@insiderfinance/totalfinance 0.1.0
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/LICENSE +201 -0
- package/README.md +339 -0
- package/STABILITY.md +23 -0
- package/modules/backtest/dist/artifacts.d.ts +23 -0
- package/modules/backtest/dist/artifacts.d.ts.map +1 -0
- package/modules/backtest/dist/artifacts.js +22 -0
- package/modules/backtest/dist/artifacts.js.map +1 -0
- package/modules/backtest/dist/broker.d.ts +265 -0
- package/modules/backtest/dist/broker.d.ts.map +1 -0
- package/modules/backtest/dist/broker.js +1228 -0
- package/modules/backtest/dist/broker.js.map +1 -0
- package/modules/backtest/dist/costs.d.ts +67 -0
- package/modules/backtest/dist/costs.d.ts.map +1 -0
- package/modules/backtest/dist/costs.js +171 -0
- package/modules/backtest/dist/costs.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/engine.d.ts +21 -0
- package/modules/backtest/dist/cross-sectional/engine.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/engine.js +1399 -0
- package/modules/backtest/dist/cross-sectional/engine.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/folds.d.ts +134 -0
- package/modules/backtest/dist/cross-sectional/folds.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/folds.js +375 -0
- package/modules/backtest/dist/cross-sectional/folds.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/grid.d.ts +142 -0
- package/modules/backtest/dist/cross-sectional/grid.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/grid.js +394 -0
- package/modules/backtest/dist/cross-sectional/grid.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/index.d.ts +18 -0
- package/modules/backtest/dist/cross-sectional/index.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/index.js +15 -0
- package/modules/backtest/dist/cross-sectional/index.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/types.d.ts +331 -0
- package/modules/backtest/dist/cross-sectional/types.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/types.js +12 -0
- package/modules/backtest/dist/cross-sectional/types.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/validate.d.ts +22 -0
- package/modules/backtest/dist/cross-sectional/validate.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/validate.js +489 -0
- package/modules/backtest/dist/cross-sectional/validate.js.map +1 -0
- package/modules/backtest/dist/diagnostics.d.ts +16 -0
- package/modules/backtest/dist/diagnostics.d.ts.map +1 -0
- package/modules/backtest/dist/diagnostics.js +63 -0
- package/modules/backtest/dist/diagnostics.js.map +1 -0
- package/modules/backtest/dist/environment/bench.d.ts +34 -0
- package/modules/backtest/dist/environment/bench.d.ts.map +1 -0
- package/modules/backtest/dist/environment/bench.js +724 -0
- package/modules/backtest/dist/environment/bench.js.map +1 -0
- package/modules/backtest/dist/environment/environment.d.ts +5 -0
- package/modules/backtest/dist/environment/environment.d.ts.map +1 -0
- package/modules/backtest/dist/environment/environment.js +618 -0
- package/modules/backtest/dist/environment/environment.js.map +1 -0
- package/modules/backtest/dist/environment/episode.d.ts +4 -0
- package/modules/backtest/dist/environment/episode.d.ts.map +1 -0
- package/modules/backtest/dist/environment/episode.js +121 -0
- package/modules/backtest/dist/environment/episode.js.map +1 -0
- package/modules/backtest/dist/environment/episodes.d.ts +14 -0
- package/modules/backtest/dist/environment/episodes.d.ts.map +1 -0
- package/modules/backtest/dist/environment/episodes.js +644 -0
- package/modules/backtest/dist/environment/episodes.js.map +1 -0
- package/modules/backtest/dist/environment/features.d.ts +31 -0
- package/modules/backtest/dist/environment/features.d.ts.map +1 -0
- package/modules/backtest/dist/environment/features.js +157 -0
- package/modules/backtest/dist/environment/features.js.map +1 -0
- package/modules/backtest/dist/environment/index.d.ts +14 -0
- package/modules/backtest/dist/environment/index.d.ts.map +1 -0
- package/modules/backtest/dist/environment/index.js +12 -0
- package/modules/backtest/dist/environment/index.js.map +1 -0
- package/modules/backtest/dist/environment/limits.d.ts +63 -0
- package/modules/backtest/dist/environment/limits.d.ts.map +1 -0
- package/modules/backtest/dist/environment/limits.js +253 -0
- package/modules/backtest/dist/environment/limits.js.map +1 -0
- package/modules/backtest/dist/environment/reward.d.ts +5 -0
- package/modules/backtest/dist/environment/reward.d.ts.map +1 -0
- package/modules/backtest/dist/environment/reward.js +80 -0
- package/modules/backtest/dist/environment/reward.js.map +1 -0
- package/modules/backtest/dist/environment/types.d.ts +540 -0
- package/modules/backtest/dist/environment/types.d.ts.map +1 -0
- package/modules/backtest/dist/environment/types.js +2 -0
- package/modules/backtest/dist/environment/types.js.map +1 -0
- package/modules/backtest/dist/environment/validate.d.ts +23 -0
- package/modules/backtest/dist/environment/validate.d.ts.map +1 -0
- package/modules/backtest/dist/environment/validate.js +264 -0
- package/modules/backtest/dist/environment/validate.js.map +1 -0
- package/modules/backtest/dist/event-driven.d.ts +111 -0
- package/modules/backtest/dist/event-driven.d.ts.map +1 -0
- package/modules/backtest/dist/event-driven.js +325 -0
- package/modules/backtest/dist/event-driven.js.map +1 -0
- package/modules/backtest/dist/execution/conformance.d.ts +33 -0
- package/modules/backtest/dist/execution/conformance.d.ts.map +1 -0
- package/modules/backtest/dist/execution/conformance.js +269 -0
- package/modules/backtest/dist/execution/conformance.js.map +1 -0
- package/modules/backtest/dist/execution/fill-models.d.ts +35 -0
- package/modules/backtest/dist/execution/fill-models.d.ts.map +1 -0
- package/modules/backtest/dist/execution/fill-models.js +375 -0
- package/modules/backtest/dist/execution/fill-models.js.map +1 -0
- package/modules/backtest/dist/execution/fill-order.d.ts +55 -0
- package/modules/backtest/dist/execution/fill-order.d.ts.map +1 -0
- package/modules/backtest/dist/execution/fill-order.js +156 -0
- package/modules/backtest/dist/execution/fill-order.js.map +1 -0
- package/modules/backtest/dist/execution/index.d.ts +33 -0
- package/modules/backtest/dist/execution/index.d.ts.map +1 -0
- package/modules/backtest/dist/execution/index.js +27 -0
- package/modules/backtest/dist/execution/index.js.map +1 -0
- package/modules/backtest/dist/execution/intrabar.d.ts +46 -0
- package/modules/backtest/dist/execution/intrabar.d.ts.map +1 -0
- package/modules/backtest/dist/execution/intrabar.js +130 -0
- package/modules/backtest/dist/execution/intrabar.js.map +1 -0
- package/modules/backtest/dist/execution/normalized.d.ts +56 -0
- package/modules/backtest/dist/execution/normalized.d.ts.map +1 -0
- package/modules/backtest/dist/execution/normalized.js +154 -0
- package/modules/backtest/dist/execution/normalized.js.map +1 -0
- package/modules/backtest/dist/execution/policy.d.ts +84 -0
