@lacspace/market 1.0.2 → 1.1.0

package/README.md

@@ -108,4 +108,28 @@ formatINR(1234567.5);           // "₹12,34,567.50"
 | [`@lacspace/market-clock`](https://www.npmjs.com/package/@lacspace/market-clock) | Is the market open? holidays |
 | [`@lacspace/paper-trade`](https://www.npmjs.com/package/@lacspace/paper-trade) | Headless paper-trading engine |
 
+## New in 1.1 — options greeks & portfolio analytics
+
+```ts
+import { blackScholes, impliedVolatility, sharpe, sortino, maxDrawdown, volatility, formatCompactINR } from "@lacspace/market";
+
+// Black-Scholes price + greeks for a European option
+const g = blackScholes({ type: "call", spot: 100, strike: 100, timeYears: 30/365, rate: 0.07, volatility: 0.25 });
+// → { price, delta, gamma, theta, vega, rho }
+impliedVolatility(marketPrice, { type: "call", spot: 100, strike: 100, timeYears: 30/365, rate: 0.07 });
+
+// Portfolio stats from a returns / equity series
+sharpe(returns);            // annualized
+sortino(returns);           // downside-only
+maxDrawdown(equityCurve);   // { maxDrawdown: 0.25, peakIndex, troughIndex }
+
+formatCompactINR(12345678); // "₹1.23 Cr"
+```
+
+## Licensing
+
+This package is **free** under the **[Lacspace Free Licence](https://lacspace.com/licenses/lacspace-free-1.0)** — MIT-equivalent freedoms. Use it in personal and commercial projects at no cost; just keep the notice.
+
+Not every Lacspace package is free. We also offer **Commercial** (paid), **Client-specific**, and **Private** (proprietary) packages under separate terms. See the full **[Lacspace Licence Centre](https://lacspace.com/licenses)**.
+
 <div align="center"><sub>Built with care by <a href="https://lacspace.com">Lacspace</a> · powers <a href="https://stockyatra.com">StockYatra</a> · Lacspace Free Licence · <a href="https://github.com/lacspace/npm-packages">source</a></sub></div>

package/dist/index.cjs

@@ -161,18 +161,160 @@ function charges(input, config = IN_DISCOUNT_BROKER) {
     breakeven: input.qty === 0 ? 0 : round2(totalCharges / input.qty)
   };
 }
+function trimTo2(n) {
+  return Number(n.toFixed(2)).toString();
+}
+function formatCompactINR(amount, opts = {}) {
+  const { symbol = "\u20B9" } = opts;
+  const neg = amount < 0;
+  const a = Math.abs(amount);
+  const units = [
+    [1e7, "Cr"],
+    [1e5, "L"],
+    [1e3, "K"]
+  ];
+  const u = units.find(([size]) => a >= size);
+  const out = u ? `${trimTo2(a / u[0])} ${u[1]}` : trimTo2(a);
+  return `${neg ? "-" : ""}${symbol}${out}`;
+}
+function normPdf(x) {
+  return Math.exp(-x * x / 2) / Math.sqrt(2 * Math.PI);
+}
+function normCdf(x) {
+  const t = 1 / (1 + 0.2316419 * Math.abs(x));
+  const d = 0.3989422804014327 * Math.exp(-x * x / 2);
+  const p = d * t * (0.3193815 + t * (-0.3565638 + t * (1.781477937 + t * (-1.821255978 + t * 1.330274429))));
+  return x > 0 ? 1 - p : p;
+}
+function blackScholes(o) {
+  const { type, spot: S, strike: K, timeYears: t, rate: r } = o;
+  const q = o.dividendYield ?? 0;
+  const sigma = o.volatility;
+  const sqrtT = Math.sqrt(t);
+  const d1 = (Math.log(S / K) + (r - q + sigma * sigma / 2) * t) / (sigma * sqrtT);
+  const d2 = d1 - sigma * sqrtT;
+  const disc = Math.exp(-r * t);
+  const dq = Math.exp(-q * t);
+  const nd1 = normPdf(d1);
+  const gamma = dq * nd1 / (S * sigma * sqrtT);
+  const vega = S * dq * nd1 * sqrtT;
+  if (type === "call") {
+    const Nd1 = normCdf(d1);
+    const Nd2 = normCdf(d2);
+    return {
+      price: S * dq * Nd1 - K * disc * Nd2,
+      delta: dq * Nd1,
+      gamma,
+      theta: -(S * dq * nd1 * sigma) / (2 * sqrtT) - r * K * disc * Nd2 + q * S * dq * Nd1,
+      vega,
+      rho: K * t * disc * Nd2
+    };
+  }
+  const Nnd1 = normCdf(-d1);
+  const Nnd2 = normCdf(-d2);
+  return {
+    price: K * disc * Nnd2 - S * dq * Nnd1,
+    delta: -dq * Nnd1,
+    gamma,
+    theta: -(S * dq * nd1 * sigma) / (2 * sqrtT) + r * K * disc * Nnd2 - q * S * dq * Nnd1,
+    vega,
+    rho: -K * t * disc * Nnd2
+  };
+}
+function impliedVolatility(marketPrice, o, opts = {}) {
+  const tol = opts.tolerance ?? 1e-6;
+  const maxIter = opts.maxIterations ?? 100;
+  let lo = 1e-4;
+  let hi = 5;
+  for (let i = 0; i < maxIter; i++) {
+    const mid = (lo + hi) / 2;
+    const price = blackScholes({ ...o, volatility: mid }).price;
+    const diff = price - marketPrice;
+    if (Math.abs(diff) < tol) return mid;
+    if (diff > 0) hi = mid;
+    else lo = mid;
+  }
+  return null;
+}
+function simpleReturns(series) {
+  const out = [];
+  for (let i = 1; i < series.length; i++) {
+    const prev = series[i - 1];
+    if (prev !== 0) out.push((series[i] - prev) / prev);
+  }
+  return out;
+}
+function mean(xs) {
+  return xs.length ? xs.reduce((s, x) => s + x, 0) / xs.length : 0;
+}
+function stdev(xs) {
+  if (xs.length < 2) return 0;
+  const m = mean(xs);
+  return Math.sqrt(xs.reduce((s, x) => s + (x - m) ** 2, 0) / (xs.length - 1));
+}
+function volatility(returns, opts = {}) {
+  const sd = stdev(returns);
+  return opts.annualize === false ? sd : sd * Math.sqrt(opts.periodsPerYear ?? 252);
+}
+function sharpe(returns, opts = {}) {
+  const ppy = opts.periodsPerYear ?? 252;
+  const rfPerPeriod = (opts.riskFree ?? 0) / ppy;
+  const excess = returns.map((r) => r - rfPerPeriod);
+  const sd = stdev(excess);
+  if (sd === 0) return 0;
+  return mean(excess) / sd * Math.sqrt(ppy);
+}
+function sortino(returns, opts = {}) {
+  const ppy = opts.periodsPerYear ?? 252;
+  const rfPerPeriod = (opts.riskFree ?? 0) / ppy;
+  const excess = returns.map((r) => r - rfPerPeriod);
+  const downside = excess.filter((r) => r < 0);
+  if (!downside.length) return 0;
+  const dd = Math.sqrt(downside.reduce((s, r) => s + r * r, 0) / downside.length);
+  if (dd === 0) return 0;
+  return mean(excess) / dd * Math.sqrt(ppy);
+}
+function maxDrawdown(equity) {
+  let peak = equity[0] ?? 0;
+  let peakIdx = 0;
+  let maxDd = 0;
+  let ddPeak = 0;
+  let ddTrough = 0;
+  for (let i = 0; i < equity.length; i++) {
+    const v = equity[i];
+    if (v > peak) {
+      peak = v;
+      peakIdx = i;
+    }
+    const dd = peak > 0 ? (peak - v) / peak : 0;
+    if (dd > maxDd) {
+      maxDd = dd;
+      ddPeak = peakIdx;
+      ddTrough = i;
+    }
+  }
+  return { maxDrawdown: maxDd, peakIndex: ddPeak, troughIndex: ddTrough };
+}
 
 exports.IN_DISCOUNT_BROKER = IN_DISCOUNT_BROKER;
 exports.averagePrice = averagePrice;
+exports.blackScholes = blackScholes;
 exports.cagr = cagr;
 exports.changePercent = changePercent;
 exports.charges = charges;
 exports.circuitLimits = circuitLimits;
+exports.formatCompactINR = formatCompactINR;
 exports.formatINR = formatINR;
+exports.impliedVolatility = impliedVolatility;
+exports.maxDrawdown = maxDrawdown;
 exports.pnl = pnl;
 exports.pnlPercent = pnlPercent;
 exports.positionSize = positionSize;
 exports.roundToTick = roundToTick;
+exports.sharpe = sharpe;
+exports.simpleReturns = simpleReturns;
+exports.sortino = sortino;
+exports.volatility = volatility;
 exports.xirr = xirr;
 //# sourceMappingURL=index.cjs.map
 //# sourceMappingURL=index.cjs.map

