@insiderfinance/totalfinance/fixed-income/lattice

interface

BermudanSwaptionResult

Public declaration. Read the signature and parameter/member contracts below; no additional behavior is inferred.

export interface BermudanSwaptionResult {
    /** Option value, scaled by `notional`. */
    price: number;
    /** The exercise schedule actually used, sorted ascending from the valuation date. */
    exerciseDates: string[];
    /** Applied conventions and model knobs, echoed (Law 2 report grammar). */
    assumptions: {
        conventionsVersion: string;
        model: 'hull-white';
        dayCount: 'ACT/365F';
        settlementDate: string;
        stepsPerYear: number;
        meanReversion: number;
        sigma: number;
        fixedFrequency: Frequency;
        fixedDayCount: FixedIncomeDayCount;
        notional: number;
    };
    /** Honest computation report: the lattice method behind the price (Law 2 report grammar). */
    diagnostics: Diagnostics;
}

Fields, parameters & returned members (31)

Name / type	Meaning & unit	Optional / default
`assumptions` `{ conventionsVersion: string; dayCount: 'ACT/365F'; fixedDayCount: FixedIncomeDayCount; fixedFrequency: Frequency; meanReversion: number; model: 'hull-white'; notional: number; settlementDate: string; sigma: number; stepsPerYear: number; }`	Applied conventions and model knobs, echoed (Law 2 report grammar). unitless by name	Required / declared member No @default declared; consult the signature and description.
`assumptions.conventionsVersion` `string`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`assumptions.dayCount` `'ACT/365F'`	count (integer)	Required / declared member No @default declared; consult the signature and description.
`assumptions.fixedDayCount` `FixedIncomeDayCount`	count (integer)	Required / declared member No @default declared; consult the signature and description.
`assumptions.fixedFrequency` `Frequency`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`assumptions.meanReversion` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`assumptions.model` `'hull-white'`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`assumptions.notional` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`assumptions.settlementDate` `string`	calendar date (YYYY-MM-DD)	Required / declared member No @default declared; consult the signature and description.
`assumptions.sigma` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`assumptions.stepsPerYear` `number`	per year (count)	Required / declared member No @default declared; consult the signature and description.
`diagnostics` `Diagnostics`	Honest computation report: the lattice method behind the price (Law 2 report grammar). unitless by name	Required / declared member No @default declared; consult the signature and description.
`diagnostics.autoReason` `string`	When a meta-engine (e.g. `engines.auto()`) selected a delegate, this is a one-sentence, human-readable explanation of WHY that delegate was chosen (`engine` then names the delegate). Absent when no auto-selection took place. unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.converged` `boolean`	Whether an iterative procedure converged. `false` means the value is not trustworthy. unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.decomposition` `Record<string, number>`	Named intermediate quantities the value decomposes into — a par spread's protection leg and risky annuity, a forward variance's near/far legs. The H-series explain paths disclose their arithmetic here so a caller can audit the ratio, not just receive it (3B.3). unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.engine` `string`	Pricing/solver engine name, e.g. `black-scholes-merton`. unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.finiteDifferenceBumps` `Record<string, number>`	Finite-difference engines: the ACTUAL bump sizes used for FD Greeks (spec P2.3) — adaptive near the vol/time boundaries, so the caller can see exactly what was differenced. Keys: `spotStep`, `volatilityStep`, `timeStepYears`, `rateStep`, and — extended Greeks only — `dividendYieldStep`. Each is the actual step differenced, in the unit of the coordinate it bumps. (This doc named the retired `hS`/`hSig`/`hT`/`hR`/`hQ` keys for one release after the emit sites had moved to the semantic names, so a caller following it read `undefined`.) unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.iterations` `number`	Iteration count for iterative methods. unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.method` `string`	Numerical method, e.g. `closed-form`, `brent`, `finite-difference`. unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.selection` `import('@insiderfinance/totalfinance/core/pricing').SelectionReport`	The structured engine-selection report (Gate C, `@insiderfinance/totalfinance/core/pricing`): who was selected, why, and — for automatic selection — every candidate considered with its verdict. This is the machine-readable superset of `engine` + `autoReason` (which remain for compatibility); `selected.name` always agrees with `engine` when both are present. unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.selection.candidates` `readonly import('@insiderfinance/totalfinance/core/pricing').SelectionCandidate[]`	Candidates an automatic selection considered; absent for explicit mode. unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.selection.mode` `'explicit' \| 'automatic'`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`diagnostics.selection.reason` `string`	Why the selected engine answers this request. unitless by name	Required / declared member No @default declared; consult the signature and description.
`diagnostics.selection.selected` `{ name: string; version?: string; }`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`diagnostics.selection.selected.name` `string`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`diagnostics.selection.selected.version` `string`	unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.timingMs` `number`	Wall-clock timing in milliseconds, when measured. milliseconds	Optional No @default declared; consult the signature and description.
`diagnostics.warmup` `number`	Series facades: number of leading output slots that are warmup sentinels (null/NaN) while the computation seeds. Equals the input length when the indicator never emitted. unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.warnings` `import('@insiderfinance/totalfinance/core').QuantWarning[]`	Structured warnings; always present (possibly empty). unitless by name	Required / declared member No @default declared; consult the signature and description.
`exerciseDates` `string[]`	The exercise schedule actually used, sorted ascending from the valuation date. unitless by name	Required / declared member No @default declared; consult the signature and description.
`price` `number`	Option value, scaled by `notional`. unitless by name	Required / declared member No @default declared; consult the signature and description.

