@insiderfinance/totalfinance 0.1.0

package/modules/volatility/dist/swaption-cube.js

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+/**
+ * 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 { ensureKnownKeys, CONVENTIONS_VERSION, ErrorCode, InputError, ensureFinite, ensurePositive, requireArgumentArray, requireArgumentObject, validateClosedRequest, warning, WarningCode, } from '../../core/dist/index.js';
+import {} from '../../options/dist/index.js';
+import { sabrVolatility } from '../../options/dist/sabr.js';
+import { calibrateSabrSmile } from './sabr.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. `swaptionCube` itself carries no
+ * generated key and keeps its curated checks.
+ */
+function swaptionCubeSpecOf(key) {
+    const spec = VALIDATION_SPECS[key];
+    if (spec === undefined) {
+        throw new Error(`swaption-cube: no generated validation spec for '${key}' — run \`pnpm validation:update\``);
+    }
+    return spec;
+}
+const SWAPTION_CUBE_VOLATILITY_SPEC = swaptionCubeSpecOf('swaptionCubeVolatility#0');
+const SWAPTION_CUBE_VOLATILITY_EXAMPLE = () => 'swaptionCubeVolatility({ cube: swaptionCube({ nodes }), expiryYears: 1, tenorYears: 5, strike: 0.03 })';
+/** RMSE above this (in vol points) marks a node's SABR fit as poor. 10bp of vol. */
+const POOR_FIT_RMSE = 1e-3;
+const uniqueSorted = (xs) => [...new Set(xs)].sort((a, b) => a - b);
+const gridKey = (expiry, tenor) => `${expiry}|${tenor}`;
+/**
+ * Calibrate a SABR smile per `(expiry, tenor)` node of a market swaption vol cube. The grid must be
+ * complete and rectangular (every expiry × tenor present once). See `docs/specs/swaption-cube.md`.
+ */
+/**
+ * `?? default` treats an explicit `null` as "absent" — but null is a STATED value, not an
+ * omission; a config that says `beta: null` is a caller error worth a teaching, not a silent
+ * default (2026-08-23 fourth-review enforcement: null-when-nonnullable) .
+ */
+function refuseNullOption(functionName, field, value) {
+    if (value === null) {
+        throw new InputError(`${functionName}: ${field} must not be null — omit the field to take its default.`, { code: ErrorCode.InputWrongType, context: { field } });
+    }
+}
+export function swaptionCube(input) {
+    const functionName = 'swaptionCube';
+    requireArgumentObject(functionName, 'input', input);
+    // Law 12 (2026-08-23, fourth review): the input is CLOSED — an unknown key is a typo teaching,
+    // never silently ignored.
+    ensureKnownKeys(functionName, 'input', input, [
+        'nodes',
+        'beta',
+        'volatilityType',
+        'shift',
+        'maximumIterations',
+        'tolerance',
+    ]);
+    requireArgumentArray(functionName, 'input.nodes', input.nodes);
+    if (input.nodes.length === 0) {
+        throw new InputError(`${functionName}: at least one node is required.`, {
+            code: ErrorCode.InputOutOfRange,
+            context: { nodes: 0 },
+        });
+    }
+    for (const field of [
+        'beta',
+        'volatilityType',
+        'shift',
+        'maximumIterations',
+        'tolerance',
+    ]) {
+        refuseNullOption(functionName, field, input[field]);
+    }
+    const defaultBeta = input.beta ?? 0.5;
+    ensureFinite(defaultBeta, 'beta', functionName);
+    const volatilityType = input.volatilityType ?? 'lognormal';
+    const shift = input.shift ?? 0;
+    ensureFinite(shift, 'shift', functionName);
+    if (shift < 0) {
+        throw new InputError(`${functionName}: shift must be ≥ 0 (got ${shift}).`, {
+            code: ErrorCode.InputOutOfRange,
+            context: { shift },
+        });
+    }
+    const expiries = uniqueSorted(input.nodes.map((n) => n.expiryYears));
+    const tenors = uniqueSorted(input.nodes.map((n) => n.tenorYears));
+    if (input.nodes.length !== expiries.length * tenors.length) {
