@insiderfinance/totalfinance 0.1.0

package/modules/volatility/dist/svi.js

@@ -0,0 +1,491 @@
+/**
+ * Gatheral raw-SVI parameterization and calibration (spec §10.1).
+ *
+ * The raw SVI slice models total implied variance `w = σ²·t` as a function of log-moneyness
+ * `k = ln(K/F)`:
+ *
+ *   w(k) = a + b·( ρ·(k − m) + √((k − m)² + σ²) )
+ *
+ * with `a` (vertical level), `b ≥ 0` (wing slope / ATM curvature), `ρ ∈ [−1, 1]` (skew),
+ * `m` (horizontal shift) and `σ > 0` (smoothness). It is asymptotically linear in the wings — the
+ * shape implied vol surfaces actually take — yet has only five intuitive parameters.
+ *
+ * Calibration uses the **Zeliade quasi-explicit** method (Martini & Jacquier): for a fixed `(m, σ)`
+ * the fit is *linear* in the reduced variables `(a, d = bσρ, c = bσ)` and solved in closed form
+ * (a 3×3 normal-equation system), so only the well-behaved 2-D `(m, σ)` problem is left for a
+ * Nelder–Mead search. The reduced variables are projected onto the Zeliade box (which keeps the fit
+ * well-posed) and the outer search is **penalized for butterfly violations**, so the result is driven
+ * to the closest arbitrage-free SVI. Butterfly-freedom is then **verified and reported** on the result
+ * (`butterflyFree` / `minButterflyG`) rather than assumed — {@link sviG} exposes Gatheral's `g(k)`
+ * density function directly.
+ */
+import { CONVENTIONS_VERSION, ErrorCode, InputError, WarningCode, ensureFinite, ensurePositive, validateClosedRequest, warning, } from '../../core/dist/index.js';
+import { cholesky, choleskySolve, nelderMead } from '../../math/dist/index.js';
+import { requireCalibrationIterationBudget } from './calibration-limits.js';
+import { VALIDATION_SPECS } from './generated/validation-specs.js';
+/**
+ * Generated closed-request specs (spec 3B.1b): allowlists projected from the declarations.
+ * Resolved at module load so a stale key fails at import.
+ */
+function sviSpecOf(key) {
+    const spec = VALIDATION_SPECS[key];
+    if (spec === undefined) {
+        throw new Error(`svi: no generated validation spec for '${key}' — run \`pnpm validation:update\``);
+    }
+    return spec;
+}
+const SVI_TOTAL_VARIANCE_SPEC = sviSpecOf('sviTotalVariance#0');
+const SVI_VOLATILITY_SPEC = sviSpecOf('sviVolatility#0');
+const SVI_G_SPEC = sviSpecOf('sviG#0');
+const SVI_MIN_G_SPEC = sviSpecOf('sviMinG#0');
+const SVI_BUTTERFLY_FREE_SPEC = sviSpecOf('sviButterflyFree#0');
+const CALIBRATE_SVI_INPUT_SPEC = sviSpecOf('calibrateSvi#0');
+const CALIBRATE_SVI_OPTIONS_SPEC = sviSpecOf('calibrateSvi#1');
+/**
+ * Fit-vs-DATA tolerances, in implied-vol points (see {@link calibrateSvi}). The RMSE gate is
+ * `max(0.005, 2% of the smile's mean IV)`: half a vol point is below the bid/ask of any real chain,
+ * and the relative arm keeps the gate meaningful on a 100-vol crypto smile. The per-point gate is 5
+ * vol points — a single quote that far from the fit is a different smile, not a fit residual.
+ */
+const FIT_DEVIATION_RMSE_FLOOR = 0.005;
+const FIT_DEVIATION_RMSE_RELATIVE = 0.02;
+const FIT_DEVIATION_MAX_POINT = 0.05;
+/**
+ * An example per FUNCTION, not per file.
+ *
+ * All four boundaries shared one constant naming `sviTotalVariance`, so a caller who omitted `b` on
+ * `sviMinG` was answered with a worked call to a different function — authoritative-sounding
+ * misdirection, and the exact class RV5's gate was supposed to have closed. The gate missed it
+ * because it accepted any "alias" whose name appeared as a substring.