- package/modules/backtest/dist/execution/policy.d.ts.map +1 -0
- package/modules/backtest/dist/execution/policy.js +341 -0
- package/modules/backtest/dist/execution/policy.js.map +1 -0
- package/modules/backtest/dist/execution/types.d.ts +217 -0
- package/modules/backtest/dist/execution/types.d.ts.map +1 -0
- package/modules/backtest/dist/execution/types.js +8 -0
- package/modules/backtest/dist/execution/types.js.map +1 -0
- package/modules/backtest/dist/execution/validate.d.ts +35 -0
- package/modules/backtest/dist/execution/validate.d.ts.map +1 -0
- package/modules/backtest/dist/execution/validate.js +666 -0
- package/modules/backtest/dist/execution/validate.js.map +1 -0
- package/modules/backtest/dist/generated/validation-specs.d.ts +12 -0
- package/modules/backtest/dist/generated/validation-specs.d.ts.map +1 -0
- package/modules/backtest/dist/generated/validation-specs.js +1129 -0
- package/modules/backtest/dist/generated/validation-specs.js.map +1 -0
- package/modules/backtest/dist/index.d.ts +33 -0
- package/modules/backtest/dist/index.d.ts.map +1 -0
- package/modules/backtest/dist/index.js +28 -0
- package/modules/backtest/dist/index.js.map +1 -0
- package/modules/backtest/dist/options/chain.d.ts +68 -0
- package/modules/backtest/dist/options/chain.d.ts.map +1 -0
- package/modules/backtest/dist/options/chain.js +303 -0
- package/modules/backtest/dist/options/chain.js.map +1 -0
- package/modules/backtest/dist/options/engine.d.ts +28 -0
- package/modules/backtest/dist/options/engine.d.ts.map +1 -0
- package/modules/backtest/dist/options/engine.js +1859 -0
- package/modules/backtest/dist/options/engine.js.map +1 -0
- package/modules/backtest/dist/options/index.d.ts +23 -0
- package/modules/backtest/dist/options/index.d.ts.map +1 -0
- package/modules/backtest/dist/options/index.js +21 -0
- package/modules/backtest/dist/options/index.js.map +1 -0
- package/modules/backtest/dist/options/tearsheet.d.ts +77 -0
- package/modules/backtest/dist/options/tearsheet.d.ts.map +1 -0
- package/modules/backtest/dist/options/tearsheet.js +205 -0
- package/modules/backtest/dist/options/tearsheet.js.map +1 -0
- package/modules/backtest/dist/options/types.d.ts +571 -0
- package/modules/backtest/dist/options/types.d.ts.map +1 -0
- package/modules/backtest/dist/options/types.js +19 -0
- package/modules/backtest/dist/options/types.js.map +1 -0
- package/modules/backtest/dist/paper/index.d.ts +13 -0
- package/modules/backtest/dist/paper/index.d.ts.map +1 -0
- package/modules/backtest/dist/paper/index.js +12 -0
- package/modules/backtest/dist/paper/index.js.map +1 -0
- package/modules/backtest/dist/paper/paper.d.ts +8 -0
- package/modules/backtest/dist/paper/paper.d.ts.map +1 -0
- package/modules/backtest/dist/paper/paper.js +950 -0
- package/modules/backtest/dist/paper/paper.js.map +1 -0
- package/modules/backtest/dist/paper/types.d.ts +190 -0
- package/modules/backtest/dist/paper/types.d.ts.map +1 -0
- package/modules/backtest/dist/paper/types.js +3 -0
- package/modules/backtest/dist/paper/types.js.map +1 -0
- package/modules/backtest/dist/paper/validate.d.ts +9 -0
- package/modules/backtest/dist/paper/validate.d.ts.map +1 -0
- package/modules/backtest/dist/paper/validate.js +112 -0
- package/modules/backtest/dist/paper/validate.js.map +1 -0
- package/modules/backtest/dist/portfolio/adapters.d.ts +37 -0
- package/modules/backtest/dist/portfolio/adapters.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/adapters.js +555 -0
- package/modules/backtest/dist/portfolio/adapters.js.map +1 -0
- package/modules/backtest/dist/portfolio/engine.d.ts +35 -0
- package/modules/backtest/dist/portfolio/engine.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/engine.js +1300 -0
- package/modules/backtest/dist/portfolio/engine.js.map +1 -0
- package/modules/backtest/dist/portfolio/index.d.ts +12 -0
- package/modules/backtest/dist/portfolio/index.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/index.js +11 -0
- package/modules/backtest/dist/portfolio/index.js.map +1 -0
- package/modules/backtest/dist/portfolio/types.d.ts +418 -0
- package/modules/backtest/dist/portfolio/types.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/types.js +8 -0
- package/modules/backtest/dist/portfolio/types.js.map +1 -0
- package/modules/backtest/dist/portfolio/validate.d.ts +26 -0
- package/modules/backtest/dist/portfolio/validate.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/validate.js +556 -0
- package/modules/backtest/dist/portfolio/validate.js.map +1 -0
- package/modules/backtest/dist/run-artifacts.d.ts +425 -0
- package/modules/backtest/dist/run-artifacts.d.ts.map +1 -0
- package/modules/backtest/dist/run-artifacts.js +1843 -0
- package/modules/backtest/dist/run-artifacts.js.map +1 -0
- package/modules/backtest/dist/signals.d.ts +110 -0
- package/modules/backtest/dist/signals.d.ts.map +1 -0
- package/modules/backtest/dist/signals.js +207 -0
- package/modules/backtest/dist/signals.js.map +1 -0
- package/modules/backtest/dist/tearsheet.d.ts +126 -0
- package/modules/backtest/dist/tearsheet.d.ts.map +1 -0
- package/modules/backtest/dist/tearsheet.js +266 -0
- package/modules/backtest/dist/tearsheet.js.map +1 -0
- package/modules/backtest/dist/types.d.ts +175 -0
- package/modules/backtest/dist/types.d.ts.map +1 -0
- package/modules/backtest/dist/types.js +29 -0
- package/modules/backtest/dist/types.js.map +1 -0
- package/modules/backtest/dist/validate.d.ts +13 -0
- package/modules/backtest/dist/validate.d.ts.map +1 -0
- package/modules/backtest/dist/validate.js +37 -0
- package/modules/backtest/dist/validate.js.map +1 -0
- package/modules/backtest/dist/vectorized.d.ts +53 -0
- package/modules/backtest/dist/vectorized.d.ts.map +1 -0
- package/modules/backtest/dist/vectorized.js +383 -0
- package/modules/backtest/dist/vectorized.js.map +1 -0
- package/modules/backtest/dist/walk-forward.d.ts +57 -0
- package/modules/backtest/dist/walk-forward.d.ts.map +1 -0
- package/modules/backtest/dist/walk-forward.js +125 -0
- package/modules/backtest/dist/walk-forward.js.map +1 -0
- package/modules/backtest/etc/backtest.api.md +139 -0
- package/modules/backtest/src/artifacts.ts +54 -0
- package/modules/backtest/src/broker.ts +1529 -0
- package/modules/backtest/src/costs.ts +225 -0
- package/modules/backtest/src/cross-sectional/engine.ts +1608 -0
- package/modules/backtest/src/cross-sectional/folds.ts +718 -0
- package/modules/backtest/src/cross-sectional/grid.ts +646 -0
- package/modules/backtest/src/cross-sectional/index.ts +76 -0
- package/modules/backtest/src/cross-sectional/types.ts +363 -0
- package/modules/backtest/src/cross-sectional/validate.ts +906 -0
- package/modules/backtest/src/diagnostics.ts +66 -0
- package/modules/backtest/src/environment/bench.ts +1022 -0
- package/modules/backtest/src/environment/environment.ts +766 -0
- package/modules/backtest/src/environment/episode.ts +146 -0
- package/modules/backtest/src/environment/episodes.ts +786 -0