+        throw new InputError(`${functionName}: the node grid must be complete and rectangular — got ${input.nodes.length} nodes for a ${expiries.length}×${tenors.length} (expiry×tenor) grid.`, {
+            code: ErrorCode.InputOutOfRange,
+            context: { nodes: input.nodes.length, expiries: expiries.length, tenors: tenors.length },
+        });
+    }
+    const seen = new Set();
+    const warnings = [];
+    const nodes = input.nodes.map((node, i) => {
+        requireArgumentObject(functionName, `nodes[${i}]`, node);
+        ensurePositive(node.expiryYears, `nodes[${i}].expiryYears`, functionName);
+        ensurePositive(node.tenorYears, `nodes[${i}].tenorYears`, functionName);
+        const key = gridKey(node.expiryYears, node.tenorYears);
+        if (seen.has(key)) {
+            throw new InputError(`${functionName}: duplicate node at (expiry ${node.expiryYears}, tenor ${node.tenorYears}).`, {
+                code: ErrorCode.InputOutOfRange,
+                context: { expiry: node.expiryYears, tenor: node.tenorYears },
+            });
+        }
+        seen.add(key);
+        // Shifted (displaced) SABR: calibrate/evaluate on forward + s / strike + s so both stay positive
+        // even for negative rates. shift = 0 leaves the classic positive-rate path untouched.
+        ensureFinite(node.forward, `nodes[${i}].forward`, functionName);
+        requireArgumentArray(functionName, `nodes[${i}].strikes`, node.strikes);
+        const shiftedForward = node.forward + shift;
+        if (!(shiftedForward > 0)) {
+            throw new InputError(`${functionName}: forward + shift must be > 0 at (expiry ${node.expiryYears}, tenor ${node.tenorYears}) — forward ${node.forward} + shift ${shift} = ${shiftedForward}. Increase shift for the negative forward.`, {
+                code: ErrorCode.InputOutOfRange,
+                context: {
+                    forward: node.forward,
+                    shift,
+                    expiry: node.expiryYears,
+                    tenor: node.tenorYears,
+                },
+            });
+        }
+        const minStrike = Math.min(...node.strikes);
+        if (!(minStrike + shift > 0)) {
+            throw new InputError(`${functionName}: min(strike) + shift must be > 0 at (expiry ${node.expiryYears}, tenor ${node.tenorYears}) — min strike ${minStrike} + shift ${shift} = ${minStrike + shift}. Increase shift.`, {
+                code: ErrorCode.InputOutOfRange,
+                context: { minStrike, shift, expiry: node.expiryYears, tenor: node.tenorYears },
+            });
+        }
+        const nodeBeta = node.beta ?? defaultBeta;
+        const fit = calibrateSabrSmile({
+            forward: shiftedForward,
+            strikes: node.strikes.map((k) => k + shift),
+            impliedVolatilities: node.volatilities,
+            timeToExpiryYears: node.expiryYears,
+        }, {
+            beta: nodeBeta,
+            volatilityType,
+            ...(input.maximumIterations !== undefined
+                ? { maximumIterations: input.maximumIterations }
+                : {}),
+            ...(input.tolerance !== undefined ? { tolerance: input.tolerance } : {}),
+        });
+        const atmVolatility = sabrVolatility({
+            input: {
+                forward: shiftedForward,
+                strike: shiftedForward,
+                timeToExpiryYears: node.expiryYears,
+            },
+            parameters: fit.parameters,
+            options: { volatilityType },
+        });
+        if (!fit.converged || fit.rmse > POOR_FIT_RMSE) {
+            warnings.push(warning(WarningCode.VolatilitySwaptionNodePoorFit, `${functionName}: SABR fit at (expiry ${node.expiryYears}, tenor ${node.tenorYears}) ${fit.converged
+                ? `has RMSE ${(fit.rmse * 1e4).toFixed(1)}bp (> ${(POOR_FIT_RMSE * 1e4).toFixed(0)}bp)`
+                : 'did not converge'}.`, 'warn', {
