@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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/** Column names, in table order; when present, `columns.length === columnCount`. */
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columns?: string[];
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/** Storage-agnostic opaque reference — meaningful only to the storage layer that minted it. */
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locator?: string;
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/** Concrete encoding of the stored bytes. `application/json` unless a future Arrow mapping lands. */
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mediaType?: string;
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}
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/**
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* The FULL table-handle validator, shared by `createTableHandle`, every envelope site that accepts
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* a stored handle (artifact `tables`, snapshot chain `table`), AND the public {@link isTableHandle}
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* guard — one validator, so a handle that would be refused at creation can never slip into an
|
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* envelope pre-built or pass the guard. Beyond kind/hash/counts it enforces the optional-field
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* contracts: `columns` an array of non-empty, DUPLICATE-FREE column-name strings whose length
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* equals `columnCount`, `locator` a non-empty string when present, and `mediaType` a non-empty
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* media-type string when present. Returns the (unchanged) validated handle.
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*/
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export declare function requireTableHandle(functionName: string, label: string, value: unknown): TableHandle;
|
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/**
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* Structural PREDICATE for a table handle: the COMPLETE {@link requireTableHandle} validation
|
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* behind a boolean door, so `value is TableHandle` is a sound claim — `true` means every envelope
|
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* site would accept the handle unchanged. (An earlier version checked only the required fields, so
|
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* `{ …, columns: 42 }` passed the guard and then detonated at the first validation site; a guard
|
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* that is a weaker law than the validator is a `false` dressed as a `true`.) It runs the full
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* field walk — not a constant-time tag sniff — which for a handle (a dozen scalar fields) is still
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* trivially cheap.
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*/
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export declare function isTableHandle(value: unknown): value is TableHandle;
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/**
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* Build a validated, frozen table handle.
|
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*
|
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* @example
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* ```ts
|
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* const handle = createTableHandle({
|
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|
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* contentHash: contentHash(chainRows),
|
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|
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* rowCount: chainRows.length,
|
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|
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* columnCount: 8,
|
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|
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* columns: ['strike', 'expiry', 'bid', 'ask', 'mid', 'volume', 'openInterest', 'impliedVolatility'],
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|
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* locator: 'artifacts/chains/aapl-2026-07-20.json',
|
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|
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* });
|
|
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|
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* ```
|
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|
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*/
|
|
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|
+
export declare function createTableHandle(input: {
|
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|
+
contentHash: string;
|
|
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|
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rowCount: number;
|
|
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|
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columnCount: number;
|
|
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|
+
columns?: string[];
|
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|
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locator?: string;
|
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|
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mediaType?: string;
|
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|
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}): TableHandle;
|
|
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|
+
/**
|
|