+ */
+const SVI_PARAMS = '{ a: 0.04, b: 0.4, rho: -0.3, m: 0, sigma: 0.1 }';
+const SVI_EXAMPLE_CALL = `sviTotalVariance(${SVI_PARAMS}, 0)`;
+const SVI_VOLATILITY_EXAMPLE_CALL = `sviVolatility(${SVI_PARAMS}, 0, 0.5)`;
+const SVI_G_EXAMPLE_CALL = `sviG(${SVI_PARAMS}, 0)`;
+const SVI_MIN_G_EXAMPLE_CALL = `sviMinG(${SVI_PARAMS})`;
+const SVI_BUTTERFLY_FREE_EXAMPLE_CALL = `sviButterflyFree(${SVI_PARAMS})`;
+const CALIBRATE_SVI_EXAMPLE_CALL = 'calibrateSvi({ k: [-0.2, -0.1, 0, 0.1, 0.2], w: [0.045, 0.042, 0.04, 0.041, 0.044] }, ' +
+    '{ timeToExpiryYears: 0.5 })';
+const SVI_HINTS = {
+    a: 'vertical level of the variance smile',
+    b: 'wing slope, >= 0',
+    rho: 'skew, in [-1, 1]',
+    m: 'horizontal shift in log-moneyness',
+    sigma: 'ATM curvature, > 0',
+};
+/**
+ * The unchecked slice kernel.
+ *
+ * @internal Calibration evaluates this inside a least-squares objective — thousands of optimizer
+ * iterations times every quoted strike — and the butterfly diagnostic sweeps an 81-point grid. Those
+ * loops validate their parameter object ONCE at the entry point and then call this; putting five
+ * field checks inside an optimizer's inner loop is exactly the per-row cost spec 3B.1b forbids.
+ */
+function totalVarianceUnchecked(parameters, k) {
+    const d = k - parameters.m;
+    return (parameters.a +
+        parameters.b * (parameters.rho * d + Math.sqrt(d * d + parameters.sigma * parameters.sigma)));
+}
+/**
+ * Total implied variance `w(k)` of a raw-SVI slice.
+ *
+ * Omitting any of the five parameters used to return `NaN` — a total variance that is not a number,
+ * handed back as a success. Downstream that becomes a `NaN` implied vol, a `NaN` price, and a quote.
+ */
+export function sviTotalVariance(parameters, k) {
+    validateClosedRequest('sviTotalVariance', parameters, SVI_TOTAL_VARIANCE_SPEC, {
+        argumentName: 'parameters',
+        exampleCall: SVI_EXAMPLE_CALL,
+        hints: SVI_HINTS,
+    });
+    ensureFinite(k, 'k', 'sviTotalVariance');
+    return totalVarianceUnchecked(parameters, k);
+}
+/** Implied volatility of a raw-SVI slice at log-moneyness `k` and maturity `t` (years). */
+export function sviVolatility(parameters, k, timeToExpiryYears) {
+    validateClosedRequest('sviVolatility', parameters, SVI_VOLATILITY_SPEC, {
+        argumentName: 'parameters',
+        exampleCall: SVI_VOLATILITY_EXAMPLE_CALL,
+        hints: SVI_HINTS,
+    });
+    ensureFinite(k, 'k', 'sviVolatility');
+    ensureFinite(timeToExpiryYears, 'timeToExpiryYears', 'sviVolatility');
+    return Math.sqrt(Math.max(0, totalVarianceUnchecked(parameters, k)) / timeToExpiryYears);
+}
+/** First and second derivatives of `w(k)` (closed form). */
+function sviDerivatives(p, k) {
+    const d = k - p.m;
+    const root = Math.sqrt(d * d + p.sigma * p.sigma);
+    const w = p.a + p.b * (p.rho * d + root);
+    const wp = p.b * (p.rho + d / root);
+    const wpp = (p.b * p.sigma * p.sigma) / (root * root * root);
+    return { w, wp, wpp };
+}
+/** @internal The unchecked `g(k)`; see {@link totalVarianceUnchecked} for why the loops need it. */
+function gUnchecked(parameters, k) {
+    const { w, wp, wpp } = sviDerivatives(parameters, k);
+    const a = 1 - (k * wp) / (2 * w);
+    return a * a - ((wp * wp) / 4) * (1 / w + 0.25) + wpp / 2;
+}
+/**
+ * Gatheral's `g(k)` density function. The risk-neutral density implied by an SVI slice is
+ * proportional to `g(k)`, so `g(k) ≥ 0` everywhere ⇔ the slice is free of **butterfly** arbitrage.