package/dist/index.cjs.map

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* @lacspace/market\n * The money & mechanics toolkit every stock-market app re-implements.\n *\n * P&L, returns, CAGR, XIRR, tick-size rounding, circuit limits, position sizing\n * — plus a real Indian brokerage & charges calculator (STT, GST, SEBI, stamp,\n * exchange txn) with discount-broker presets.\n *\n * Zero dependencies · isomorphic · fully typed.\n */\n\n/* ------------------------------------------------------------------ *\n * Formatting\n * ------------------------------------------------------------------ */\n\nexport interface FormatMoneyOptions {\n  symbol?: string;\n  decimals?: number;\n}\n\n/**\n * Format a number in the Indian numbering system (lakh / crore grouping).\n * @example formatINR(1234567.5) // \"₹12,34,567.50\"\n */\nexport function formatINR(amount: number, opts: FormatMoneyOptions = {}): string {\n  const { symbol = \"₹\", decimals = 2 } = opts;\n  const neg = amount < 0;\n  const fixed = Math.abs(amount).toFixed(decimals);\n  const [intPart = \"0\", frac = \"\"] = fixed.split(\".\");\n  const last3 = intPart.slice(-3);\n  const rest = intPart.slice(0, -3);\n  const grouped = rest\n    ? rest.replace(/\\B(?=(\\d{2})+(?!\\d))/g, \",\") + \",\" + last3\n    : last3;\n  return `${neg ? \"-\" : \"\"}${symbol}${grouped}${decimals > 0 ? \".\" + frac : \"\"}`;\n}\n\n/* ------------------------------------------------------------------ *\n * Returns & P&L\n * ------------------------------------------------------------------ */\n\n/** Absolute profit/loss for a round-trip. */\nexport function pnl(o: { buy: number; sell: number; qty: number }): number {\n  return (o.sell - o.buy) * o.qty;\n}\n\n/** Percentage change from `reference` to `current` (e.g. LTP vs prev close). */\nexport function changePercent(current: number, reference: number): number {\n  if (reference === 0) return 0;\n  return ((current - reference) / reference) * 100;\n}\n\n/** Profit/loss as a percentage of the buy price. */\nexport function pnlPercent(o: { buy: number; sell: number }): number {\n  return changePercent(o.sell, o.buy);\n}\n\n/** Compound Annual Growth Rate as a fraction (0.15 = 15%). */\nexport function cagr(begin: number, end: number, years: number): number {\n  if (begin <= 0 || years <= 0) return NaN;\n  return Math.pow(end / begin, 1 / years) - 1;\n}\n\nexport interface CashFlow {\n  /** Negative = money out (investment), positive = money in (redemption). */\n  amount: number;\n  date: Date | string | number;\n}\n\nfunction toMillis(d: Date | string | number): number {\n  if (d instanceof Date) return d.getTime();\n  if (typeof d === \"number\") return d;\n  return new Date(d).getTime();\n}\n\n/**\n * Extended Internal Rate of Return for irregularly-spaced cash flows.\n * Returns an annualised rate as a fraction. Uses Newton–Raphson.\n * @example xirr([{amount:-10000, date:\"2024-01-01\"}, {amount:12000, date:\"2025-01-01\"}]) // ~0.20\n */\nexport function xirr(flows: CashFlow[], guess = 0.1): number {\n  if (flows.length < 2) return NaN;\n  const cf = flows\n    .map((f) => ({ amount: f.amount, t: toMillis(f.date) }))\n    .sort((a, b) => a.t - b.t);\n  const t0 = cf[0]!.t;\n  const yearFrac = (t: number) => (t - t0) / (365 * 24 * 3600 * 1000);\n  const npv = (r: number) =>\n    cf.reduce((s, c) => s + c.amount / Math.pow(1 + r, yearFrac(c.t)), 0);\n  const dnpv = (r: number) =>\n    cf.reduce((s, c) => {\n      const y = yearFrac(c.t);\n      return s - (y * c.amount) / Math.pow(1 + r, y + 1);\n    }, 0);\n\n  let r = guess;\n  for (let i = 0; i < 100; i++) {\n    const f = npv(r);\n    if (Math.abs(f) < 1e-7) return r;\n    const d = dnpv(r);\n    if (d === 0) break;\n    const next = r - f / d;\n    if (!isFinite(next)) break;\n    if (Math.abs(next - r) < 1e-10) return next;\n    r = next;\n  }\n  return r;\n}\n\n/* ------------------------------------------------------------------ *\n * Position mechanics\n * ------------------------------------------------------------------ */\n\n/** Volume-weighted average price across a set of trades. */\nexport function averagePrice(trades: { price: number; qty: number }[]): number {\n  let qty = 0;\n  let value = 0;\n  for (const t of trades) {\n    qty += t.qty;\n    value += t.price * t.qty;\n  }\n  return qty === 0 ? 0 : value / qty;\n}\n\n/**\n * Risk-based position sizing. Returns the whole-share quantity so that a stop-out\n * costs at most `riskPercent` of capital.\n * @example positionSize({ capital: 100000, riskPercent: 1, entry: 500, stop: 480 }) // 50\n */\nexport function positionSize(o: {\n  capital: number;\n  riskPercent: number;\n  entry: number;\n  stop: number;\n}): number {\n  const riskAmount = o.capital * (o.riskPercent / 100);\n  const perShareRisk = Math.abs(o.entry - o.stop);\n  if (perShareRisk === 0) return 0;\n  return Math.floor(riskAmount / perShareRisk);\n}\n\n/** Round a price to the nearest exchange tick (default ₹0.05 for NSE equity). */\nexport function roundToTick(price: number, tick = 0.05): number {\n  if (tick <= 0) return price;\n  return Number((Math.round(price / tick) * tick).toFixed(4));\n}\n\n/** Upper & lower circuit price for a given previous close and band percent. */\nexport function circuitLimits(\n  prevClose: number,\n  percent: number,\n): { upper: number; lower: number } {\n  const delta = prevClose * (percent / 100);\n  return {\n    upper: roundToTick(prevClose + delta),\n    lower: roundToTick(prevClose - delta),\n  };\n}\n\n/* ------------------------------------------------------------------ *\n * Brokerage & statutory charges (India)\n * ------------------------------------------------------------------ */\n\nexport type Segment = \"delivery\" | \"intraday\" | \"futures\" | \"options\";\n\nexport interface SegmentRates {\n  /** Brokerage as a fraction of turnover per side (0.0003 = 0.03%). */\n  brokeragePct: number;\n  /** Per-order brokerage cap (₹). */\n  brokerageCap: number;\n  /** Flat per-order brokerage (₹) — overrides the pct/cap model when set. */\n  brokerageFlat?: number;\n  sttBuy: number;\n  sttSell: number;\n  exchangeTxn: number;\n  stampBuy: number;\n  /** Depository (DP) charge per scrip on the sell leg (₹). */\n  dpPerScrip: number;\n}\n\nexport interface ChargeConfig {\n  segments: Record<Segment, SegmentRates>;\n  sebi: number;\n  gst: number;\n}\n\n/**\n * Default rates approximating an Indian discount broker (Zerodha-style) as of\n * FY2024–25. Statutory rates change — override any field via the `config`\n * argument of {@link charges} and always verify against the live rate card.\n */\nexport const IN_DISCOUNT_BROKER: ChargeConfig = {\n  segments: {\n    delivery: {\n      brokeragePct: 0,\n      brokerageCap: 0,\n      sttBuy: 0.001,\n      sttSell: 0.001,\n      exchangeTxn: 0.0000297,\n      stampBuy: 0.00015,\n      dpPerScrip: 13.5,\n    },\n    intraday: {\n      brokeragePct: 0.0003,\n      brokerageCap: 20,\n      sttBuy: 0,\n      sttSell: 0.00025,\n      exchangeTxn: 0.0000297,\n      stampBuy: 0.00003,\n      dpPerScrip: 0,\n    },\n    futures: {\n      brokeragePct: 0.0003,\n      brokerageCap: 20,\n      sttBuy: 0,\n      sttSell: 0.0002,\n      exchangeTxn: 0.0000173,\n      stampBuy: 0.00002,\n      dpPerScrip: 0,\n    },\n    options: {\n      brokeragePct: 0,\n      brokerageCap: 20,\n      brokerageFlat: 20,\n      sttBuy: 0,\n      sttSell: 0.001,\n      exchangeTxn: 0.0003503,\n      stampBuy: 0.00003,\n      dpPerScrip: 0,\n    },\n  },\n  sebi: 0.000001, // ₹10 per crore\n  gst: 0.18,\n};\n\nexport interface ChargeInput {\n  segment: Segment;\n  /** Buy price per unit. Omit / 0 for a sell-only leg. */\n  buy: number;\n  /** Sell price per unit. Omit / 0 for a buy-only leg. */\n  sell: number;\n  qty: number;\n}\n\nexport interface ChargeBreakdown {\n  turnover: number;\n  brokerage: number;\n  stt: number;\n  exchangeTxn: number;\n  sebi: number;\n  stamp: number;\n  gst: number;\n  dp: number;\n  totalCharges: number;\n  grossPnl: number;\n  netPnl: number;\n  /** Per-share price move needed just to break even on charges. */\n  breakeven: number;\n}\n\nfunction round2(n: number): number {\n  return Math.round(n * 100) / 100;\n}\n\nfunction legBrokerage(turnover: number, r: SegmentRates): number {\n  if (turnover <= 0) return 0;\n  if (r.brokerageFlat !== undefined) return r.brokerageFlat;\n  if (r.brokeragePct === 0) return 0;\n  return Math.min(turnover * r.brokeragePct, r.brokerageCap);\n}\n\n/**\n * Full brokerage + statutory charges breakdown for a trade, Indian market.\n * @example\n * charges({ segment: \"intraday\", buy: 100, sell: 102, qty: 500 });\n * // { brokerage, stt, gst, sebi, stamp, exchangeTxn, totalCharges, netPnl, breakeven, ... }\n */\nexport function charges(\n  input: ChargeInput,\n  config: ChargeConfig = IN_DISCOUNT_BROKER,\n): ChargeBreakdown {\n  const r = config.segments[input.segment];\n  const buyVal = (input.buy || 0) * input.qty;\n  const sellVal = (input.sell || 0) * input.qty;\n  const turnover = buyVal + sellVal;\n\n  const brokerage = legBrokerage(buyVal, r) + legBrokerage(sellVal, r);\n  const stt = buyVal * r.sttBuy + sellVal * r.sttSell;\n  const exchangeTxn = turnover * r.exchangeTxn;\n  const sebi = turnover * config.sebi;\n  const stamp = buyVal * r.stampBuy;\n  const gst = (brokerage + exchangeTxn + sebi) * config.gst;\n  const dp = sellVal > 0 ? r.dpPerScrip : 0;\n\n  const totalCharges = brokerage + stt + exchangeTxn + sebi + stamp + gst + dp;\n  const grossPnl = sellVal - buyVal;\n\n  return {\n    turnover: round2(turnover),\n    brokerage: round2(brokerage),\n    stt: round2(stt),\n    exchangeTxn: round2(exchangeTxn),\n    sebi: round2(sebi),\n    stamp: round2(stamp),\n    gst: round2(gst),\n    dp: round2(dp),\n    totalCharges: round2(totalCharges),\n    grossPnl: round2(grossPnl),\n    netPnl: round2(grossPnl - totalCharges),\n    breakeven: input.qty === 0 ? 0 : round2(totalCharges / input.qty),\n  };\n}\n"]}
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* @lacspace/market\n * The money & mechanics toolkit every stock-market app re-implements.\n *\n * P&L, returns, CAGR, XIRR, tick-size rounding, circuit limits, position sizing\n * — plus a real Indian brokerage & charges calculator (STT, GST, SEBI, stamp,\n * exchange txn) with discount-broker presets.\n *\n * Zero dependencies · isomorphic · fully typed.\n */\n\n/* ------------------------------------------------------------------ *\n * Formatting\n * ------------------------------------------------------------------ */\n\nexport interface FormatMoneyOptions {\n  symbol?: string;\n  decimals?: number;\n}\n\n/**\n * Format a number in the Indian numbering system (lakh / crore grouping).\n * @example formatINR(1234567.5) // \"₹12,34,567.50\"\n */\nexport function formatINR(amount: number, opts: FormatMoneyOptions = {}): string {\n  const { symbol = \"₹\", decimals = 2 } = opts;\n  const neg = amount < 0;\n  const fixed = Math.abs(amount).toFixed(decimals);\n  const [intPart = \"0\", frac = \"\"] = fixed.split(\".\");\n  const last3 = intPart.slice(-3);\n  const rest = intPart.slice(0, -3);\n  const grouped = rest\n    ? rest.replace(/\\B(?=(\\d{2})+(?!\\d))/g, \",\") + \",\" + last3\n    : last3;\n  return `${neg ? \"-\" : \"\"}${symbol}${grouped}${decimals > 0 ? \".\" + frac : \"\"}`;\n}\n\n/* ------------------------------------------------------------------ *\n * Returns & P&L\n * ------------------------------------------------------------------ */\n\n/** Absolute profit/loss for a round-trip. */\nexport function pnl(o: { buy: number; sell: number; qty: number }): number {\n  return (o.sell - o.buy) * o.qty;\n}\n\n/** Percentage change from `reference` to `current` (e.g. LTP vs prev close). */\nexport function changePercent(current: number, reference: number): number {\n  if (reference === 0) return 0;\n  return ((current - reference) / reference) * 100;\n}\n\n/** Profit/loss as a percentage of the buy price. */\nexport function pnlPercent(o: { buy: number; sell: number }): number {\n  return changePercent(o.sell, o.buy);\n}\n\n/** Compound Annual Growth Rate as a fraction (0.15 = 15%). */\nexport function cagr(begin: number, end: number, years: number): number {\n  if (begin <= 0 || years <= 0) return NaN;\n  return Math.pow(end / begin, 1 / years) - 1;\n}\n\nexport interface CashFlow {\n  /** Negative = money out (investment), positive = money in (redemption). */\n  amount: number;\n  date: Date | string | number;\n}\n\nfunction toMillis(d: Date | string | number): number {\n  if (d instanceof Date) return d.getTime();\n  if (typeof d === \"number\") return d;\n  return new Date(d).getTime();\n}\n\n/**\n * Extended Internal Rate of Return for irregularly-spaced cash flows.\n * Returns an annualised rate as a fraction. Uses Newton–Raphson.