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|
+
* Mint the table handle for a row set the caller holds (Stage 4.5 Decision 4 — the ONE column law
|
|
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|
+
* every package shares, so the same rows always mint the same handle):
|
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*
|
|
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|
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* - an array of plain records → `columns` is the sorted union of the rows' own keys;
|
|
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|
+
* - an array of numbers (a returns or realized-variance vector) → one column, `['value']`;
|
|
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|
+
* - anything else (mixed rows, nested arrays, non-plain objects) is refused with the teaching.
|
|
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|
+
*
|
|
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|
+
* `contentHash` is the canonical-JSON hash of the rows exactly as given, so a consumer that later
|
|
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|
+
* receives rows can prove they are the referenced ones by re-minting and comparing hashes.
|
|
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|
+
*
|
|
85
|
+
* @example
|
|
86
|
+
* ```ts
|
|
87
|
+
* const handle = tableHandleForRows({ rows: observations, locator: 'universe/2026-09-01.json' });
|
|
88
|
+
* // { kind: 'totalfinance.table-handle', contentHash: 'sha256:…', rowCount: 4200, columnCount: 3, columns: ['availableTimestampMs', 'fields', 'instrumentId'] }
|
|
89
|
+
* ```
|
|
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|
+
*/
|
|
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|
+
export declare function tableHandleForRows(input: {
|
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|
+
rows: readonly unknown[];
|
|
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|
+
locator?: string;
|
|
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|
+
mediaType?: string;
|
|
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|
+
}): TableHandle;
|
|
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|
+
//# sourceMappingURL=table-handle.d.ts.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"table-handle.d.ts","sourceRoot":"","sources":["../../src/artifacts/table-handle.ts"],"names":[],"mappings":"AAAA;;;;;;;;;;;;;;GAcG;AAOH,eAAO,MAAM,iBAAiB,8BAA8B,CAAC;AAE7D,wGAAwG;AACxG,eAAO,MAAM,+BAA+B,sCAAsC,CAAC;AAEnF,MAAM,WAAW,WAAW;IAC1B,IAAI,EAAE,OAAO,iBAAiB,CAAC;IAC/B,mGAAmG;IACnG,WAAW,EAAE,MAAM,CAAC;IACpB,QAAQ,EAAE,MAAM,CAAC;IACjB,WAAW,EAAE,MAAM,CAAC;IACpB,oFAAoF;IACpF,OAAO,CAAC,EAAE,MAAM,EAAE,CAAC;IACnB,+FAA+F;IAC/F,OAAO,CAAC,EAAE,MAAM,CAAC;IACjB,qGAAqG;IACrG,SAAS,CAAC,EAAE,MAAM,CAAC;CACpB;AA4BD;;;;;;;;GAQG;AACH,wBAAgB,kBAAkB,CAChC,YAAY,EAAE,MAAM,EACpB,KAAK,EAAE,MAAM,EACb,KAAK,EAAE,OAAO,GACb,WAAW,CA+Fb;AAED;;;;;;;;GAQG;AACH,wBAAgB,aAAa,CAAC,KAAK,EAAE,OAAO,GAAG,KAAK,IAAI,WAAW,CAQlE;AAED;;;;;;;;;;;;;GAaG;AACH,wBAAgB,iBAAiB,CAAC,KAAK,EAAE;IACvC,WAAW,EAAE,MAAM,CAAC;IACpB,QAAQ,EAAE,MAAM,CAAC;IACjB,WAAW,EAAE,MAAM,CAAC;IACpB,OAAO,CAAC,EAAE,MAAM,EAAE,CAAC;IACnB,OAAO,CAAC,EAAE,MAAM,CAAC;IACjB,SAAS,CAAC,EAAE,MAAM,CAAC;CACpB,GAAG,WAAW,CAgCd;AAID;;;;;;;;;;;;;;;;GAgBG;AACH,wBAAgB,kBAAkB,CAAC,KAAK,EAAE;IACxC,IAAI,EAAE,SAAS,OAAO,EAAE,CAAC;IACzB,OAAO,CAAC,EAAE,MAAM,CAAC;IACjB,SAAS,CAAC,EAAE,MAAM,CAAC;CACpB,GAAG,WAAW,CAuDd"}
|
|
@@ -0,0 +1,253 @@
|
|
|
1
|
+
/**
|
|
2
|
+
* The large-table reference (Gate B): a saved artifact NAMES its big tabular outputs instead of
|
|
3
|
+
* inlining them, so envelopes stay small enough to hash, diff, store, and hand to an agent —
|
|
4
|
+
* roadmap Journey 3's "no large chain must travel through an LLM context", made structural.
|
|
5
|
+
*
|
|
6
|
+
* A handle is identity + dimensions + an OPAQUE locator. The spine deliberately owns no storage:
|
|
7
|
+
* `locator` is whatever string the caller's storage layer understands (a path, URL, cache key),
|
|
8
|
+
* and the `contentHash` is what makes the reference verifiable wherever the bytes actually live —
|
|
9
|
+
* fetch the table, hash its canonical JSON row projection, compare.
|
|
10
|
+
*
|
|
11
|
+
* `mediaType` is `application/json` today. A lossless Arrow mapping is RESERVED, not implemented:
|
|
12
|
+
* the contract is that an Arrow-encoded table hashes over the SAME canonical JSON row projection,
|
|
13
|
+
* so one logical table has one identity in either encoding. Implementation waits for a measured
|
|
14
|
+
* large-table consumer — performance work is explicitly deferred in this repo by user decision.
|
|
15
|
+
*/
|
|
16
|
+
import { ErrorCode, InputError } from '../errors.js';
|
|
17
|
+
import { ensureKnownKeys, requireArgumentObject } from '../invariants.js';
|
|
18
|
+
import { contentHash, isContentHashString } from './content-hash.js';
|
|
19
|
+
import { scanCanonicalData } from './canonical-scan.js';
|
|
20
|
+
export const TABLE_HANDLE_KIND = 'totalfinance.table-handle';
|
|
21
|
+
/** The reserved (unimplemented) Arrow media type — reserved here so no caller invents a second name. */
|
|
22
|
+
export const TABLE_MEDIA_TYPE_ARROW_RESERVED = 'application/vnd.apache.arrow.file';
|
|
23
|
+
const TABLE_HANDLE_KEYS = [
|
|
24
|
+
'kind',
|
|
25
|
+
'contentHash',
|
|
26
|
+
'rowCount',
|
|
27
|
+
'columnCount',
|
|
28
|
+
'columns',
|
|
29
|
+
'locator',
|
|
30
|
+
'mediaType',
|
|
31
|
+
];
|
|
32
|
+
/**
|
|
33
|
+
* Row/column counts are METADATA — they drive no loop or allocation here, so they take no
|
|
34
|
+
* practical cap — but they must be SAFE integers (2026-08-23 review, P0 "unbounded work"
|
|
35
|
+
* wave): `Number.isInteger(1e308)` is `true`, yet above 2^53 an IEEE-754 double skips integers,
|
|
36
|
+
* so such a "count" can neither be exact nor honestly compared against the table it names.