- package/modules/backtest/src/environment/features.ts +184 -0
- package/modules/backtest/src/environment/index.ts +79 -0
- package/modules/backtest/src/environment/limits.ts +383 -0
- package/modules/backtest/src/environment/reward.ts +98 -0
- package/modules/backtest/src/environment/types.ts +595 -0
- package/modules/backtest/src/environment/validate.ts +415 -0
- package/modules/backtest/src/event-driven.ts +528 -0
- package/modules/backtest/src/execution/conformance.ts +346 -0
- package/modules/backtest/src/execution/fill-models.ts +410 -0
- package/modules/backtest/src/execution/fill-order.ts +261 -0
- package/modules/backtest/src/execution/index.ts +91 -0
- package/modules/backtest/src/execution/intrabar.ts +185 -0
- package/modules/backtest/src/execution/normalized.ts +216 -0
- package/modules/backtest/src/execution/policy.ts +447 -0
- package/modules/backtest/src/execution/types.ts +239 -0
- package/modules/backtest/src/execution/validate.ts +889 -0
- package/modules/backtest/src/generated/validation-specs.ts +1132 -0
- package/modules/backtest/src/index.ts +157 -0
- package/modules/backtest/src/options/chain.ts +410 -0
- package/modules/backtest/src/options/engine.ts +2240 -0
- package/modules/backtest/src/options/index.ts +68 -0
- package/modules/backtest/src/options/tearsheet.ts +327 -0
- package/modules/backtest/src/options/types.ts +573 -0
- package/modules/backtest/src/paper/index.ts +27 -0
- package/modules/backtest/src/paper/paper.ts +1288 -0
- package/modules/backtest/src/paper/types.ts +221 -0
- package/modules/backtest/src/paper/validate.ts +168 -0
- package/modules/backtest/src/portfolio/adapters.ts +651 -0
- package/modules/backtest/src/portfolio/engine.ts +1518 -0
- package/modules/backtest/src/portfolio/index.ts +64 -0
- package/modules/backtest/src/portfolio/types.ts +456 -0
- package/modules/backtest/src/portfolio/validate.ts +861 -0
- package/modules/backtest/src/run-artifacts.ts +2873 -0
- package/modules/backtest/src/signals.ts +267 -0
- package/modules/backtest/src/tearsheet.ts +425 -0
- package/modules/backtest/src/types.ts +200 -0
- package/modules/backtest/src/validate.ts +43 -0
- package/modules/backtest/src/vectorized.ts +541 -0
- package/modules/backtest/src/walk-forward.ts +215 -0
- package/modules/calendars/dist/cboe.d.ts +15 -0
- package/modules/calendars/dist/cboe.d.ts.map +1 -0
- package/modules/calendars/dist/cboe.js +16 -0
- package/modules/calendars/dist/cboe.js.map +1 -0
- package/modules/calendars/dist/crypto.d.ts +15 -0
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- package/modules/calendars/dist/crypto.js +16 -0
- package/modules/calendars/dist/crypto.js.map +1 -0
- package/modules/calendars/dist/expirations.d.ts +35 -0
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- package/modules/calendars/dist/nyse.d.ts +11 -0
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- package/modules/calendars/src/us-market.ts +86 -0
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- package/modules/cli/src/exit-codes.ts +21 -0
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- package/modules/commodities/src/internal.ts +6 -0
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- package/modules/core/dist/artifacts/analysis-artifact.d.ts +140 -0
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|
+
}
|
|
26
|
+
/** Create an empty, caller-owned migration registry. */
|
|
27
|
+
export function createArtifactMigrationRegistry() {
|
|
28
|
+
const steps = new Map();
|
|
29
|
+
const keyOf = (kind, fromVersion) => `${kind}@${fromVersion}`;
|
|
30
|
+
const register = (migration) => {
|
|
31
|
+
requireArgumentObject('register', 'migration', migration);
|
|
32
|
+
ensureKnownKeys('register', 'migration', migration, MIGRATION_KEYS);
|
|
33
|
+
const { kind, description, migrate } = migration;
|
|
34
|
+
if (typeof kind !== 'string' || kind.length === 0) {
|
|
35
|
+
throw new InputError(`register: migration.kind must be the envelope kind string it migrates, e.g. 'totalfinance.market-snapshot'.`, { code: ErrorCode.InputWrongType, context: { field: 'kind' } });
|
|
36
|
+
}
|
|
37
|
+
const fromVersion = requireVersionInteger('register', 'migration.fromVersion', migration.fromVersion);
|
|
38
|
+
const toVersion = requireVersionInteger('register', 'migration.toVersion', migration.toVersion);
|
|
39
|
+
if (toVersion !== fromVersion + 1) {
|
|
40
|
+
throw new InputError(`register: migration.toVersion must be fromVersion + 1 (got ${fromVersion} → ${toVersion}). ` +
|
|
41
|
+
`Chains are single steps so each shape change stays individually reviewable.`, { code: ErrorCode.InputOutOfRange, context: { fromVersion, toVersion } });
|
|
42
|
+
}
|
|
43
|
+
if (typeof description !== 'string' || description.length === 0) {
|
|
44
|
+
throw new InputError(`register: migration.description must state why the schema changed — it is echoed to every caller the migration touches.`, { code: ErrorCode.InputWrongType, context: { field: 'description' } });
|
|
45
|
+
}
|
|
46
|
+
if (typeof migrate !== 'function') {
|
|
47
|
+
throw new InputError(`register: migration.migrate must be a function (envelope) => envelope.`, {
|
|
48
|
+
code: ErrorCode.InputWrongType,
|
|
49
|
+
context: { field: 'migrate' },
|
|
50
|
+
});
|
|
51
|
+
}
|
|
52
|
+
const key = keyOf(kind, fromVersion);
|
|
53
|
+
if (steps.has(key)) {
|
|
54
|
+
throw new InputError(`register: a migration for ${kind} version ${fromVersion} → ${fromVersion + 1} is already registered — ` +
|
|
55
|
+
`two upgrades for one stored shape cannot both be the truth.`, { code: ErrorCode.ArtifactDuplicateMigration, context: { kind, fromVersion } });
|
|
56
|
+
}
|
|
57
|
+
steps.set(key, migration);
|
|
58
|
+
};
|
|
59
|
+
const find = (kind, fromVersion) => steps.get(keyOf(kind, fromVersion));
|
|
60
|
+
const upgrade = (input) => {
|
|
61
|
+
requireArgumentObject('upgrade', 'input', input);
|
|
62
|
+
ensureKnownKeys('upgrade', 'input', input, ['envelope', 'targetVersion']);
|
|
63
|
+
requireArgumentObject('upgrade', 'input.envelope', input.envelope);
|
|
64
|
+
const targetVersion = requireVersionInteger('upgrade', 'input.targetVersion', input.targetVersion);
|
|
65
|
+
let envelope = input.envelope;
|
|
66
|
+
const kind = envelope['kind'];
|
|
67
|
+
if (typeof kind !== 'string' || kind.length === 0) {
|
|
68
|
+
throw new InputError(`upgrade: input.envelope.kind must be the envelope's kind string.`, {
|
|
69
|
+
code: ErrorCode.SnapshotWrongShape,
|
|
70
|
+
context: { received: kind === null ? 'null' : typeof kind },
|
|
71
|
+
});
|
|
72
|
+
}
|
|
73
|
+
let version = requireVersionInteger('upgrade', 'input.envelope.schemaVersion', envelope['schemaVersion']);
|
|
74
|
+
const migrationsApplied = [];
|
|
75
|
+
while (version < targetVersion) {
|
|
76
|
+
const step = find(kind, version);
|
|
77
|
+
if (step === undefined) {
|
|
78
|
+
throw new InputError(`upgrade: no migration is registered for ${kind} version ${version} → ${version + 1} ` +