\n * @example xirr([{amount:-10000, date:\"2024-01-01\"}, {amount:12000, date:\"2025-01-01\"}]) // ~0.20\n */\nexport function xirr(flows: CashFlow[], guess = 0.1): number {\n  if (flows.length < 2) return NaN;\n  const cf = flows\n    .map((f) => ({ amount: f.amount, t: toMillis(f.date) }))\n    .sort((a, b) => a.t - b.t);\n  const t0 = cf[0]!.t;\n  const yearFrac = (t: number) => (t - t0) / (365 * 24 * 3600 * 1000);\n  const npv = (r: number) =>\n    cf.reduce((s, c) => s + c.amount / Math.pow(1 + r, yearFrac(c.t)), 0);\n  const dnpv = (r: number) =>\n    cf.reduce((s, c) => {\n      const y = yearFrac(c.t);\n      return s - (y * c.amount) / Math.pow(1 + r, y + 1);\n    }, 0);\n\n  let r = guess;\n  for (let i = 0; i < 100; i++) {\n    const f = npv(r);\n    if (Math.abs(f) < 1e-7) return r;\n    const d = dnpv(r);\n    if (d === 0) break;\n    const next = r - f / d;\n    if (!isFinite(next)) break;\n    if (Math.abs(next - r) < 1e-10) return next;\n    r = next;\n  }\n  return r;\n}\n\n/* ------------------------------------------------------------------ *\n * Position mechanics\n * ------------------------------------------------------------------ */\n\n/** Volume-weighted average price across a set of trades. */\nexport function averagePrice(trades: { price: number; qty: number }[]): number {\n  let qty = 0;\n  let value = 0;\n  for (const t of trades) {\n    qty += t.qty;\n    value += t.price * t.qty;\n  }\n  return qty === 0 ? 0 : value / qty;\n}\n\n/**\n * Risk-based position sizing. Returns the whole-share quantity so that a stop-out\n * costs at most `riskPercent` of capital.\n * @example positionSize({ capital: 100000, riskPercent: 1, entry: 500, stop: 480 }) // 50\n */\nexport function positionSize(o: {\n  capital: number;\n  riskPercent: number;\n  entry: number;\n  stop: number;\n}): number {\n  const riskAmount = o.capital * (o.riskPercent / 100);\n  const perShareRisk = Math.abs(o.entry - o.stop);\n  if (perShareRisk === 0) return 0;\n  return Math.floor(riskAmount / perShareRisk);\n}\n\n/** Round a price to the nearest exchange tick (default ₹0.05 for NSE equity). */\nexport function roundToTick(price: number, tick = 0.05): number {\n  if (tick <= 0) return price;\n  return Number((Math.round(price / tick) * tick).toFixed(4));\n}\n\n/** Upper & lower circuit price for a given previous close and band percent. */\nexport function circuitLimits(\n  prevClose: number,\n  percent: number,\n): { upper: number; lower: number } {\n  const delta = prevClose * (percent / 100);\n  return {\n    upper: roundToTick(prevClose + delta),\n    lower: roundToTick(prevClose - delta),\n  };\n}\n\n/* ------------------------------------------------------------------ *\n * Brokerage & statutory charges (India)\n * ------------------------------------------------------------------ */\n\nexport type Segment = \"delivery\" | \"intraday\" | \"futures\" | \"options\";\n\nexport interface SegmentRates {\n  /** Brokerage as a fraction of turnover per side (0.0003 = 0.03%). */\n  brokeragePct: number;\n  /** Per-order brokerage cap (₹). */\n  brokerageCap: number;\n  /** Flat per-order brokerage (₹) — overrides the pct/cap model when set. */\n  brokerageFlat?: number;\n  sttBuy: number;\n  sttSell: number;\n  exchangeTxn: number;\n  stampBuy: number;\n  /** Depository (DP) charge per scrip on the sell leg (₹). */\n  dpPerScrip: number;\n}\n\nexport interface ChargeConfig {\n  segments: Record<Segment, SegmentRates>;\n  sebi: number;\n  gst: number;\n}\n\n/**\n * Default rates approximating an Indian discount broker (Zerodha-style) as of\n * FY2024–25. Statutory rates change — override any field via the `config`\n * argument of {@link charges} and always verify against the live rate card.\n */\nexport const IN_DISCOUNT_BROKER: ChargeConfig = {\n  segments: {\n    delivery: {\n      brokeragePct: 0,\n      brokerageCap: 0,\n      sttBuy: 0.001,\n      sttSell: 0.001,\n      exchangeTxn: 0.0000297,\n      stampBuy: 0.00015,\n      dpPerScrip: 13.5,\n    },\n    intraday: {\n      brokeragePct: 0.0003,\n      brokerageCap: 20,\n      sttBuy: 0,\n      sttSell: 0.00025,\n      exchangeTxn: 0.0000297,\n      stampBuy: 0.00003,\n      dpPerScrip: 0,\n    },\n    futures: {\n      brokeragePct: 0.0003,\n      brokerageCap: 20,\n      sttBuy: 0,\n      sttSell: 0.0002,\n      exchangeTxn: 0.0000173,\n      stampBuy: 0.00002,\n      dpPerScrip: 0,\n    },\n    options: {\n      brokeragePct: 0,\n      brokerageCap: 20,\n      brokerageFlat: 20,\n      sttBuy: 0,\n      sttSell: 0.001,\n      exchangeTxn: 0.0003503,\n      stampBuy: 0.00003,\n      dpPerScrip: 0,\n    },\n  },\n  sebi: 0.000001, // ₹10 per crore\n  gst: 0.18,\n};\n\nexport interface ChargeInput {\n  segment: Segment;\n  /** Buy price per unit. Omit / 0 for a sell-only leg. */\n  buy: number;\n  /** Sell price per unit. Omit / 0 for a buy-only leg. */\n  sell: number;\n  qty: number;\n}\n\nexport interface ChargeBreakdown {\n  turnover: number;\n  brokerage: number;\n  stt: number;\n  exchangeTxn: number;\n  sebi: number;\n  stamp: number;\n  gst: number;\n  dp: number;\n  totalCharges: number;\n  grossPnl: number;\n  netPnl: number;\n  /** Per-share price move needed just to break even on charges. */\n  breakeven: number;\n}\n\nfunction round2(n: number): number {\n  return Math.round(n * 100) / 100;\n}\n\nfunction legBrokerage(turnover: number, r: SegmentRates): number {\n  if (turnover <= 0) return 0;\n  if (r.brokerageFlat !== undefined) return r.brokerageFlat;\n  if (r.brokeragePct === 0) return 0;\n  return Math.min(turnover * r.brokeragePct, r.brokerageCap);\n}\n\n/**\n * Full brokerage + statutory charges breakdown for a trade, Indian market.\n * @example\n * charges({ segment: \"intraday\", buy: 100, sell: 102, qty: 500 });\n * // { brokerage, stt, gst, sebi, stamp, exchangeTxn, totalCharges, netPnl, breakeven, ... }\n */\nexport function charges(\n  input: ChargeInput,\n  config: ChargeConfig = IN_DISCOUNT_BROKER,\n): ChargeBreakdown {\n  const r = config.segments[input.segment];\n  const buyVal = (input.buy || 0) * input.qty;\n  const sellVal = (input.sell || 0) * input.qty;\n  const turnover = buyVal + sellVal;\n\n  const brokerage = legBrokerage(buyVal, r) + legBrokerage(sellVal, r);\n  const stt = buyVal * r.sttBuy + sellVal * r.sttSell;\n  const exchangeTxn = turnover * r.exchangeTxn;\n  const sebi = turnover * config.sebi;\n  const stamp = buyVal * r.stampBuy;\n  const gst = (brokerage + exchangeTxn + sebi) * config.gst;\n  const dp = sellVal > 0 ? r.dpPerScrip : 0;\n\n  const totalCharges = brokerage + stt + exchangeTxn + sebi + stamp + gst + dp;\n  const grossPnl = sellVal - buyVal;\n\n  return {\n    turnover: round2(turnover),\n    brokerage: round2(brokerage),\n    stt: round2(stt),\n    exchangeTxn: round2(exchangeTxn),\n    sebi: round2(sebi),\n    stamp: round2(stamp),\n    gst: round2(gst),\n    dp: round2(dp),\n    totalCharges: round2(totalCharges),\n    grossPnl: round2(grossPnl),\n    netPnl: round2(grossPnl - totalCharges),\n    breakeven: input.qty === 0 ? 0 : round2(totalCharges / input.qty),\n  };\n}\n\n/* ------------------------------------------------------------------ *\n * Compact formatting\n * ------------------------------------------------------------------ */\n\nfunction trimTo2(n: number): string {\n  return Number(n.toFixed(2)).toString();\n}\n\n/** Compact INR: `formatCompactINR(12345678)` → `\"₹1.23 Cr\"`. */\nexport function formatCompactINR(amount: number, opts: FormatMoneyOptions = {}): string {\n  const { symbol = \"₹\" } = opts;\n  const neg = amount < 0;\n  const a = Math.abs(amount);\n  const units: [number, string][] = [\n    [1e7, \"Cr\"],\n    [1e5, \"L\"],\n    [1e3, \"K\"],\n  ];\n  const u = units.find(([size]) => a >= size);\n  const out = u ? `${trimTo2(a / u[0])} ${u[1]}` : trimTo2(a);\n  return `${neg ? \"-\" : \"\"}${symbol}${out}`;\n}\n\n/* ------------------------------------------------------------------ *\n * Options — Black-Scholes greeks\n * ------------------------------------------------------------------ */\n\nfunction normPdf(x: number): number {\n  return Math.exp((-x * x) / 2) / Math.sqrt(2 * Math.PI);\n}\n\n/** Standard normal CDF (Abramowitz & Stegun 7.1.26 approximation). */\nfunction normCdf(x: number): number {\n  const t = 1 / (1 + 0.2316419 * Math.abs(x));\n  const d = 0.3989422804014327 * Math.exp((-x * x) / 2);\n  const p = d * t * (0.3193815 + t * (-0.3565638 + t * (1.781477937 + t * (-1.821255978 + t * 1.330274429))));\n  return x > 0 ? 1 - p : p;\n}\n\nexport interface OptionInput {\n  type: \"call\" | \"put\";\n  /** Spot price of the underlying. */\n  spot: number;\n  strike: number;\n  /** Time to expiry in years (e.g. 30 days ≈ 30/365). */\n  timeYears: number;\n  /** Risk-free rate (annual, decimal — e.g. 0.07). */\n  rate: number;\n  /** Volatility (annual, decimal — e.g. 0.25). */\n  volatility: number;\n  /** Continuous dividend yield (annual, decimal). Default 0. */\n  dividendYield?: number;\n}\n\nexport interface Greeks {\n  price: number;\n  delta: number;\n  gamma: number;\n  /** Per-year theta (divide by 365 for per-day). */\n  theta: number;\n  /** Per 1.00 change in volatility (divide by 100 for per 1%). */\n  vega: number;\n  /** Per 1.00 change in rate (divide by 100 for per 1%). */\n  rho: number;\n}\n\n/** Black-Scholes price + greeks for a European option. */\nexport function blackScholes(o: OptionInput): Greeks {\n  const { type, spot: S, strike: K, timeYears: t, rate: r } = o;\n  const q = o.dividendYield ?? 0;\n  const sigma = o.volatility;\n  const sqrtT = Math.sqrt(t);\n  const d1 = (Math.log(S / K) + (r - q + (sigma * sigma) / 2) * t) / (sigma * sqrtT);\n  const d2 = d1 - sigma * sqrtT;\n  const disc = Math.exp(-r * t);\n  const dq = Math.exp(-q * t);\n  const nd1 = normPdf(d1);\n  const gamma = (dq * nd1) / (S * sigma * sqrtT);\n  const vega = S * dq * nd1 * sqrtT;\n  if (type === \"call\") {\n    const Nd1 = normCdf(d1);\n    const Nd2 = normCdf(d2);\n    return {\n      price: S * dq * Nd1 - K * disc * Nd2,\n      delta: dq * Nd1,\n      gamma,\n      theta: -(S * dq * nd1 * sigma) / (2 * sqrtT) - r * K * disc * Nd2 + q * S * dq * Nd1,\n      vega,\n      rho: K * t * disc * Nd2,\n    };\n  }\n  const Nnd1 = normCdf(-d1);\n  const Nnd2 = normCdf(-d2);\n  return {\n    price: K * disc * Nnd2 - S * dq * Nnd1,\n    delta: -dq * Nnd1,\n    gamma,\n    theta: -(S * dq * nd1 * sigma) / (2 * sqrtT) + r * K * disc * Nnd2 - q * S * dq * Nnd1,\n    vega,\n    rho: -K * t * disc * Nnd2,\n  };\n}\n\n/** Solve implied volatility from an observed option price (bisection). */\nexport function impliedVolatility(\n  marketPrice: number,\n  o: Omit<OptionInput, \"volatility\">,\n  opts: { tolerance?: number; maxIterations?: number } = {},\n): number | null {\n  const tol = opts.tolerance ?? 1e-6;\n  const maxIter = opts.maxIterations ?? 100;\n  let lo = 1e-4;\n  let hi = 5;\n  for (let i = 0; i < maxIter; i++) {\n    const mid = (lo + hi) / 2;\n    const price = blackScholes({ ...o, volatility: mid }).price;\n    const diff = price - marketPrice;\n    if (Math.abs(diff) < tol) return mid;\n    if (diff > 0) hi = mid;\n    else lo = mid;\n  }\n  return null;\n}\n\n/* ------------------------------------------------------------------ *\n * Portfolio analytics\n * ------------------------------------------------------------------ */\n\n/** Period-over-period simple returns from a price/equity series. */\nexport function simpleReturns(series: number[]): number[] {\n  const out: number[] = [];\n  for (let i = 1; i < series.length; i++) {\n    const prev = series[i - 1]!;\n    if (prev !== 0) out.push((series[i]! - prev) / prev);\n  }\n  return out;\n}\n\nfunction mean(xs: number[]): number {\n  return xs.length ? xs.reduce((s, x) => s + x, 0) / xs.length : 0;\n}\n\nfunction stdev(xs: number[]): number {\n  if (xs.length < 2) return 0;\n  const m = mean(xs);\n  return Math.sqrt(xs.reduce((s, x) => s + (x - m) ** 2, 0) / (xs.length - 1));\n}\n\n/** Volatility (stdev of returns); annualized by default. */\nexport function volatility(returns: number[], opts: { annualize?: boolean; periodsPerYear?: number } = {}): number {\n  const sd = stdev(returns);\n  return opts.annualize === false ? sd : sd * Math.sqrt(opts.periodsPerYear ?? 252);\n}\n\n/** Annualized Sharpe ratio from a return series. */\nexport function sharpe(returns: number[], opts: { riskFree?: number; periodsPerYear?: number } = {}): number {\n  const ppy = opts.periodsPerYear ?? 252;\n  const rfPerPeriod = (opts.riskFree ?? 0) / ppy;\n  const excess = returns.map((r) => r - rfPerPeriod);\n  const sd = stdev(excess);\n  if (sd === 0) return 0;\n  return (mean(excess) / sd) * Math.sqrt(ppy);\n}\n\n/** Annualized Sortino ratio (downside-deviation only). */\nexport function sortino(returns: number[], opts: { riskFree?: number; periodsPerYear?: number } = {}): number {\n  const ppy = opts.periodsPerYear ?? 252;\n  const rfPerPeriod = (opts.riskFree ?? 0) / ppy;\n  const excess = returns.map((r) => r - rfPerPeriod);\n  const downside = excess.filter((r) => r < 0);\n  if (!downside.length) return 0;\n  const dd = Math.sqrt(downside.reduce((s, r) => s + r * r, 0) / downside.length);\n  if (dd === 0) return 0;\n  return (mean(excess) / dd) * Math.sqrt(ppy);\n}\n\n/** Maximum drawdown of an equity curve, as a positive fraction (0.2 = −20%). */\nexport function maxDrawdown(equity: number[]): { maxDrawdown: number; peakIndex: number; troughIndex: number } {\n  let peak = equity[0] ?? 0;\n  let peakIdx = 0;\n  let maxDd = 0;\n  let ddPeak = 0;\n  let ddTrough = 0;\n  for (let i = 0; i < equity.length; i++) {\n    const v = equity[i]!;\n    if (v > peak) {\n      peak = v;\n      peakIdx = i;\n    }\n    const dd = peak > 0 ? (peak - v) / peak : 0;\n    if (dd > maxDd) {\n      maxDd = dd;\n      ddPeak = peakIdx;\n      ddTrough = i;\n    }\n  }\n  return { maxDrawdown: maxDd, peakIndex: ddPeak, troughIndex: ddTrough };\n}\n"]}

