cortex-risk-sdk 1.0.0

package/dist/types.d.ts

@@ -0,0 +1,857 @@
+import { z } from "zod";
+export type CalibrationMethod = "mle" | "grid" | "empirical" | "hybrid";
+export type DataSource = "solana" | "yfinance";
+export type ThresholdMethod = "percentile" | "mean_excess" | "variance_stability";
+export type CopulaFamily = "gaussian" | "student_t" | "clayton" | "gumbel" | "frank" | "auto";
+export type RoughModel = "rough_bergomi" | "rough_heston";
+export type TradeDirection = "long" | "short";
+export interface CalibrateRequest {
+    token: string;
+    data_source?: DataSource;
+    start_date: string;
+    end_date: string;
+    num_states?: number;
+    method?: CalibrationMethod;
+    target_var_breach?: number;
+    interval?: string;
+    use_student_t?: boolean;
+    nu?: number;
+}
+export interface CalibrationMetrics {
+    var_breach_rate: number;
+    vol_correlation: number;
+    log_likelihood: number;
+    aic: number;
+    bic: number;
+}
+export interface CalibrateResponse {
+    token: string;
+    method: string;
+    num_states: number;
+    sigma_low: number;
+    sigma_high: number;
+    p_stay: number | number[];
+    sigma_states: number[];
+    metrics: CalibrationMetrics;
+    calibrated_at: string;
+}
+export interface RegimeResponse {
+    timestamp: string;
+    regime_state: number;
+    regime_name: string;
+    regime_probabilities: number[];
+    volatility_filtered: number;
+    volatility_forecast: number;
+    var_95: number;
+    transition_matrix: number[][];
+}
+export interface VaRResponse {
+    timestamp: string;
+    confidence: number;
+    var_value: number;
+    sigma_forecast: number;
+    z_alpha: number;
+    regime_probabilities: number[];
+    distribution: string;
+}
+export interface VolatilityForecastResponse {
+    timestamp: string;
+    sigma_forecast: number;
+    sigma_filtered: number;
+    regime_probabilities: number[];
+    sigma_states: number[];
+}
+export interface BacktestSummaryResponse {
+    token: string;
+    num_observations: number;
+    var_alpha: number;
+    breach_count: number;
+    breach_rate: number;
+    kupiec_lr: number | null;
+    kupiec_pvalue: number | null;
+    kupiec_pass: boolean;
+    christoffersen_lr: number | null;
+    christoffersen_pvalue: number | null;
+    christoffersen_pass: boolean;
+}
+export interface TailProbResponse {
+    l1_threshold: number;
+    p1_day: number;
+    horizon_probs: Record<string, number>;
+    distribution: string;
+}
+export interface RegimeStreamMessage {
+    timestamp: string;
+    regime_state: number;
+    regime_name: string;
+    regime_probabilities: number[];
+    volatility_forecast: number;
+    var_95: number;
+}
+export interface ErrorResponse {
+    detail: string;
+    error_code: string;
+}
+export interface NewsSentiment {
+    score: number;
+    confidence: number;
+    label: string;
+    bull_weight: number;
+    bear_weight: number;
+    entropy: number;
+}
+export interface NewsItem {
+    id: string;
+    source: string;
+    api_source: string;
+    title: string;
+    body: string;
+    url: string;
+    timestamp: number;
+    assets: string[];
+    sentiment: NewsSentiment;
+    impact: number;
+    novelty: number;
+    source_credibility: number;
+    time_decay: number;
+    regime_multiplier: number;
+}
+export interface NewsMarketSignal {
+    sentiment_ewma: number;
+    sentiment_momentum: number;
+    entropy: number;
+    confidence: number;
+    direction: string;
+    strength: number;
+    n_sources: number;
+    n_items: number;
+    bull_pct: number;
+    bear_pct: number;
+    neutral_pct: number;
+}
+export interface NewsSourceCounts {
+    cryptocompare: number;
+    newsdata: number;
+    cryptopanic: number;
+}