|
|
79
|
+
`(stored ${envelope['schemaVersion'] === version ? version : `${String(envelope['schemaVersion'])}, currently at ${version}`}, this build reads ${targetVersion}). ` +
|
|
80
|
+
`Schema upgrades are explicit: register the missing step with registry.register(...) — nothing is migrated silently.`, {
|
|
81
|
+
code: ErrorCode.ArtifactMigrationMissing,
|
|
82
|
+
context: { kind, fromVersion: version, targetVersion },
|
|
83
|
+
});
|
|
84
|
+
}
|
|
85
|
+
envelope = step.migrate(envelope);
|
|
86
|
+
requireArgumentObject('upgrade', `migrated envelope (${kind} v${version} → v${version + 1})`, envelope);
|
|
87
|
+
const migratedVersion = envelope['schemaVersion'];
|
|
88
|
+
if (migratedVersion !== version + 1) {
|
|
89
|
+
throw new InputError(`upgrade: the ${kind} v${version} → v${version + 1} migration returned schemaVersion ${String(migratedVersion)} — a migration must stamp exactly the version it declares.`, {
|
|
90
|
+
code: ErrorCode.SnapshotInvalidVersion,
|
|
91
|
+
context: { kind, fromVersion: version, returned: migratedVersion },
|
|
92
|
+
});
|
|
93
|
+
}
|
|
94
|
+
migrationsApplied.push({
|
|
95
|
+
kind,
|
|
96
|
+
fromVersion: version,
|
|
97
|
+
toVersion: version + 1,
|
|
98
|
+
description: step.description,
|
|
99
|
+
});
|
|
100
|
+
version += 1;
|
|
101
|
+
}
|
|
102
|
+
return { envelope, migrationsApplied };
|
|
103
|
+
};
|
|
104
|
+
return { register, find, upgrade };
|
|
105
|
+
}
|
|
106
|
+
//# sourceMappingURL=migration.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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|
|
@@ -0,0 +1,12 @@
|
|
|
1
|
+
import type { ComparisonTolerance } from './comparison.js';
|
|
2
|
+
/** Shared finite-number comparison: exact tolerance decisions, rounded finite-or-null deltas. */
|
|
3
|
+
export declare function compareFiniteNumbers(input: {
|
|
4
|
+
baseline: number;
|
|
5
|
+
candidate: number;
|
|
6
|
+
tolerance: ComparisonTolerance | null;
|
|
7
|
+
}): {
|
|
8
|
+
absoluteDelta: number | null;
|
|
9
|
+
relativeDelta: number | null;
|
|
10
|
+
withinTolerance: boolean | null;
|
|
11
|
+
};
|
|
12
|
+
//# sourceMappingURL=numeric-comparison.d.ts.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"numeric-comparison.d.ts","sourceRoot":"","sources":["../../src/artifacts/numeric-comparison.ts"],"names":[],"mappings":"AAAA,OAAO,KAAK,EAAE,mBAAmB,EAAE,MAAM,iBAAiB,CAAC;AA4C3D,iGAAiG;AACjG,wBAAgB,oBAAoB,CAAC,KAAK,EAAE;IAC1C,QAAQ,EAAE,MAAM,CAAC;IACjB,SAAS,EAAE,MAAM,CAAC;IAClB,SAAS,EAAE,mBAAmB,GAAG,IAAI,CAAC;CACvC,GAAG;IACF,aAAa,EAAE,MAAM,GAAG,IAAI,CAAC;IAC7B,aAAa,EAAE,MAAM,GAAG,IAAI,CAAC;IAC7B,eAAe,EAAE,OAAO,GAAG,IAAI,CAAC;CACjC,CAiBA"}
|
|
@@ -0,0 +1,53 @@
|
|
|
1
|
+
const FLOAT_BITS = new DataView(new ArrayBuffer(8));
|
|
2
|
+
const FRACTION_MASK = (1n << 52n) - 1n;
|
|
3
|
+
/** Every finite binary64 is an exact integer multiple of 2^-1074, including subnormals. */
|
|
4
|
+
function integerUnits(value) {
|
|
5
|
+
FLOAT_BITS.setFloat64(0, value);
|
|
6
|
+
const bits = FLOAT_BITS.getBigUint64(0);
|
|
7
|
+
const exponent = Number((bits >> 52n) & 0x7ffn);
|
|
8
|
+
const fraction = bits & FRACTION_MASK;
|
|
9
|
+
const magnitude = exponent === 0 ? fraction : ((1n << 52n) | fraction) << BigInt(exponent - 1);
|
|
10
|
+
return bits >> 63n === 0n ? magnitude : -magnitude;
|
|
11
|
+
}
|
|
12
|
+
function magnitude(value) {
|
|
13
|
+
return value < 0n ? -value : value;
|
|
14
|
+
}
|
|
15
|
+
/**
|
|
16
|
+
* Exact inequality on the supplied IEEE values, not their rounded subtraction/product/sum.
|
|
17
|
+
* Multiply both sides by 2^2148 to compare integer units, including the tolerance product.
|
|
18
|
+
* The largest intermediate is bounded by binary64's exponent range (under 4,200 bits).
|
|
19
|
+
* Equality and zero tolerance have exact cheap paths; all other cases use this same rule,
|
|
20
|
+
* avoiding an epsilon heuristic or an unproven "far enough from the boundary" fast path.
|
|
21
|
+
*/
|
|
22
|
+
function exactWithinTolerance(input) {
|
|
23
|
+
const { baseline, candidate, tolerance } = input;
|
|
24
|
+
if (baseline === candidate)
|
|
25
|
+
return true;
|
|
26
|
+
if (tolerance.absolute === 0 && tolerance.relative === 0)
|
|
27
|
+
return false;
|
|
28
|
+
const baselineUnits = integerUnits(baseline);
|
|
29
|
+
const differenceUnits = magnitude(integerUnits(candidate) - baselineUnits);
|
|
30
|
+
const absoluteUnits = integerUnits(tolerance.absolute);
|
|
31
|
+
if (tolerance.relative === 0)
|
|
32
|
+
return differenceUnits <= absoluteUnits;
|
|
33
|
+
return (differenceUnits << 1074n <=
|
|
34
|
+
(absoluteUnits << 1074n) + integerUnits(tolerance.relative) * magnitude(baselineUnits));
|
|
35
|
+
}
|
|
36
|
+
/** Shared finite-number comparison: exact tolerance decisions, rounded finite-or-null deltas. */
|
|
37
|
+
export function compareFiniteNumbers(input) {
|
|
38
|
+
const { baseline, candidate, tolerance } = input;
|
|
39
|
+
const difference = candidate - baseline;
|
|
40
|
+
const scale = Math.max(Math.abs(baseline), Math.abs(candidate));
|
|
41
|
+
const relative = baseline === 0
|
|
42
|
+
? null
|
|
43
|
+
: Number.isFinite(difference)
|
|
44
|
+
? difference / Math.abs(baseline)
|
|
45
|
+
: (candidate / scale - baseline / scale) / (Math.abs(baseline) / scale);
|
|
46
|
+
const withinTolerance = tolerance === null ? null : exactWithinTolerance({ baseline, candidate, tolerance });
|
|
47
|
+
return {
|
|
48
|
+
absoluteDelta: Number.isFinite(difference) ? difference : null,
|
|
49
|
+
relativeDelta: relative !== null && Number.isFinite(relative) ? relative : null,
|
|
50
|
+
withinTolerance,
|
|
51
|
+
};
|
|
52
|
+
}
|
|
53
|
+
//# sourceMappingURL=numeric-comparison.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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1
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+
/**
|
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2
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+
* Serializable scenario sets (Gate B, ahead of Gate D's shared runner): named scenario
|
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3
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+
* DEFINITIONS — shocks and overrides over a market snapshot — as pure data one runner can later
|
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4
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+
* apply across domains. Deliberately NOT a DSL: no expressions, no conditionals, no references —
|
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5
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+
* a scenario is a list of typed records, and anything a list of records cannot say belongs in
|
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6
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+
* caller code via the escape hatch (a custom reprice function), not in a language embedded here.