Stability, warnings & conventions

stable-by-law (pre-1.0; not a 1.0 stability guarantee)

Declared field units are shown above. “Unitless by name” means the name alone does not establish a unit, not that a financial quantity has none. Check source descriptions, conventions, and the returned diagnostics. Errors and warnings are part of the result contract.

interface

BermudanSwaptionSpecification

Public declaration. Read the signature and parameter/member contracts below; no additional behavior is inferred.

// ───────────────────────── Bermudan swaptions ─────────────────────────
export interface BermudanSwaptionSpecification {
    /** Discount/forecast curve (single-curve); its reference date is the valuation date. */
    curve: YieldCurve;
    /** Underlying swap maturity. */
    maturityDate: string;
    /** Fixed rate of the underlying swap. */
    fixedRate: number;
    /** `payer` = option to pay fixed; `receiver` = option to receive fixed. */
    optionType: 'payer' | 'receiver';
    /** Dates on which the holder may exercise into the swap (each is a swap start). */
    exerciseDates: string[];
    /** Fixed-leg frequency (default semiannual). */
    fixedFrequency?: Frequency;
    /** Fixed-leg day count (default `30/360`). */
    fixedDayCount?: FixedIncomeDayCount;
    /** Mean reversion and short-rate vol. */
    meanReversion: number;
    sigma: number;
    notional?: number;
    /** Tree steps per year (default 24, hard outer maximum 1,000,000; total-tree cap may be lower). */
    stepsPerYear?: number;
}

Fields, parameters & returned members (38)

Name / type	Meaning & unit	Optional / default
`curve` `YieldCurve`	Discount/forecast curve (single-curve); its reference date is the valuation date. unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.addSpread` `(spread: YieldCurve) => YieldCurve`	Combine with a term-structure spread curve: the continuous zeros ADD at each tenor (equivalently discount factors multiply, `D(t)·D_spread(t)`). Unions both curves' pillar tenors so the spread's shape — not just a level — is preserved. Used to discount over `benchmark + spread` (e.g. OIS + a sector/rating spread) while keeping curve construction out of leaf entrypoints. unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.addSpread(spread)` `YieldCurve`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.bumpPillar` `(index: number, delta: number) => YieldCurve`	Bump a single pillar's continuous zero by `delta` (key-rate risk). unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.bumpPillar(delta)` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.bumpPillar(index)` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.dayCount` `FixedIncomeDayCount`	count (integer)	Required / declared member No @default declared; consult the signature and description.
`curve.discount` `(at: string \| number) => number`	Discount factor to a date or year fraction. unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.discount(at)` `string \| number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.extrapolation` `import('@insiderfinance/totalfinance/fixed-income').CurveExtrapolation`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.forwardRate` `(from: string \| number, to: string \| number, dayCount?: FixedIncomeDayCount) => number`	Simple (money-market) forward rate between two times/dates under `dayCount`. decimal rate (0.05 = 5%)	Required / declared member No @default declared; consult the signature and description.
`curve.forwardRate(dayCount)` `FixedIncomeDayCount \| undefined`	unitless by name	Optional No @default declared; consult the signature and description.
`curve.forwardRate(from)` `string \| number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.forwardRate(to)` `string \| number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.instantaneousForward` `(at: string \| number) => number`	Instantaneous (continuously-compounded) forward rate at a time/date. unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.instantaneousForward(at)` `string \| number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.interpolation` `import('@insiderfinance/totalfinance/fixed-income').CurveInterpolation`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.pillars` `readonly import('@insiderfinance/totalfinance/fixed-income').CurvePillar[]`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.referenceDate` `string`	calendar date (YYYY-MM-DD)	Required / declared member No @default declared; consult the signature and description.
`curve.shift` `(delta: number) => YieldCurve`	Parallel shift of every pillar's continuous zero by `delta` (e.g. +0.0001 = +1bp). unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.shift(delta)` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.timeTo` `(at: string \| number) => number`	Year fraction from the reference date to a date (or pass a number through unchanged). unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.timeTo(at)` `string \| number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.zeroRate` `(at: string \| number, compounding?: import('@insiderfinance/totalfinance/core').InterestCompounding) => number`	Zero rate to a date or year fraction, in the requested compounding (default continuous). decimal rate (0.05 = 5%)	Required / declared member No @default declared; consult the signature and description.
`curve.zeroRate(at)` `string \| number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.zeroRate(compounding)` `import('@insiderfinance/totalfinance/core').InterestCompounding \| undefined`	unitless by name	Optional No @default declared; consult the signature and description.
`curve.zeroRate(compounding).periodsPerYear` `number`	per year (count)	Required / declared member No @default declared; consult the signature and description.
`curve.zeroRate(compounding).type` `'periodic'`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`exerciseDates` `string[]`	Dates on which the holder may exercise into the swap (each is a swap start). unitless by name	Required / declared member No @default declared; consult the signature and description.
`fixedDayCount` `FixedIncomeDayCount`	Fixed-leg day count (default `30/360`). count (integer)	Optional No @default declared; consult the signature and description.
`fixedFrequency` `Frequency`	Fixed-leg frequency (default semiannual). unitless by name	Optional No @default declared; consult the signature and description.
`fixedRate` `number`	Fixed rate of the underlying swap. decimal rate (0.05 = 5%)	Required / declared member No @default declared; consult the signature and description.
`maturityDate` `string`	Underlying swap maturity. calendar date (YYYY-MM-DD)	Required / declared member No @default declared; consult the signature and description.
`meanReversion` `number`	Mean reversion and short-rate vol. unitless by name	Required / declared member No @default declared; consult the signature and description.
`notional` `number`	unitless by name	Optional No @default declared; consult the signature and description.
`optionType` `'payer' \| 'receiver'`	`payer` = option to pay fixed; `receiver` = option to receive fixed. unitless by name	Required / declared member No @default declared; consult the signature and description.
`sigma` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`stepsPerYear` `number`	Tree steps per year (default 24, hard outer maximum 1,000,000; total-tree cap may be lower). per year (count)	Optional No @default declared; consult the signature and description.

