@insiderfinance/totalfinance 0.1.0

package/modules/volatility/dist/observed-skew.js

@@ -0,0 +1,461 @@
+/** Observed-chain skew: supplied IV/delta only, with no surface fit or pricing-model inference. */
+import { CONVENTIONS_VERSION, ErrorCode, InputError, WarningCode, ensureFinite, ensureFiniteWhenPresent, ensureKnownKeys, ensureNonNegative, ensurePositive, missingFieldError, requireArgumentObject, requireFiniteFields, resolveValuationAsOf, resolvedExpiry, validateResolvedExpiry, yearFraction, } from '../../core/dist/index.js';
+const FN = 'observedSkew';
+const EXAMPLE = "observedSkew({ quotes, market: { spot: 100, asOf: '2026-06-01T20:00:00Z' }, config: { expiry: '2026-07-17' } })";
+function requiredObject(value, path) {
+    if (value === undefined)
+        throw missingFieldError(FN, path, EXAMPLE);
+    requireArgumentObject(FN, path, value);
+}
+function requiredString(value, path) {
+    if (value === undefined)
+        throw missingFieldError(FN, path, EXAMPLE);
+    if (typeof value !== 'string') {
+        throw new InputError(`${FN}: ${path} must be a string.`, {
+            code: ErrorCode.InputWrongType,
+            context: { field: path, received: value === null ? 'null' : typeof value },
+        });
+    }
+    if (value.trim().length === 0) {
+        throw new InputError(`${FN}: ${path} must not be empty.`, {
+            code: ErrorCode.InputOutOfRange,
+            context: { field: path },
+        });
+    }
+}
+function enumField(value, path, allowed) {
+    if (value === undefined)
+        throw missingFieldError(FN, path, EXAMPLE);
+    if (!allowed.includes(value)) {
+        throw new InputError(`${FN}: ${path} must be ${allowed.join(' | ')}.`, {
+            code: ErrorCode.InputInvalidEnum,
+            context: { field: path, allowed },
+        });
+    }
+}
+function timestamp(value, path) {
+    ensureFinite(value, path, FN);
+    if (Math.abs(value) > 8.64e15) {
+        throw new InputError(`${FN}: ${path} must be representable epoch milliseconds.`, {
+            code: ErrorCode.InputOutOfRange,
+            context: { field: path, value },
+        });
+    }
+}
+function validateInput(input) {
+    requiredObject(input, 'input');
+    ensureKnownKeys(FN, 'input', input, ['quotes', 'market', 'config']);
+    if (input.quotes === undefined)
+        throw missingFieldError(FN, 'quotes', EXAMPLE);
+    if (!Array.isArray(input.quotes)) {
+        throw new InputError(`${FN}: quotes must be an array of canonical option quotes. ${EXAMPLE}`, {
+            code: ErrorCode.InputWrongType,
+            context: { field: 'quotes' },
+        });
+    }
+    requiredObject(input.market, 'market');
+    ensureKnownKeys(FN, 'market', input.market, ['spot', 'asOf']);
+    requireFiniteFields(FN, input.market, ['spot'], { path: 'market', exampleCall: EXAMPLE });
+    ensurePositive(input.market.spot, 'market.spot', FN);
+    if (input.market.asOf === undefined)
+        throw missingFieldError(FN, 'market.asOf', EXAMPLE);
+    if (typeof input.market.asOf === 'number')
+        ensureFinite(input.market.asOf, 'market.asOf', FN);
+    const asOf = resolveValuationAsOf(input.market.asOf, FN);
+    timestamp(asOf, 'market.asOf');
+    requiredObject(input.config, 'config');
+    ensureKnownKeys(FN, 'config', input.config, [
+        'expiry',