|
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7
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*
|
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* The shock grammar is the one `@insiderfinance/totalfinance/risk` already speaks — `{ factor, kind: 'percent' |
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9
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* 'absolute', value }`, with the same factor vocabulary (`spot`, `volatility`, `riskFreeRate`,
|
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10
|
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* `time`, `dividend`, or a custom label) — extended with an optional `target` symbol so one
|
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11
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+
* scenario can shock AAPL and SPY differently. A spine shock without `target` is exactly a risk
|
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12
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* `Shock`, so Gate D's runner can hand these to the existing Taylor engine unchanged (no second
|
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13
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+
* vocabulary, no adapter tax).
|
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+
*
|
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15
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+
* Semantics fixed here so every future runner agrees:
|
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16
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+
*
|
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17
|
+
* - **overrides apply first**, setting an observation to an absolute value;
|
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18
|
+
* - **shocks then apply in array order** (deterministic composition — `+10 pts` then `-5%` is not
|
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19
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+
* `-5%` then `+10 pts`, and the data says which one is meant);
|
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20
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+
* - **two overrides for the same `(factor, target)` in one scenario are a CONFLICT** and are
|
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21
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* refused at creation — the second absolute set would silently win;
|
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22
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+
* - repeated SHOCKS on one factor are legal: they compose, in order.
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+
*/
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+
import type { Provenance } from '../provenance.js';
|
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25
|
+
import type { AppliedMigration, ArtifactMigrationRegistry } from './migration.js';
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|
+
export declare const SCENARIO_SET_KIND = "totalfinance.scenario-set";
|
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|
+
/** Current scenario-set schema version — same bump-with-migration policy as the other envelopes. */
|
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+
export declare const SCENARIO_SET_SCHEMA_VERSION = 1;
|
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+
/** The factor vocabulary shared with `@insiderfinance/totalfinance/risk`'s scenario engine; open for custom labels. */
|
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|
+
export type ScenarioFactor = 'spot' | 'volatility' | 'riskFreeRate' | 'time' | 'dividend' | string;
|
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+
/** A relative change: `percent` scales the base level; `absolute` adds in the factor's own unit. */
|
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+
export interface ScenarioShock {
|
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+
factor: ScenarioFactor;
|
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+
kind: 'percent' | 'absolute';
|
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+
value: number;
|
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36
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+
/** Which symbol the shock hits; absent = every target the runner prices with this factor. */
|
|
37
|
+
target?: string;
|
|
38
|
+
}
|
|
39
|
+
/** An absolute set: the observation for `(factor, target)` BECOMES `value` before shocks apply. */
|
|
40
|
+
export interface ScenarioOverride {
|
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41
|
+
factor: ScenarioFactor;
|
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|
+
value: number;
|
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43
|
+
target?: string;
|
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44
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+
}
|
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45
|
+
export interface ScenarioDefinition {
|
|
46
|
+
/** Unique within the set — result cells trace back to scenarios by name. */
|
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47
|
+
name: string;
|
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48
|
+
shocks: ScenarioShock[];
|
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49
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+
overrides?: ScenarioOverride[];
|
|
50
|
+
}
|
|
51
|
+
export interface ScenarioSet {
|
|
52
|
+
kind: typeof SCENARIO_SET_KIND;
|
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53
|
+
schemaVersion: number;
|
|
54
|
+
name: string;
|
|
55
|
+
scenarios: ScenarioDefinition[];
|
|
56
|
+
/** Where the definitions came from (a historical-event library, a desk doc) — caller-supplied. */
|
|
57
|
+
provenance?: Provenance;
|
|
58
|
+
}
|
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|
+
/**
|
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60
|
+
* Build an immutable, serializable scenario set.
|
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61
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+
*
|
|
62
|
+
* @example
|
|
63
|
+
* ```ts
|
|
64
|
+
* const stress = createScenarioSet({
|
|
65
|
+
* name: 'q3-desk-stress',
|
|
66
|
+
* scenarios: [
|
|
67
|
+
* { name: 'crash -20%', shocks: [{ factor: 'spot', kind: 'percent', value: -0.20 },
|
|
68
|
+
* { factor: 'volatility', kind: 'absolute', value: 0.15 }] },
|
|
69
|
+
* { name: 'rates 2019', overrides: [{ factor: 'riskFreeRate', value: 0.0155 }], shocks: [] },
|
|
70
|
+
* ],
|
|
71
|
+
* });
|
|
72
|
+
* ```
|
|
73
|
+
*/
|
|
74
|
+
export declare function createScenarioSet(input: {
|
|
75
|
+
name: string;
|
|
76
|
+
scenarios: ScenarioDefinition[];
|
|
77
|
+