Stability, warnings & conventions

stable-by-law (pre-1.0; not a 1.0 stability guarantee)

interface

BondOption

Public declaration. Read the signature and parameter/member contracts below; no additional behavior is inferred.

// ───────────────────────── callable / putable bonds ─────────────────────────
export interface BondOption {
    /** Option date (issuer call / holder put opportunity). */
    date: string;
    /** Strike (clean redemption price per the bond's face value, e.g. 102). */
    price: number;
}

Fields, parameters & returned members (2)

Name / type	Meaning & unit	Optional / default
`date` `string`	Option date (issuer call / holder put opportunity). unitless by name	Required / declared member No @default declared; consult the signature and description.
`price` `number`	Strike (clean redemption price per the bond's face value, e.g. 102). unitless by name	Required / declared member No @default declared; consult the signature and description.

Stability, warnings & conventions

stable-by-law (pre-1.0; not a 1.0 stability guarantee)

interface

CallableBondResult

Public declaration. Read the signature and parameter/member contracts below; no additional behavior is inferred.

export interface CallableBondResult {
    /** Model dirty price including the embedded option(s). */
    price: number;
    /** Model dirty price of the otherwise-identical straight bond (no embedded options). */
    straightPrice: number;
    /** Value of the embedded option(s): `straightPrice − price` (positive for a callable). */
    optionValue: number;
    /** Effective duration from a ±1bp parallel curve shock (re-trees each side). */
    effectiveDuration: number;
    /** Option-adjusted spread (parallel curve shift repricing the model to `marketPrice`); present only when `marketPrice` is supplied. */
    oas?: number;
    /** Applied conventions and model knobs, echoed (R2). */
    assumptions: {
        conventionsVersion: string;
        dayCount: 'ACT/365F';
        settlementDate: string;
        model: TreeModel;
        stepsPerYear: number;
        meanReversion: number;
        sigma: number;
    };
    /** Honest computation report: the lattice method, and the OAS root-find when one ran (R2). */
    diagnostics: Diagnostics;
}

Fields, parameters & returned members (31)

Name / type	Meaning & unit	Optional / default
`assumptions` `{ conventionsVersion: string; dayCount: 'ACT/365F'; meanReversion: number; model: TreeModel; settlementDate: string; sigma: number; stepsPerYear: number; }`	Applied conventions and model knobs, echoed (R2). unitless by name	Required / declared member No @default declared; consult the signature and description.
`assumptions.conventionsVersion` `string`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`assumptions.dayCount` `'ACT/365F'`	count (integer)	Required / declared member No @default declared; consult the signature and description.
`assumptions.meanReversion` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`assumptions.model` `TreeModel`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`assumptions.settlementDate` `string`	calendar date (YYYY-MM-DD)	Required / declared member No @default declared; consult the signature and description.
`assumptions.sigma` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`assumptions.stepsPerYear` `number`	per year (count)	Required / declared member No @default declared; consult the signature and description.
`diagnostics` `Diagnostics`	Honest computation report: the lattice method, and the OAS root-find when one ran (R2). unitless by name	Required / declared member No @default declared; consult the signature and description.
`diagnostics.autoReason` `string`	When a meta-engine (e.g. `engines.auto()`) selected a delegate, this is a one-sentence, human-readable explanation of WHY that delegate was chosen (`engine` then names the delegate). Absent when no auto-selection took place. unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.converged` `boolean`	Whether an iterative procedure converged. `false` means the value is not trustworthy. unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.decomposition` `Record<string, number>`	Named intermediate quantities the value decomposes into — a par spread's protection leg and risky annuity, a forward variance's near/far legs. The H-series explain paths disclose their arithmetic here so a caller can audit the ratio, not just receive it (3B.3). unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.engine` `string`	Pricing/solver engine name, e.g. `black-scholes-merton`. unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.finiteDifferenceBumps` `Record<string, number>`	Finite-difference engines: the ACTUAL bump sizes used for FD Greeks (spec P2.3) — adaptive near the vol/time boundaries, so the caller can see exactly what was differenced. Keys: `spotStep`, `volatilityStep`, `timeStepYears`, `rateStep`, and — extended Greeks only — `dividendYieldStep`. Each is the actual step differenced, in the unit of the coordinate it bumps. (This doc named the retired `hS`/`hSig`/`hT`/`hR`/`hQ` keys for one release after the emit sites had moved to the semantic names, so a caller following it read `undefined`.) unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.iterations` `number`	Iteration count for iterative methods. unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.method` `string`	Numerical method, e.g. `closed-form`, `brent`, `finite-difference`. unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.selection` `import('@insiderfinance/totalfinance/core/pricing').SelectionReport`	The structured engine-selection report (Gate C, `@insiderfinance/totalfinance/core/pricing`): who was selected, why, and — for automatic selection — every candidate considered with its verdict. This is the machine-readable superset of `engine` + `autoReason` (which remain for compatibility); `selected.name` always agrees with `engine` when both are present. unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.selection.candidates` `readonly import('@insiderfinance/totalfinance/core/pricing').SelectionCandidate[]`	Candidates an automatic selection considered; absent for explicit mode. unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.selection.mode` `'explicit' \| 'automatic'`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`diagnostics.selection.reason` `string`	Why the selected engine answers this request. unitless by name	Required / declared member No @default declared; consult the signature and description.
`diagnostics.selection.selected` `{ name: string; version?: string; }`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`diagnostics.selection.selected.name` `string`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`diagnostics.selection.selected.version` `string`	unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.timingMs` `number`	Wall-clock timing in milliseconds, when measured. milliseconds	Optional No @default declared; consult the signature and description.
`diagnostics.warmup` `number`	Series facades: number of leading output slots that are warmup sentinels (null/NaN) while the computation seeds. Equals the input length when the indicator never emitted. unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.warnings` `import('@insiderfinance/totalfinance/core').QuantWarning[]`	Structured warnings; always present (possibly empty). unitless by name	Required / declared member No @default declared; consult the signature and description.
`effectiveDuration` `number`	Effective duration from a ±1bp parallel curve shock (re-trees each side). unitless by name	Required / declared member No @default declared; consult the signature and description.
`oas` `number`	Option-adjusted spread (parallel curve shift repricing the model to `marketPrice`); present only when `marketPrice` is supplied. unitless by name	Optional No @default declared; consult the signature and description.
`optionValue` `number`	Value of the embedded option(s): `straightPrice − price` (positive for a callable). currency amount (the field or record currency)	Required / declared member No @default declared; consult the signature and description.
`price` `number`	Model dirty price including the embedded option(s). unitless by name	Required / declared member No @default declared; consult the signature and description.
`straightPrice` `number`	Model dirty price of the otherwise-identical straight bond (no embedded options). currency amount (the field or record currency)	Required / declared member No @default declared; consult the signature and description.