+ */
+export function sviG(parameters, k) {
+    validateClosedRequest('sviG', parameters, SVI_G_SPEC, {
+        argumentName: 'parameters',
+        exampleCall: SVI_G_EXAMPLE_CALL,
+        hints: SVI_HINTS,
+    });
+    ensureFinite(k, 'k', 'sviG');
+    return gUnchecked(parameters, k);
+}
+/** The default log-moneyness check grid (±1, 81 points) for the butterfly diagnostic. */
+const DEFAULT_G_GRID = Array.from({ length: 81 }, (_, i) => -1 + (2 * i) / 80);
+/**
+ * A butterfly check/penalty grid that SPANS the calibrated slice (WS2.11): `[min(k) − 0.25·range,
+ * max(k) + 0.25·range]` with at least 81 points, or 41 per unit of log-moneyness — whichever is more.
+ * The fixed ±1 grid silently missed density troughs in the wings of wide or long-dated slices (quotes
+ * out to |k| > 1), reporting `butterflyFree: true` when g(k) actually dipped negative at, say, k = 1.3.
+ */
+function butterflyGrid(k) {
+    const lo = Math.min(...k);
+    const hi = Math.max(...k);
+    const range = hi - lo;
+    const gLo = lo - 0.25 * range;
+    const gHi = hi + 0.25 * range;
+    const width = gHi - gLo; // = 1.5·range
+    const points = Math.max(81, Math.ceil(41 * width));
+    const step = width / (points - 1);
+    return Array.from({ length: points }, (_, i) => gLo + i * step);
+}
+/** The minimum Gatheral `g(k)` over a log-moneyness grid (`≥ 0` ⇔ butterfly-arbitrage-free). */
+export function sviMinG(parameters, grid = DEFAULT_G_GRID) {
+    // Once, before the sweep — not once per grid point.
+    validateClosedRequest('sviMinG', parameters, SVI_MIN_G_SPEC, {
+        argumentName: 'parameters',
+        exampleCall: SVI_MIN_G_EXAMPLE_CALL,
+        hints: SVI_HINTS,
+    });
+    let min = Infinity;
+    for (const k of grid) {
+        const g = gUnchecked(parameters, k);
+        if (g < min)
+            min = g;
+    }
+    return min;
+}
+/** Whether the slice is butterfly-arbitrage-free across a log-moneyness grid (default ±1, 81 points). */
+export function sviButterflyFree(parameters, grid = DEFAULT_G_GRID) {
+    validateClosedRequest('sviButterflyFree', parameters, SVI_BUTTERFLY_FREE_SPEC, {
+        argumentName: 'parameters',
+        exampleCall: SVI_BUTTERFLY_FREE_EXAMPLE_CALL,
+        hints: SVI_HINTS,
+    });
+    return sviMinG(parameters, grid) >= -1e-8;
+}
+const clamp = (x, lo, hi) => Math.min(hi, Math.max(lo, x));
+export function calibrateSvi(input, options = {}) {
+    validateClosedRequest('calibrateSvi', input, CALIBRATE_SVI_INPUT_SPEC, {
+        exampleCall: CALIBRATE_SVI_EXAMPLE_CALL,
+    });
+    // `null` slips past the `= {}` default and would die on the first option read — reject it typed.
+    validateClosedRequest('calibrateSvi', options, CALIBRATE_SVI_OPTIONS_SPEC, {
+        argumentName: 'options',
+        exampleCall: CALIBRATE_SVI_EXAMPLE_CALL,
+    });
+    requireCalibrationIterationBudget('calibrateSvi', options.maximumIterations);
+    const { k, w } = input;
+    const functionName = 'calibrateSvi';
+    const start = options.initialParameters;
+    if (start !== undefined) {
+        ensureFinite(start.m, 'initialParameters.m', functionName);
+        ensurePositive(start.sigma, 'initialParameters.sigma', functionName);
+    }
+    if (options.timeToExpiryYears !== undefined) {
+        // A zero/negative/NaN maturity would turn the vol-space deviation check into ∞/NaN and silently
+        // disable the disclosure it exists to make.