provenance?: Provenance;
|
|
78
|
+
}): ScenarioSet;
|
|
79
|
+
/**
|
|
80
|
+
* Sound structural test for a CURRENT-version scenario-set envelope: the complete read-door
|
|
81
|
+
* validation behind a boolean door — `true` means `readScenarioSet` would accept the value
|
|
82
|
+
* unchanged, with no migrations. (An earlier version checked four fields, so
|
|
83
|
+
* `{ …, scenarios: [42] }` passed as `ScenarioSet` and detonated at first use.) Full-walk, not
|
|
84
|
+
* constant-time; call the read door when you also need the restored copy.
|
|
85
|
+
*/
|
|
86
|
+
export declare function isScenarioSet(value: unknown): value is ScenarioSet;
|
|
87
|
+
/** Restore a stored scenario set, with the shared version/migration policy. */
|
|
88
|
+
export declare function readScenarioSet(input: {
|
|
89
|
+
scenarioSet: unknown;
|
|
90
|
+
migrations?: ArtifactMigrationRegistry;
|
|
91
|
+
}): {
|
|
92
|
+
scenarioSet: ScenarioSet;
|
|
93
|
+
migrationsApplied: AppliedMigration[];
|
|
94
|
+
};
|
|
95
|
+
/** Content identity for a scenario set: the canonical envelope WITHOUT `provenance`. */
|
|
96
|
+
export declare function scenarioSetContentHash(scenarioSet: ScenarioSet): string;
|
|
97
|
+
//# sourceMappingURL=scenario-set.d.ts.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"scenario-set.d.ts","sourceRoot":"","sources":["../../src/artifacts/scenario-set.ts"],"names":[],"mappings":"AAAA;;;;;;;;;;;;;;;;;;;;;;GAsBG;AAIH,OAAO,KAAK,EAAE,UAAU,EAAE,MAAM,kBAAkB,CAAC;AAKnD,OAAO,KAAK,EAAE,gBAAgB,EAAE,yBAAyB,EAAE,MAAM,gBAAgB,CAAC;AAGlF,eAAO,MAAM,iBAAiB,8BAA8B,CAAC;AAE7D,oGAAoG;AACpG,eAAO,MAAM,2BAA2B,IAAI,CAAC;AAE7C,uHAAuH;AACvH,MAAM,MAAM,cAAc,GAAG,MAAM,GAAG,YAAY,GAAG,cAAc,GAAG,MAAM,GAAG,UAAU,GAAG,MAAM,CAAC;AAEnG,oGAAoG;AACpG,MAAM,WAAW,aAAa;IAC5B,MAAM,EAAE,cAAc,CAAC;IACvB,IAAI,EAAE,SAAS,GAAG,UAAU,CAAC;IAC7B,KAAK,EAAE,MAAM,CAAC;IACd,6FAA6F;IAC7F,MAAM,CAAC,EAAE,MAAM,CAAC;CACjB;AAED,mGAAmG;AACnG,MAAM,WAAW,gBAAgB;IAC/B,MAAM,EAAE,cAAc,CAAC;IACvB,KAAK,EAAE,MAAM,CAAC;IACd,MAAM,CAAC,EAAE,MAAM,CAAC;CACjB;AAED,MAAM,WAAW,kBAAkB;IACjC,4EAA4E;IAC5E,IAAI,EAAE,MAAM,CAAC;IACb,MAAM,EAAE,aAAa,EAAE,CAAC;IACxB,SAAS,CAAC,EAAE,gBAAgB,EAAE,CAAC;CAChC;AAED,MAAM,WAAW,WAAW;IAC1B,IAAI,EAAE,OAAO,iBAAiB,CAAC;IAC/B,aAAa,EAAE,MAAM,CAAC;IACtB,IAAI,EAAE,MAAM,CAAC;IACb,SAAS,EAAE,kBAAkB,EAAE,CAAC;IAChC,kGAAkG;IAClG,UAAU,CAAC,EAAE,UAAU,CAAC;CACzB;AA6ID;;;;;;;;;;;;;;GAcG;AACH,wBAAgB,iBAAiB,CAAC,KAAK,EAAE;IACvC,IAAI,EAAE,MAAM,CAAC;IACb,SAAS,EAAE,kBAAkB,EAAE,CAAC;IAChC,UAAU,CAAC,EAAE,UAAU,CAAC;CACzB,GAAG,WAAW,CAiBd;AA8CD;;;;;;GAMG;AACH,wBAAgB,aAAa,CAAC,KAAK,EAAE,OAAO,GAAG,KAAK,IAAI,WAAW,CAQlE;AAED,+EAA+E;AAC/E,wBAAgB,eAAe,CAAC,KAAK,EAAE;IACrC,WAAW,EAAE,OAAO,CAAC;IACrB,UAAU,CAAC,EAAE,yBAAyB,CAAC;CACxC,GAAG;IAAE,WAAW,EAAE,WAAW,CAAC;IAAC,iBAAiB,EAAE,gBAAgB,EAAE,CAAA;CAAE,CAmDtE;AAED,wFAAwF;AACxF,wBAAgB,sBAAsB,CAAC,WAAW,EAAE,WAAW,GAAG,MAAM,CAYvE"}
|
|
@@ -0,0 +1,249 @@
|
|
|
1
|
+
/**
|
|
2
|
+
* Serializable scenario sets (Gate B, ahead of Gate D's shared runner): named scenario
|
|
3
|
+
* DEFINITIONS — shocks and overrides over a market snapshot — as pure data one runner can later
|
|
4
|
+
* apply across domains. Deliberately NOT a DSL: no expressions, no conditionals, no references —
|
|
5
|
+
* a scenario is a list of typed records, and anything a list of records cannot say belongs in
|
|
6
|
+
* caller code via the escape hatch (a custom reprice function), not in a language embedded here.
|
|
7
|
+
*
|
|
8
|
+
* The shock grammar is the one `@insiderfinance/totalfinance/risk` already speaks — `{ factor, kind: 'percent' |
|
|
9
|
+
* 'absolute', value }`, with the same factor vocabulary (`spot`, `volatility`, `riskFreeRate`,
|
|
10
|
+
* `time`, `dividend`, or a custom label) — extended with an optional `target` symbol so one
|
|
11
|
+
* scenario can shock AAPL and SPY differently. A spine shock without `target` is exactly a risk
|
|
12
|
+
* `Shock`, so Gate D's runner can hand these to the existing Taylor engine unchanged (no second
|
|
13
|
+
* vocabulary, no adapter tax).
|
|
14
|
+
*
|
|
15
|
+
* Semantics fixed here so every future runner agrees:
|
|
16
|
+
*
|
|
17
|
+
* - **overrides apply first**, setting an observation to an absolute value;
|
|
18
|
+
* - **shocks then apply in array order** (deterministic composition — `+10 pts` then `-5%` is not
|
|
19
|
+
* `-5%` then `+10 pts`, and the data says which one is meant);
|
|
20
|
+
* - **two overrides for the same `(factor, target)` in one scenario are a CONFLICT** and are
|
|
21
|
+
* refused at creation — the second absolute set would silently win;
|
|
22
|
+
* - repeated SHOCKS on one factor are legal: they compose, in order.
|
|
23
|
+
*/
|
|
24
|
+
import { ErrorCode, InputError } from '../errors.js';
|
|
25
|
+
import { ensureKnownKeys, requireArgumentArray, requireArgumentObject } from '../invariants.js';
|
|
26
|
+
import { requireProvenance } from '../provenance.js';
|
|
27
|
+
import { canonicalJsonOf, fromCanonicalJson } from '../canonical-json.js';
|
|
28
|
+
import { contentHash } from './content-hash.js';
|
|
29
|
+
import { deepFreeze } from './deep-freeze.js';
|
|
30
|
+
import { createArtifactMigrationRegistry } from './migration.js';
|
|
31
|
+
export const SCENARIO_SET_KIND = 'totalfinance.scenario-set';
|
|
32
|
+
/** Current scenario-set schema version — same bump-with-migration policy as the other envelopes. */
|
|
33
|
+
export const SCENARIO_SET_SCHEMA_VERSION = 1;
|
|
34
|
+
const ENVELOPE_KEYS = ['kind', 'schemaVersion', 'name', 'scenarios', 'provenance'];
|
|
35
|
+
const EXAMPLE_CALL = "createScenarioSet({ name: 'rate-and-vol-stress', scenarios: [{ name: 'vol +10pts', shocks: [{ factor: 'volatility', kind: 'absolute', value: 0.10 }] }] })";
|
|
36
|
+
function scenarioError(message, code, context) {
|
|
37
|
+
return new InputError(message, { code, context });
|
|
38
|
+
}
|
|
39
|
+
function requireFiniteValue(functionName, path, value) {
|
|
40
|
+
if (typeof value !== 'number' || !Number.isFinite(value)) {
|
|
41
|
+
throw scenarioError(`${functionName}: ${path} must be a finite number. Received ${typeof value === 'number' ? value : value === null ? 'null' : typeof value}.`, typeof value === 'number' ? ErrorCode.InputNotFinite : ErrorCode.InputWrongType, { function: functionName, field: path });
|
|
42
|
+
}
|
|
43
|
+
return value;
|
|
44
|
+
}
|
|
45
|
+
function requireFactor(functionName, path, value) {
|
|
46
|
+
if (typeof value !== 'string' || value.length === 0) {
|
|
47
|
+
throw scenarioError(`${functionName}: ${path} must be a factor name — 'spot', 'volatility', 'riskFreeRate', 'time', 'dividend', or a custom label.\n e.g. ${EXAMPLE_CALL}`, ErrorCode.InputWrongType, { function: functionName, field: path });
|
|
48
|
+
}
|
|
49
|
+
return value;
|
|
50
|
+
}
|
|
51
|
+