+        'riskReversalConvention',
+        'minimumContracts',
+        'deltaTolerance',
+        'tailDeltaTolerance',
+        'slopeWindow',
+    ]);
+    requiredString(input.config.expiry, 'config.expiry');
+    if (input.config.riskReversalConvention !== undefined) {
+        enumField(input.config.riskReversalConvention, 'config.riskReversalConvention', [
+            'callMinusPut',
+            'putMinusCall',
+        ]);
+    }
+    for (const key of [
+        'minimumContracts',
+        'deltaTolerance',
+        'tailDeltaTolerance',
+        'slopeWindow',
+    ]) {
+        const value = input.config[key];
+        ensureFiniteWhenPresent(value, `config.${key}`, FN);
+        if (value === undefined)
+            continue;
+        const valid = key === 'minimumContracts'
+            ? Number.isSafeInteger(value) && value >= 1
+            : value <= 1 && (key === 'slopeWindow' ? value > 0 : value >= 0);
+        if (!valid) {
+            throw new InputError(`${FN}: config.${key} must be ${key === 'minimumContracts'
+                ? 'a positive safe integer'
+                : key === 'slopeWindow'
+                    ? 'in (0, 1]'
+                    : 'in [0, 1]'}.`, {
+                code: ErrorCode.InputOutOfRange,
+                context: { field: `config.${key}`, value },
+            });
+        }
+    }
+    return asOf;
+}
+function validateQuote(quote, index, validatedExpiries) {
+    const path = `quotes[${index}]`;
+    requiredObject(quote, path);
+    requiredObject(quote.contract, `${path}.contract`);
+    const c = quote.contract;
+    requiredString(c.underlying, `${path}.contract.underlying`);
+    requiredString(c.expiry, `${path}.contract.expiry`);
+    enumField(c.type, `${path}.contract.type`, ['call', 'put']);
+    enumField(c.style, `${path}.contract.style`, ['american', 'european']);
+    requireFiniteFields(FN, c, ['strike', 'expiresAt'], {
+        path: `${path}.contract`,
+        exampleCall: EXAMPLE,
+    });
+    ensurePositive(c.strike, `${path}.contract.strike`, FN);
+    enumField(c.expiryConvention, `${path}.contract.expiryConvention`, [
+        'us-equity-close',
+        'explicit-instant',
+    ]);
+    // Cache successful coordinate triples, not contract objects or expiry labels alone. Each row's
+    // required/type/domain checks above still run, and either changed coordinate re-enters core's
+    // complete cross-field validator. The map is invocation-local; later calls cannot inherit trust.
+    const validated = validatedExpiries.get(c.expiry);
+    if (validated === undefined ||
+        validated.expiresAt !== c.expiresAt ||
+        validated.expiryConvention !== c.expiryConvention) {
+        validateResolvedExpiry(FN, c.expiry, c.expiresAt, c.expiryConvention);
+        validatedExpiries.set(c.expiry, {
+            expiresAt: c.expiresAt,
+            expiryConvention: c.expiryConvention,
+        });
+    }
+    requireFiniteFields(FN, quote, ['timestampMs'], { path, exampleCall: EXAMPLE });
+    timestamp(quote.timestampMs, `${path}.timestampMs`);
+    for (const field of ['impliedVolatility', 'openInterest']) {
+        ensureFiniteWhenPresent(quote[field], `${path}.${field}`, FN);
+    }
+    // A row's delta rides `greeks.delta` (the one chain row): signed, provided, never recomputed.