package/dist/index.d.cts

@@ -122,5 +122,62 @@ interface ChargeBreakdown {
  * // { brokerage, stt, gst, sebi, stamp, exchangeTxn, totalCharges, netPnl, breakeven, ... }
  */
 declare function charges(input: ChargeInput, config?: ChargeConfig): ChargeBreakdown;
+/** Compact INR: `formatCompactINR(12345678)` → `"₹1.23 Cr"`. */
+declare function formatCompactINR(amount: number, opts?: FormatMoneyOptions): string;
+interface OptionInput {
+    type: "call" | "put";
+    /** Spot price of the underlying. */
+    spot: number;
+    strike: number;
+    /** Time to expiry in years (e.g. 30 days ≈ 30/365). */
+    timeYears: number;
+    /** Risk-free rate (annual, decimal — e.g. 0.07). */
+    rate: number;
+    /** Volatility (annual, decimal — e.g. 0.25). */
+    volatility: number;
+    /** Continuous dividend yield (annual, decimal). Default 0. */
+    dividendYield?: number;
+}
+interface Greeks {
+    price: number;
+    delta: number;
+    gamma: number;
+    /** Per-year theta (divide by 365 for per-day). */
+    theta: number;
+    /** Per 1.00 change in volatility (divide by 100 for per 1%). */
+    vega: number;
+    /** Per 1.00 change in rate (divide by 100 for per 1%). */
+    rho: number;
+}
+/** Black-Scholes price + greeks for a European option. */
+declare function blackScholes(o: OptionInput): Greeks;
+/** Solve implied volatility from an observed option price (bisection). */
+declare function impliedVolatility(marketPrice: number, o: Omit<OptionInput, "volatility">, opts?: {
+    tolerance?: number;
+    maxIterations?: number;
+}): number | null;
+/** Period-over-period simple returns from a price/equity series. */
+declare function simpleReturns(series: number[]): number[];
+/** Volatility (stdev of returns); annualized by default. */
+declare function volatility(returns: number[], opts?: {
+    annualize?: boolean;
+    periodsPerYear?: number;
+}): number;
+/** Annualized Sharpe ratio from a return series. */
+declare function sharpe(returns: number[], opts?: {
+    riskFree?: number;
+    periodsPerYear?: number;
+}): number;
+/** Annualized Sortino ratio (downside-deviation only). */
+declare function sortino(returns: number[], opts?: {
+    riskFree?: number;
+    periodsPerYear?: number;
+}): number;
+/** Maximum drawdown of an equity curve, as a positive fraction (0.2 = −20%). */
+declare function maxDrawdown(equity: number[]): {
+    maxDrawdown: number;
+    peakIndex: number;
+    troughIndex: number;
+};
 
