svi.js';
+export { surfacePCA, surfacePcaScenarios } from './surface-pca.js';
+export type { SurfacePcaInput, SurfaceMode, SurfacePcaResult, SurfacePcaScenarioInput, SurfaceScenario, SurfacePcaScenarios, } from './surface-pca.js';
+export { stickyRegime } from './sticky-regime.js';
+export type { StickyRegimeInput, StickyRegime } from './sticky-regime.js';
+export { calibrateSsvi } from './ssvi.js';
+export type { SSVIParameters, SSVIPhi, SSVISliceInput, SSVICalibrationInput, SSVICalibrationOptions, SSVIArbitrage, SSVICalibration, } from './ssvi.js';
+export { calibrateEssvi } from './essvi.js';
+export type { ESSVIParameters, ESSVIArbitrage, ESSVISliceInput, ESSVICalibrationInput, ESSVICalibrationOptions, ESSVICalibration, } from './essvi.js';
+export { calibrateSabrSmile } from './sabr.js';
+export type { SABRCalibrationOptions, SABRCalibrationResult, SABRSmileInput } from './sabr.js';
+export { swaptionCube, swaptionCubeVolatility } from './swaption-cube.js';
+export type { SwaptionCubeNode, SwaptionCubeInput, CalibratedSwaptionNode, SwaptionCube, SwaptionCubeVolatilityQuery, SwaptionCubeVolatilityResult, } from './swaption-cube.js';
+export { calibrateHestonSurface } from './heston-surface.js';
+export type { HestonSurfaceFit, HestonSurfaceTarget, HestonSurfaceMarket, } from './heston-surface.js';
+export { atmTermStructure, forwardVolatility, calendarSkew, forwardSkew } from './term.js';
+export type { AtmTermPoint, AtmTermStructure, ForwardVolatilityAssumptions, ForwardVolatilityFacade, CalendarSkewAssumptions, CalendarSkewFacade, ForwardSkewAssumptions, ForwardSkewFacade, } from './term.js';
+export { riskNeutralDistribution, volatilityCone, varianceSwapRate } from './analytics.js';
+export type { RiskNeutralOptions, RiskNeutralDistribution, VolatilityConeWindow, VolatilityConeAssumptions, VolatilityConeFacade, VarianceSwapResult, } from './analytics.js';
+export { varianceIndex, varianceRiskPremiumTermStructure } from './variance-index.js';
+export type { VarianceIndexOptions, ExpiryVariance, VarianceIndexResult, VarianceRiskPremiumTermStructureOptions, VarianceRiskPremiumPoint, VarianceRiskPremiumTermStructureResult, } from './variance-index.js';
+export { calibrateEventVolatility, calibrateEventMove, eventVolatilityAtExpiry, } from './earnings.js';
+export type { AtmVolatilityPoint, FitEventVolatilityOptions, FittedExpiry, EventVolatilityCalibration, EventMoveObservation, CalibratedEvent, EventMoveCalibration, EventVolatilityAtExpiryResult, EventVolatilityAtExpiryRow, } from './earnings.js';
+export { minimumVarianceDelta } from './min-variance-delta.js';
+export type { MinimumVarianceDeltaOptions, MinimumVarianceDeltaResult, } from './min-variance-delta.js';
+export { sabrBartlettGreeks } from './sabr-delta.js';
+export type { SabrBartlettGreeks, SabrBartlettOptions } from './sabr-delta.js';