+export interface NewsMeta {
+    errors: string[];
+    elapsed_ms: number;
+    total: number;
+    regime_state: number | null;
+}
+export interface NewsFeedResponse {
+    items: NewsItem[];
+    signal: NewsMarketSignal;
+    source_counts: NewsSourceCounts;
+    meta: NewsMeta;
+}
+export interface RegimeDurationsResponse {
+    token: string;
+    p_stay: number | number[];
+    num_states: number;
+    durations: Record<string, number>;
+    timestamp: string;
+}
+export interface RegimePeriod {
+    start: string;
+    end: string;
+    regime: number;
+    duration: number;
+    cumulative_return: number;
+    volatility: number;
+    max_drawdown: number;
+}
+export interface RegimeHistoryResponse {
+    token: string;
+    num_periods: number;
+    periods: RegimePeriod[];
+    timestamp: string;
+}
+export interface TransitionAlertResponse {
+    token: string;
+    alert: boolean;
+    current_regime: number;
+    transition_probability: number;
+    most_likely_next_regime: number;
+    next_regime_probability: number;
+    threshold: number;
+    timestamp: string;
+}
+export interface RegimeStatRow {
+    regime: number;
+    mean_return: number;
+    volatility: number;
+    sharpe_ratio: number;
+    max_drawdown: number;
+    days_in_regime: number;
+    frequency: number;
+}
+export interface RegimeStatisticsResponse {
+    token: string;
+    num_states: number;
+    total_observations: number;
+    statistics: RegimeStatRow[];
+    timestamp: string;
+}
+export interface CompareRequest {
+    token: string;
+    alpha?: number;
+    models?: string[] | null;
+}
+export interface ModelMetricsRow {
+    model: string;
+    log_likelihood: number | null;
+    aic: number | null;
+    bic: number | null;
+    breach_rate: number | null;
+    breach_count: number;
+    kupiec_lr: number | null;
+    kupiec_pvalue: number | null;
+    kupiec_pass: boolean | null;
+    christoffersen_lr: number | null;
+    christoffersen_pvalue: number | null;
+    christoffersen_pass: boolean | null;
+    mae_volatility: number;
+    correlation: number | null;
+    num_params: number;
+}
+export interface CompareResponse {
+    token: string;
+    alpha: number;
+    num_observations: number;
+    models_compared: string[];
+    results: ModelMetricsRow[];
+    timestamp: string;
+}
+export interface ComparisonReportResponse {
+    token: string;
+    alpha: number;
+    summary_table: string;
+    winners: Record<string, string>;
+    pass_fail: Record<string, Record<string, boolean | null>>;
+    ranking: string[];
+    timestamp: string;
+}
+export interface PortfolioCalibrateRequest {
+    tokens: string[];
+    weights: Record<string, number>;
+    num_states?: number;
+    method?: string;
+    period?: string;
+    data_source?: DataSource;
+    copula_family?: string | null;
+}
+export interface RegimeBreakdownItem {
+    regime: number;
+    probability: number;
+    portfolio_sigma: number;
+    portfolio_var: number;
+}
+export interface PortfolioVaRResponse {
+    portfolio_var: number;
+    portfolio_sigma: number;
+    z_alpha: number;
+    weights: Record<string, number>;
+    regime_breakdown: RegimeBreakdownItem[];
+    timestamp: string;
+}
+export interface AssetDecompositionItem {
+    asset: string;
+    weight: number;
+    marginal_var: number;
+    component_var: number;
+    pct_contribution: number;
+}
+export interface MarginalVaRResponse {
+    portfolio_var: number;
+    portfolio_sigma: number;
+    decomposition: AssetDecompositionItem[];
+    timestamp: string;
+}
+export interface AssetStressItem {
+    asset: string;
+    normal_sigma: number;
+    stressed_sigma: number;
+}
+export interface StressVaRResponse {
+    forced_regime: number;
+    stressed_var: number;
+    stressed_sigma: number;