+    if (quote.greeks !== undefined) {
+        requiredObject(quote.greeks, `${path}.greeks`);
+        ensureFiniteWhenPresent(quote.greeks.delta, `${path}.greeks.delta`, FN);
+    }
+    const delta = quote.greeks?.delta;
+    if (quote.impliedVolatility !== undefined)
+        ensurePositive(quote.impliedVolatility, `${path}.impliedVolatility`, FN);
+    if (quote.openInterest !== undefined)
+        ensureNonNegative(quote.openInterest, `${path}.openInterest`, FN);
+    if (delta !== undefined &&
+        (c.type === 'call' ? delta < 0 || delta > 1 : delta < -1 || delta > 0)) {
+        throw new InputError(`${FN}: ${path}.greeks.delta must be signed ${c.type} delta in ${c.type === 'call' ? '[0, 1]' : '[-1, 0]'}. No delta is recomputed.`, {
+            code: ErrorCode.InputOutOfRange,
+            context: { field: `${path}.greeks.delta`, type: c.type, delta },
+        });
+    }
+}
+function compare(a, b) {
+    return (a.strike - b.strike ||
+        b.timestampMs - a.timestampMs ||
+        (a.delta ?? 2) - (b.delta ?? 2) ||
+        a.impliedVolatility - b.impliedVolatility ||
+        (a.openInterest ?? -1) - (b.openInterest ?? -1) ||
+        a.quoteIndex - b.quoteIndex);
+}
+function mean(values) {
+    let result = 0;
+    values.forEach((value, i) => {
+        result += (value - result) / (i + 1);
+    });
+    return result;
+}
+/** A few rounding units for subtraction/division of the supplied operands, not a sampling band. */
+function roundoff(scale) {
+    return 4 * Number.EPSILON * scale;
+}
+function tiedDistance({ distance, minimum, scale, }) {
+    // An exactly observed target beats any nonzero distance, even one within rounding slack.
+    return distance === minimum || (minimum > 0 && distance - minimum <= roundoff(scale));
+}
+function wing(rows, target, tolerance, gate) {
+    const side = rows.filter((row) => row.type === (target > 0 ? 'call' : 'put'));
+    let minimum = Infinity;
+    for (const row of side) {
+        if (row.delta === null)
+            continue;
+        minimum = Math.min(minimum, Math.abs(row.delta - target));
+    }
+    // Compare to the global minimum, not a moving approximate winner (approximate equality is not
+    // transitive). Rows are already in disclosed tie-break order, so the first numeric tie wins.
+    const nearest = side.find((row) => row.delta !== null &&
+        tiedDistance({
+            distance: Math.abs(row.delta - target),
+            minimum,
+            scale: Math.max(Math.abs(row.delta), Math.abs(target) + minimum),
+        })) ?? null;
+    const distance = nearest === null ? Infinity : Math.abs(nearest.delta - target);
+    const outside = distance > tolerance &&
+        (tolerance === 0 ||
+            distance - tolerance >
+                roundoff(Math.max(Math.abs(nearest?.delta ?? 0), Math.abs(target), tolerance)));
+    const reason = gate ??
+        (side.length === 0
+            ? 'no_usable_implied_volatility'
+            : nearest === null
+                ? 'missing_delta'
+                : outside
+                    ? 'outside_delta_tolerance'
+                    : null);
+    return {
+        targetDelta: target,
+        tolerance,
+        selected: reason === null ? nearest : null,
+        nearestDeltaDistance: nearest === null ? null : distance,
+        unavailableReason: reason,
+    };
+}
+/**
+ * Observe a single expiry. Compose separate calls for a term structure; compare their mean ATM IVs
+ * only when available. IV/RR/BF/spreads are decimals (multiply by 100 for IV-point displays).
+ * Missing IV/delta is omission, not null/NaN/zero. Missing wings and insufficient/expired samples
+ * return null with reasons. Supplied malformed values throw; no alternate quote/date shapes,
+ * delta recomputation, interpolation, forward adjustment or tail extrapolation is performed.
+ * Distance ties and inclusive boundaries allow only 4 × machine epsilon at the arithmetic operand
+ * scale. Ties are measured against the global minimum, then use the disclosed lower-strike order;
+ * an exact observed target always wins and a zero delta tolerance remains strictly exact.