+export { estimateVolatilitySpotBeta } from './volatility-spot-beta.js';
+export type { VolatilitySpotBeta, VolatilitySpotBetaInput } from './volatility-spot-beta.js';
+export { tailRiskIndex } from './tail-risk.js';
+export type { TailRiskOptions, ExpiryTailRisk, TailRiskResult } from './tail-risk.js';
+export { localVolatilitySurface, surfaceLocalVolatility } from './local-volatility.js';
+export type { LocalVolatilitySurface, DupireOptions, LocalVolatilityFunction, LocalVolatilityGridSpecification, LocalVolatilityMarket, } from './local-volatility.js';
+export { surfaceArbitrageReport, arbitrageReport, checkCalendar, checkButterfly, } from './arbitrage.js';
+export type { ArbitrageSlice, ArbitrageKind, ArbitrageViolation, ArbitrageReport, ArbitrageCheckOptions, ButterflyCheckOptions, CalendarCheckOptions, } from './arbitrage.js';
+export { skew } from './skew.js';
+export type { SkewMarket, SkewConfig, SkewMetrics, SkewResult, RiskReversalConvention, } from './skew.js';
+export { observedSkew } from './observed-skew.js';
+export type { ObservedSkewConfig, ObservedSkewInput, ObservedSkewUnavailableReason, ObservedSkewObservation, ObservedSkewAtm, ObservedSkewWing, ObservedSkewSmilePoint, ObservedSkewMetrics, ObservedSkewAssumptions, ObservedSkewResult, } from './observed-skew.js';
+export { RISK_NEUTRAL_ESTIMATE } from './estimate.js';
+export { impliedVolatilityRank, impliedVolatilityPercentile, impliedVolatilityStatistics, } from './metrics.js';
+export type { ImpliedVolatilityStatistics } from './metrics.js';
+export { expectedMoveFromImpliedVolatility, expectedMoveFromStraddle, probabilityInTheMoney, probabilityOfTouch, realizedImpliedSpread, varianceRiskPremium, eventVolatilityDecomposition, eventStrippedVolatility, } from './event.js';
+export type { ExpectedMove, EventVolatilityDecomposition, ExpectedMoveImpliedVolatilityInput, ExpectedMoveStraddleInput, ProbabilityInTheMoneyInput, ProbabilityOfTouchInput, } from './event.js';
+export { fitGarch, garchForecast, fitHarRv, harRvForecast } from './forecast.js';
+export type { GarchFit, GarchFitOptions, GarchForecast, GarchForecastOptions, HarRvFit, HarRvCoefficients, HarRvOptions, HarRvForecastAssumptions, HarRvForecastFacade, } from './forecast.js';
+export { riskReversalButterfly, smileFromQuotes } from './risk-reversal.js';
+export type { RiskReversalButterflyInput, RiskReversalButterfly, SmileFromQuotesInput, SmileAnchors, } from './risk-reversal.js';
+export { calibrateVannaVolga, calibrateVannaVolga5 } from './vanna-volga.js';
+export type { VannaVolgaInput, VannaVolgaSmile, VannaVolgaApproximationInput, VannaVolgaApproximationSmile, VannaVolgaDensityInput, VannaVolgaDensity, VannaVolga5Input, VannaVolga5Pillar, VannaVolga5Smile, VannaVolga5DensityInput, VannaVolga5Density, } from './vanna-volga.js';
+//# sourceMappingURL=index.d.ts.map