+                expiry: node.expiryYears,
+                tenor: node.tenorYears,
+                rmse: fit.rmse,
+                converged: fit.converged,
+            }));
+        }
+        return {
+            expiryYears: node.expiryYears,
+            tenorYears: node.tenorYears,
+            forward: node.forward,
+            parameters: fit.parameters,
+            atmVolatility,
+            rmse: fit.rmse,
+            converged: fit.converged,
+        };
+    });
+    nodes.sort((a, b) => a.expiryYears - b.expiryYears || a.tenorYears - b.tenorYears);
+    return {
+        nodes,
+        expiries,
+        tenors,
+        volatilityType,
+        shift,
+        assumptions: {
+            conventionsVersion: CONVENTIONS_VERSION,
+            volatilityType,
+            backbone: 'sabr',
+            shift,
+        },
+        diagnostics: {
+            engine: 'swaption-cube',
+            method: shift > 0 ? 'sabr-per-node (shifted)' : 'sabr-per-node',
+            converged: nodes.every((n) => n.converged),
+            warnings,
+        },
+    };
+}
+/** Bracket `v` in the ascending `axis`: return `[i0, i1, w]` with `v ≈ axis[i0]·(1−w) + axis[i1]·w`. */
+function bracket(axis, v) {
+    const n = axis.length;
+    if (v <= axis[0])
+        return { i0: 0, i1: 0, w: 0, outside: v < axis[0] };
+    if (v >= axis[n - 1])
+        return { i0: n - 1, i1: n - 1, w: 0, outside: v > axis[n - 1] };
+    let i0 = 0;
+    while (i0 < n - 1 && axis[i0 + 1] <= v)
+        i0++;
+    const i1 = i0 + 1;
+    const w = (v - axis[i0]) / (axis[i1] - axis[i0]);
+    return { i0, i1, w, outside: false };
+}
+/**
+ * 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 function swaptionCubeVolatility(query) {
+    const functionName = 'swaptionCubeVolatility';
+    validateClosedRequest(functionName, query, SWAPTION_CUBE_VOLATILITY_SPEC, {
+        argumentName: 'query',
+        subject: true,
+        exampleCall: SWAPTION_CUBE_VOLATILITY_EXAMPLE,
+    });
+    const cube = query.cube;
+    if (cube.nodes.length === 0) {
+        throw new InputError(`${functionName}: cube is missing its calibrated nodes/axes.`, {
+            code: ErrorCode.InputMissingField,
+            context: { field: 'cube' },
+        });
+    }
+    ensurePositive(query.expiryYears, 'expiryYears', functionName);
+    ensurePositive(query.tenorYears, 'tenorYears', functionName);
+    // Shifted (displaced) SABR: a negative-rate cube may be queried at a negative strike, but the SABR
+    // evaluation still needs strike + shift > 0. Default (unshifted) cubes keep the strike > 0 guard.
+    const shift = cube.shift ?? 0;
+    if (!(query.strike + shift > 0)) {
+        throw new InputError(`${functionName}: strike + shift must be > 0 (strike ${query.strike} + shift ${shift} = ${query.strike + shift}).`, { code: ErrorCode.InputOutOfRange, context: { strike: query.strike, shift } });
+    }
+    const byKey = new Map();
+    for (const node of cube.nodes)
+        byKey.set(gridKey(node.expiryYears, node.tenorYears), node);
+    const ex = bracket(cube.expiries, query.expiryYears);
+    const te = bracket(cube.tenors, query.tenorYears);
+    const nodeAt = (ei, ti) => {
+        const key = gridKey(cube.expiries[ei], cube.tenors[ti]);
+        const node = byKey.get(key);
+        if (!node) {
+            throw new InputError(`${functionName}: cube grid is missing the node at expiry/tenor index (${ei}, ${ti}).`, {
+                code: ErrorCode.InputMissingField,
+                context: { expiry: cube.expiries[ei], tenor: cube.tenors[ti] },
+            });
+        }
+        return node;
+    };
+    const n00 = nodeAt(ex.i0, te.i0);
+    const n01 = nodeAt(ex.i0, te.i1);
+    const n10 = nodeAt(ex.i1, te.i0);
+    const n11 = nodeAt(ex.i1, te.i1);
+    // Bilinear weight: (expiry weight ex.w) × (tenor weight te.w).