function validateScenarioSetBody(functionName, body) {
|
|
52
|
+
if (typeof body.name !== 'string' || body.name.length === 0) {
|
|
53
|
+
throw scenarioError(`${functionName}: name must be a non-empty string — saved scenario sets are referenced by name.\n e.g. ${EXAMPLE_CALL}`, ErrorCode.InputWrongType, { field: 'name' });
|
|
54
|
+
}
|
|
55
|
+
requireArgumentArray(functionName, 'scenarios', body.scenarios);
|
|
56
|
+
if (body.scenarios.length === 0) {
|
|
57
|
+
throw scenarioError(`${functionName}: scenarios must name at least one scenario — an empty set answers nothing.`, ErrorCode.InputOutOfRange, { field: 'scenarios' });
|
|
58
|
+
}
|
|
59
|
+
const seenNames = new Set();
|
|
60
|
+
for (let s = 0; s < body.scenarios.length; s++) {
|
|
61
|
+
const scenario = body.scenarios[s];
|
|
62
|
+
const path = `scenarios[${s}]`;
|
|
63
|
+
requireArgumentObject(functionName, path, scenario);
|
|
64
|
+
ensureKnownKeys(functionName, path, scenario, ['name', 'shocks', 'overrides']);
|
|
65
|
+
if (typeof scenario.name !== 'string' || scenario.name.length === 0) {
|
|
66
|
+
throw scenarioError(`${functionName}: ${path}.name must be a non-empty string — result cells trace back to scenarios by name.`, ErrorCode.InputWrongType, { field: `${path}.name` });
|
|
67
|
+
}
|
|
68
|
+
if (seenNames.has(scenario.name)) {
|
|
69
|
+
throw scenarioError(`${functionName}: scenario name '${scenario.name}' appears twice — names are the set's row identity, so each must be unique.`, ErrorCode.InputOutOfRange, { field: `${path}.name`, name: scenario.name });
|
|
70
|
+
}
|
|
71
|
+
seenNames.add(scenario.name);
|
|
72
|
+
requireArgumentArray(functionName, `${path}.shocks`, scenario.shocks);
|
|
73
|
+
for (let i = 0; i < scenario.shocks.length; i++) {
|
|
74
|
+
const shock = scenario.shocks[i];
|
|
75
|
+
const shockPath = `${path}.shocks[${i}]`;
|
|
76
|
+
requireArgumentObject(functionName, shockPath, shock);
|
|
77
|
+
ensureKnownKeys(functionName, shockPath, shock, ['factor', 'kind', 'value', 'target']);
|
|
78
|
+
requireFactor(functionName, `${shockPath}.factor`, shock.factor);
|
|
79
|
+
if (shock.kind !== 'percent' && shock.kind !== 'absolute') {
|
|
80
|
+
throw scenarioError(`${functionName}: ${shockPath}.kind must be 'percent' or 'absolute'; got ${JSON.stringify(shock.kind)}.`, ErrorCode.InputInvalidEnum, { field: `${shockPath}.kind`, value: shock.kind });
|
|
81
|
+
}
|
|
82
|
+
requireFiniteValue(functionName, `${shockPath}.value`, shock.value);
|
|
83
|
+
if (shock.target !== undefined &&
|
|
84
|
+
(typeof shock.target !== 'string' || shock.target.length === 0)) {
|
|
85
|
+
throw scenarioError(`${functionName}: ${shockPath}.target must be a non-empty symbol string when present.`, ErrorCode.InputWrongType, { field: `${shockPath}.target` });
|
|
86
|
+
}
|
|
87
|
+
}
|
|
88
|
+
if (scenario.overrides !== undefined) {
|
|
89
|
+
requireArgumentArray(functionName, `${path}.overrides`, scenario.overrides);
|
|
90
|
+
const seenOverrides = new Set();
|
|
91
|
+
for (let i = 0; i < scenario.overrides.length; i++) {
|
|
92
|
+
const override = scenario.overrides[i];
|
|
93
|
+
const overridePath = `${path}.overrides[${i}]`;
|
|
94
|
+
requireArgumentObject(functionName, overridePath, override);
|
|
95
|
+
ensureKnownKeys(functionName, overridePath, override, ['factor', 'value', 'target']);
|
|
96
|
+
const factor = requireFactor(functionName, `${overridePath}.factor`, override.factor);
|
|
97
|
+
requireFiniteValue(functionName, `${overridePath}.value`, override.value);
|
|
98
|
+
if (override.target !== undefined &&
|
|
99
|
+
(typeof override.target !== 'string' || override.target.length === 0)) {
|
|
100
|
+
throw scenarioError(`${functionName}: ${overridePath}.target must be a non-empty symbol string when present.`, ErrorCode.InputWrongType, { field: `${overridePath}.target` });
|
|
101
|
+
}
|
|
102
|
+
const overrideKey = JSON.stringify([factor, override.target ?? null]);
|
|
103
|
+
if (seenOverrides.has(overrideKey)) {
|
|
104
|
+
throw scenarioError(`${functionName}: ${overridePath} sets (${factor}${override.target === undefined ? '' : `, ${override.target}`}) a second time in '${scenario.name}' — two absolute sets for one observation conflict, and the second would silently win. Merge them or split the scenario.`, ErrorCode.InputOutOfRange, {
|
|
105
|
+
field: overridePath,
|
|
106
|
+
factor,
|
|
107
|
+
...(override.target !== undefined ? { target: override.target } : {}),
|
|
108
|
+
});
|
|
109
|
+
}
|
|
110
|
+
seenOverrides.add(overrideKey);
|
|
111
|
+
}
|
|
112
|
+
}
|
|
113
|
+
}
|
|
114
|
+
}
|
|
115
|
+
/**
|
|
116
|
+
* Build an immutable, serializable scenario set.
|
|
117
|
+
*
|
|
118
|
+
* @example
|
|
119
|
+
* ```ts
|
|
120
|
+
* const stress = createScenarioSet({
|
|
121
|
+
* name: 'q3-desk-stress',
|
|
122
|
+
* scenarios: [
|
|
123
|
+
* { name: 'crash -20%', shocks: [{ factor: 'spot', kind: 'percent', value: -0.20 },
|
|
124
|
+
* { factor: 'volatility', kind: 'absolute', value: 0.15 }] },
|
|
125
|
+
* { name: 'rates 2019', overrides: [{ factor: 'riskFreeRate', value: 0.0155 }], shocks: [] },
|
|
126
|
+
* ],
|
|
127
|
+
* });
|
|
128
|
+
* ```
|
|
129
|
+
*/
|
|
130
|
+
export function createScenarioSet(input) {
|
|
131
|
+
requireArgumentObject('createScenarioSet', 'input', input);
|
|
132
|
+
ensureKnownKeys('createScenarioSet', 'input', input, ['name', 'scenarios', 'provenance']);
|
|
133
|
+
const envelope = {
|
|
134
|
+
kind: SCENARIO_SET_KIND,
|
|
135
|
+
schemaVersion: SCENARIO_SET_SCHEMA_VERSION,
|
|
136
|
+
name: input.name,
|
|
137
|
+
scenarios: input.scenarios,
|
|
138
|
+
...(input.provenance !== undefined ? { provenance: input.provenance } : {}),
|
|
139
|
+
};
|
|
140
|
+
validateScenarioSetBody('createScenarioSet', envelope);
|
|
141
|
+
if (envelope.provenance !== undefined) {
|
|
142
|
+
// The ONE shared provenance validator — the same closed-key, fully typed check every envelope
|
|
143
|
+
// applies, so `provenance: { provider: 42 }` is refused here exactly as a snapshot refuses it.
|
|
144
|
+
requireProvenance('createScenarioSet', 'provenance', envelope.provenance);
|
|
145
|
+
}
|
|
146
|
+
return deepFreeze(fromCanonicalJson(canonicalJsonOf(envelope)));
|
|
147
|
+
}
|
|
148
|
+
/**
|
|
149
|
+
* Validate a CURRENT-version scenario-set envelope in FULL: closed key set, kind, exact schema
|
|
150
|
+
* version, the whole scenarios body (names unique, shocks/overrides typed, override conflicts
|
|
151
|
+
* refused), and provenance shape. The read door's own validation extracted into a callable that
|
|
152
|
+
* does not migrate — shared by `readScenarioSet` (post-migration) and the public
|
|
153
|
+
* {@link isScenarioSet} guard, so the two can never disagree about what a scenario set is.