|
|
37
|
+
*/
|
|
38
|
+
function requireCount(functionName, field, value) {
|
|
39
|
+
if (typeof value !== 'number' || !Number.isSafeInteger(value) || value < 0) {
|
|
40
|
+
throw new InputError(`${functionName}: ${field} must be a non-negative safe integer (≤ 2^53 − 1 = 9,007,199,254,740,991 — above that, doubles skip integers and a count stops being exact). Received ${typeof value === 'number' ? value : value === null ? 'null' : typeof value}.`, { code: ErrorCode.InputOutOfRange, context: { function: functionName, field } });
|
|
41
|
+
}
|
|
42
|
+
return value;
|
|
43
|
+
}
|
|
44
|
+
/**
|
|
45
|
+
* The FULL table-handle validator, shared by `createTableHandle`, every envelope site that accepts
|
|
46
|
+
* a stored handle (artifact `tables`, snapshot chain `table`), AND the public {@link isTableHandle}
|
|
47
|
+
* guard — one validator, so a handle that would be refused at creation can never slip into an
|
|
48
|
+
* envelope pre-built or pass the guard. Beyond kind/hash/counts it enforces the optional-field
|
|
49
|
+
* contracts: `columns` an array of non-empty, DUPLICATE-FREE column-name strings whose length
|
|
50
|
+
* equals `columnCount`, `locator` a non-empty string when present, and `mediaType` a non-empty
|
|
51
|
+
* media-type string when present. Returns the (unchanged) validated handle.
|
|
52
|
+
*/
|
|
53
|
+
export function requireTableHandle(functionName, label, value) {
|
|
54
|
+
requireArgumentObject(functionName, label, value);
|
|
55
|
+
const handle = value;
|
|
56
|
+
ensureKnownKeys(functionName, label, handle, TABLE_HANDLE_KEYS);
|
|
57
|
+
if (handle.kind !== TABLE_HANDLE_KIND) {
|
|
58
|
+
throw new InputError(`${functionName}: ${label}.kind must be '${TABLE_HANDLE_KIND}'. Received ${JSON.stringify(handle.kind)} — build handles with createTableHandle({ contentHash, rowCount, columnCount, … }).`, {
|
|
59
|
+
code: ErrorCode.InputWrongType,
|
|
60
|
+
context: { function: functionName, field: `${label}.kind` },
|
|
61
|
+
});
|
|
62
|
+
}
|
|
63
|
+
const suppliedHash = handle.contentHash;
|
|
64
|
+
if (!isContentHashString(suppliedHash)) {
|
|
65
|
+
throw new InputError(`${functionName}: ${label}.contentHash must be a 'sha256:<64 hex>' string — build it with contentHash(rows). ` +
|
|
66
|
+
`Received ${typeof suppliedHash === 'string' ? `"${suppliedHash.slice(0, 24)}…"` : suppliedHash === null ? 'null' : typeof suppliedHash}.`, {
|
|
67
|
+
code: ErrorCode.InputWrongType,
|
|
68
|
+
context: { function: functionName, field: `${label}.contentHash` },
|
|
69
|
+
});
|
|
70
|
+
}
|
|
71
|
+
requireCount(functionName, `${label}.rowCount`, handle.rowCount);
|
|
72
|
+
const columnCount = requireCount(functionName, `${label}.columnCount`, handle.columnCount);
|
|
73
|
+
if (handle.columns !== undefined) {
|
|
74
|
+
if (!Array.isArray(handle.columns) ||
|
|
75
|
+
handle.columns.some((c) => typeof c !== 'string' || c.length === 0)) {
|
|
76
|
+
throw new InputError(`${functionName}: ${label}.columns must be an array of NON-EMPTY column-name strings — a ` +
|
|
77
|
+
`column with no name cannot be addressed by any consumer that fetches the table.`, {
|
|
78
|
+
code: ErrorCode.InputWrongType,
|
|
79
|
+
context: { function: functionName, field: `${label}.columns` },
|
|
80
|
+
});
|
|
81
|
+
}
|
|
82
|
+
const seenColumns = new Set();
|
|
83
|
+
for (const column of handle.columns) {
|
|
84
|
+
if (seenColumns.has(column)) {
|
|
85
|
+
throw new InputError(`${functionName}: ${label}.columns names "${column}" twice — column names are the table's ` +
|
|
86
|
+
`column identity, so a duplicate makes "which column is ${JSON.stringify(column)}?" ` +
|
|
87
|
+
'unanswerable for every consumer. Rename or drop one.', {
|
|
88
|
+
code: ErrorCode.InputOutOfRange,
|
|
89
|
+
context: { function: functionName, field: `${label}.columns`, column },
|
|
90
|
+
});
|
|
91
|
+
}
|
|
92
|
+
seenColumns.add(column);
|
|
93
|
+
}
|
|
94
|
+
if (handle.columns.length !== columnCount) {
|
|
95
|
+
throw new InputError(`${functionName}: ${label}.columns names ${handle.columns.length} column${handle.columns.length === 1 ? '' : 's'} but columnCount is ${columnCount} — the two must agree.`, {
|
|
96
|
+
code: ErrorCode.InputLengthMismatch,
|
|
97
|
+
context: {
|
|
98
|
+
function: functionName,
|
|
99
|
+
field: `${label}.columns`,
|
|
100
|
+
columns: handle.columns.length,
|
|
101
|
+
columnCount,
|
|
102
|
+
},
|
|
103
|
+
});
|
|
104
|
+
}
|
|
105
|
+
}
|
|
106
|
+
if (handle.locator !== undefined &&
|
|
107
|
+
(typeof handle.locator !== 'string' || handle.locator.length === 0)) {
|
|
108
|
+
throw new InputError(`${functionName}: ${label}.locator must be a non-empty storage-reference string when present (a path, URL, or cache key the storage layer understands). Received ${handle.locator === null ? 'null' : typeof handle.locator === 'string' ? "''" : typeof handle.locator}.`, {