+    const bilinear = (input) => {
+        const { q00, q01, q10, q11 } = input;
+        return (q00 * (1 - ex.w) * (1 - te.w) +
+            q10 * ex.w * (1 - te.w) +
+            q01 * (1 - ex.w) * te.w +
+            q11 * ex.w * te.w);
+    };
+    const forward = bilinear({
+        q00: n00.forward,
+        q01: n01.forward,
+        q10: n10.forward,
+        q11: n11.forward,
+    });
+    const parameters = {
+        alpha: bilinear({
+            q00: n00.parameters.alpha,
+            q01: n01.parameters.alpha,
+            q10: n10.parameters.alpha,
+            q11: n11.parameters.alpha,
+        }),
+        beta: bilinear({
+            q00: n00.parameters.beta,
+            q01: n01.parameters.beta,
+            q10: n10.parameters.beta,
+            q11: n11.parameters.beta,
+        }),
+        rho: bilinear({
+            q00: n00.parameters.rho,
+            q01: n01.parameters.rho,
+            q10: n10.parameters.rho,
+            q11: n11.parameters.rho,
+        }),
+        nu: bilinear({
+            q00: n00.parameters.nu,
+            q01: n01.parameters.nu,
+            q10: n10.parameters.nu,
+            q11: n11.parameters.nu,
+        }),
+    };
+    const value = sabrVolatility({
+        input: {
+            forward: forward + shift,
+            strike: query.strike + shift,
+            timeToExpiryYears: query.expiryYears,
+        },
+        parameters,
+        options: { volatilityType: cube.volatilityType },
+    });
+    const extrapolated = ex.outside || te.outside;
+    const warnings = [];
+    if (extrapolated) {
+        warnings.push(warning(WarningCode.VolatilitySwaptionCubeExtrapolated, `${functionName}: query (expiry ${query.expiryYears}, tenor ${query.tenorYears}) is outside the cube grid [${cube.expiries[0]}–${cube.expiries[cube.expiries.length - 1]}]×[${cube.tenors[0]}–${cube.tenors[cube.tenors.length - 1]}]; clamped to the edge (flat extrapolation).`, 'warn', { expiry: query.expiryYears, tenor: query.tenorYears }));
+    }
+    return {
+        value,
+        forward,
+        parameters,
+        extrapolated,
+        assumptions: {
+            conventionsVersion: CONVENTIONS_VERSION,
+            volatilityType: cube.volatilityType,
+            interpolation: 'bilinear-parameters',
+            shift,
+        },
+        diagnostics: {
+            engine: 'swaption-cube-vol',
+            method: 'bilinear-parameters + sabr',
+            converged: true,
+            warnings,
+        },
+    };
+}
+//# sourceMappingURL=swaption-cube.js.map

package/modules/volatility/dist/swaption-cube.js.map

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package/modules/volatility/dist/tail-risk.d.ts

@@ -0,0 +1,65 @@
+/**
+ * SKEW-style tail-risk index (spec §10.x, roadmap Tier 2) — the model-free risk-neutral **skewness**
+ * (and excess kurtosis) of the log-return distribution, from the same OTM strip the variance index
+ * uses. A crash-risk gauge à la the CBOE SKEW index: `skewIndex = 100 − 10·skewness`, so a fat left tail
+ * (the usual equity put-skew) reads **above 100**.