+    normal_var: number;
+    normal_sigma: number;
+    stress_multiplier: number;
+    regime_correlation: number[][];
+    asset_stress: AssetStressItem[];
+    timestamp: string;
+}
+export interface TailDependence {
+    lambda_lower: number;
+    lambda_upper: number;
+}
+export interface CopulaFitResult {
+    family: string;
+    params: Record<string, unknown>;
+    log_likelihood: number;
+    aic: number;
+    bic: number;
+    n_obs: number;
+    n_assets: number;
+    n_params: number;
+    tail_dependence: TailDependence;
+}
+export interface CopulaPortfolioVaRResponse {
+    copula_var: number;
+    gaussian_var: number;
+    var_ratio: number;
+    copula_family: string;
+    tail_dependence: TailDependence;
+    n_simulations: number;
+    alpha: number;
+    timestamp: string;
+}
+export interface RegimeCopulaItem {
+    regime: number;
+    n_obs: number;
+    copula: CopulaFitResult;
+}
+export interface CopulaDiagnosticsResponse {
+    portfolio_key: string;
+    copula_family: string;
+    fit: CopulaFitResult;
+    regime_copulas: RegimeCopulaItem[];
+    timestamp: string;
+}
+export interface CopulaCompareItem {
+    family: string;
+    log_likelihood: number;
+    aic: number;
+    bic: number;
+    tail_dependence: TailDependence;
+    rank: number;
+    best: boolean;
+}
+export interface CopulaCompareResponse {
+    portfolio_key: string;
+    results: CopulaCompareItem[];
+    timestamp: string;
+}
+export interface RegimeTailDependenceItem {
+    regime: number;
+    family: string;
+    lambda_lower: number;
+    lambda_upper: number;
+}
+export interface RegimeDependentCopulaVaRResponse {
+    regime_dependent_var: number;
+    static_var: number;
+    var_difference_pct: number;
+    current_regime_copula: CopulaFitResult;
+    regime_tail_dependence: RegimeTailDependenceItem[];
+    dominant_regime: number;
+    regime_probs: number[];
+    n_simulations: number;
+    alpha: number;
+    timestamp: string;
+}
+export interface EVTCalibrateRequest {
+    token: string;
+    threshold_method?: ThresholdMethod;
+    min_exceedances?: number;
+}
+export interface EVTCalibrateResponse {
+    token: string;
+    xi: number;
+    beta: number;
+    threshold: number;
+    n_total: number;
+    n_exceedances: number;
+    log_likelihood: number;
+    aic: number;
+    bic: number;
+    threshold_method: string;
+    timestamp: string;
+}
+export interface EVTVaRResponse {
+    timestamp: string;
+    confidence: number;
+    var_value: number;
+    cvar_value: number;
+    distribution: string;
+    xi: number;
+    beta: number;
+    threshold: number;
+}
+export interface EVTBacktestRow {
+    alpha: number;
+    confidence: number;
+    evt_var: number;
+    breach_count: number;
+    breach_rate: number;
+    expected_rate: number;
+    kupiec_lr: number | null;
+    kupiec_pvalue: number | null;
+    kupiec_pass: boolean | null;
+}
+export interface VaRComparisonRow {
+    method: string;
+    alpha: number;
+    confidence: number;
+    var_value: number;
+    breach_count: number;
+    breach_rate: number;
+    expected_rate: number;
+}
+export interface EVTDiagnosticsResponse {
+    token: string;
+    xi: number;
+    beta: number;
+    threshold: number;
+    threshold_method: string;
+    n_exceedances: number;
+    backtest: EVTBacktestRow[];
+    comparison: VaRComparisonRow[];
+    timestamp: string;
+}
+export interface HawkesCalibrateRequest {
+    token: string;
+    threshold_percentile?: number;
+    use_absolute?: boolean;
+}
+export interface HawkesCalibrateResponse {
+    token: string;
+    mu: number;
+    alpha: number;
+    beta: number;
+    branching_ratio: number;
+    half_life: number;
+    stationary: boolean;
+    n_events: number;