+        ensurePositive(options.timeToExpiryYears, 'timeToExpiryYears', functionName);
+    }
+    const timeToExpiryYears = options.timeToExpiryYears ?? 1;
+    const n = k.length;
+    if (n !== w.length) {
+        throw new InputError(`${functionName}: k and w must have the same length (${n} vs ${w.length}).`, {
+            code: ErrorCode.InputOutOfRange,
+            context: { k: n, w: w.length },
+        });
+    }
+    if (n < 5) {
+        throw new InputError(`${functionName}: need ≥ 5 points to identify the 5 SVI parameters, got ${n}.`, {
+            code: ErrorCode.InputOutOfRange,
+            context: { points: n },
+        });
+    }
+    for (let i = 0; i < n; i++) {
+        ensureFinite(k[i], `k[${i}]`, functionName);
+        ensureFinite(w[i], `w[${i}]`, functionName);
+        if (w[i] < 0) {
+            throw new InputError(`${functionName}: total variance w[${i}] must be ≥ 0, got ${w[i]}.`, {
+                code: ErrorCode.InputOutOfRange,
+                context: { index: i, w: w[i] },
+            });
+        }
+    }
+    const maxW = Math.max(...w);
+    // Inner problem: given (m, σ) the fit is linear in (a, d, c) → solve the 3×3 normal equations,
+    // then project onto the Zeliade no-arbitrage box.
+    const innerFit = (m, sigma) => {
+        const s = Math.max(sigma, 1e-8);
+        let S1 = 0;
+        let Sy = 0;
+        let Sz = 0;
+        let Syy = 0;
+        let Syz = 0;
+        let Szz = 0;
+        let Sw = 0;
+        let Syw = 0;
+        let Szw = 0;
+        for (let i = 0; i < n; i++) {
+            const y = (k[i] - m) / s;
+            const z = Math.sqrt(y * y + 1);
+            const wi = w[i];
+            S1 += 1;
+            Sy += y;
+            Sz += z;
+            Syy += y * y;
+            Syz += y * z;
+            Szz += z * z;
+            Sw += wi;
+            Syw += y * wi;
+            Szw += z * wi;
+        }
+        const A = [
+            [S1, Sy, Sz],
+            [Sy, Syy, Syz],
+            [Sz, Syz, Szz],
+        ];
+        const rhs = [Sw, Syw, Szw];
+        let a;
+        let d;
+        let c;
+        try {
+            // normal equations A·[a,d,c] = rhs with A = XᵀX (SPD) → Cholesky factor then solve.
+            [a, d, c] = choleskySolve(cholesky(A), rhs);
+        }
+        catch {
+            return { a: 0, d: 0, c: 0, sse: Number.POSITIVE_INFINITY };
+        }
+        // Zeliade no-arbitrage box: 0 ≤ c ≤ 4σ, |d| ≤ c, |d| ≤ 4σ − c, 0 ≤ a ≤ max(w).
+        c = clamp(c, 0, 4 * s);
+        const dCap = Math.min(c, 4 * s - c);
+        d = clamp(d, -dCap, dCap);
+        a = clamp(a, 0, maxW);
+        let sse = 0;
+        for (let i = 0; i < n; i++) {
+            const y = (k[i] - m) / s;
+            const z = Math.sqrt(y * y + 1);
+            const model = a + d * y + c * z;
+            sse += (model - w[i]) ** 2;
+        }
+        return { a, d, c, sse };
+    };
+    // Build the SVI parameters implied by an inner fit at (m, σ).
+    const paramsAt = (inner, m, sigma) => ({
+        a: inner.a,
+        b: inner.c / sigma,
+        rho: inner.c > 0 ? clamp(inner.d / inner.c, -1, 1) : 0,
+        m,
+        sigma,
+    });
+    // Penalty grid + weight: the Zeliade box keeps the fit well-posed but does NOT by itself guarantee
+    // a non-negative density, so the outer search is penalized for butterfly violations (g(k) < 0).