+ *
+ * The moments are the Bakshi–Kapadia–Madan (2003) power-payoff estimators, referenced to the forward
+ * `F` (so `E[S_T/F] = 1`): for `Rᵢ = ln(Kᵢ/F)` and OTM prices `Qᵢ`,
+ * `Mₙ = e^{rT}·Σ gₙ''(Kᵢ)·Qᵢ·ΔKᵢ` with `g₁ = R, g₂ = R², g₃ = R³, g₄ = R⁴`; the central moments then
+ * give skewness and kurtosis. Composes `extractOtmStrips`. See `docs/specs/tail-risk-index.md`.
+ */
+import { type Diagnostics, type OptionQuote } from '../../core/dist/index.js';
+/** Inputs for {@link tailRiskIndex}. */
+export interface TailRiskOptions {
+    quotes: readonly OptionQuote[];
+    spot: number;
+    riskFreeRate: number;
+    asOf: number | string;
+    /** Constant-maturity target in calendar days. Default 30 (CBOE SKEW). */
+    horizonDays?: number;
+}
+/** One expiry's model-free tail-risk moments. */
+export interface ExpiryTailRisk {
+    expiry: string;
+    daysToExpiry: number;
+    timeToExpiryYears: number;
+    forward: number;
+    /** Risk-neutral skewness of `ln(S_T/F)` (negative for the usual equity put-skew). */
+    skewness: number;
+    /** Risk-neutral excess kurtosis (`kurtosis − 3`; > 0 ⇒ fat tails). */
+    excessKurtosis: number;
+    /** `100 − 10·skewness` — the CBOE-style SKEW value (> 100 ⇒ fat left tail). */
+    skewIndex: number;
+    strikesUsed: number;
+}
+/** The tail-risk read-out. */
+export interface TailRiskResult {
+    /** Constant-maturity SKEW value (> 100 ⇒ elevated crash risk), interpolated to `horizonDays`. */
+    skewIndex: number;
+    /** Constant-maturity risk-neutral skewness. */
+    skewness: number;
+    /** Constant-maturity risk-neutral excess kurtosis. */
+    excessKurtosis: number;
+    horizonDays: number;
+    /** Per-expiry moments — the whole tail-risk term structure, ascending by DTE. */
+    termStructure: ExpiryTailRisk[];
+    /** The two expiries that bracketed the horizonPeriods (absent when extrapolated from one). */
+    interpolatedBetween?: {
+        near: string;
+        far: string;
+    };
+    assumptions: {
+        conventionsVersion: string;
+        horizonDays: number;
+        measure: 'risk-neutral';
+        method: string;
+    };
+    diagnostics: Diagnostics;
+}
+/**
+ * The SKEW-style tail-risk index from an option chain: per-expiry risk-neutral skewness / excess
+ * kurtosis (BKM), plus the constant-maturity SKEW value. See `docs/specs/tail-risk-index.md`.
+ */
+export declare function tailRiskIndex(options: TailRiskOptions): TailRiskResult;
+//# sourceMappingURL=tail-risk.d.ts.map

package/modules/volatility/dist/tail-risk.d.ts.map

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

@@ -0,0 +1,155 @@
+/**
+ * SKEW-style tail-risk index (spec §10.x, roadmap Tier 2) — the model-free risk-neutral **skewness**
+ * (and excess kurtosis) of the log-return distribution, from the same OTM strip the variance index
+ * uses. A crash-risk gauge à la the CBOE SKEW index: `skewIndex = 100 − 10·skewness`, so a fat left tail
+ * (the usual equity put-skew) reads **above 100**.
+ *
+ * The moments are the Bakshi–Kapadia–Madan (2003) power-payoff estimators, referenced to the forward
+ * `F` (so `E[S_T/F] = 1`): for `Rᵢ = ln(Kᵢ/F)` and OTM prices `Qᵢ`,
+ * `Mₙ = e^{rT}·Σ gₙ''(Kᵢ)·Qᵢ·ΔKᵢ` with `g₁ = R, g₂ = R², g₃ = R³, g₄ = R⁴`; the central moments then
+ * give skewness and kurtosis. Composes `extractOtmStrips`. See `docs/specs/tail-risk-index.md`.