Stability, warnings & conventions

stable-by-law (pre-1.0; not a 1.0 stability guarantee)

interface

CallableBondSpecification

Public declaration. Read the signature and parameter/member contracts below; no additional behavior is inferred.

export interface CallableBondSpecification {
    bond: Bond;
    /** Calibration/discount curve (its reference date is the valuation date). */
    curve: YieldCurve;
    /** Mean reversion and short-rate volatility for the tree model. */
    meanReversion: number;
    sigma: number;
    /** Tree model (default `hull-white`). */
    model?: TreeModel;
    /** Issuer call schedule (caps the bond's value at each strike). */
    calls?: BondOption[];
    /** Holder put schedule (floors the bond's value at each strike). */
    puts?: BondOption[];
    /** Tree steps per year (default 24, hard outer maximum 1,000,000; total-tree cap may be lower). */
    stepsPerYear?: number;
    /** Market dirty price; when given, the result includes the option-adjusted spread. */
    marketPrice?: number;
}

Fields, parameters & returned members (62)

Name / type	Meaning & unit	Optional / default
`bond` `Bond`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`bond.accrued` `(settlementDate: string, context?: import('@insiderfinance/totalfinance/fixed-income').ProjectionContext) => number`	Accrued interest at `settlementDate` (per the bond's face value). unitless by name	Required / declared member No @default declared; consult the signature and description.
`bond.accrued(context)` `import('@insiderfinance/totalfinance/fixed-income').ProjectionContext \| undefined`	unitless by name	Optional No @default declared; consult the signature and description.
`bond.accrued(context).forecastCurve` `YieldCurve`	Forecast curve for projecting floating-rate coupons. unitless by name	Optional No @default declared; consult the signature and description.
`bond.accrued(context).knownFixingRate` `number`	The index fixing (decimal, e.g. `0.0532` for 5.32%) that ALREADY SET the coupon currently accruing on a floating-rate note — the one whose accrual period began before the forecast curve's reference date. A settled-mid-period FRN has one coupon that is no longer a projection: it was fixed in the past, on a date the curve does not reach. Asking the curve for it is a query before its reference date, which throws. Supply the observed fixing (SOFR/EURIBOR print for that reset) and it is used verbatim for that one coupon; every later coupon still projects off the curve. The note's quoted `spread` is added on top, exactly as for a projected coupon. Only the in-progress coupon is substituted. Coupons that both began AND ended before the curve's reference date are settled history, not projections — one fixing cannot honestly stand in for a whole strip of past resets, so those are rejected rather than fabricated. decimal rate (0.05 = 5%)	Optional No @default declared; consult the signature and description.
`bond.accrued(context).referenceIndex` `(date: string) => number`	Price-index level at a date, for inflation-linked indexation. count (integer)	Optional No @default declared; consult the signature and description.
`bond.accrued(settlementDate)` `string`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`bond.businessDayConvention` `import('@insiderfinance/totalfinance/fixed-income').BusinessDayConvention`	Business-day convention applied when the payment schedule was generated. unitless by name	Required / declared member No @default declared; consult the signature and description.
`bond.cashflows` `(context?: import('@insiderfinance/totalfinance/fixed-income').ProjectionContext) => import('@insiderfinance/totalfinance/fixed-income').CashFlow[]`	Every life cash flow (projected via `context` for FRN/inflation). unitless by name	Required / declared member No @default declared; consult the signature and description.
`bond.cashflows(context)` `import('@insiderfinance/totalfinance/fixed-income').ProjectionContext \| undefined`	unitless by name	Optional No @default declared; consult the signature and description.
`bond.cashflows(context).forecastCurve` `YieldCurve`	Forecast curve for projecting floating-rate coupons. unitless by name	Optional No @default declared; consult the signature and description.
`bond.cashflows(context).knownFixingRate` `number`	The index fixing (decimal, e.g. `0.0532` for 5.32%) that ALREADY SET the coupon currently accruing on a floating-rate note — the one whose accrual period began before the forecast curve's reference date. A settled-mid-period FRN has one coupon that is no longer a projection: it was fixed in the past, on a date the curve does not reach. Asking the curve for it is a query before its reference date, which throws. Supply the observed fixing (SOFR/EURIBOR print for that reset) and it is used verbatim for that one coupon; every later coupon still projects off the curve. The note's quoted `spread` is added on top, exactly as for a projected coupon. Only the in-progress coupon is substituted. Coupons that both began AND ended before the curve's reference date are settled history, not projections — one fixing cannot honestly stand in for a whole strip of past resets, so those are rejected rather than fabricated. decimal rate (0.05 = 5%)	Optional No @default declared; consult the signature and description.
`bond.cashflows(context).referenceIndex` `(date: string) => number`	Price-index level at a date, for inflation-linked indexation. count (integer)	Optional No @default declared; consult the signature and description.
`bond.couponRate` `number`	decimal rate (0.05 = 5%)	Required / declared member No @default declared; consult the signature and description.
`bond.dayCount` `FixedIncomeDayCount`	count (integer)	Required / declared member No @default declared; consult the signature and description.
`bond.faceValue` `number`	currency amount (the field or record currency)	Required / declared member No @default declared; consult the signature and description.
`bond.frequency` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`bond.futureCashflows` `(settlementDate: string, context?: import('@insiderfinance/totalfinance/fixed-income').ProjectionContext) => import('@insiderfinance/totalfinance/fixed-income').CashFlow[]`	Cash flows strictly after `settlementDate` — what a buyer settling then receives. unitless by name	Required / declared member No @default declared; consult the signature and description.
`bond.futureCashflows(context)` `import('@insiderfinance/totalfinance/fixed-income').ProjectionContext \| undefined`	unitless by name	Optional No @default declared; consult the signature and description.
`bond.futureCashflows(context).forecastCurve` `YieldCurve`	Forecast curve for projecting floating-rate coupons. unitless by name	Optional No @default declared; consult the signature and description.