|
|
109
|
+
code: ErrorCode.InputWrongType,
|
|
110
|
+
context: { function: functionName, field: `${label}.locator` },
|
|
111
|
+
});
|
|
112
|
+
}
|
|
113
|
+
if (handle.mediaType !== undefined &&
|
|
114
|
+
(typeof handle.mediaType !== 'string' || handle.mediaType.length === 0)) {
|
|
115
|
+
throw new InputError(`${functionName}: ${label}.mediaType must be a non-empty media-type string when present (e.g. 'application/json') — an empty encoding name tells the fetching side nothing. Received ${handle.mediaType === null ? 'null' : typeof handle.mediaType === 'string' ? "''" : typeof handle.mediaType}.`, {
|
|
116
|
+
code: ErrorCode.InputWrongType,
|
|
117
|
+
context: { function: functionName, field: `${label}.mediaType` },
|
|
118
|
+
});
|
|
119
|
+
}
|
|
120
|
+
return value;
|
|
121
|
+
}
|
|
122
|
+
/**
|
|
123
|
+
* Structural PREDICATE for a table handle: the COMPLETE {@link requireTableHandle} validation
|
|
124
|
+
* behind a boolean door, so `value is TableHandle` is a sound claim — `true` means every envelope
|
|
125
|
+
* site would accept the handle unchanged. (An earlier version checked only the required fields, so
|
|
126
|
+
* `{ …, columns: 42 }` passed the guard and then detonated at the first validation site; a guard
|
|
127
|
+
* that is a weaker law than the validator is a `false` dressed as a `true`.) It runs the full
|
|
128
|
+
* field walk — not a constant-time tag sniff — which for a handle (a dozen scalar fields) is still
|
|
129
|
+
* trivially cheap.
|
|
130
|
+
*/
|
|
131
|
+
export function isTableHandle(value) {
|
|
132
|
+
if (value === null || typeof value !== 'object' || Array.isArray(value))
|
|
133
|
+
return false;
|
|
134
|
+
try {
|
|
135
|
+
requireTableHandle('isTableHandle', 'value', value);
|
|
136
|
+
return true;
|
|
137
|
+
}
|
|
138
|
+
catch {
|
|
139
|
+
return false;
|
|
140
|
+
}
|
|
141
|
+
}
|
|
142
|
+
/**
|
|
143
|
+
* Build a validated, frozen table handle.
|
|
144
|
+
*
|
|
145
|
+
* @example
|
|
146
|
+
* ```ts
|
|
147
|
+
* const handle = createTableHandle({
|
|
148
|
+
* contentHash: contentHash(chainRows),
|
|
149
|
+
* rowCount: chainRows.length,
|
|
150
|
+
* columnCount: 8,
|
|
151
|
+
* columns: ['strike', 'expiry', 'bid', 'ask', 'mid', 'volume', 'openInterest', 'impliedVolatility'],
|
|
152
|
+
* locator: 'artifacts/chains/aapl-2026-07-20.json',
|
|
153
|
+
* });
|
|
154
|
+
* ```
|
|
155
|
+
*/
|
|
156
|
+
export function createTableHandle(input) {
|
|
157
|
+
requireArgumentObject('createTableHandle', 'input', input);
|
|
158
|
+
ensureKnownKeys('createTableHandle', 'input', input, [
|
|
159
|
+
'contentHash',
|
|
160
|
+
'rowCount',
|
|
161
|
+
'columnCount',
|
|
162
|
+
'columns',
|
|
163
|
+
'locator',
|
|
164
|
+
'mediaType',
|
|
165
|
+
]);
|
|
166
|
+
// ONE validator: creation routes through the same full check every envelope site applies to a
|
|
167
|
+
// stored handle, so create-time and read-time can never disagree about what a handle is.
|
|
168
|
+
const validated = requireTableHandle('createTableHandle', 'input', {
|
|
169
|
+
kind: TABLE_HANDLE_KIND,
|
|
170
|
+
contentHash: input.contentHash,
|
|
171
|
+
rowCount: input.rowCount,
|
|
172
|
+
columnCount: input.columnCount,
|
|
173
|
+
...(input.columns !== undefined ? { columns: input.columns } : {}),
|
|
174
|
+
...(input.locator !== undefined ? { locator: input.locator } : {}),
|
|
175
|
+
...(input.mediaType !== undefined ? { mediaType: input.mediaType } : {}),
|
|
176
|
+
});
|
|
177
|
+
return Object.freeze({
|
|
178
|
+
kind: TABLE_HANDLE_KIND,
|
|
179
|
+
contentHash: validated.contentHash,
|
|
180
|
+
rowCount: validated.rowCount,
|
|
181
|
+
columnCount: validated.columnCount,
|
|
182
|
+
...(validated.columns !== undefined
|
|
183
|
+
? { columns: Object.freeze([...validated.columns]) }
|
|
184
|
+
: {}),
|
|
185
|
+
...(validated.locator !== undefined ? { locator: validated.locator } : {}),
|
|
186
|
+
...(validated.mediaType !== undefined ? { mediaType: validated.mediaType } : {}),
|
|
187
|
+
});
|
|
188
|
+
}
|
|
189
|
+
const ROWS_HANDLE_KEYS = ['rows', 'locator', 'mediaType'];
|
|
190
|
+
/**
|
|
191
|
+
* Mint the table handle for a row set the caller holds (Stage 4.5 Decision 4 — the ONE column law
|
|
192
|
+
* every package shares, so the same rows always mint the same handle):
|
|
193
|
+
*
|
|
194
|
+
* - an array of plain records → `columns` is the sorted union of the rows' own keys;
|
|
195
|
+
* - an array of numbers (a returns or realized-variance vector) → one column, `['value']`;
|
|
196
|
+
* - anything else (mixed rows, nested arrays, non-plain objects) is refused with the teaching.