|
|
154
|
+
*/
|
|
155
|
+
function requireCurrentScenarioSetEnvelope(functionName, candidate) {
|
|
156
|
+
ensureKnownKeys(functionName, 'scenarioSet', candidate, ENVELOPE_KEYS);
|
|
157
|
+
if (candidate['kind'] !== SCENARIO_SET_KIND) {
|
|
158
|
+
throw scenarioError(`${functionName}: scenarioSet.kind is ${JSON.stringify(candidate['kind'])}, not '${SCENARIO_SET_KIND}'.`, ErrorCode.SnapshotKindMismatch, { received: candidate['kind'] });
|
|
159
|
+
}
|
|
160
|
+
if (candidate['schemaVersion'] !== SCENARIO_SET_SCHEMA_VERSION) {
|
|
161
|
+
throw scenarioError(`${functionName}: scenarioSet.schemaVersion is ${String(candidate['schemaVersion'])}, not the current ${SCENARIO_SET_SCHEMA_VERSION} — older versions load only through readScenarioSet's explicit migrations.`, ErrorCode.SnapshotInvalidVersion, { version: candidate['schemaVersion'] });
|
|
162
|
+
}
|
|
163
|
+
const body = {
|
|
164
|
+
kind: SCENARIO_SET_KIND,
|
|
165
|
+
schemaVersion: SCENARIO_SET_SCHEMA_VERSION,
|
|
166
|
+
name: candidate['name'],
|
|
167
|
+
scenarios: candidate['scenarios'],
|
|
168
|
+
...(candidate['provenance'] !== undefined
|
|
169
|
+
? { provenance: candidate['provenance'] }
|
|
170
|
+
: {}),
|
|
171
|
+
};
|
|
172
|
+
validateScenarioSetBody(functionName, body);
|
|
173
|
+
// The body validator deliberately omits provenance (labels are not identity); presence still
|
|
174
|
+
// demands the full shared shape — a `{ provider: 42 }` label bag is not provenance.
|
|
175
|
+
if (body.provenance !== undefined) {
|
|
176
|
+
requireProvenance(functionName, 'provenance', body.provenance);
|
|
177
|
+
}
|
|
178
|
+
return body;
|
|
179
|
+
}
|
|
180
|
+
/**
|
|
181
|
+
* Sound structural test for a CURRENT-version scenario-set envelope: the complete read-door
|
|
182
|
+
* validation behind a boolean door — `true` means `readScenarioSet` would accept the value
|
|
183
|
+
* unchanged, with no migrations. (An earlier version checked four fields, so
|
|
184
|
+
* `{ …, scenarios: [42] }` passed as `ScenarioSet` and detonated at first use.) Full-walk, not
|
|
185
|
+
* constant-time; call the read door when you also need the restored copy.
|
|
186
|
+
*/
|
|
187
|
+
export function isScenarioSet(value) {
|
|
188
|
+
if (value === null || typeof value !== 'object' || Array.isArray(value))
|
|
189
|
+
return false;
|
|
190
|
+
try {
|
|
191
|
+
requireCurrentScenarioSetEnvelope('isScenarioSet', value);
|
|
192
|
+
return true;
|
|
193
|
+
}
|
|
194
|
+
catch {
|
|
195
|
+
return false;
|
|
196
|
+
}
|
|
197
|
+
}
|
|
198
|
+
/** Restore a stored scenario set, with the shared version/migration policy. */
|
|
199
|
+
export function readScenarioSet(input) {
|
|
200
|
+
requireArgumentObject('readScenarioSet', 'input', input);
|
|
201
|
+
ensureKnownKeys('readScenarioSet', 'input', input, ['scenarioSet', 'migrations']);
|
|
202
|
+
const raw = input.scenarioSet;
|
|
203
|
+
if (raw === null || typeof raw !== 'object' || Array.isArray(raw)) {
|
|
204
|
+
throw scenarioError(`readScenarioSet: scenarioSet must be a ScenarioSet envelope object. Received ${raw === null ? 'null' : Array.isArray(raw) ? 'array' : typeof raw}.`, ErrorCode.SnapshotWrongShape, { received: raw === null ? 'null' : typeof raw });
|
|
205
|
+
}
|
|
206
|
+
const candidate = raw;
|
|
207
|
+
ensureKnownKeys('readScenarioSet', 'scenarioSet', candidate, ENVELOPE_KEYS);
|
|
208
|
+
if (candidate['kind'] !== SCENARIO_SET_KIND) {
|
|
209
|
+
throw scenarioError(`readScenarioSet: scenarioSet.kind is ${JSON.stringify(candidate['kind'])}, not '${SCENARIO_SET_KIND}' — this reader restores scenario sets only.`, ErrorCode.SnapshotKindMismatch, { received: candidate['kind'] });
|
|
210
|
+
}
|
|
211
|
+
const version = candidate['schemaVersion'];
|
|
212
|
+
if (typeof version !== 'number' || !Number.isSafeInteger(version) || version < 0) {
|
|
213
|
+
throw scenarioError(`readScenarioSet: scenarioSet has an invalid schema version: ${String(version)}.`, ErrorCode.SnapshotInvalidVersion, { version });
|
|
214
|
+
}
|
|
215
|
+
if (version > SCENARIO_SET_SCHEMA_VERSION) {
|
|
216
|
+
throw scenarioError(`readScenarioSet: scenarioSet schema version ${version} is newer than this build supports (${SCENARIO_SET_SCHEMA_VERSION}). Upgrade @insiderfinance/totalfinance to restore it.`, ErrorCode.SnapshotUnsupportedVersion, { version, supported: SCENARIO_SET_SCHEMA_VERSION });
|
|
217
|
+
}
|
|
218
|
+
let envelope = candidate;
|
|
219
|
+
let migrationsApplied = [];
|
|
220
|
+
if (version < SCENARIO_SET_SCHEMA_VERSION) {
|
|
221
|
+
const registry = input.migrations ?? createArtifactMigrationRegistry();
|
|
222
|
+
({ envelope, migrationsApplied } = registry.upgrade({
|
|
223
|
+
envelope,
|
|
224
|
+
targetVersion: SCENARIO_SET_SCHEMA_VERSION,
|
|
225
|
+
}));
|
|
226
|
+
}
|
|
227
|
+
// The shared current-version validator — one law with isScenarioSet. Post-migration it also
|
|
228
|
+
// proves the registry actually delivered the current shape (kind and version included).
|
|
229
|
+
const body = requireCurrentScenarioSetEnvelope('readScenarioSet', envelope);
|
|
230
|
+
return {
|
|
231
|
+
scenarioSet: deepFreeze(fromCanonicalJson(canonicalJsonOf(body))),
|
|
232
|
+
migrationsApplied,
|
|
233
|
+
};
|
|
234
|
+
}
|
|
235
|
+
/** Content identity for a scenario set: the canonical envelope WITHOUT `provenance`. */
|
|
236
|
+
export function scenarioSetContentHash(scenarioSet) {
|
|
237
|
+
requireArgumentObject('scenarioSetContentHash', 'scenarioSet', scenarioSet);
|
|
238
|
+
// FULL validation, not the structural predicate: a malformed envelope must be refused, never
|
|
239
|
+
// identified (the deep probe convicted the predicate-only version for hashing unknown keys and a
|
|
240
|
+
// null provenance). Reusing the read path keeps ONE validator.
|
|
241
|
+
const { scenarioSet: validated } = readScenarioSet({ scenarioSet });
|
|
242
|
+
return contentHash({
|
|
243
|
+
kind: validated.kind,
|
|
244
|
+
schemaVersion: validated.schemaVersion,
|
|
245
|
+
name: validated.name,
|
|
246
|
+
scenarios: validated.scenarios,
|
|
247
|
+
});
|
|
248
|
+
}
|
|
249
|
+
//# sourceMappingURL=scenario-set.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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