`bond.futureCashflows(context).knownFixingRate` `number`	The index fixing (decimal, e.g. `0.0532` for 5.32%) that ALREADY SET the coupon currently accruing on a floating-rate note — the one whose accrual period began before the forecast curve's reference date. A settled-mid-period FRN has one coupon that is no longer a projection: it was fixed in the past, on a date the curve does not reach. Asking the curve for it is a query before its reference date, which throws. Supply the observed fixing (SOFR/EURIBOR print for that reset) and it is used verbatim for that one coupon; every later coupon still projects off the curve. The note's quoted `spread` is added on top, exactly as for a projected coupon. Only the in-progress coupon is substituted. Coupons that both began AND ended before the curve's reference date are settled history, not projections — one fixing cannot honestly stand in for a whole strip of past resets, so those are rejected rather than fabricated. decimal rate (0.05 = 5%)	Optional No @default declared; consult the signature and description.
`bond.futureCashflows(context).referenceIndex` `(date: string) => number`	Price-index level at a date, for inflation-linked indexation. count (integer)	Optional No @default declared; consult the signature and description.
`bond.futureCashflows(settlementDate)` `string`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`bond.issueDate` `string`	calendar date (YYYY-MM-DD)	Required / declared member No @default declared; consult the signature and description.
`bond.kind` `import('@insiderfinance/totalfinance/fixed-income').BondKind`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`bond.maturityDate` `string`	calendar date (YYYY-MM-DD)	Required / declared member No @default declared; consult the signature and description.
`bond.schedule` `readonly import('@insiderfinance/totalfinance/fixed-income').SchedulePeriod[]`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`calls` `BondOption[]`	Issuer call schedule (caps the bond's value at each strike). unitless by name	Optional No @default declared; consult the signature and description.
`curve` `YieldCurve`	Calibration/discount curve (its reference date is the valuation date). unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.addSpread` `(spread: YieldCurve) => YieldCurve`	Combine with a term-structure spread curve: the continuous zeros ADD at each tenor (equivalently discount factors multiply, `D(t)·D_spread(t)`). Unions both curves' pillar tenors so the spread's shape — not just a level — is preserved. Used to discount over `benchmark + spread` (e.g. OIS + a sector/rating spread) while keeping curve construction out of leaf entrypoints. unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.addSpread(spread)` `YieldCurve`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.bumpPillar` `(index: number, delta: number) => YieldCurve`	Bump a single pillar's continuous zero by `delta` (key-rate risk). unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.bumpPillar(delta)` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.bumpPillar(index)` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.dayCount` `FixedIncomeDayCount`	count (integer)	Required / declared member No @default declared; consult the signature and description.
`curve.discount` `(at: string \| number) => number`	Discount factor to a date or year fraction. unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.discount(at)` `string \| number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.extrapolation` `import('@insiderfinance/totalfinance/fixed-income').CurveExtrapolation`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.forwardRate` `(from: string \| number, to: string \| number, dayCount?: FixedIncomeDayCount) => number`	Simple (money-market) forward rate between two times/dates under `dayCount`. decimal rate (0.05 = 5%)	Required / declared member No @default declared; consult the signature and description.
`curve.forwardRate(dayCount)` `FixedIncomeDayCount \| undefined`	unitless by name	Optional No @default declared; consult the signature and description.
`curve.forwardRate(from)` `string \| number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.forwardRate(to)` `string \| number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.instantaneousForward` `(at: string \| number) => number`	Instantaneous (continuously-compounded) forward rate at a time/date. unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.instantaneousForward(at)` `string \| number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.interpolation` `import('@insiderfinance/totalfinance/fixed-income').CurveInterpolation`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.pillars` `readonly import('@insiderfinance/totalfinance/fixed-income').CurvePillar[]`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.referenceDate` `string`	calendar date (YYYY-MM-DD)	Required / declared member No @default declared; consult the signature and description.
`curve.shift` `(delta: number) => YieldCurve`	Parallel shift of every pillar's continuous zero by `delta` (e.g. +0.0001 = +1bp). unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.shift(delta)` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.timeTo` `(at: string \| number) => number`	Year fraction from the reference date to a date (or pass a number through unchanged). unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.timeTo(at)` `string \| number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.zeroRate` `(at: string \| number, compounding?: import('@insiderfinance/totalfinance/core').InterestCompounding) => number`	Zero rate to a date or year fraction, in the requested compounding (default continuous). decimal rate (0.05 = 5%)	Required / declared member No @default declared; consult the signature and description.
`curve.zeroRate(at)` `string \| number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.zeroRate(compounding)` `import('@insiderfinance/totalfinance/core').InterestCompounding \| undefined`	unitless by name	Optional No @default declared; consult the signature and description.
`curve.zeroRate(compounding).periodsPerYear` `number`	per year (count)	Required / declared member No @default declared; consult the signature and description.
`curve.zeroRate(compounding).type` `'periodic'`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`marketPrice` `number`	Market dirty price; when given, the result includes the option-adjusted spread. currency amount (the field or record currency)	Optional No @default declared; consult the signature and description.
`meanReversion` `number`	Mean reversion and short-rate volatility for the tree model. unitless by name	Required / declared member No @default declared; consult the signature and description.
`model` `TreeModel`	Tree model (default `hull-white`). unitless by name	Optional No @default declared; consult the signature and description.
`puts` `BondOption[]`	Holder put schedule (floors the bond's value at each strike). unitless by name	Optional No @default declared; consult the signature and description.
`sigma` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`stepsPerYear` `number`	Tree steps per year (default 24, hard outer maximum 1,000,000; total-tree cap may be lower). per year (count)	Optional No @default declared; consult the signature and description.