+ */
+export function observedSkew(input) {
+    const asOf = validateInput(input);
+    const { quotes, market, config } = input;
+    const { expiresAt, expiryConvention } = resolvedExpiry(config.expiry);
+    const minimumContracts = config.minimumContracts ?? 6;
+    const deltaTolerance = config.deltaTolerance ?? 0.12;
+    const tailDeltaTolerance = config.tailDeltaTolerance ?? 0.05;
+    const slopeWindow = config.slopeWindow ?? 0.1;
+    const convention = config.riskReversalConvention ?? 'callMinusPut';
+    const rows = [];
+    const excludedQuotes = [];
+    const warnings = [];
+    const underlyings = new Set();
+    const validatedExpiries = new Map();
+    let matching = 0;
+    for (let i = 0; i < quotes.length; i++) {
+        const quote = quotes[i];
+        validateQuote(quote, i, validatedExpiries);
+        if (quote.contract.expiry !== config.expiry) {
+            excludedQuotes.push({ quoteIndex: i, reason: 'other_expiry' });
+            continue;
+        }
+        matching++;
+        underlyings.add(quote.contract.underlying);
+        if (quote.timestampMs > asOf) {
+            excludedQuotes.push({ quoteIndex: i, reason: 'future_quote' });
+        }
+        else if (quote.impliedVolatility === undefined) {
+            excludedQuotes.push({ quoteIndex: i, reason: 'missing_implied_volatility' });
+        }
+        else {
+            rows.push({
+                quoteIndex: i,
+                type: quote.contract.type,
+                strike: quote.contract.strike,
+                impliedVolatility: quote.impliedVolatility,
+                delta: quote.greeks?.delta ?? null,
+                openInterest: quote.openInterest ?? null,
+                timestampMs: quote.timestampMs,
+            });
+        }
+    }
+    if (underlyings.size > 1) {
+        throw new InputError(`${FN}: selected expiry contains multiple underlyings; supply one underlying's chain for market.spot.`, {
+            code: ErrorCode.InputWrongShape,
+            context: { underlyings: [...underlyings] },
+        });
+    }
+    rows.sort(compare);
+    const gate = matching === 0
+        ? 'expiry_not_found'
+        : expiresAt <= asOf
+            ? 'expired'
+            : rows.length < minimumContracts
+                ? 'insufficient_contracts'
+                : null;
+    let atm = null;
+    if (gate === null) {
+        let minimum = Infinity;
+        for (const row of rows) {
+            minimum = Math.min(minimum, Math.abs(row.strike - market.spot));
+        }
+        const nearest = rows.find((row) => tiedDistance({
+            distance: Math.abs(row.strike - market.spot),
+            minimum,
+            scale: Math.max(row.strike, market.spot),
+        }));
+        const observations = rows.filter((row) => row.strike === nearest.strike);
+        atm = {
+            strike: nearest.strike,
+            impliedVolatility: mean(observations.map((row) => row.impliedVolatility)),
+            observations,
+        };
+    }
+    const put25Delta = wing(rows, -0.25, deltaTolerance, gate);
+    const call25Delta = wing(rows, 0.25, deltaTolerance, gate);
+    const put10Delta = wing(rows, -0.1, tailDeltaTolerance, gate);
+    const call10Delta = wing(rows, 0.1, tailDeltaTolerance, gate);
+    const byStrike = new Map();
+    let duplicateCount = 0;
+    for (const row of rows) {
+        const pair = byStrike.get(row.strike) ?? { call: null, put: null };
+        if (pair[row.type] === null)
+            pair[row.type] = row;
+        else
+            duplicateCount++;
+        byStrike.set(row.strike, pair);
+    }
+    const smile = [...byStrike].map(([strike, pair]) => {
+        const moneyness = strike / market.spot - 1;
+        ensureFinite(moneyness, 'derived moneyness', FN);
+        const otm = strike >= market.spot ? pair.call : pair.put;
+        return {
+            strike,
+            moneyness,
+            ...pair,
+            otmImpliedVolatility: otm?.impliedVolatility ?? null,
+            otmUnavailableReason: otm === null ? 'missing_otm_side' : null,