+    log_likelihood: number;
+    aic: number;
+    bic: number;
+    threshold: number;
+    timestamp: string;
+}
+export interface HawkesIntensityResponse {
+    token: string;
+    current_intensity: number;
+    baseline: number;
+    intensity_ratio: number;
+    peak_intensity: number;
+    mean_intensity: number;
+    contagion_risk_score: number;
+    excitation_level: number;
+    risk_level: string;
+    timestamp: string;
+}
+export interface HawkesClusterItem {
+    cluster_id: number;
+    start_time: number;
+    end_time: number;
+    n_events: number;
+    duration: number;
+    peak_intensity: number;
+}
+export interface HawkesClustersResponse {
+    token: string;
+    clusters: HawkesClusterItem[];
+    n_clusters: number;
+    timestamp: string;
+}
+export interface HawkesVaRRequest {
+    token: string;
+    confidence?: number;
+    max_multiplier?: number;
+}
+export interface HawkesVaRResponse {
+    adjusted_var: number;
+    base_var: number;
+    multiplier: number;
+    intensity_ratio: number;
+    capped: boolean;
+    confidence: number;
+    recent_events: number;
+    timestamp: string;
+}
+export interface HawkesSimulateRequest {
+    token?: string | null;
+    mu?: number | null;
+    alpha?: number | null;
+    beta?: number | null;
+    T?: number;
+    seed?: number;
+}
+export interface HawkesSimulateResponse {
+    n_events: number;
+    T: number;
+    mean_intensity: number;
+    peak_intensity: number;
+    timestamp: string;
+}
+export interface HurstResponse {
+    token: string;
+    H: number;
+    H_se: number;
+    r_squared: number;
+    interpretation: string;
+    method: string;
+    timestamp: string;
+}
+export interface MultifractalSpectrumResponse {
+    token: string;
+    width: number;
+    peak_alpha: number;
+    is_multifractal: boolean;
+    q_values: number[];
+    tau_q: number[];
+    H_q: number[];
+    alpha: number[];
+    f_alpha: number[];
+    timestamp: string;
+}
+export interface RegimeHurstItem {
+    regime: number;
+    sigma: number;
+    n_obs: number;
+    fraction: number;
+    H: number | null;
+    H_se: number | null;
+    interpretation: string;
+}
+export interface RegimeHurstResponse {
+    token: string;
+    per_regime: RegimeHurstItem[];
+    n_states: number;
+    summary: string;
+    timestamp: string;
+}
+export interface FractalDiagnosticsResponse {
+    token: string;
+    H_rs: number;
+    H_dfa: number;
+    spectrum_width: number;
+    is_multifractal: boolean;
+    is_long_range_dependent: boolean;
+    confidence_z: number;
+    timestamp: string;
+}
+export interface RoughCalibrateRequest {
+    token: string;
+    model?: RoughModel;
+    window?: number;
+    max_lag?: number;
+}
+export interface RoughCalibrationMetrics {
+    H_se: number;
+    H_r_squared: number;
+    vol_correlation: number;
+    mae: number;
+    is_rough: boolean;
+    optimization_success: boolean | null;
+    optimization_nit: number | null;
+}
+export interface RoughCalibrateResponse {
+    token: string;
+    model: string;
+    H: number;
+    nu: number | null;
+    lambda_: number | null;
+    theta: number | null;
+    xi: number | null;
+    V0: number;
+    metrics: RoughCalibrationMetrics;
+    method: string;
+    timestamp: string;
+}
+export interface RoughForecastResponse {
+    token: string;
+    model: string;
+    horizon: number;
+    current_vol: number;
+    point_forecast: number[];
+    lower_95: number[];
+    upper_95: number[];
+    mean_forecast: number[];
+    timestamp: string;
+}
+export interface RoughDiagnosticsResponse {
+    token: string;
+    H_variogram: number;
+    H_se: number;
+    r_squared: number;
+    is_rough: boolean;
+    lags: number[];
+    variogram: number[];