+    // This drives the optimizer to the closest arbitrage-free SVI; the penalty is 0 for an arb-free fit
+    // (so clean-data recovery is unaffected), and dominates the tiny RMSE when a violation appears.
+    // The penalty AND check grids span the calibrated slice (WS2.11) so wing troughs beyond ±1 are both
+    // penalized during the fit and reflected in the reported butterflyFree/minButterflyG.
+    const gGrid = butterflyGrid(k);
+    const BUTTERFLY_PENALTY = 200;
+    const butterflyPenalty = (p) => {
+        let acc = 0;
+        for (const kk of gGrid) {
+            const wk = totalVarianceUnchecked(p, kk);
+            if (wk <= 1e-8) {
+                acc += 1; // a non-positive total variance is itself an arbitrage
+                continue;
+            }
+            const g = gUnchecked(p, kk);
+            if (g < 0)
+                acc += g * g;
+        }
+        return acc;
+    };
+    const fullSse = (p) => {
+        let acc = 0;
+        for (let i = 0; i < n; i++)
+            acc += (totalVarianceUnchecked(p, k[i]) - w[i]) ** 2;
+        return acc;
+    };
+    // Outer search over (m, log σ). Try several starts for robustness against local minima.
+    const objective = (x) => {
+        const sigma = Math.exp(x[1]);
+        const inner = innerFit(x[0], sigma);
+        if (!Number.isFinite(inner.sse))
+            return inner.sse;
+        return inner.sse + BUTTERFLY_PENALTY * butterflyPenalty(paramsAt(inner, x[0], sigma));
+    };
+    const kMin = Math.min(...k);
+    const kMax = Math.max(...k);
+    const span = Math.max(kMax - kMin, 1e-3);
+    const mAtMinW = k[w.indexOf(Math.min(...w))];
+    const starts = [
+        // A supplied warm start goes first; the built-in starts still run, and a strict `<` on the
+        // penalized objective keeps the first of equals — so a warm start is never worse than cold.
+        ...(start !== undefined ? [[start.m, Math.log(start.sigma)]] : []),
+        [mAtMinW, Math.log(span / 2)],
+        [0, Math.log(0.1)],
+        [(kMin + kMax) / 2, Math.log(span)],
+        [mAtMinW, Math.log(0.05)],
+    ];
+    let best = null;
+    for (const start of starts) {
+        const res = nelderMead(objective, start, {
+            maximumIterations: options.maximumIterations ?? 400,
+            tolerance: options.tolerance ?? 1e-12,
+        });
+        const value = objective(res.argMin);
+        // Select on the penalized objective so an arbitrage-free fit wins over a lower-RMSE arb fit.
+        if (best === null || value < best.objective) {
+            best = {
+                m: res.argMin[0],
+                sigma: Math.exp(res.argMin[1]),
+                objective: value,
+                iterations: res.iterations,
+                converged: res.converged,
+            };
+        }
+    }
+    const f = best;
+    const inner = innerFit(f.m, f.sigma);
+    let chosen = paramsAt(inner, f.m, f.sigma);
+    let chosenMinG = sviMinG(chosen, gGrid);
+    let chosenSse = inner.sse;
+    let iterations = f.iterations;
+    // If the Zeliade fit is butterfly-arbitrageable, the closed-form inner step is trapped in an
+    // RMSE-optimal-but-arb region the outer (m, σ) penalty can't leave. Refine over all five
+    // parameters (seeded from the Zeliade fit and a couple of smooth starts) and keep the best
+    // arbitrage-free result; among arbitrage-free fits prefer the lower RMSE, otherwise the less-violating.