package/modules/volatility/dist/index.d.ts.map

@@ -0,0 +1 @@
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package/modules/volatility/dist/index.js

@@ -0,0 +1,68 @@
+/**
+ * `@insiderfinance/totalfinance/volatility` — implied-volatility surfaces, skew/smile metrics, IV rank/percentile, and
+ * event-volatility analytics. Browser-safe; builds on `@insiderfinance/totalfinance/options` IV solving and
+ * `@insiderfinance/totalfinance/math` interpolation.
+ *
+ * Consumes a chain as `OptionQuote[]` from `@insiderfinance/totalfinance/core` (re-use the canonical market-data type).
+ * Surfaces come in six flavours — non-parametric `raw`/`interpolated`/`smoothed`, parametric
+ * `svi`/`sabr` (per expiry), and a globally-calibrated `heston` — plus static no-arbitrage diagnostics,
+ * skew + term structure, IV-rank, and event-vol facades.
+ */
+export { volatilitySurface, VolatilitySurface, SURFACE_SCHEMA_VERSION } from './surface.js';
+// Parametric smile calibration (spec §10.1).
+// SVI evaluators/kernels live on '@insiderfinance/totalfinance/volatility/svi' (C5 kernels-off-roots).
+export { calibrateSvi } from './svi.js';
+// Volatility-surface PCA — the level/slope/curvature modes of surface motion over time.
+export { surfacePCA, surfacePcaScenarios } from './surface-pca.js';
+// Sticky-strike vs sticky-delta regime measurement (complements minimumVarianceDelta).
+export { stickyRegime } from './sticky-regime.js';
+// SSVI — Gatheral–Jacquier arbitrage-free surface SVI (calendar-arb-free by construction).
+// SSVI evaluators live on '@insiderfinance/totalfinance/volatility/ssvi' (C5 kernels-off-roots).
+export { calibrateSsvi } from './ssvi.js';
+// eSSVI — SSVI extended with a per-maturity skew ρ(θ) (a strict superset of SSVI).
+// eSSVI evaluators live on '@insiderfinance/totalfinance/volatility/essvi' (C5 kernels-off-roots).
+export { calibrateEssvi } from './essvi.js';
+export { calibrateSabrSmile } from './sabr.js';
+// Swaption cube — SABR-on-rates: per-node SABR calibration + bilinear (expiry×tenor) interpolation.
+export { swaptionCube, swaptionCubeVolatility } from './swaption-cube.js';
+export { calibrateHestonSurface } from './heston-surface.js';
+// Cross-expiry term structure (spec §10.2).
+export { atmTermStructure, forwardVolatility, calendarSkew, forwardSkew } from './term.js';
+// Model-free analytics (spec §10): Breeden–Litzenberger probabilities, vol cone, variance-swap vol.
+export { riskNeutralDistribution, volatilityCone, varianceSwapRate } from './analytics.js';
+// §10.x VIX-style model-free variance index + VRP term structure (chain → constant-maturity vol).
+export { varianceIndex, varianceRiskPremiumTermStructure } from './variance-index.js';
+// §10.3 Earnings / event-vol modeling (term-structure fit + implied-vs-realized calibration).
+export { calibrateEventVolatility, calibrateEventMove, eventVolatilityAtExpiry, } from './earnings.js';
+// §10.x Minimum-variance (smile-adjusted) delta — the hedge ratio that accounts for vol–spot co-movement.
+export { minimumVarianceDelta } from './min-variance-delta.js';
+// §10.x SABR Bartlett (minimum-variance) delta & vega — the model-consistent hedge under correlated SABR
+// forward/vol dynamics (the SABR realization of `minimumVarianceDelta`).
+export { sabrBartlettGreeks } from './sabr-delta.js';
+// §10.x Empirical vol–spot β (the leverage effect) — the regression of IV changes on spot changes; the
+// empirical `∂σ/∂S` that `minimumVarianceDelta({ volatilitySpotBeta })` consumes.
+export { estimateVolatilitySpotBeta } from './volatility-spot-beta.js';
+// §10.x SKEW-style tail-risk index — model-free risk-neutral skewness / excess kurtosis from the chain.
+export { tailRiskIndex } from './tail-risk.js';
+// §10.1 Dupire local-volatility surface fitting (derived from the implied surface).
+export { localVolatilitySurface, surfaceLocalVolatility } from './local-volatility.js';
+// Static no-arbitrage diagnostics (spec §10.1).
+export { surfaceArbitrageReport, arbitrageReport, checkCalendar, checkButterfly, } from './arbitrage.js';
+export { skew } from './skew.js';
+// Observed vendor-IV/delta sampling, deliberately separate from fitted/model-derived skew.
+export { observedSkew } from './observed-skew.js';
+// The scalar-tier estimates are standard `Computed` envelopes (DX1): warnings live under
+// `diagnostics.warnings`; the one-envelope law holds: results are plain `Computed`.
+export { RISK_NEUTRAL_ESTIMATE } from './estimate.js';
+export { impliedVolatilityRank, impliedVolatilityPercentile, impliedVolatilityStatistics, } from './metrics.js';
+export { expectedMoveFromImpliedVolatility, expectedMoveFromStraddle, probabilityInTheMoney, probabilityOfTouch, realizedImpliedSpread, varianceRiskPremium, eventVolatilityDecomposition, eventStrippedVolatility, } from './event.js';
+// Variance forecasting (spec §10.2): GARCH(1,1) MLE + HAR-RV (Corsi) OLS.
+export { fitGarch, garchForecast, fitHarRv, harRvForecast } from './forecast.js';
+// Risk reversal & butterfly — the FX/crypto smile-quoting decomposition and its exact inverse.
+export { riskReversalButterfly, smileFromQuotes } from './risk-reversal.js';
+// Vanna–volga — the FX/crypto smile constructed from ATM + 25Δ RR/BF (reprices the three pillars exactly),
+// its Castagna–Mercurio closed-form approximation, the risk-neutral density it implies, the 5-pillar
+// (ATM + 25Δ + 10Δ) exact-repricing smile, and the risk-neutral density that 5-pillar smile implies.
+// The evaluator/density kernels live on '@insiderfinance/totalfinance/volatility/vanna-volga' (C5 kernels-off-roots).
+export { calibrateVannaVolga, calibrateVannaVolga5 } from './vanna-volga.js';
+//# sourceMappingURL=index.js.map

package/modules/volatility/dist/index.js.map

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package/modules/volatility/dist/local-volatility.d.ts