|
|
197
|
+
*
|
|
198
|
+
* `contentHash` is the canonical-JSON hash of the rows exactly as given, so a consumer that later
|
|
199
|
+
* receives rows can prove they are the referenced ones by re-minting and comparing hashes.
|
|
200
|
+
*
|
|
201
|
+
* @example
|
|
202
|
+
* ```ts
|
|
203
|
+
* const handle = tableHandleForRows({ rows: observations, locator: 'universe/2026-09-01.json' });
|
|
204
|
+
* // { kind: 'totalfinance.table-handle', contentHash: 'sha256:…', rowCount: 4200, columnCount: 3, columns: ['availableTimestampMs', 'fields', 'instrumentId'] }
|
|
205
|
+
* ```
|
|
206
|
+
*/
|
|
207
|
+
export function tableHandleForRows(input) {
|
|
208
|
+
const functionName = 'tableHandleForRows';
|
|
209
|
+
requireArgumentObject(functionName, 'input', input);
|
|
210
|
+
ensureKnownKeys(functionName, 'input', input, ROWS_HANDLE_KEYS);
|
|
211
|
+
const rows = input.rows;
|
|
212
|
+
if (!Array.isArray(rows)) {
|
|
213
|
+
throw new InputError(`${functionName}: input.rows must be an array of rows (plain records or numbers). Received ${rows === null ? 'null' : typeof rows}.`, { code: ErrorCode.InputWrongType, context: { function: functionName, field: 'input.rows' } });
|
|
214
|
+
}
|
|
215
|
+
// Prove the rows are behavior-free stored data (dense, plain, acyclic) before reading or hashing them.
|
|
216
|
+
scanCanonicalData(rows, { functionName, label: 'input.rows' });
|
|
217
|
+
let columns;
|
|
218
|
+
if (rows.length === 0) {
|
|
219
|
+
columns = [];
|
|
220
|
+
}
|
|
221
|
+
else if (rows.every((row) => typeof row === 'number')) {
|
|
222
|
+
columns = ['value'];
|
|
223
|
+
}
|
|
224
|
+
else if (rows.every((row) => row !== null &&
|
|
225
|
+
typeof row === 'object' &&
|
|
226
|
+
!Array.isArray(row) &&
|
|
227
|
+
(Object.getPrototypeOf(row) === Object.prototype || Object.getPrototypeOf(row) === null))) {
|
|
228
|
+
const union = new Set();
|
|
229
|
+
for (const row of rows) {
|
|
230
|
+
for (const key of Object.keys(row))
|
|
231
|
+
union.add(key);
|
|
232
|
+
}
|
|
233
|
+
columns = [...union].sort();
|
|
234
|
+
if (columns.some((column) => column.length === 0)) {
|
|
235
|
+
throw new InputError(`${functionName}: input.rows contains a record with an empty-string key — a column with no name cannot be addressed by any consumer.`, {
|
|
236
|
+
code: ErrorCode.InputWrongShape,
|
|
237
|
+
context: { function: functionName, field: 'input.rows' },
|
|
238
|
+
});
|
|
239
|
+
}
|
|
240
|
+
}
|
|
241
|
+
else {
|
|
242
|
+
throw new InputError(`${functionName}: input.rows must be EITHER an array of plain records (one column per key) OR an array of numbers (one 'value' column) — mixed or nested rows have no single column law. Project them to records first, e.g. rows.map((value, index) => ({ index, value })).`, { code: ErrorCode.InputWrongShape, context: { function: functionName, field: 'input.rows' } });
|
|
243
|
+
}
|
|
244
|
+
return createTableHandle({
|
|
245
|
+
contentHash: contentHash(rows),
|
|
246
|
+
rowCount: rows.length,
|
|
247
|
+
columnCount: columns.length,
|
|
248
|
+
...(columns.length > 0 ? { columns } : {}),
|
|
249
|
+
...(input.locator !== undefined ? { locator: input.locator } : {}),
|
|
250
|
+
...(input.mediaType !== undefined ? { mediaType: input.mediaType } : {}),
|
|
251
|
+
});
|
|
252
|
+
}
|
|
253
|
+
//# sourceMappingURL=table-handle.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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@@ -0,0 +1,52 @@
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1
|
+
/** Convention disclosure (spec §7.4). Pro results echo every applied convention here. */
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|
2
|
+
import type { InterestCompounding, DayCount, EpochMs } from './time.js';
|
|
3
|
+
/** Bump this only when default conventions change (major versions only, design law #3). */
|
|
4
|
+
export declare const CONVENTIONS_VERSION = "0.0.1";
|
|
5
|
+
export type ThetaUnit = 'perDay' | 'perYear';
|
|
6
|
+
export type VegaUnit = 'per1Percent' | 'perPoint';
|
|
7
|
+
export type RhoUnit = 'per1Percent' | 'perPoint';
|
|
8
|
+
/** Units in which Greeks are reported. */
|
|
9
|
+
export interface GreekUnits {
|
|
10
|
+
theta: ThetaUnit;
|
|
11
|
+
vega: VegaUnit;
|
|
12
|
+
rho: RhoUnit;
|
|
13
|
+
}
|
|
14
|
+
export type DividendModel = 'none' | 'continuousYield' | 'discreteSchedule';
|
|
15
|
+
/**
|
|
16
|
+
* Assumptions echoed on every pro result. Extra model-specific fields are added via the `Extra`
|
|
17
|
+
* type parameter so each domain can annotate its own conventions without losing the common shape.