+    if (chosenMinG < -1e-8) {
+        const wMin = Math.min(...w);
+        const refineSeeds = [
+            chosen,
+            { a: Math.max(0, wMin * 0.8), b: 0.3, rho: -0.3, m: mAtMinW, sigma: Math.max(0.1, span / 2) },
+            { a: Math.max(0, wMin * 0.5), b: 0.15, rho: -0.5, m: mAtMinW, sigma: Math.max(0.2, span) },
+        ];
+        const refineMaxIter = options.maximumIterations ?? 400;
+        const refineTol = options.tolerance ?? 1e-12;
+        for (const seed of refineSeeds) {
+            const x0 = [
+                seed.a,
+                Math.log(Math.max(seed.b, 1e-6)),
+                Math.atanh(clamp(seed.rho, -0.999, 0.999)),
+                seed.m,
+                Math.log(Math.max(seed.sigma, 1e-6)),
+            ];
+            const res = nelderMead((x) => {
+                const p = {
+                    a: x[0],
+                    b: Math.exp(x[1]),
+                    rho: Math.tanh(x[2]),
+                    m: x[3],
+                    sigma: Math.exp(x[4]),
+                };
+                return fullSse(p) + BUTTERFLY_PENALTY * butterflyPenalty(p);
+            }, x0, { maximumIterations: refineMaxIter, tolerance: refineTol });
+            iterations += res.iterations;
+            const cand = {
+                a: res.argMin[0],
+                b: Math.exp(res.argMin[1]),
+                rho: Math.tanh(res.argMin[2]),
+                m: res.argMin[3],
+                sigma: Math.exp(res.argMin[4]),
+            };
+            const candMinG = sviMinG(cand, gGrid);
+            const candSse = fullSse(cand);
+            const candFree = candMinG >= -1e-8;
+            const chosenFree = chosenMinG >= -1e-8;
+            const better = chosenFree
+                ? candFree && candSse < chosenSse // both free → lower RMSE
+                : candFree || candMinG > chosenMinG; // reach free, or be less-violating
+            if (better) {
+                chosen = cand;
+                chosenMinG = candMinG;
+                chosenSse = candSse;
+            }
+        }
+    }
+    // ── fit-vs-DATA gate ──────────────────────────────────────────────────────────────────────────
+    // Measured in implied-vol points so the numbers mean something to a trader (a 0.02 total-variance
+    // miss is unreadable; "the fit is 105 vol points off the quotes" is not).
+    const ivOf = (variance) => Math.sqrt(Math.max(0, variance) / timeToExpiryYears);
+    let deviationSumSquared = 0;
+    let maxDeviation = 0;
+    let ivSum = 0;
+    for (let i = 0; i < n; i++) {
+        const ivData = ivOf(w[i]);
+        const deviation = ivOf(totalVarianceUnchecked(chosen, k[i])) - ivData;
+        deviationSumSquared += deviation * deviation;
+        ivSum += ivData;
+        if (Math.abs(deviation) > maxDeviation)
+            maxDeviation = Math.abs(deviation);
+    }
+    const deviationRmse = Math.sqrt(deviationSumSquared / n);
+    const rmseTolerance = Math.max(FIT_DEVIATION_RMSE_FLOOR, FIT_DEVIATION_RMSE_RELATIVE * (ivSum / n));
+    const fitDeviates = deviationRmse > rmseTolerance || maxDeviation > FIT_DEVIATION_MAX_POINT;
+    const searchConverged = f.converged && Number.isFinite(chosenSse);
+    // A fit that is arbitrage-free but nowhere near the data has not "converged" to the smile it was
+    // asked to fit — it converged to the projection. Say so on the flag the caller gates on.
+    const converged = searchConverged && !fitDeviates;
+    const butterflyFree = chosenMinG >= -1e-8;
+    const warnings = [];
+    if (fitDeviates) {
+        warnings.push(warning(
+        // Registered in ErrorCode (the single source of truth for codes that are both a thrown
+        // condition and an emitted warning — WS2.9), referenced here for the warning string.