@@ -0,0 +1,34 @@
+/**
+ * Dupire local-volatility surface fitting (spec §10.1). The Dupire transform `σ_loc(K, t)` is a
+ * *derived* surface — the local volatility consistent with an observed implied-vol surface — not an
+ * implied-vol parametrization. So it is exposed here as a derived `LocalVolatilitySurface` (with a fast
+ * cached grid) built from any implied-vol function or a fitted {@link VolatilitySurface}, reusing the Dupire
+ * engine in `@insiderfinance/totalfinance/options`, rather than as a `VolatilitySurface` `model` (which would mis-type `.iv()`).
+ */
+import { type DupireOptions, type LocalVolatilityFunction, type LocalVolatilityGridSpecification, type LocalVolatilityMarket } from '../../options/dist/index.js';
+import type { VolatilitySurface } from './surface.js';
+export type { DupireOptions, LocalVolatilityFunction, LocalVolatilityGridSpecification, LocalVolatilityMarket, } from '../../options/dist/index.js';
+export interface LocalVolatilitySurface {
+    /** Dupire local volatility `σ_loc(level, t)` (level = underlying price, t in years). */
+    localVolatility(level: number, timeToExpiryYears: number): number;
+    /**
+     * A grid-cached local-volatility function over the given (level, time) knots — bilinearly interpolated and
+     * far cheaper to evaluate inside a Monte-Carlo simulation than the raw finite-difference transform.
+     */
+    grid(specification: LocalVolatilityGridSpecification): LocalVolatilityFunction;
+}
+export interface LocalVolatilitySurfaceInput {
+    impliedVolatility: (strike: number, timeToExpiryYears: number) => number;
+    market: LocalVolatilityMarket;
+    options?: DupireOptions;
+}
+/** Fit a Dupire local-volatility surface from an implied-vol function `σ_imp(strike, t)` and market context. */
+export declare function localVolatilitySurface(input: LocalVolatilitySurfaceInput): LocalVolatilitySurface;
+export interface SurfaceLocalVolatilityInput {
+    surface: VolatilitySurface;
+    market: LocalVolatilityMarket;
+    options?: DupireOptions;
+}
+/** Fit a Dupire local-volatility surface directly from a calibrated {@link VolatilitySurface}. */
+export declare function surfaceLocalVolatility(input: SurfaceLocalVolatilityInput): LocalVolatilitySurface;
+//# sourceMappingURL=local-volatility.d.ts.map

package/modules/volatility/dist/local-volatility.d.ts.map

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package/modules/volatility/dist/local-volatility.js

@@ -0,0 +1,59 @@
+/**
+ * Dupire local-volatility surface fitting (spec §10.1). The Dupire transform `σ_loc(K, t)` is a
+ * *derived* surface — the local volatility consistent with an observed implied-vol surface — not an
+ * implied-vol parametrization. So it is exposed here as a derived `LocalVolatilitySurface` (with a fast
+ * cached grid) built from any implied-vol function or a fitted {@link VolatilitySurface}, reusing the Dupire
+ * engine in `@insiderfinance/totalfinance/options`, rather than as a `VolatilitySurface` `model` (which would mis-type `.iv()`).
+ */
+import { ErrorCode, InputError, ensureKnownKeys, requireArgumentObject } from '../../core/dist/index.js';
+import {} from '../../options/dist/index.js';
+import { dupireLocalVolatility, localVolatilityGrid } from '../../options/dist/local-volatility.js';
+/** The documented {@link LocalVolatilityMarket} fields (Law 12 allowlist). */
+const LOCAL_VOL_MARKET_KEYS = ['spot', 'riskFreeRate', 'dividendYield'];
+/** The documented {@link DupireOptions} fields (Law 12 allowlist). */
+const DUPIRE_OPTIONS_KEYS = ['logMoneynessStep', 'timeStepYears', 'floorVolatility'];
+/** Fit a Dupire local-volatility surface from an implied-vol function `σ_imp(strike, t)` and market context. */
+export function localVolatilitySurface(input) {
+    requireArgumentObject('localVolatilitySurface', 'input', input);
+    ensureKnownKeys('localVolatilitySurface', 'input', input, [
+        'impliedVolatility',
+        'market',
+        'options',
+    ]);
+    const { impliedVolatility, market, options: options = {} } = input;
+    if (typeof impliedVolatility !== 'function') {
+        throw new InputError(`localVolatilitySurface: impliedVolatility must be a function (strike, t) => impliedVolatility, got ${impliedVolatility === null ? 'null' : typeof impliedVolatility}.`, { code: ErrorCode.InputWrongType, context: { received: typeof impliedVolatility } });
+    }
+    requireArgumentObject('localVolatilitySurface', 'market', market);
+    ensureKnownKeys('localVolatilitySurface', 'market', market, LOCAL_VOL_MARKET_KEYS);
+    // `null` slips past the `= {}` default and would die on the first option read — reject it typed.
+    requireArgumentObject('localVolatilitySurface', 'options', options);
+    ensureKnownKeys('localVolatilitySurface', 'options', options, DUPIRE_OPTIONS_KEYS);
+    const fn = dupireLocalVolatility({
+        impliedVolatility,
+        market,
+        options,
+    });
+    return {
+        localVolatility: fn,
+        grid: (specification) => localVolatilityGrid(fn, specification),
+    };
+}
+/** Fit a Dupire local-volatility surface directly from a calibrated {@link VolatilitySurface}. */
+export function surfaceLocalVolatility(input) {
+    requireArgumentObject('surfaceLocalVolatility', 'input', input);
+    ensureKnownKeys('surfaceLocalVolatility', 'input', input, ['surface', 'market', 'options']);
+    const { surface, market, options: options = {} } = input;
+    requireArgumentObject('surfaceLocalVolatility', 'surface', surface);
+    requireArgumentObject('surfaceLocalVolatility', 'market', market);
+    ensureKnownKeys('surfaceLocalVolatility', 'market', market, LOCAL_VOL_MARKET_KEYS);
+    // `null` slips past the `= {}` default and would die on the first option read — reject it typed.
+    requireArgumentObject('surfaceLocalVolatility', 'options', options);
+    ensureKnownKeys('surfaceLocalVolatility', 'options', options, DUPIRE_OPTIONS_KEYS);
+    return localVolatilitySurface({
+        impliedVolatility: (strike, t) => surface.impliedVolatility(strike, t),
+        market,
+        options,
+    });
+}
+//# sourceMappingURL=local-volatility.js.map