+ */
+import { CONVENTIONS_VERSION, ErrorCode, InputError, WarningCode, ensurePositive, validateClosedRequest, warning, } from '../../core/dist/index.js';
+import { extractOtmStrips } from './otm-strip.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 tailRiskSpecOf(key) {
+    const spec = VALIDATION_SPECS[key];
+    if (spec === undefined) {
+        throw new Error(`tail-risk: no generated validation spec for '${key}' — run \`pnpm validation:update\``);
+    }
+    return spec;
+}
+const TAIL_RISK_INDEX_SPEC = tailRiskSpecOf('tailRiskIndex#0');
+const TAIL_RISK_INDEX_EXAMPLE = () => "tailRiskIndex({ quotes, spot: 100, riskFreeRate: 0.04, asOf: '2026-05-15T16:00:00Z' })";
+/** Bakshi–Kapadia–Madan risk-neutral moments of `ln(S_T/F)` from one OTM strip, or a skip reason. */
+function bkmMoments(strip, rate) {
+    const { strikes: K, otmPrices: Q, forward: F, timeToExpiryYears } = strip;
+    const disc = Math.exp(rate * timeToExpiryYears);
+    let m1 = 0;
+    let m2 = 0;
+    let m3 = 0;
+    let m4 = 0;
+    for (let i = 0; i < K.length; i++) {
+        const dK = i === 0
+            ? K[1] - K[0]
+            : i === K.length - 1
+                ? K[i] - K[i - 1]
+                : (K[i + 1] - K[i - 1]) / 2;
+        const u = Math.log(K[i] / F); // moneyness ln(K/F)
+        const w = (disc * Q[i] * dK) / (K[i] * K[i]); // e^{rT}·Q·ΔK / K²
+        // gₙ''(K)·K² for gₙ = ln(K/F)ⁿ: g₁''K² = −1; g₂''K² = 2(1−u); g₃''K² = 6u−3u²; g₄''K² = 12u²−4u³.
+        m1 += w * -1;
+        m2 += w * (2 * (1 - u));
+        m3 += w * (6 * u - 3 * u * u);
+        m4 += w * (12 * u * u - 4 * u * u * u);
+    }
+    const mu = m1; // E[ln(S_T/F)]
+    const variance = m2 - mu * mu;
+    if (!(variance > 0)) {
+        return {
+            skip: `non-positive risk-neutral variance (${variance}) — arbitrageable or too-sparse strip`,
+        };
+    }
+    const thirdCentral = m3 - 3 * mu * m2 + 2 * mu * mu * mu;
+    const fourthCentral = m4 - 4 * mu * m3 + 6 * mu * mu * m2 - 3 * mu * mu * mu * mu;
+    const skewness = thirdCentral / variance ** 1.5;
+    const excessKurtosis = fourthCentral / (variance * variance) - 3;
+    if (!Number.isFinite(skewness) || !Number.isFinite(excessKurtosis)) {
+        return { skip: 'non-finite moments — degenerate strip' };
+    }
+    return { skewness, excessKurtosis };
+}
+/** Linearly interpolate a per-expiry quantity by DTE to the horizonPeriods, or extrapolate from the nearest. */
+function interpByDaysToExpiry(term, horizonDays, pick) {
+    let nearIdx = -1;
+    for (let i = 0; i < term.length; i++)
+        if (term[i].daysToExpiry <= horizonDays)
+            nearIdx = i;
+    const near = nearIdx >= 0 ? term[nearIdx] : undefined;
+    const far = nearIdx + 1 < term.length ? term[nearIdx + 1] : undefined;
+    if (near &&
+        far &&
+        far.daysToExpiry > near.daysToExpiry &&
+        near.daysToExpiry <= horizonDays &&
+        far.daysToExpiry >= horizonDays) {
+        const w = (horizonDays - near.daysToExpiry) / (far.daysToExpiry - near.daysToExpiry);
+        return {
+            value: pick(near) + w * (pick(far) - pick(near)),
+            near: near.expiry,
+            far: far.expiry,
+            extrapolated: false,
+        };
+    }
+    const nearest = term.reduce((a, b) => Math.abs(b.daysToExpiry - horizonDays) < Math.abs(a.daysToExpiry - horizonDays) ? b : a);
+    return { value: pick(nearest), extrapolated: true };
+}
+/**
+ * The SKEW-style tail-risk index from an option chain: per-expiry risk-neutral skewness / excess
+ * kurtosis (BKM), plus the constant-maturity SKEW value. See `docs/specs/tail-risk-index.md`.