+        ErrorCode.VolatilityCalibrationFitDeviation, `calibrateSvi: the fitted slice deviates materially from the input smile (rmse ${(deviationRmse * 100).toFixed(2)} vol pts vs a ${(rmseTolerance * 100).toFixed(2)} tolerance; worst point ${(maxDeviation * 100).toFixed(2)} vol pts) — the butterfly penalty drove the fit to the closest arbitrage-free slice, which is NOT the quoted smile.`, 'warn', {
+            rmse: deviationRmse,
+            maxDeviation,
+            rmseTolerance,
+            maxDeviationTolerance: FIT_DEVIATION_MAX_POINT,
+            timeToExpiryYears,
+            hint: 'input smile is likely arbitrageable; the fit is the arbitrage-free projection',
+        }));
+    }
+    if (!searchConverged) {
+        warnings.push(warning(WarningCode.VolatilityCalibrationNotConverged, `calibrateSvi: the outer (m, σ) search stopped without converging — parameters are the best point found; gate on \`converged\` before trusting them.`, 'warn', { iterations }));
+    }
+    if (!butterflyFree) {
+        warnings.push(warning(WarningCode.VolatilityButterflyArbitrage, `calibrateSvi: the fitted slice is butterfly-arbitrageable (min Gatheral g = ${chosenMinG.toFixed(6)} < 0) — the market data likely embeds it; treat the wings with caution.`, 'warn', { minButterflyG: chosenMinG }));
+    }
+    return {
+        parameters: chosen,
+        rmse: Math.sqrt(chosenSse / n),
+        converged,
+        iterations,
+        butterflyFree,
+        minButterflyG: chosenMinG,
+        assumptions: {
+            conventionsVersion: CONVENTIONS_VERSION,
+            method: 'zeliade-quasi-explicit',
+            points: n,
+            initialParameters: start !== undefined ? 'supplied' : 'default',
+        },
+        diagnostics: {
+            engine: 'svi',
+            method: 'zeliade + nelder-mead',
+            converged,
+            iterations,
+            warnings,
+        },
+    };
+}
+//# sourceMappingURL=svi.js.map

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

@@ -0,0 +1 @@
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package/modules/volatility/dist/swaption-cube.d.ts

@@ -0,0 +1,125 @@
+/**
+ * Swaption cube — SABR-on-rates (spec: `docs/specs/swaption-cube.md`, roadmap Tier 2). The interest-rate
+ * vol surface: implied vol as a function of option **expiry × swap tenor × strike**. Quote-driven, like
+ * the SSVI surface: each `(expiry, tenor)` node carries a forward swap rate and a market smile; the cube
+ * calibrates a SABR smile per node (`calibrateSabrSmile`) and interpolates the SABR parameters bilinearly
+ * across the grid, so the vol at any `(expiry, tenor, strike)` — including between quoted nodes — is one
+ * call. Pricing a swaption is then `annuity · Black(forward, strike, cubeVolatility, expiry)`, with the forward
+ * and annuity supplied from `@insiderfinance/totalfinance/fixed-income` — `forwardSwap(curves, spec)` returns exactly that
+ * curve-driven pair from a live OIS/projection curve (kept out of this package to avoid a dependency).
+ *
+ * Home note: this lives in `@insiderfinance/totalfinance/volatility` (not `fixed-income`) because it is a vol object built on the
+ * SABR machinery here; `fixed-income` does not depend on `vol`, so building it here adds no package edge.
+ */
+import { type Diagnostics } from '../../core/dist/index.js';
+import { type SabrParameters, type SabrVolatilityType } from '../../options/dist/index.js';
+/** One market `(expiry, tenor)` node: a forward swap rate and a smile. */
+export interface SwaptionCubeNode {
+    /** Option expiry in years. */
+    expiryYears: number;
+    /** Underlying swap tenor in years. */
+    tenorYears: number;
+    /** Forward swap rate for this node (the SABR forward). */
+    forward: number;
+    /** Absolute strike rates (≥ 3), aligned to `volatilities`. */
+    strikes: number[];
+    /** Market implied volatilities aligned to `strikes`. */
+    volatilities: number[];
+    /** Per-node backbone β override (else the cube default). */
+    beta?: number;
+}
+/** Input for {@link swaptionCube}. */
+export interface SwaptionCubeInput {
+    nodes: SwaptionCubeNode[];
+    /** Default backbone β for every node's calibration (0.5, the rates convention). */
+    beta?: number;
+    /** Volatility quote convention: `'lognormal'` (Black, default) or `'normal'` (Bachelier). */
+    volatilityType?: SabrVolatilityType;
+    /**
+     * Rate displacement `s ≥ 0` for **shifted (displaced) SABR** — SABR is lognormal and needs
+     * `forward, strike > 0`, so a negative-rate cube must be calibrated on `forward + s` / `strike + s`.