-export { type CashFlow, type ChargeBreakdown, type ChargeConfig, type ChargeInput, type FormatMoneyOptions, IN_DISCOUNT_BROKER, type Segment, type SegmentRates, averagePrice, cagr, changePercent, charges, circuitLimits, formatINR, pnl, pnlPercent, positionSize, roundToTick, xirr };
+export { type CashFlow, type ChargeBreakdown, type ChargeConfig, type ChargeInput, type FormatMoneyOptions, type Greeks, IN_DISCOUNT_BROKER, type OptionInput, type Segment, type SegmentRates, averagePrice, blackScholes, cagr, changePercent, charges, circuitLimits, formatCompactINR, formatINR, impliedVolatility, maxDrawdown, pnl, pnlPercent, positionSize, roundToTick, sharpe, simpleReturns, sortino, volatility, xirr };

package/dist/index.d.ts

@@ -122,5 +122,62 @@ interface ChargeBreakdown {
  * // { brokerage, stt, gst, sebi, stamp, exchangeTxn, totalCharges, netPnl, breakeven, ... }
  */
 declare function charges(input: ChargeInput, config?: ChargeConfig): ChargeBreakdown;
+/** Compact INR: `formatCompactINR(12345678)` → `"₹1.23 Cr"`. */
+declare function formatCompactINR(amount: number, opts?: FormatMoneyOptions): string;
+interface OptionInput {
+    type: "call" | "put";
+    /** Spot price of the underlying. */
+    spot: number;
+    strike: number;
+    /** Time to expiry in years (e.g. 30 days ≈ 30/365). */
+    timeYears: number;
+    /** Risk-free rate (annual, decimal — e.g. 0.07). */
+    rate: number;
+    /** Volatility (annual, decimal — e.g. 0.25). */
+    volatility: number;
+    /** Continuous dividend yield (annual, decimal). Default 0. */
+    dividendYield?: number;
+}
+interface Greeks {
+    price: number;
+    delta: number;
+    gamma: number;
+    /** Per-year theta (divide by 365 for per-day). */
+    theta: number;
+    /** Per 1.00 change in volatility (divide by 100 for per 1%). */
+    vega: number;
+    /** Per 1.00 change in rate (divide by 100 for per 1%). */
+    rho: number;
+}
+/** Black-Scholes price + greeks for a European option. */
+declare function blackScholes(o: OptionInput): Greeks;
+/** Solve implied volatility from an observed option price (bisection). */
+declare function impliedVolatility(marketPrice: number, o: Omit<OptionInput, "volatility">, opts?: {
+    tolerance?: number;
+    maxIterations?: number;
+}): number | null;
+/** Period-over-period simple returns from a price/equity series. */
+declare function simpleReturns(series: number[]): number[];
+/** Volatility (stdev of returns); annualized by default. */
+declare function volatility(returns: number[], opts?: {
+    annualize?: boolean;
+    periodsPerYear?: number;
+}): number;
+/** Annualized Sharpe ratio from a return series. */
+declare function sharpe(returns: number[], opts?: {
+    riskFree?: number;
+    periodsPerYear?: number;
+}): number;
+/** Annualized Sortino ratio (downside-deviation only). */
+declare function sortino(returns: number[], opts?: {
+    riskFree?: number;
+    periodsPerYear?: number;
+}): number;
+/** Maximum drawdown of an equity curve, as a positive fraction (0.2 = −20%). */
+declare function maxDrawdown(equity: number[]): {
+    maxDrawdown: number;
+    peakIndex: number;
+    troughIndex: number;
+};
 
-export { type CashFlow, type ChargeBreakdown, type ChargeConfig, type ChargeInput, type FormatMoneyOptions, IN_DISCOUNT_BROKER, type Segment, type SegmentRates, averagePrice, cagr, changePercent, charges, circuitLimits, formatINR, pnl, pnlPercent, positionSize, roundToTick, xirr };
+export { type CashFlow, type ChargeBreakdown, type ChargeConfig, type ChargeInput, type FormatMoneyOptions, type Greeks, IN_DISCOUNT_BROKER, type OptionInput, type Segment, type SegmentRates, averagePrice, blackScholes, cagr, changePercent, charges, circuitLimits, formatCompactINR, formatINR, impliedVolatility, maxDrawdown, pnl, pnlPercent, positionSize, roundToTick, sharpe, simpleReturns, sortino, volatility, xirr };

package/dist/index.js

@@ -159,7 +159,141 @@ function charges(input, config = IN_DISCOUNT_BROKER) {
     breakeven: input.qty === 0 ? 0 : round2(totalCharges / input.qty)
   };
 }
+function trimTo2(n) {
+  return Number(n.toFixed(2)).toString();
+}
+function formatCompactINR(amount, opts = {}) {
+  const { symbol = "\u20B9" } = opts;
+  const neg = amount < 0;
+  const a = Math.abs(amount);
+  const units = [
+    [1e7, "Cr"],
+    [1e5, "L"],
+    [1e3, "K"]
+  ];
+  const u = units.find(([size]) => a >= size);
+  const out = u ? `${trimTo2(a / u[0])} ${u[1]}` : trimTo2(a);
+  return `${neg ? "-" : ""}${symbol}${out}`;
+}
+function normPdf(x) {
+  return Math.exp(-x * x / 2) / Math.sqrt(2 * Math.PI);
+}
+function normCdf(x) {
+  const t = 1 / (1 + 0.2316419 * Math.abs(x));
+  const d = 0.3989422804014327 * Math.exp(-x * x / 2);
+  const p = d * t * (0.3193815 + t * (-0.3565638 + t * (1.781477937 + t * (-1.821255978 + t * 1.330274429))));
+  return x > 0 ? 1 - p : p;
+}
+function blackScholes(o) {
+  const { type, spot: S, strike: K, timeYears: t, rate: r } = o;
+  const q = o.dividendYield ?? 0;
+  const sigma = o.volatility;
+  const sqrtT = Math.sqrt(t);
+  const d1 = (Math.log(S / K) + (r - q + sigma * sigma / 2) * t) / (sigma * sqrtT);
+  const d2 = d1 - sigma * sqrtT;
+  const disc = Math.exp(-r * t);
+  const dq = Math.exp(-q * t);
+  const nd1 = normPdf(d1);
+  const gamma = dq * nd1 / (S * sigma * sqrtT);
+  const vega = S * dq * nd1 * sqrtT;
+  if (type === "call") {
+    const Nd1 = normCdf(d1);
+    const Nd2 = normCdf(d2);
+    return {
+      price: S * dq * Nd1 - K * disc * Nd2,
+      delta: dq * Nd1,
+      gamma,
+      theta: -(S * dq * nd1 * sigma) / (2 * sqrtT) - r * K * disc * Nd2 + q * S * dq * Nd1,
+      vega,
+      rho: K * t * disc * Nd2
+    };
+  }
+  const Nnd1 = normCdf(-d1);
+  const Nnd2 = normCdf(-d2);
+  return {
+    price: K * disc * Nnd2 - S * dq * Nnd1,
+    delta: -dq * Nnd1,
+    gamma,
+    theta: -(S * dq * nd1 * sigma) / (2 * sqrtT) + r * K * disc * Nnd2 - q * S * dq * Nnd1,
+    vega,
+    rho: -K * t * disc * Nnd2
+  };
+}
+function impliedVolatility(marketPrice, o, opts = {}) {
+  const tol = opts.tolerance ?? 1e-6;
+  const maxIter = opts.maxIterations ?? 100;
+  let lo = 1e-4;
+  let hi = 5;
+  for (let i = 0; i < maxIter; i++) {
+    const mid = (lo + hi) / 2;
+    const price = blackScholes({ ...o, volatility: mid }).price;
+    const diff = price - marketPrice;
+    if (Math.abs(diff) < tol) return mid;
+    if (diff > 0) hi = mid;
+    else lo = mid;
+  }
+  return null;
+}
+function simpleReturns(series) {
+  const out = [];
+  for (let i = 1; i < series.length; i++) {
+    const prev = series[i - 1];
+    if (prev !== 0) out.push((series[i] - prev) / prev);
+  }
+  return out;
+}
+function mean(xs) {
+  return xs.length ? xs.reduce((s, x) => s + x, 0) / xs.length : 0;
+}
+function stdev(xs) {
+  if (xs.length < 2) return 0;
+  const m = mean(xs);
+  return Math.sqrt(xs.reduce((s, x) => s + (x - m) ** 2, 0) / (xs.length - 1));
+}
+function volatility(returns, opts = {}) {
+  const sd = stdev(returns);
+  return opts.annualize === false ? sd : sd * Math.sqrt(opts.periodsPerYear ?? 252);
+}
+function sharpe(returns, opts = {}) {
+  const ppy = opts.periodsPerYear ?? 252;
+  const rfPerPeriod = (opts.riskFree ?? 0) / ppy;
+  const excess = returns.map((r) => r - rfPerPeriod);
+  const sd = stdev(excess);
+  if (sd === 0) return 0;
+  return mean(excess) / sd * Math.sqrt(ppy);
+}
+function sortino(returns, opts = {}) {
+  const ppy = opts.periodsPerYear ?? 252;
+  const rfPerPeriod = (opts.riskFree ?? 0) / ppy;
+  const excess = returns.map((r) => r - rfPerPeriod);
+  const downside = excess.filter((r) => r < 0);
+  if (!downside.length) return 0;
+  const dd = Math.sqrt(downside.reduce((s, r) => s + r * r, 0) / downside.length);
+  if (dd === 0) return 0;
+  return mean(excess) / dd * Math.sqrt(ppy);
+}
+function maxDrawdown(equity) {
+  let peak = equity[0] ?? 0;
+  let peakIdx = 0;
+  let maxDd = 0;
+  let ddPeak = 0;
+  let ddTrough = 0;
+  for (let i = 0; i < equity.length; i++) {
+    const v = equity[i];
+    if (v > peak) {
+      peak = v;
+      peakIdx = i;
+    }
+    const dd = peak > 0 ? (peak - v) / peak : 0;
+    if (dd > maxDd) {
+      maxDd = dd;
+      ddPeak = peakIdx;
+      ddTrough = i;
+    }
+  }
+  return { maxDrawdown: maxDd, peakIndex: ddPeak, troughIndex: ddTrough };
+}
 