+            impliedVolatilityVsAtm: otm !== null && atm !== null ? otm.impliedVolatility - atm.impliedVolatility : null,
+        };
+    });
+    const slopePoints = smile.filter((point) => point.otmImpliedVolatility !== null &&
+        (Math.abs(point.moneyness) <= slopeWindow ||
+            Math.abs(point.moneyness) - slopeWindow <=
+                roundoff(Math.max(1, point.strike / market.spot))));
+    let slopeReason = gate ?? (slopePoints.length < 4 ? 'insufficient_slope_points' : null);
+    let skewSlope = null;
+    if (slopeReason === null) {
+        const xs = slopePoints.map((point) => point.moneyness);
+        const ys = slopePoints.map((point) => point.otmImpliedVolatility);
+        const meanX = mean(xs);
+        const meanY = mean(ys);
+        let covariance = 0;
+        let variance = 0;
+        for (let i = 0; i < xs.length; i++) {
+            const dx = xs[i] - meanX;
+            covariance += dx * (ys[i] - meanY);
+            variance += dx * dx;
+        }
+        if (variance === 0)
+            slopeReason = 'degenerate_moneyness';
+        else if (!Number.isFinite(covariance / variance))
+            slopeReason = 'non_finite_result';
+        else
+            skewSlope = covariance / variance;
+    }
+    const rr = (call, put) => call.selected && put.selected
+        ? (convention === 'callMinusPut' ? 1 : -1) *
+            (call.selected.impliedVolatility - put.selected.impliedVolatility)
+        : null;
+    const bf = (call, put) => call.selected && put.selected && atm
+        ? mean([call.selected.impliedVolatility, put.selected.impliedVolatility]) -
+            atm.impliedVolatility
+        : null;
+    const bodyReason = gate ?? (call25Delta.selected === null || put25Delta.selected === null ? 'missing_wing' : null);
+    const tailReason = gate ?? (call10Delta.selected === null || put10Delta.selected === null ? 'missing_wing' : null);
+    const unavailableReasons = {
+        atm: gate,
+        riskReversal25Delta: bodyReason,
+        riskReversal10Delta: tailReason,
+        butterfly25Delta: bodyReason,
+        butterfly10Delta: tailReason,
+        skewSlope: slopeReason,
+    };
+    for (const [field, reason] of Object.entries(unavailableReasons)) {
+        if (reason !== null)
+            warnings.push({
+                code: WarningCode.VolatilityObservedSkewUnavailable,
+                severity: 'warn',
+                message: `${FN}: ${field} is unavailable (${reason}); no value was interpolated or invented.`,
+                context: { field, reason },
+            });
+    }
+    for (const reason of ['future_quote', 'missing_implied_volatility']) {
+        const indices = excludedQuotes
+            .filter((row) => row.reason === reason)
+            .map((row) => row.quoteIndex);
+        if (indices.length)
+            warnings.push({
+                code: WarningCode.VolatilityObservedSkewQuoteExcluded,
+                severity: 'warn',
+                message: `${FN}: excluded ${indices.length} selected-expiry quote(s): ${reason}.`,
+                context: { reason, quoteIndices: indices },
+            });
+    }
+    const missingDeltaIndices = rows.filter((row) => row.delta === null).map((row) => row.quoteIndex);
+    if (missingDeltaIndices.length)
+        warnings.push({
+            code: WarningCode.VolatilityObservedSkewMissingDelta,
+            severity: 'info',
+            message: `${FN}: ${missingDeltaIndices.length} IV-bearing quote(s) lack delta; they contribute to ATM/smile, never wing selection.`,
+            context: { quoteIndices: missingDeltaIndices },
+        });
+    if (duplicateCount)
+        warnings.push({
+            code: WarningCode.VolatilityObservedSkewDuplicateContract,
+            severity: 'info',
+            message: `${FN}: ${duplicateCount} repeated strike/type observation(s); ATM/sample counts retain all, smile sides use the disclosed deterministic tie-break.`,
+            context: { duplicateCount },
+        });
+    const timeToExpiryYears = yearFraction(asOf, expiresAt, 'ACT/365F');
+    return {
+        value: {
+            expiry: config.expiry,
+            expiresAt,