package/modules/volatility/dist/local-volatility.js.map

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package/modules/volatility/dist/metrics.d.ts

@@ -0,0 +1,41 @@
+/**
+ * Cross-sectional implied-volatility metrics (spec §10.2): IV rank and IV percentile against a
+ * trailing history of ATM (or any fixed-reference) implied volatilities.
+ */
+/** The conventions echoed by an empirical IV metric: the sample window and which statistic. */
+type ImpliedVolatilityMetricExtra = {
+    window: number;
+    method: 'rank' | 'percentile' | 'stats';
+};
+/**
+ * IV rank: where `current` sits in the trailing [min, max] range, as a percentage in `[0, 100]`.
+ * `(current − min) / (max − min) × 100`, clamped. Returns `NaN` only when the history is flat
+ * (min == max) — there is no defined rank, and we never fabricate one.
+ */
+/** Input for {@link impliedVolatilityRank}/{@link impliedVolatilityPercentile}/{@link impliedVolatilityStatistics}: current IV vs its history. */
+export interface ImpliedVolatilityMetricInput {
+    /** Current implied volatility (annualized decimal). */
+    current: number;
+    /** Trailing IV history (chronological or not — order-insensitive). */
+    history: ArrayLike<number>;
+}
+export interface ImpliedVolatilityStatistics {
+    current: number;
+    /** `null` for a flat history (rank undefined — disclosed via `implied_volatility.flat_history`). */
+    rank: number | null;
+    percentile: number;
+    min: number;
+    max: number;
+    mean: number;
+    observations: number;
+}
+/**
+ * FACADES (P3.2, one gesture): plain value from the call; the same call's `.explain()` returns the
+ * envelope (window, method, and the flat-history caveat when rank is undefined). Single-object
+ * input per Decision 3 — `impliedVolatilityRank({ current, history })`.
+ */
+export declare const impliedVolatilityRank: import("../../core/dist/index.js").Facade<ImpliedVolatilityMetricInput, number | null, ImpliedVolatilityMetricExtra, number | null>;
+export declare const impliedVolatilityPercentile: import("../../core/dist/index.js").Facade<ImpliedVolatilityMetricInput, number, ImpliedVolatilityMetricExtra, number>;
+export declare const impliedVolatilityStatistics: import("../../core/dist/index.js").Facade<ImpliedVolatilityMetricInput, ImpliedVolatilityStatistics, ImpliedVolatilityMetricExtra, ImpliedVolatilityStatistics>;
+export {};
+//# sourceMappingURL=metrics.d.ts.map

package/modules/volatility/dist/metrics.d.ts.map

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