-export { IN_DISCOUNT_BROKER, averagePrice, cagr, changePercent, charges, circuitLimits, formatINR, pnl, pnlPercent, positionSize, roundToTick, xirr };
+export { IN_DISCOUNT_BROKER, averagePrice, blackScholes, cagr, changePercent, charges, circuitLimits, formatCompactINR, formatINR, impliedVolatility, maxDrawdown, pnl, pnlPercent, positionSize, roundToTick, sharpe, simpleReturns, sortino, volatility, xirr };
 //# sourceMappingURL=index.js.map
 //# sourceMappingURL=index.js.map

package/dist/index.js.map

@@ -1 +1 @@
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* @lacspace/market\n * The money & mechanics toolkit every stock-market app re-implements.\n *\n * P&L, returns, CAGR, XIRR, tick-size rounding, circuit limits, position sizing\n * — plus a real Indian brokerage & charges calculator (STT, GST, SEBI, stamp,\n * exchange txn) with discount-broker presets.\n *\n * Zero dependencies · isomorphic · fully typed.\n */\n\n/* ------------------------------------------------------------------ *\n * Formatting\n * ------------------------------------------------------------------ */\n\nexport interface FormatMoneyOptions {\n  symbol?: string;\n  decimals?: number;\n}\n\n/**\n * Format a number in the Indian numbering system (lakh / crore grouping).\n * @example formatINR(1234567.5) // \"₹12,34,567.50\"\n */\nexport function formatINR(amount: number, opts: FormatMoneyOptions = {}): string {\n  const { symbol = \"₹\", decimals = 2 } = opts;\n  const neg = amount < 0;\n  const fixed = Math.abs(amount).toFixed(decimals);\n  const [intPart = \"0\", frac = \"\"] = fixed.split(\".\");\n  const last3 = intPart.slice(-3);\n  const rest = intPart.slice(0, -3);\n  const grouped = rest\n    ? rest.replace(/\\B(?=(\\d{2})+(?!\\d))/g, \",\") + \",\" + last3\n    : last3;\n  return `${neg ? \"-\" : \"\"}${symbol}${grouped}${decimals > 0 ? \".\" + frac : \"\"}`;\n}\n\n/* ------------------------------------------------------------------ *\n * Returns & P&L\n * ------------------------------------------------------------------ */\n\n/** Absolute profit/loss for a round-trip. */\nexport function pnl(o: { buy: number; sell: number; qty: number }): number {\n  return (o.sell - o.buy) * o.qty;\n}\n\n/** Percentage change from `reference` to `current` (e.g. LTP vs prev close). */\nexport function changePercent(current: number, reference: number): number {\n  if (reference === 0) return 0;\n  return ((current - reference) / reference) * 100;\n}\n\n/** Profit/loss as a percentage of the buy price. */\nexport function pnlPercent(o: { buy: number; sell: number }): number {\n  return changePercent(o.sell, o.buy);\n}\n\n/** Compound Annual Growth Rate as a fraction (0.15 = 15%). */\nexport function cagr(begin: number, end: number, years: number): number {\n  if (begin <= 0 || years <= 0) return NaN;\n  return Math.pow(end / begin, 1 / years) - 1;\n}\n\nexport interface CashFlow {\n  /** Negative = money out (investment), positive = money in (redemption). */\n  amount: number;\n  date: Date | string | number;\n}\n\nfunction toMillis(d: Date | string | number): number {\n  if (d instanceof Date) return d.getTime();\n  if (typeof d === \"number\") return d;\n  return new Date(d).getTime();\n}\n\n/**\n * Extended Internal Rate of Return for irregularly-spaced cash flows.\n * Returns an annualised rate as a fraction. Uses Newton–Raphson.\n * @example xirr([{amount:-10000, date:\"2024-01-01\"}, {amount:12000, date:\"2025-01-01\"}]) // ~0.20\n */\nexport function xirr(flows: CashFlow[], guess = 0.1): number {\n  if (flows.length < 2) return NaN;\n  const cf = flows\n    .map((f) => ({ amount: f.amount, t: toMillis(f.date) }))\n    .sort((a, b) => a.t - b.t);\n  const t0 = cf[0]!.t;\n  const yearFrac = (t: number) => (t - t0) / (365 * 24 * 3600 * 1000);\n  const npv = (r: number) =>\n    cf.reduce((s, c) => s + c.amount / Math.pow(1 + r, yearFrac(c.t)), 0);\n  const dnpv = (r: number) =>\n    cf.reduce((s, c) => {\n      const y = yearFrac(c.t);\n      return s - (y * c.amount) / Math.pow(1 + r, y + 1);\n    }, 0);\n\n  let r = guess;\n  for (let i = 0; i < 100; i++) {\n    const f = npv(r);\n    if (Math.abs(f) < 1e-7) return r;\n    const d = dnpv(r);\n    if (d === 0) break;\n    const next = r - f / d;\n    if (!isFinite(next)) break;\n    if (Math.abs(next - r) < 1e-10) return next;\n    r = next;\n  }\n  return r;\n}\n\n/* ------------------------------------------------------------------ *\n * Position mechanics\n * ------------------------------------------------------------------ */\n\n/** Volume-weighted average price across a set of trades. */\nexport function averagePrice(trades: { price: number; qty: number }[]): number {\n  let qty = 0;\n  let value = 0;\n  for (const t of trades) {\n    qty += t.qty;\n    value += t.price * t.qty;\n  }\n  return qty === 0 ? 0 : value / qty;\n}\n\n/**\n * Risk-based position sizing. Returns the whole-share quantity so that a stop-out\n * costs at most `riskPercent` of capital.\n * @example positionSize({ capital: 100000, riskPercent: 1, entry: 500, stop: 480 }) // 50\n */\nexport function positionSize(o: {\n  capital: number;\n  riskPercent: number;\n  entry: number;\n  stop: number;\n}): number {\n  const riskAmount = o.capital * (o.riskPercent / 100);\n  const perShareRisk = Math.abs(o.entry - o.stop);\n  if (perShareRisk === 0) return 0;\n  return Math.floor(riskAmount / perShareRisk);\n}\n\n/** Round a price to the nearest exchange tick (default ₹0.05 for NSE equity). */\nexport function roundToTick(price: number, tick = 0.05): number {\n  if (tick <= 0) return price;\n  return Number((Math.round(price / tick) * tick).toFixed(4));\n}\n\n/** Upper & lower circuit price for a given previous close and band percent. */\nexport function circuitLimits(\n  prevClose: number,\n  percent: number,\n): { upper: number; lower: number } {\n  const delta = prevClose * (percent / 100);\n  return {\n    upper: roundToTick(prevClose + delta),\n    lower: roundToTick(prevClose - delta),\n  };\n}\n\n/* ------------------------------------------------------------------ *\n * Brokerage & statutory charges (India)\n * ------------------------------------------------------------------ */\n\nexport type Segment = \"delivery\" | \"intraday\" | \"futures\" | \"options\";\n\nexport interface SegmentRates {\n  /** Brokerage as a fraction of turnover per side (0.0003 = 0.03%). */\n  brokeragePct: number;\n  /** Per-order brokerage cap (₹). */\n  brokerageCap: number;\n  /** Flat per-order brokerage (₹) — overrides the pct/cap model when set. */\n  brokerageFlat?: number;\n  sttBuy: number;\n  sttSell: number;\n  exchangeTxn: number;\n  stampBuy: number;\n  /** Depository (DP) charge per scrip on the sell leg (₹). */\n  dpPerScrip: number;\n}\n\nexport interface ChargeConfig {\n  segments: Record<Segment, SegmentRates>;\n  sebi: number;\n  gst: number;\n}\n\n/**\n * Default rates approximating an Indian discount broker (Zerodha-style) as of\n * FY2024–25. Statutory rates change — override any field via the `config`\n * argument of {@link charges} and always verify against the live rate card.\n */\nexport const IN_DISCOUNT_BROKER: ChargeConfig = {\n  segments: {\n    delivery: {\n      brokeragePct: 0,\n      brokerageCap: 0,\n      sttBuy: 0.001,\n      sttSell: 0.001,\n      exchangeTxn: 0.0000297,\n      stampBuy: 0.00015,\n      dpPerScrip: 13.5,\n    },\n    intraday: {\n      brokeragePct: 0.0003,\n      brokerageCap: 20,\n      sttBuy: 0,\n      sttSell: 0.00025,\n      exchangeTxn: 0.0000297,\n      stampBuy: 0.00003,\n      dpPerScrip: 0,\n    },\n    futures: {\n      brokeragePct: 0.0003,\n      brokerageCap: 20,\n      sttBuy: 0,\n      sttSell: 0.0002,\n      exchangeTxn: 0.0000173,\n      stampBuy: 0.00002,\n      dpPerScrip: 0,\n    },\n    options: {\n      brokeragePct: 0,\n      brokerageCap: 20,\n      brokerageFlat: 20,\n      sttBuy: 0,\n      sttSell: 0.001,\n      exchangeTxn: 0.0003503,\n      stampBuy: 0.00003,\n      dpPerScrip: 0,\n    },\n  },\n  sebi: 0.000001, // ₹10 per crore\n  gst: 0.18,\n};\n\nexport interface ChargeInput {\n  segment: Segment;\n  /** Buy price per unit. Omit / 0 for a sell-only leg. */\n  buy: number;\n  /** Sell price per unit. Omit / 0 for a buy-only leg. */\n  sell: number;\n  qty: number;\n}\n\nexport interface ChargeBreakdown {\n  turnover: number;\n  brokerage: number;\n  stt: number;\n  exchangeTxn: number;\n  sebi: number;\n  stamp: number;\n  gst: number;\n  dp: number;\n  totalCharges: number;\n  grossPnl: number;\n  netPnl: number;\n  /** Per-share price move needed just to break even on charges. */\n  breakeven: number;\n}\n\nfunction round2(n: number): number {\n  return Math.round(n * 100) / 100;\n}\n\nfunction legBrokerage(turnover: number, r: SegmentRates): number {\n  if (turnover <= 0) return 0;\n  if (r.brokerageFlat !== undefined) return r.brokerageFlat;\n  if (r.brokeragePct === 0) return 0;\n  return Math.min(turnover * r.brokeragePct, r.brokerageCap);\n}\n\n/**\n * Full brokerage + statutory charges breakdown for a trade, Indian market.\n * @example\n * charges({ segment: \"intraday\", buy: 100, sell: 102, qty: 500 });\n * // { brokerage, stt, gst, sebi, stamp, exchangeTxn, totalCharges, netPnl, breakeven, ... }\n */\nexport function charges(\n  input: ChargeInput,\n  config: ChargeConfig = IN_DISCOUNT_BROKER,\n): ChargeBreakdown {\n  const r = config.segments[input.segment];\n  const buyVal = (input.buy || 0) * input.qty;\n  const sellVal = (input.sell || 0) * input.qty;\n  const turnover = buyVal + sellVal;\n\n  const brokerage = legBrokerage(buyVal, r) + legBrokerage(sellVal, r);\n  const stt = buyVal * r.sttBuy + sellVal * r.sttSell;\n  const exchangeTxn = turnover * r.exchangeTxn;\n  const sebi = turnover * config.sebi;\n  const stamp = buyVal * r.stampBuy;\n  const gst = (brokerage + exchangeTxn + sebi) * config.gst;\n  const dp = sellVal > 0 ? r.dpPerScrip : 0;\n\n  const totalCharges = brokerage + stt + exchangeTxn + sebi + stamp + gst + dp;\n  const grossPnl = sellVal - buyVal;\n\n  return {\n    turnover: round2(turnover),\n    brokerage: round2(brokerage),\n    stt: round2(stt),\n    exchangeTxn: round2(exchangeTxn),\n    sebi: round2(sebi),\n    stamp: round2(stamp),\n    gst: round2(gst),\n    dp: round2(dp),\n    totalCharges: round2(totalCharges),\n    grossPnl: round2(grossPnl),\n    netPnl: round2(grossPnl - totalCharges),\n    breakeven: input.qty === 0 ? 0 : round2(totalCharges / input.qty),\n  };\n}\n"]}