+            timeToExpiryYears,
+            daysToExpiry: Math.max(0, Math.ceil((expiresAt - asOf) / 86_400_000)),
+            underlying: [...underlyings][0] ?? null,
+            contractCount: rows.length,
+            unavailableReason: gate,
+            atm,
+            put25Delta,
+            call25Delta,
+            put10Delta,
+            call10Delta,
+            riskReversal25Delta: rr(call25Delta, put25Delta),
+            riskReversal10Delta: rr(call10Delta, put10Delta),
+            butterfly25Delta: bf(call25Delta, put25Delta),
+            butterfly10Delta: bf(call10Delta, put10Delta),
+            skewSlope,
+            slopePointCount: slopePoints.length,
+            unavailableReasons,
+            smile,
+            excludedQuotes,
+        },
+        assumptions: {
+            conventionsVersion: CONVENTIONS_VERSION,
+            asOf,
+            spot: market.spot,
+            dayCount: 'ACT/365F',
+            timeToExpiryYears,
+            expiryConvention,
+            impliedVolatilitySource: 'provided',
+            deltaSource: 'provided',
+            atmMethod: 'nearest-spot-strike-mean',
+            wingMethod: 'nearest-provided-delta',
+            smileMethod: 'observed-otm-only',
+            slopeMethod: 'ols-implied-volatility-vs-moneyness',
+            tieBreak: 'lower-strike-latest-timestamp-delta-implied-volatility-open-interest-input-index',
+            duplicatePolicy: 'retain-observations-select-smile-side',
+            riskReversalConvention: convention,
+            minimumContracts,
+            deltaTolerance,
+            tailDeltaTolerance,
+            slopeWindow,
+        },
+        diagnostics: { engine: 'observed-chain-skew', method: 'provided-delta-sampling', warnings },
+    };
+}
+//# sourceMappingURL=observed-skew.js.map

package/modules/volatility/dist/observed-skew.js.map

@@ -0,0 +1 @@
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package/modules/volatility/dist/otm-strip.d.ts

@@ -0,0 +1,39 @@
+/**
+ * Shared OTM-strip extraction for the model-free chain indices (variance index, tail-risk / SKEW). From
+ * a raw option chain it derives, per expiry, the put–call-parity **forward** and the **OTM strip** (puts
+ * below the forward, calls above, averaged at the money) that both the DDKZ variance replication and the
+ * Bakshi–Kapadia–Madan moment estimators integrate over. An expiry that can't be replicated (< 3 OTM
+ * strikes, no strike carrying both a call and a put, no bracketing forward strike) is dropped with a
+ * disclosed warning — never fabricated. Internal to `@insiderfinance/totalfinance/volatility` (not part of the package surface).
+ */
+import { type EpochMs, type OptionQuote, type QuantWarning } from '../../core/dist/index.js';
+/** One expiry's OTM strip, ready for a model-free integral. */
+export interface OtmStrip {
+    expiry: string;
+    /** Year fraction to expiry (ACT/365F, to the 16:00-ET expiry instant). */
+    timeToExpiryYears: number;
+    /** Whole calendar days to expiry, counted between America/New_York trading DATES. */
+    daysToExpiry: number;
+    /** Put–call-parity forward. */
+    forward: number;
+    /** OTM strikes, ascending. */
+    strikes: number[];
+    /** OTM option mids at `strikes` (put below the forward, call above, averaged at K₀). */
+    otmPrices: number[];
+}
+/** Best available mid for a quote: `mid`, else `(bid+ask)/2`, else `mark`, else `last`. */
+export declare function midOf(q: OptionQuote): number | undefined;
+/**
+ * Build the per-expiry OTM strips from a chain (ascending by DTE), disclosing every dropped expiry. The
+ * shared front-door for the model-free chain indices; each consumer computes its own moments over the
+ * returned strips.
+ */
+export declare function extractOtmStrips(quotes: readonly OptionQuote[], options: {
+    rate: number;
+    asOf: EpochMs | string;
+}, functionName: string): {
+    strips: OtmStrip[];
+    warnings: QuantWarning[];
+    asOfMs: EpochMs;
+};
+//# sourceMappingURL=otm-strip.d.ts.map

package/modules/volatility/dist/otm-strip.d.ts.map

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