Stability, warnings & conventions

stable-by-law (pre-1.0; not a 1.0 stability guarantee)

interface

OasAnalyticsResult

Public declaration. Read the signature and parameter/member contracts below; no additional behavior is inferred.

export interface OasAnalyticsResult {
    /** Parallel curve shift repricing the callable model to `marketPrice` (decimal; ×1e4 = bps). */
    oas: number;
    /** Zero-volatility spread on the same lattice's straight leg (decimal). */
    zSpread: number;
    /** `zSpread − oas` (decimal) — the embedded-option cost. Positive callable / negative putable. */
    optionCost: number;
    /** OAS-consistent effective duration (curve shocked ±`durationShock` at constant OAS). */
    effectiveDuration: number;
    /** OAS-consistent effective convexity. */
    effectiveConvexity: number;
    /** The no-spread lattice model price (the gap `marketPrice − modelPrice` is what the OAS explains). */
    modelPrice: number;
    marketPrice: number;
    assumptions: CallableBondResult['assumptions'];
    diagnostics: Diagnostics;
}

Fields, parameters & returned members (33)

Name / type	Meaning & unit	Optional / default
`assumptions` `{ conventionsVersion: string; dayCount: 'ACT/365F'; meanReversion: number; model: TreeModel; settlementDate: string; sigma: number; stepsPerYear: number; }`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`assumptions.conventionsVersion` `string`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`assumptions.dayCount` `'ACT/365F'`	count (integer)	Required / declared member No @default declared; consult the signature and description.
`assumptions.meanReversion` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`assumptions.model` `TreeModel`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`assumptions.settlementDate` `string`	calendar date (YYYY-MM-DD)	Required / declared member No @default declared; consult the signature and description.
`assumptions.sigma` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`assumptions.stepsPerYear` `number`	per year (count)	Required / declared member No @default declared; consult the signature and description.
`diagnostics` `Diagnostics`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`diagnostics.autoReason` `string`	When a meta-engine (e.g. `engines.auto()`) selected a delegate, this is a one-sentence, human-readable explanation of WHY that delegate was chosen (`engine` then names the delegate). Absent when no auto-selection took place. unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.converged` `boolean`	Whether an iterative procedure converged. `false` means the value is not trustworthy. unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.decomposition` `Record<string, number>`	Named intermediate quantities the value decomposes into — a par spread's protection leg and risky annuity, a forward variance's near/far legs. The H-series explain paths disclose their arithmetic here so a caller can audit the ratio, not just receive it (3B.3). unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.engine` `string`	Pricing/solver engine name, e.g. `black-scholes-merton`. unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.finiteDifferenceBumps` `Record<string, number>`	Finite-difference engines: the ACTUAL bump sizes used for FD Greeks (spec P2.3) — adaptive near the vol/time boundaries, so the caller can see exactly what was differenced. Keys: `spotStep`, `volatilityStep`, `timeStepYears`, `rateStep`, and — extended Greeks only — `dividendYieldStep`. Each is the actual step differenced, in the unit of the coordinate it bumps. (This doc named the retired `hS`/`hSig`/`hT`/`hR`/`hQ` keys for one release after the emit sites had moved to the semantic names, so a caller following it read `undefined`.) unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.iterations` `number`	Iteration count for iterative methods. unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.method` `string`	Numerical method, e.g. `closed-form`, `brent`, `finite-difference`. unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.selection` `import('@insiderfinance/totalfinance/core/pricing').SelectionReport`	The structured engine-selection report (Gate C, `@insiderfinance/totalfinance/core/pricing`): who was selected, why, and — for automatic selection — every candidate considered with its verdict. This is the