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* @lacspace/market\n * The money & mechanics toolkit every stock-market app re-implements.\n *\n * P&L, returns, CAGR, XIRR, tick-size rounding, circuit limits, position sizing\n * — plus a real Indian brokerage & charges calculator (STT, GST, SEBI, stamp,\n * exchange txn) with discount-broker presets.\n *\n * Zero dependencies · isomorphic · fully typed.\n */\n\n/* ------------------------------------------------------------------ *\n * Formatting\n * ------------------------------------------------------------------ */\n\nexport interface FormatMoneyOptions {\n  symbol?: string;\n  decimals?: number;\n}\n\n/**\n * Format a number in the Indian numbering system (lakh / crore grouping).\n * @example formatINR(1234567.5) // \"₹12,34,567.50\"\n */\nexport function formatINR(amount: number, opts: FormatMoneyOptions = {}): string {\n  const { symbol = \"₹\", decimals = 2 } = opts;\n  const neg = amount < 0;\n  const fixed = Math.abs(amount).toFixed(decimals);\n  const [intPart = \"0\", frac = \"\"] = fixed.split(\".\");\n  const last3 = intPart.slice(-3);\n  const rest = intPart.slice(0, -3);\n  const grouped = rest\n    ? rest.replace(/\\B(?=(\\d{2})+(?!\\d))/g, \",\") + \",\" + last3\n    : last3;\n  return `${neg ? \"-\" : \"\"}${symbol}${grouped}${decimals > 0 ? \".\" + frac : \"\"}`;\n}\n\n/* ------------------------------------------------------------------ *\n * Returns & P&L\n * ------------------------------------------------------------------ */\n\n/** Absolute profit/loss for a round-trip. */\nexport function pnl(o: { buy: number; sell: number; qty: number }): number {\n  return (o.sell - o.buy) * o.qty;\n}\n\n/** Percentage change from `reference` to `current` (e.g. LTP vs prev close). */\nexport function changePercent(current: number, reference: number): number {\n  if (reference === 0) return 0;\n  return ((current - reference) / reference) * 100;\n}\n\n/** Profit/loss as a percentage of the buy price. */\nexport function pnlPercent(o: { buy: number; sell: number }): number {\n  return changePercent(o.sell, o.buy);\n}\n\n/** Compound Annual Growth Rate as a fraction (0.15 = 15%). */\nexport function cagr(begin: number, end: number, years: number): number {\n  if (begin <= 0 || years <= 0) return NaN;\n  return Math.pow(end / begin, 1 / years) - 1;\n}\n\nexport interface CashFlow {\n  /** Negative = money out (investment), positive = money in (redemption). */\n  amount: number;\n  date: Date | string | number;\n}\n\nfunction toMillis(d: Date | string | number): number {\n  if (d instanceof Date) return d.getTime();\n  if (typeof d === \"number\") return d;\n  return new Date(d).getTime();\n}\n\n/**\n * Extended Internal Rate of Return for irregularly-spaced cash flows.\n * Returns an annualised rate as a fraction. Uses Newton–Raphson.\n * @example xirr([{amount:-10000, date:\"2024-01-01\"}, {amount:12000, date:\"2025-01-01\"}]) // ~0.20\n */\nexport function xirr(flows: CashFlow[], guess = 0.1): number {\n  if (flows.length < 2) return NaN;\n  const cf = flows\n    .map((f) => ({ amount: f.amount, t: toMillis(f.date) }))\n    .sort((a, b) => a.t - b.t);\n  const t0 = cf[0]!.t;\n  const yearFrac = (t: number) => (t - t0) / (365 * 24 * 3600 * 1000);\n  const npv = (r: number) =>\n    cf.reduce((s, c) => s + c.amount / Math.pow(1 + r, yearFrac(c.t)), 0);\n  const dnpv = (r: number) =>\n    cf.reduce((s, c) => {\n      const y = yearFrac(c.t);\n      return s - (y * c.amount) / Math.pow(1 + r, y + 1);\n    }, 0);\n\n  let r = guess;\n  for (let i = 0; i < 100; i++) {\n    const f = npv(r);\n    if (Math.abs(f) < 1e-7) return r;\n    const d = dnpv(r);\n    if (d === 0) break;\n    const next = r - f / d;\n    if (!isFinite(next)) break;\n    if (Math.abs(next - r) < 1e-10) return next;\n    r = next;\n  }\n  return r;\n}\n\n/* ------------------------------------------------------------------ *\n * Position mechanics\n * ------------------------------------------------------------------ */\n\n/** Volume-weighted average price across a set of trades. */\nexport function averagePrice(trades: { price: number; qty: number }[]): number {\n  let qty = 0;\n  let value = 0;\n  for (const t of trades) {\n    qty += t.qty;\n    value += t.price * t.qty;\n  }\n  return qty === 0 ? 0 : value / qty;\n}\n\n/**\n * Risk-based position sizing. Returns the whole-share quantity so that a stop-out\n * costs at most `riskPercent` of capital.\n * @example positionSize({ capital: 100000, riskPercent: 1, entry: 500, stop: 480 }) // 50\n */\nexport function positionSize(o: {\n  capital: number;\n  riskPercent: number;\n  entry: number;\n  stop: number;\n}): number {\n  const riskAmount = o.capital * (o.riskPercent / 100);\n  const perShareRisk = Math.abs(o.entry - o.stop);\n  if (perShareRisk === 0) return 0;\n  return Math.floor(riskAmount / perShareRisk);\n}\n\n/** Round a price to the nearest exchange tick (default ₹0.05 for NSE equity). */\nexport function roundToTick(price: number, tick = 0.05): number {\n  if (tick <= 0) return price;\n  return Number((Math.round(price / tick) * tick).toFixed(4));\n}\n\n/** Upper & lower circuit price for a given previous close and band percent. */\nexport function circuitLimits(\n  prevClose: number,\n  percent: number,\n): { upper: number; lower: number } {\n  const delta = prevClose * (percent / 100);\n  return {\n    upper: roundToTick(prevClose + delta),\n    lower: roundToTick(prevClose - delta),\n  };\n}\n\n/* ------------------------------------------------------------------ *\n * Brokerage & statutory charges (India)\n * ------------------------------------------------------------------ */\n\nexport type Segment = \"delivery\" | \"intraday\" | \"futures\" | \"options\";\n\nexport interface SegmentRates {\n  /** Brokerage as a fraction of turnover per side (0.0003 = 0.03%). */\n  brokeragePct: number;\n  /** Per-order brokerage cap (₹). */\n  brokerageCap: number;\n  /** Flat per-order brokerage (₹) — overrides the pct/cap model when set. */\n  brokerageFlat?: number;\n  sttBuy: number;\n  sttSell: number;\n  exchangeTxn: number;\n  stampBuy: number;\n  /** Depository (DP) charge per scrip on the sell leg (₹). */\n  dpPerScrip: number;\n}\n\nexport interface ChargeConfig {\n  segments: Record<Segment, SegmentRates>;\n  sebi: number;\n  gst: number;\n}\n\n/**\n * Default rates approximating an Indian discount broker (Zerodha-style) as of\n * FY2024–25. Statutory rates change — override any field via the `config`\n * argument of {@link charges} and always verify against the live rate card.\n */\nexport const IN_DISCOUNT_BROKER: ChargeConfig = {\n  segments: {\n    delivery: {\n      brokeragePct: 0,\n      brokerageCap: 0,\n      sttBuy: 0.001,\n      sttSell: 0.001,\n      exchangeTxn: 0.0000297,\n      stampBuy: 0.00015,\n      dpPerScrip: 13.5,\n    },\n    intraday: {\n      brokeragePct: 0.0003,\n      brokerageCap: 20,\n      sttBuy: 0,\n      sttSell: 0.00025,\n      exchangeTxn: 0.0000297,\n      stampBuy: 0.00003,\n      dpPerScrip: 0,\n    },\n    futures: {\n      brokeragePct: 0.0003,\n      brokerageCap: 20,\n      sttBuy: 0,\n      sttSell: 0.0002,\n      exchangeTxn: 0.0000173,\n      stampBuy: 0.00002,\n      dpPerScrip: 0,\n    },\n    options: {\n      brokeragePct: 0,\n      brokerageCap: 20,\n      brokerageFlat: 20,\n      sttBuy: 0,\n      sttSell: 0.001,\n      exchangeTxn: 0.0003503,\n      stampBuy: 0.00003,\n      dpPerScrip: 0,\n    },\n  },\n  sebi: 0.000001, // ₹10 per crore\n  gst: 0.18,\n};\n\nexport interface ChargeInput {\n  segment: Segment;\n  /** Buy price per unit. Omit / 0 for a sell-only leg. */\n  buy: number;\n  /** Sell price per unit. Omit / 0 for a buy-only leg. */\n  sell: number;\n  qty: number;\n}\n\nexport interface ChargeBreakdown {\n  turnover: number;\n  brokerage: number;\n  stt: number;\n  exchangeTxn: number;\n  sebi: number;\n  stamp: number;\n  gst: number;\n  dp: number;\n  totalCharges: number;\n  grossPnl: number;\n  netPnl: number;\n  /** Per-share price move needed just to break even on charges. */\n  breakeven: number;\n}\n\nfunction round2(n: number): number {\n  return Math.round(n * 100) / 100;\n}\n\nfunction legBrokerage(turnover: number, r: SegmentRates): number {\n  if (turnover <= 0) return 0;\n  if (r.brokerageFlat !