|
|
18
|
+
*/
|
|
19
|
+
export type Assumptions<Extra extends Record<string, unknown> = Record<never, never>> = {
|
|
20
|
+
conventionsVersion: string;
|
|
21
|
+
dayCount?: DayCount;
|
|
22
|
+
compounding?: InterestCompounding;
|
|
23
|
+
calendar?: string;
|
|
24
|
+
calendarVersion?: string;
|
|
25
|
+
asOf?: EpochMs;
|
|
26
|
+
timeToExpiryYears?: number;
|
|
27
|
+
/**
|
|
28
|
+
* How the contract's expiry label was resolved to an instant: `'us-equity-close'` when a
|
|
29
|
+
* date-only `YYYY-MM-DD` expiry resolved to the US equity/options close — 16:00 America/New_York,
|
|
30
|
+
* or 13:00 on an early-close day;
|
|
31
|
+
* `'explicit-instant'` when the caller supplied a zoned datetime. Named so the convention is
|
|
32
|
+
* never silent (alignment spec P1.6); instrument builders own the full story in Phase 3.
|
|
33
|
+
*/
|
|
34
|
+
expiryConvention?: 'us-equity-close' | 'explicit-instant';
|
|
35
|
+
timeToExpiryConvention?: never;
|
|
36
|
+
dividendModel?: DividendModel;
|
|
37
|
+
units?: GreekUnits;
|
|
38
|
+
model?: string;
|
|
39
|
+
engine?: string;
|
|
40
|
+
/**
|
|
41
|
+
* The randomness seed this result was computed under — REQUIRED echo for a
|
|
42
|
+
* `randomness: 'seeded'` Pricer (Gate C, 2026-08-23): a stochastic result that does not name
|
|
43
|
+
* its seed cannot be replayed from the result alone. Deterministic paths never set it.
|
|
44
|
+
*/
|
|
45
|
+
seed?: number;
|
|
46
|
+
} & Extra;
|
|
47
|
+
/** Library default conventions (spec §7.4 defaults table). */
|
|
48
|
+
export declare const DEFAULT_DAY_COUNT: DayCount;
|
|
49
|
+
export declare const DEFAULT_COMPOUNDING: InterestCompounding;
|
|
50
|
+
export declare const DEFAULT_DIVIDEND_YIELD = 0;
|
|
51
|
+
export declare const DEFAULT_GREEK_UNITS: GreekUnits;
|
|
52
|
+
//# sourceMappingURL=assumptions.d.ts.map
|
|
@@ -0,0 +1 @@
|
|
|
1
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+
{"version":3,"file":"assumptions.d.ts","sourceRoot":"","sources":["../src/assumptions.ts"],"names":[],"mappings":"AAAA,yFAAyF;AAEzF,OAAO,KAAK,EAAE,mBAAmB,EAAE,QAAQ,EAAE,OAAO,EAAE,MAAM,WAAW,CAAC;AAExE,2FAA2F;AAC3F,eAAO,MAAM,mBAAmB,UAAU,CAAC;AAE3C,MAAM,MAAM,SAAS,GAAG,QAAQ,GAAG,SAAS,CAAC;AAC7C,MAAM,MAAM,QAAQ,GAAG,aAAa,GAAG,UAAU,CAAC;AAClD,MAAM,MAAM,OAAO,GAAG,aAAa,GAAG,UAAU,CAAC;AAEjD,0CAA0C;AAC1C,MAAM,WAAW,UAAU;IACzB,KAAK,EAAE,SAAS,CAAC;IACjB,IAAI,EAAE,QAAQ,CAAC;IACf,GAAG,EAAE,OAAO,CAAC;CACd;AAED,MAAM,MAAM,aAAa,GAAG,MAAM,GAAG,iBAAiB,GAAG,kBAAkB,CAAC;AAE5E;;;GAGG;AACH,MAAM,MAAM,WAAW,CAAC,KAAK,SAAS,MAAM,CAAC,MAAM,EAAE,OAAO,CAAC,GAAG,MAAM,CAAC,KAAK,EAAE,KAAK,CAAC,IAAI;IACtF,kBAAkB,EAAE,MAAM,CAAC;IAC3B,QAAQ,CAAC,EAAE,QAAQ,CAAC;IACpB,WAAW,CAAC,EAAE,mBAAmB,CAAC;IAClC,QAAQ,CAAC,EAAE,MAAM,CAAC;IAClB,eAAe,CAAC,EAAE,MAAM,CAAC;IACzB,IAAI,CAAC,EAAE,OAAO,CAAC;IACf,iBAAiB,CAAC,EAAE,MAAM,CAAC;IAC3B;;;;;;OAMG;IACH,gBAAgB,CAAC,EAAE,iBAAiB,GAAG,kBAAkB,CAAC;IAC1D,sBAAsB,CAAC,EAAE,KAAK,CAAC;IAC/B,aAAa,CAAC,EAAE,aAAa,CAAC;IAC9B,KAAK,CAAC,EAAE,UAAU,CAAC;IACnB,KAAK,CAAC,EAAE,MAAM,CAAC;IACf,MAAM,CAAC,EAAE,MAAM,CAAC;IAChB;;;;OAIG;IACH,IAAI,CAAC,EAAE,MAAM,CAAC;CACf,GAAG,KAAK,CAAC;AAEV,8DAA8D;AAC9D,eAAO,MAAM,iBAAiB,EAAE,QAAqB,CAAC;AACtD,eAAO,MAAM,mBAAmB,EAAE,mBAAkC,CAAC;AACrE,eAAO,MAAM,sBAAsB,IAAI,CAAC;AACxC,eAAO,MAAM,mBAAmB,EAAE,UAIjC,CAAC"}
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@@ -0,0 +1,13 @@
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1