machine-readable superset of `engine` + `autoReason` (which remain for compatibility); `selected.name` always agrees with `engine` when both are present. unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.selection.candidates` `readonly import('@insiderfinance/totalfinance/core/pricing').SelectionCandidate[]`	Candidates an automatic selection considered; absent for explicit mode. unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.selection.mode` `'explicit' \| 'automatic'`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`diagnostics.selection.reason` `string`	Why the selected engine answers this request. unitless by name	Required / declared member No @default declared; consult the signature and description.
`diagnostics.selection.selected` `{ name: string; version?: string; }`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`diagnostics.selection.selected.name` `string`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`diagnostics.selection.selected.version` `string`	unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.timingMs` `number`	Wall-clock timing in milliseconds, when measured. milliseconds	Optional No @default declared; consult the signature and description.
`diagnostics.warmup` `number`	Series facades: number of leading output slots that are warmup sentinels (null/NaN) while the computation seeds. Equals the input length when the indicator never emitted. unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.warnings` `import('@insiderfinance/totalfinance/core').QuantWarning[]`	Structured warnings; always present (possibly empty). unitless by name	Required / declared member No @default declared; consult the signature and description.
`effectiveConvexity` `number`	OAS-consistent effective convexity. unitless by name	Required / declared member No @default declared; consult the signature and description.
`effectiveDuration` `number`	OAS-consistent effective duration (curve shocked ±`durationShock` at constant OAS). unitless by name	Required / declared member No @default declared; consult the signature and description.
`marketPrice` `number`	currency amount (the field or record currency)	Required / declared member No @default declared; consult the signature and description.
`modelPrice` `number`	The no-spread lattice model price (the gap `marketPrice − modelPrice` is what the OAS explains). currency amount (the field or record currency)	Required / declared member No @default declared; consult the signature and description.
`oas` `number`	Parallel curve shift repricing the callable model to `marketPrice` (decimal; ×1e4 = bps). unitless by name	Required / declared member No @default declared; consult the signature and description.
`optionCost` `number`	`zSpread − oas` (decimal) — the embedded-option cost. Positive callable / negative putable. currency amount (the field or record currency)	Required / declared member No @default declared; consult the signature and description.
`zSpread` `number`	Zero-volatility spread on the same lattice's straight leg (decimal). unitless by name	Required / declared member No @default declared; consult the signature and description.

Stability, warnings & conventions

stable-by-law (pre-1.0; not a 1.0 stability guarantee)

interface

OasAnalyticsSpecification

Public declaration. Read the signature and parameter/member contracts below; no additional behavior is inferred.

// ───────────────────────── OAS analytics ─────────────────────────
export interface OasAnalyticsSpecification extends Omit<CallableBondSpecification, 'marketPrice'> {
    /** Market dirty price the OAS and Z-spread are solved to. */
    marketPrice: number;
    /** Curve shock for the effective duration/convexity, in decimal. Default 1e-4 (1 bp). */
    durationShock?: number;
    /**
     * Optional term-structure spread curve added to `curve` before the spreads are solved. The effective
     * benchmark becomes `curve` + `spreadCurve` (continuous zeros add ⇔ discount factors multiply), so the
     * reported OAS and Z-spread are measured OVER a NON-FLAT benchmark — e.g. an OIS discount curve plus a
     * sector/rating spread curve — rather than the plain `curve`. Its zero rates ARE the spreads (build one
     * with `curves.fromZeroRates(spreadPillars)`); it must share `curve`'s reference date.
     */
    spreadCurve?: YieldCurve;
}

Fields, parameters & returned members (91)