+    interpretation: string;
+    timestamp: string;
+}
+export interface RoughModelMetrics {
+    mae: number;
+    rmse: number;
+    correlation: number;
+}
+export interface RoughCompareMSMResponse {
+    token: string;
+    rough_H: number;
+    rough_nu: number;
+    rough_is_rough: boolean;
+    rough_metrics: RoughModelMetrics;
+    msm_num_states: number;
+    msm_metrics: RoughModelMetrics;
+    winner: string;
+    mae_ratio: number;
+    rmse_ratio: number;
+    corr_diff: number;
+    timestamp: string;
+}
+export interface SVJCalibrateRequest {
+    token: string;
+    use_hawkes?: boolean;
+    jump_threshold_multiplier?: number;
+}
+export interface SVJHawkesParams {
+    mu: number;
+    alpha: number;
+    beta: number;
+    branching_ratio: number;
+    current_intensity: number;
+    baseline_intensity: number;
+    intensity_ratio: number;
+}
+export interface SVJCalibrateResponse {
+    token: string;
+    kappa: number;
+    theta: number;
+    sigma: number;
+    rho: number;
+    lambda_: number;
+    mu_j: number;
+    sigma_j: number;
+    feller_ratio: number;
+    feller_satisfied: boolean;
+    log_likelihood: number | null;
+    aic: number | null;
+    bic: number | null;
+    n_obs: number;
+    n_jumps_detected: number;
+    jump_fraction: number;
+    bns_statistic: number;
+    bns_pvalue: number;
+    optimization_success: boolean;
+    use_hawkes: boolean;
+    hawkes_params: SVJHawkesParams | null;
+    timestamp: string;
+}
+export interface SVJVaRResponse {
+    token: string;
+    var_svj: number;
+    var_diffusion_only: number;
+    var_jump_component: number;
+    expected_shortfall: number;
+    jump_contribution_pct: number;
+    alpha: number;
+    confidence: number;
+    n_simulations: number;
+    current_variance: number;
+    avg_jumps_per_day: number;
+    timestamp: string;
+}
+export interface SVJJumpRiskResponse {
+    token: string;
+    diffusion_variance: number;
+    jump_variance: number;
+    total_model_variance: number;
+    empirical_variance: number;
+    jump_share_pct: number;
+    diffusion_share_pct: number;
+    daily_diffusion_vol: number;
+    daily_jump_vol: number;
+    daily_total_vol: number;
+    annualized_diffusion_vol: number;
+    annualized_jump_vol: number;
+    annualized_total_vol: number;
+    timestamp: string;
+}
+export interface SVJJumpStats {
+    n_jumps: number;
+    jump_fraction: number;
+    avg_jump_size: number;
+    jump_vol: number;
+    bns_statistic: number;
+    bns_pvalue: number;
+    jumps_significant: boolean;
+}
+export interface SVJParameterQuality {
+    feller_satisfied: boolean;
+    feller_ratio: number;
+    half_life_years: number;
+    mean_reversion_days: number;
+    optimization_success: boolean;
+}
+export interface SVJMomentComparison {
+    empirical_skewness: number;
+    empirical_kurtosis: number;
+    model_variance: number;
+    model_skew_approx: number;
+}
+export interface SVJEVTTail {
+    gpd_xi: number;
+    gpd_beta: number;
+    threshold: number;
+    n_exceedances: number;
+    tail_index: number;
+}
+export interface SVJClustering {
+    branching_ratio: number;
+    half_life_days: number;
+    n_clusters: number;
+    avg_cluster_size: number;
+    stationarity: boolean;
+}
+export interface SVJDiagnosticsResponse {
+    token: string;
+    jump_stats: SVJJumpStats;
+    parameter_quality: SVJParameterQuality;
+    moment_comparison: SVJMomentComparison;
+    evt_tail: SVJEVTTail | null;
+    clustering: SVJClustering | null;
+    timestamp: string;
+}
+export interface GuardianAssessRequest {
+    token: string;
+    trade_size_usd: number;
+    direction: TradeDirection;
+    urgency?: boolean;
+    max_slippage_pct?: number;
+}
+export interface GuardianComponentScore {