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+
/** Convention disclosure (spec §7.4). Pro results echo every applied convention here. */
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2
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+
/** Bump this only when default conventions change (major versions only, design law #3). */
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3
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+
export const CONVENTIONS_VERSION = '0.0.1';
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4
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+
/** Library default conventions (spec §7.4 defaults table). */
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5
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+
export const DEFAULT_DAY_COUNT = 'ACT/365F';
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6
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+
export const DEFAULT_COMPOUNDING = 'continuous';
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7
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+
export const DEFAULT_DIVIDEND_YIELD = 0;
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8
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+
export const DEFAULT_GREEK_UNITS = {
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9
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+
theta: 'perDay',
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10
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+
vega: 'per1Percent',
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11
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rho: 'per1Percent',
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};
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//# sourceMappingURL=assumptions.js.map
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{"version":3,"file":"assumptions.js","sourceRoot":"","sources":["../src/assumptions.ts"],"names":[],"mappings":"AAAA,yFAAyF;AAIzF,2FAA2F;AAC3F,MAAM,CAAC,MAAM,mBAAmB,GAAG,OAAO,CAAC;AAgD3C,8DAA8D;AAC9D,MAAM,CAAC,MAAM,iBAAiB,GAAa,UAAU,CAAC;AACtD,MAAM,CAAC,MAAM,mBAAmB,GAAwB,YAAY,CAAC;AACrE,MAAM,CAAC,MAAM,sBAAsB,GAAG,CAAC,CAAC;AACxC,MAAM,CAAC,MAAM,mBAAmB,GAAe;IAC7C,KAAK,EAAE,QAAQ;IACf,IAAI,EAAE,aAAa;IACnB,GAAG,EAAE,aAAa;CACnB,CAAC"}
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@@ -0,0 +1,98 @@
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1
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+
/**
|
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2
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+
* Calendar interface, rules engine, and tiny calendars (spec §7.3, §22.4).
|
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3
|
+
*
|
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4
|
+
* Core owns the *machinery* (the interface, roll/observance rules, holiday-rule generators, and the
|
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5
|
+
* `createRuleCalendar` factory) and two tiny calendars that need no holiday datasets (`alwaysOpen`,
|
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6
|
+
* `weekendsOnly`). Exchange-specific holiday *data* lives in `@insiderfinance/totalfinance/calendars`, so core never
|
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7
|
+
* bundles exchange datasets.