== undefined) return r.brokerageFlat;\n  if (r.brokeragePct === 0) return 0;\n  return Math.min(turnover * r.brokeragePct, r.brokerageCap);\n}\n\n/**\n * Full brokerage + statutory charges breakdown for a trade, Indian market.\n * @example\n * charges({ segment: \"intraday\", buy: 100, sell: 102, qty: 500 });\n * // { brokerage, stt, gst, sebi, stamp, exchangeTxn, totalCharges, netPnl, breakeven, ... }\n */\nexport function charges(\n  input: ChargeInput,\n  config: ChargeConfig = IN_DISCOUNT_BROKER,\n): ChargeBreakdown {\n  const r = config.segments[input.segment];\n  const buyVal = (input.buy || 0) * input.qty;\n  const sellVal = (input.sell || 0) * input.qty;\n  const turnover = buyVal + sellVal;\n\n  const brokerage = legBrokerage(buyVal, r) + legBrokerage(sellVal, r);\n  const stt = buyVal * r.sttBuy + sellVal * r.sttSell;\n  const exchangeTxn = turnover * r.exchangeTxn;\n  const sebi = turnover * config.sebi;\n  const stamp = buyVal * r.stampBuy;\n  const gst = (brokerage + exchangeTxn + sebi) * config.gst;\n  const dp = sellVal > 0 ? r.dpPerScrip : 0;\n\n  const totalCharges = brokerage + stt + exchangeTxn + sebi + stamp + gst + dp;\n  const grossPnl = sellVal - buyVal;\n\n  return {\n    turnover: round2(turnover),\n    brokerage: round2(brokerage),\n    stt: round2(stt),\n    exchangeTxn: round2(exchangeTxn),\n    sebi: round2(sebi),\n    stamp: round2(stamp),\n    gst: round2(gst),\n    dp: round2(dp),\n    totalCharges: round2(totalCharges),\n    grossPnl: round2(grossPnl),\n    netPnl: round2(grossPnl - totalCharges),\n    breakeven: input.qty === 0 ? 0 : round2(totalCharges / input.qty),\n  };\n}\n\n/* ------------------------------------------------------------------ *\n * Compact formatting\n * ------------------------------------------------------------------ */\n\nfunction trimTo2(n: number): string {\n  return Number(n.toFixed(2)).toString();\n}\n\n/** Compact INR: `formatCompactINR(12345678)` → `\"₹1.23 Cr\"`. */\nexport function formatCompactINR(amount: number, opts: FormatMoneyOptions = {}): string {\n  const { symbol = \"₹\" } = opts;\n  const neg = amount < 0;\n  const a = Math.abs(amount);\n  const units: [number, string][] = [\n    [1e7, \"Cr\"],\n    [1e5, \"L\"],\n    [1e3, \"K\"],\n  ];\n  const u = units.find(([size]) => a >= size);\n  const out = u ? `${trimTo2(a / u[0])} ${u[1]}` : trimTo2(a);\n  return `${neg ? \"-\" : \"\"}${symbol}${out}`;\n}\n\n/* ------------------------------------------------------------------ *\n * Options — Black-Scholes greeks\n * ------------------------------------------------------------------ */\n\nfunction normPdf(x: number): number {\n  return Math.exp((-x * x) / 2) / Math.sqrt(2 * Math.PI);\n}\n\n/** Standard normal CDF (Abramowitz & Stegun 7.1.26 approximation). */\nfunction normCdf(x: number): number {\n  const t = 1 / (1 + 0.2316419 * Math.abs(x));\n  const d = 0.3989422804014327 * Math.exp((-x * x) / 2);\n  const p = d * t * (0.3193815 + t * (-0.3565638 + t * (1.781477937 + t * (-1.821255978 + t * 1.330274429))));\n  return x > 0 ? 1 - p : p;\n}\n\nexport interface OptionInput {\n  type: \"call\" | \"put\";\n  /** Spot price of the underlying. */\n  spot: number;\n  strike: number;\n  /** Time to expiry in years (e.g. 30 days ≈ 30/365). */\n  timeYears: number;\n  /** Risk-free rate (annual, decimal — e.g. 0.07). */\n  rate: number;\n  /** Volatility (annual, decimal — e.g. 0.25). */\n  volatility: number;\n  /** Continuous dividend yield (annual, decimal). Default 0. */\n  dividendYield?: number;\n}\n\nexport interface Greeks {\n  price: number;\n  delta: number;\n  gamma: number;\n  /** Per-year theta (divide by 365 for per-day). */\n  theta: number;\n  /** Per 1.00 change in volatility (divide by 100 for per 1%). */\n  vega: number;\n  /** Per 1.00 change in rate (divide by 100 for per 1%). */\n  rho: number;\n}\n\n/** Black-Scholes price + greeks for a European option. */\nexport function blackScholes(o: OptionInput): Greeks {\n  const { type, spot: S, strike: K, timeYears: t, rate: r } = o;\n  const q = o.dividendYield ?? 0;\n  const sigma = o.volatility;\n  const sqrtT = Math.sqrt(t);\n  const d1 = (Math.log(S / K) + (r - q + (sigma * sigma) / 2) * t) / (sigma * sqrtT);\n  const d2 = d1 - sigma * sqrtT;\n  const disc = Math.exp(-r * t);\n  const dq = Math.exp(-q * t);\n  const nd1 = normPdf(d1);\n  const gamma = (dq * nd1) / (S * sigma * sqrtT);\n  const vega = S * dq * nd1 * sqrtT;\n  if (type === \"call\") {\n    const Nd1 = normCdf(d1);\n    const Nd2 = normCdf(d2);\n    return {\n      price: S * dq * Nd1 - K * disc * Nd2,\n      delta: dq * Nd1,\n      gamma,\n      theta: -(S * dq * nd1 * sigma) / (2 * sqrtT) - r * K * disc * Nd2 + q * S * dq * Nd1,\n      vega,\n      rho: K * t * disc * Nd2,\n    };\n  }\n  const Nnd1 = normCdf(-d1);\n  const Nnd2 = normCdf(-d2);\n  return {\n    price: K * disc * Nnd2 - S * dq * Nnd1,\n    delta: -dq * Nnd1,\n    gamma,\n    theta: -(S * dq * nd1 * sigma) / (2 * sqrtT) + r * K * disc * Nnd2 - q * S * dq * Nnd1,\n    vega,\n    rho: -K * t * disc * Nnd2,\n  };\n}\n\n/** Solve implied volatility from an observed option price (bisection). */\nexport function impliedVolatility(\n  marketPrice: number,\n  o: Omit<OptionInput, \"volatility\">,\n  opts: { tolerance?: number; maxIterations?: number } = {},\n): number | null {\n  const tol = opts.tolerance ?? 1e-6;\n  const maxIter = opts.maxIterations ?? 100;\n  let lo = 1e-4;\n  let hi = 5;\n  for (let i = 0; i < maxIter; i++) {\n    const mid = (lo + hi) / 2;\n    const price = blackScholes({ ...o, volatility: mid }).price;\n    const diff = price - marketPrice;\n    if (Math.abs(diff) < tol) return mid;\n    if (diff > 0) hi = mid;\n    else lo = mid;\n  }\n  return null;\n}\n\n/* ------------------------------------------------------------------ *\n * Portfolio analytics\n * ------------------------------------------------------------------ */\n\n/** Period-over-period simple returns from a price/equity series. */\nexport function simpleReturns(series: number[]): number[] {\n  const out: number[] = [];\n  for (let i = 1; i < series.length; i++) {\n    const prev = series[i - 1]!;\n    if (prev !== 0) out.push((series[i]! - prev) / prev);\n  }\n  return out;\n}\n\nfunction mean(xs: number[]): number {\n  return xs.length ? xs.reduce((s, x) => s + x, 0) / xs.length : 0;\n}\n\nfunction stdev(xs: number[]): number {\n  if (xs.length < 2) return 0;\n  const m = mean(xs);\n  return Math.sqrt(xs.reduce((s, x) => s + (x - m) ** 2, 0) / (xs.length - 1));\n}\n\n/** Volatility (stdev of returns); annualized by default. */\nexport function volatility(returns: number[], opts: { annualize?: boolean; periodsPerYear?: number } = {}): number {\n  const sd = stdev(returns);\n  return opts.annualize === false ? sd : sd * Math.sqrt(opts.periodsPerYear ?? 252);\n}\n\n/** Annualized Sharpe ratio from a return series. */\nexport function sharpe(returns: number[], opts: { riskFree?: number; periodsPerYear?: number } = {}): number {\n  const ppy = opts.periodsPerYear ?? 252;\n  const rfPerPeriod = (opts.riskFree ?? 0) / ppy;\n  const excess = returns.map((r) => r - rfPerPeriod);\n  const sd = stdev(excess);\n  if (sd === 0) return 0;\n  return (mean(excess) / sd) * Math.sqrt(ppy);\n}\n\n/** Annualized Sortino ratio (downside-deviation only). */\nexport function sortino(returns: number[], opts: { riskFree?: number; periodsPerYear?: number } = {}): number {\n  const ppy = opts.periodsPerYear ?? 252;\n  const rfPerPeriod = (opts.riskFree ?? 0) / ppy;\n  const excess = returns.map((r) => r - rfPerPeriod);\n  const downside = excess.filter((r) => r < 0);\n  if (!downside.length) return 0;\n  const dd = Math.sqrt(downside.reduce((s, r) => s + r * r, 0) / downside.length);\n  if (dd === 0) return 0;\n  return (mean(excess) / dd) * Math.sqrt(ppy);\n}\n\n/** Maximum drawdown of an equity curve, as a positive fraction (0.2 = −20%). */\nexport function maxDrawdown(equity: number[]): { maxDrawdown: number; peakIndex: number; troughIndex: number } {\n  let peak = equity[0] ?? 0;\n  let peakIdx = 0;\n  let maxDd = 0;\n  let ddPeak = 0;\n  let ddTrough = 0;\n  for (let i = 0; i < equity.length; i++) {\n    const v = equity[i]!;\n    if (v > peak) {\n      peak = v;\n      peakIdx = i;\n    }\n    const dd = peak > 0 ? (peak - v) / peak : 0;\n    if (dd > maxDd) {\n      maxDd = dd;\n      ddPeak = peakIdx;\n      ddTrough = i;\n    }\n  }\n  return { maxDrawdown: maxDd, peakIndex: ddPeak, troughIndex: ddTrough };\n}\n"]}

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@lacspace/market",
-  "version": "1.0.2",
+  "version": "1.1.0",
   "description": "Stock-market money math — P&L, returns, CAGR, XIRR, tick-size rounding, circuit limits, position sizing and an Indian brokerage & charges calculator (STT, GST, SEBI, stamp). Zero-dependency.",
   "type": "module",
   "main": "./dist/index.cjs",