+ */
+export function tailRiskIndex(options) {
+    const functionName = 'tailRiskIndex';
+    validateClosedRequest(functionName, options, TAIL_RISK_INDEX_SPEC, {
+        argumentName: 'options',
+        exampleCall: TAIL_RISK_INDEX_EXAMPLE,
+    });
+    ensurePositive(options.spot, 'spot', functionName);
+    const horizonDays = options.horizonDays ?? 30;
+    if (!(horizonDays > 0) || !Number.isFinite(horizonDays)) {
+        throw new InputError(`${functionName}: horizonDays must be a positive finite number; got ${horizonDays}.`, {
+            code: ErrorCode.InputOutOfRange,
+            context: { horizonDays },
+        });
+    }
+    const { strips, warnings } = extractOtmStrips(options.quotes, { rate: options.riskFreeRate, asOf: options.asOf }, functionName);
+    const term = [];
+    for (const s of strips) {
+        const m = bkmMoments(s, options.riskFreeRate);
+        if ('skip' in m) {
+            warnings.push(warning(WarningCode.ModelLimitation, `expiry ${s.expiry} dropped: ${m.skip}.`, 'info', {
+                expiry: s.expiry,
+            }));
+            continue;
+        }
+        term.push({
+            expiry: s.expiry,
+            daysToExpiry: s.daysToExpiry,
+            timeToExpiryYears: s.timeToExpiryYears,
+            forward: s.forward,
+            skewness: m.skewness,
+            excessKurtosis: m.excessKurtosis,
+            skewIndex: 100 - 10 * m.skewness,
+            strikesUsed: s.strikes.length,
+        });
+    }
+    if (term.length === 0) {
+        throw new InputError(`${functionName}: no expiry could be replicated from the chain (need ≥ 3 OTM strikes with a bracketing forward and positive variance per expiry). See diagnostics for per-expiry reasons.`, { code: ErrorCode.InputOutOfRange, context: { quotes: options.quotes.length } });
+    }
+    const skew = interpByDaysToExpiry(term, horizonDays, (e) => e.skewness);
+    const kurt = interpByDaysToExpiry(term, horizonDays, (e) => e.excessKurtosis);
+    if (skew.extrapolated) {
+        warnings.push(warning(WarningCode.ModelLimitation, `horizonPeriods ${horizonDays}d is not bracketed by two listed expiries; the index is extrapolated from the nearest expiry (${term.length} usable).`, 'warn', { horizonDays }));
+    }
+    return {
+        skewIndex: 100 - 10 * skew.value,
+        skewness: skew.value,
+        excessKurtosis: kurt.value,
+        horizonDays,
+        termStructure: term,
+        ...(skew.near !== undefined && skew.far !== undefined
+            ? { interpolatedBetween: { near: skew.near, far: skew.far } }
+            : {}),
+        assumptions: {
+            conventionsVersion: CONVENTIONS_VERSION,
+            horizonDays,
+            measure: 'risk-neutral',
+            method: 'bkm-moments + daysToExpiry-interpolation',
+        },
+        diagnostics: { engine: 'tail-risk-index', method: 'skew-style', converged: true, warnings },
+    };
+}
+//# sourceMappingURL=tail-risk.js.map

package/modules/volatility/dist/tail-risk.js.map

@@ -0,0 +1 @@
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