|
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8
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+
*/
|
|
9
|
+
/** Day of week, Sunday = 0 … Saturday = 6. */
|
|
10
|
+
export type Weekday = 0 | 1 | 2 | 3 | 4 | 5 | 6;
|
|
11
|
+
export interface DaySession {
|
|
12
|
+
date: string;
|
|
13
|
+
isBusinessDay: boolean;
|
|
14
|
+
isHalfDay: boolean;
|
|
15
|
+
/** Local `HH:MM` open (present only on business days). */
|
|
16
|
+
open?: string;
|
|
17
|
+
/** Local `HH:MM` close (early close on half days). */
|
|
18
|
+
close?: string;
|
|
19
|
+
}
|
|
20
|
+
export interface Calendar {
|
|
21
|
+
readonly name: string;
|
|
22
|
+
readonly version: string;
|
|
23
|
+
readonly timezone: string;
|
|
24
|
+
isBusinessDay(date: string): boolean;
|
|
25
|
+
isHoliday(date: string): boolean;
|
|
26
|
+
isHalfDay(date: string): boolean;
|
|
27
|
+
nextBusinessDay(date: string): string;
|
|
28
|
+
previousBusinessDay(date: string): string;
|
|
29
|
+
addBusinessDays(date: string, days: number): string;
|
|
30
|
+
/** Business days in the half-open interval `(from, to]` (negative if `to < from`). */
|
|
31
|
+
businessDaysBetween(from: string, to: string): number;
|
|
32
|
+
session(date: string): DaySession;
|
|
33
|
+
}
|
|
34
|
+
/** Day of week for an ISO date. */
|
|
35
|
+
export declare function dayOfWeek(date: string): Weekday;
|
|
36
|
+
/** Add `n` calendar days to an ISO date. */
|
|
37
|
+
export declare function addDays(date: string, days: number): string;
|
|
38
|
+
/** Compose an ISO date from components. */
|
|
39
|
+
export declare function ymd(year: number, month: number, day: number): string;
|
|
40
|
+
/**
|
|
41
|
+
* The `occurrence`-th (1-based) `weekday` of a month, e.g. 3rd Monday of January. Returns `null`
|
|
42
|
+
* when the month has no such occurrence (e.g. a 5th Friday in a 4-Friday February) — the same
|
|
43
|
+
* "not observed" channel {@link HolidayRule} already speaks — rather than fabricating an
|
|
44
|
+
* impossible date like `2026-02-34`.
|
|
45
|
+
*/
|
|
46
|
+
export declare function nthWeekdayOfMonth(year: number, month: number, weekday: Weekday, occurrence: number): string | null;
|
|
47
|
+
/** The last `weekday` of a month, e.g. last Monday of May. */
|
|
48
|
+
export declare function lastWeekdayOfMonth(year: number, month: number, weekday: Weekday): string;
|
|
49
|
+
/** Apply the US observance rule: Saturday → preceding Friday, Sunday → following Monday. */
|
|
50
|
+
export declare function observedHoliday(year: number, month: number, day: number): string;
|
|
51
|
+
/** Easter Sunday via the Anonymous Gregorian algorithm (Computus). */
|
|
52
|
+
export declare function easterSunday(year: number): {
|
|
53
|
+
month: number;
|
|
54
|
+
day: number;
|
|
55
|
+
};
|
|
56
|
+
/** Good Friday (two days before Easter Sunday). */
|
|
57
|
+
export declare function goodFriday(year: number): string;
|
|
58
|
+
/** A holiday/half-day rule: given a year, return the ISO date it falls on, or `null` if not observed. */
|
|
59
|
+
export type HolidayRule = (year: number) => string | null;
|
|
60
|
+
export interface CalendarConfig {
|
|
61
|
+
name: string;
|
|
62
|
+
version: string;
|
|
63
|
+
timezone: string;
|
|
64
|
+
/** Default `[0, 6]` (Sun & Sat). */
|
|
65
|
+
weekendDays?: Weekday[];
|
|
66
|
+
/**
|
|
67
|
+
* Regular session hours as `HH:MM` in the calendar's `timezone`. `close: '24:00'` is the sentinel
|
|
68
|
+
* for "no close" — a continuous 24-hour session (e.g. `alwaysOpen`/crypto), distinct from `'00:00'`
|
|
69
|
+
* (midnight). Keep it as `'24:00'`; do not normalize to `'00:00'`.
|
|
70
|
+
*/
|
|
71
|
+
session: {
|
|
72
|
+
open: string;
|
|
73
|
+
close: string;
|
|
74
|
+
halfDayClose?: string;
|
|
75
|
+
};
|
|
76
|
+
holidayRules?: HolidayRule[];
|
|
77
|
+
halfDayRules?: HolidayRule[];
|
|
78
|
+
/** Ad-hoc full closures (ISO dates), e.g. emergency closures or days of mourning. */
|
|
79
|
+
closures?: string[];
|
|
80
|
+
}
|
|
81
|
+
/**
|
|
82
|
+
* Build a `Calendar` from rules. Holiday/half-day sets are computed lazily per year and cached.
|
|
83
|
+
*
|
|
84
|
+
* The config is SNAPSHOTTED at construction — rule arrays, closures, weekend days, and the session
|
|
85
|
+
* object are copied — so mutating the caller's config (or a shared exported rules array) later can
|
|
86
|
+
* never make one calendar answer the same question two ways across warm and cold cache years.
|
|
87
|
+
*/
|
|
88
|
+
export declare function createRuleCalendar(config: CalendarConfig): Calendar;
|
|
89
|
+
/** A 24/7 calendar (every day is a business day) — e.g. crypto. */
|
|
90
|
+
export declare const alwaysOpen: Calendar;
|
|
91
|
+
/** A calendar whose only non-business days are weekends. */
|
|
92
|
+
export declare const weekendsOnly: Calendar;
|
|
93
|
+
/**
|
|
94
|
+
* Define a custom calendar (spec §22.4 extension API). A thin wrapper over `createRuleCalendar` so
|
|
95
|
+
* the extension surface is stable even if the engine evolves.
|
|
96
|
+
*/
|
|
97
|
+
export declare function defineCalendar(config: CalendarConfig): Calendar;
|
|
98
|
+
//# sourceMappingURL=calendar.d.ts.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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|