+    component: string;
+    score: number;
+    details: Record<string, unknown>;
+}
+export interface GuardianAssessResponse {
+    approved: boolean;
+    risk_score: number;
+    veto_reasons: string[];
+    recommended_size: number;
+    regime_state: number;
+    confidence: number;
+    expires_at: string;
+    component_scores: GuardianComponentScore[];
+    from_cache: boolean;
+}
+export declare const GuardianAssessResponseSchema: z.ZodObject<{
+    approved: z.ZodBoolean;
+    risk_score: z.ZodNumber;
+    veto_reasons: z.ZodArray<z.ZodString, "many">;
+    recommended_size: z.ZodNumber;
+    regime_state: z.ZodNumber;
+    confidence: z.ZodNumber;
+    expires_at: z.ZodString;
+    component_scores: z.ZodArray<z.ZodObject<{
+        component: z.ZodString;
+        score: z.ZodNumber;
+        details: z.ZodRecord<z.ZodString, z.ZodUnknown>;
+    }, "strip", z.ZodTypeAny, {
+        component: string;
+        score: number;
+        details: Record<string, unknown>;
+    }, {
+        component: string;
+        score: number;
+        details: Record<string, unknown>;
+    }>, "many">;
+    from_cache: z.ZodBoolean;
+}, "strip", z.ZodTypeAny, {
+    approved: boolean;
+    risk_score: number;
+    veto_reasons: string[];
+    recommended_size: number;
+    regime_state: number;
+    confidence: number;
+    expires_at: string;
+    component_scores: {
+        component: string;
+        score: number;
+        details: Record<string, unknown>;
+    }[];
+    from_cache: boolean;
+}, {
+    approved: boolean;
+    risk_score: number;
+    veto_reasons: string[];
+    recommended_size: number;
+    regime_state: number;
+    confidence: number;
+    expires_at: string;
+    component_scores: {
+        component: string;
+        score: number;
+        details: Record<string, unknown>;
+    }[];
+    from_cache: boolean;
+}>;
+export declare const VaRResponseSchema: z.ZodObject<{
+    timestamp: z.ZodString;
+    confidence: z.ZodNumber;
+    var_value: z.ZodNumber;
+    sigma_forecast: z.ZodNumber;
+    z_alpha: z.ZodNumber;
+    regime_probabilities: z.ZodArray<z.ZodNumber, "many">;
+    distribution: z.ZodString;
+}, "strip", z.ZodTypeAny, {
+    confidence: number;
+    timestamp: string;
+    var_value: number;
+    sigma_forecast: number;
+    z_alpha: number;
+    regime_probabilities: number[];
+    distribution: string;
+}, {
+    confidence: number;
+    timestamp: string;
+    var_value: number;
+    sigma_forecast: number;
+    z_alpha: number;
+    regime_probabilities: number[];
+    distribution: string;
+}>;
+export declare const RegimeResponseSchema: z.ZodObject<{
+    timestamp: z.ZodString;
+    regime_state: z.ZodNumber;
+    regime_name: z.ZodString;
+    regime_probabilities: z.ZodArray<z.ZodNumber, "many">;
+    volatility_filtered: z.ZodNumber;
+    volatility_forecast: z.ZodNumber;
+    var_95: z.ZodNumber;
+    transition_matrix: z.ZodArray<z.ZodArray<z.ZodNumber, "many">, "many">;
+}, "strip", z.ZodTypeAny, {
+    regime_state: number;
+    timestamp: string;
+    regime_probabilities: number[];
+    regime_name: string;
+    volatility_filtered: number;
+    volatility_forecast: number;
+    var_95: number;
+    transition_matrix: number[][];
+}, {
+    regime_state: number;
+    timestamp: string;
+    regime_probabilities: number[];
+    regime_name: string;
+    volatility_filtered: number;
+    volatility_forecast: number;
+    var_95: number;
+    transition_matrix: number[][];
+}>;
+export interface RiskEngineConfig {
+    baseUrl: string;
+    timeout?: number;
+    retries?: number;
+    retryDelay?: number;
+    circuitBreakerThreshold?: number;
+    circuitBreakerResetMs?: number;
+    validateResponses?: boolean;
+}
+//# sourceMappingURL=types.d.ts.map