+     * Default `0` (plain SABR). With `s > 0` the `'lognormal'` volatilities are *shifted*-lognormal — price with
+     * Black on the shifted rates, `annuity · Black(forward + s, strike + s, vol, expiry)`; `'normal'`
+     * (Bachelier) volatilities are unchanged (a common shift cancels in `forward − strike`). See
+     * `docs/specs/swaption-cube-shift.md`.
+     */
+    shift?: number;
+    /** `calibrateSabrSmile` iteration cap (pass-through). */
+    maximumIterations?: number;
+    /** `calibrateSabrSmile` tolerance (pass-through). */
+    tolerance?: number;
+}
+/** A calibrated `(expiry, tenor)` node. */
+export interface CalibratedSwaptionNode {
+    expiryYears: number;
+    tenorYears: number;
+    forward: number;
+    parameters: SabrParameters;
+    /** SABR vol at `strike = forward`. */
+    atmVolatility: number;
+    rmse: number;
+    converged: boolean;
+}
+/** The calibrated swaption cube (data-only, serializable). */
+export interface SwaptionCube {
+    /** Calibrated nodes, sorted by `(expiry, tenor)`. */
+    nodes: CalibratedSwaptionNode[];
+    /** Unique expiries, ascending. */
+    expiries: number[];
+    /** Unique tenors, ascending. */
+    tenors: number[];
+    volatilityType: SabrVolatilityType;
+    /**
+     * The rate displacement applied inside SABR (`0` for plain SABR). Nodes' `forward` fields stay the
+     * real (unshifted) rates; the shift lives only in the SABR calibration/evaluation. {@link swaptionCubeVolatility}
+     * reads this off the cube. OPTIONAL because legacy (pre-shift) serialized cubes carry no field —
+     * evaluation reads an absent shift as `0`; the declaration used to say required while the
+     * runtime documented that default, and the 3B.1b spec convicted the mismatch (the TA lesson:
+     * when the runtime is right, the DECLARATION is what lies).
+     */
+    shift?: number;
+    assumptions: {
+        conventionsVersion: string;
+        volatilityType: SabrVolatilityType;
+        backbone: 'sabr';
+        shift: number;
+    };
+    diagnostics: Diagnostics;
+}
+export declare function swaptionCube(input: SwaptionCubeInput): SwaptionCube;
+/** Query for {@link swaptionCubeVolatility}. */
+export interface SwaptionCubeVolatilityQuery {
+    cube: SwaptionCube;
+    /** Option expiry in years. */
+    expiryYears: number;
+    /** Underlying swap tenor in years. */
+    tenorYears: number;
+    /** Absolute strike rate. */
+    strike: number;
+}
+/** The interpolated implied vol at a cube point. */
+export interface SwaptionCubeVolatilityResult {
+    /** Interpolated implied vol. */
+    value: number;
+    /** Interpolated forward swap rate. */
+    forward: number;
+    /** The interpolated SABR parameters used. */
+    parameters: SabrParameters;
+    /** Whether the query fell outside the `(expiry, tenor)` grid (clamped to the edge). */
+    extrapolated: boolean;
+    assumptions: {
+        conventionsVersion: string;
+        volatilityType: SabrVolatilityType;
+        interpolation: 'bilinear-parameters';
+        /** The cube's rate shift, echoed so the caller prices with the matching (shifted) convention. */
+        shift: number;
+    };
+    diagnostics: Diagnostics;
+}
+/**
+ * Evaluate the swaption cube's implied vol at an arbitrary `(expiry, tenor, strike)` by bilinearly
+ * interpolating the forward and SABR parameters across the grid, then evaluating the SABR smile. See
+ * `docs/specs/swaption-cube.md`.
+ */
+export declare function swaptionCubeVolatility(query: SwaptionCubeVolatilityQuery): SwaptionCubeVolatilityResult;
+//# sourceMappingURL=swaption-cube.d.ts.map

package/modules/volatility/dist/swaption-cube.d.ts.map

@@ -0,0 +1 @@
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