Name / type	Meaning & unit	Optional / default
`bond` `Bond`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`bond.accrued` `(settlementDate: string, context?: import('@insiderfinance/totalfinance/fixed-income').ProjectionContext) => number`	Accrued interest at `settlementDate` (per the bond's face value). unitless by name	Required / declared member No @default declared; consult the signature and description.
`bond.accrued(context)` `import('@insiderfinance/totalfinance/fixed-income').ProjectionContext \| undefined`	unitless by name	Optional No @default declared; consult the signature and description.
`bond.accrued(context).forecastCurve` `YieldCurve`	Forecast curve for projecting floating-rate coupons. unitless by name	Optional No @default declared; consult the signature and description.
`bond.accrued(context).knownFixingRate` `number`	The index fixing (decimal, e.g. `0.0532` for 5.32%) that ALREADY SET the coupon currently accruing on a floating-rate note — the one whose accrual period began before the forecast curve's reference date. A settled-mid-period FRN has one coupon that is no longer a projection: it was fixed in the past, on a date the curve does not reach. Asking the curve for it is a query before its reference date, which throws. Supply the observed fixing (SOFR/EURIBOR print for that reset) and it is used verbatim for that one coupon; every later coupon still projects off the curve. The note's quoted `spread` is added on top, exactly as for a projected coupon. Only the in-progress coupon is substituted. Coupons that both began AND ended before the curve's reference date are settled history, not projections — one fixing cannot honestly stand in for a whole strip of past resets, so those are rejected rather than fabricated. decimal rate (0.05 = 5%)	Optional No @default declared; consult the signature and description.
`bond.accrued(context).referenceIndex` `(date: string) => number`	Price-index level at a date, for inflation-linked indexation. count (integer)	Optional No @default declared; consult the signature and description.
`bond.accrued(settlementDate)` `string`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`bond.businessDayConvention` `import('@insiderfinance/totalfinance/fixed-income').BusinessDayConvention`	Business-day convention applied when the payment schedule was generated. unitless by name	Required / declared member No @default declared; consult the signature and description.
`bond.cashflows` `(context?: import('@insiderfinance/totalfinance/fixed-income').ProjectionContext) => import('@insiderfinance/totalfinance/fixed-income').CashFlow[]`	Every life cash flow (projected via `context` for FRN/inflation). unitless by name	Required / declared member No @default declared; consult the signature and description.
`bond.cashflows(context)` `import('@insiderfinance/totalfinance/fixed-income').ProjectionContext \| undefined`	unitless by name	Optional No @default declared; consult the signature and description.
`bond.cashflows(context).forecastCurve` `YieldCurve`	Forecast curve for projecting floating-rate coupons. unitless by name	Optional No @default declared; consult the signature and description.
`bond.cashflows(context).knownFixingRate` `number`	The index fixing (decimal, e.g. `0.0532` for 5.32%) that ALREADY SET the coupon currently accruing on a floating-rate note — the one whose accrual period began before the forecast curve's reference date. A settled-mid-period FRN has one coupon that is no longer a projection: it was fixed in the past, on a date the curve does not reach. Asking the curve for it is a query before its reference date, which throws. Supply the observed fixing (SOFR/EURIBOR print for that reset) and it is used verbatim for that one coupon; every later coupon still projects off the curve. The note's quoted `spread` is added on top, exactly as for a projected coupon. Only the in-progress coupon is substituted. Coupons that both began AND ended before the curve's reference date are settled history, not projections — one fixing cannot honestly stand in for a whole strip of past resets, so those are rejected rather than fabricated. decimal rate (0.05 = 5%)	Optional No @default declared; consult the signature and description.
`bond.cashflows(context).referenceIndex` `(date: string) => number`	Price-index level at a date, for inflation-linked indexation. count (integer)	Optional No @default declared; consult the signature and description.
`bond.couponRate` `number`	decimal rate (0.05 = 5%)	Required / declared member No @default declared; consult the signature and description.
`bond.dayCount` `FixedIncomeDayCount`	count (integer)	Required / declared member No @default declared; consult the signature and description.
`bond.faceValue` `number`	currency amount (the field or record currency)	Required / declared member No @default declared; consult the signature and description.
`bond.frequency` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`bond.futureCashflows` `(settlementDate: string, context?: import('@insiderfinance/totalfinance/fixed-income').ProjectionContext) => import('@insiderfinance/totalfinance/fixed-income').CashFlow[]`	Cash flows strictly after `settlementDate` — what a buyer settling then receives. unitless by name	Required / declared member No @default declared; consult the signature and description.
`bond.futureCashflows(context)` `import('@insiderfinance/totalfinance/fixed-income').ProjectionContext \| undefined`	unitless by name	Optional No @default declared; consult the signature and description.
`bond.futureCashflows(context).forecastCurve` `YieldCurve`	Forecast curve for projecting floating-rate coupons. unitless by name	Optional No @default declared; consult the signature and description.
`bond.futureCashflows(context).knownFixingRate` `number`	The index fixing (decimal, e.g. `0.0532` for 5.32%) that ALREADY SET the coupon currently accruing on a floating-rate note — the one whose accrual period began before the forecast curve's reference date. A settled-mid-period FRN has one coupon that is no longer a projection: it was fixed in the past, on a date the curve does not reach. Asking the curve for it is a query before its reference date, which throws. Supply the observed fixing (SOFR/EURIBOR print for that reset) and it is used verbatim for that one coupon; every later coupon still projects off the curve. The note's quoted `spread` is added on top, exactly as for a projected coupon. Only the in-progress coupon is substituted. Coupons that both began AND ended before the curve's reference date are settled history, not projections — one fixing cannot honestly stand in for a whole strip of past resets, so those are rejected rather than fabricated. decimal rate (0.05 = 5%)	Optional No @default declared; consult the signature and description.
`bond.futureCashflows(context).referenceIndex` `(date: string) => number`	Price-index level at a date, for inflation-linked indexation. count (integer)	Optional No @default declared; consult the signature and description.
`bond.futureCashflows(settlementDate)` `string`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`bond.issueDate` `string`	calendar date (YYYY-MM-DD)	Required / declared member No @default declared; consult the signature and description.
`bond.kind` `import('@insiderfinance/totalfinance/fixed-income').BondKind`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`bond.maturityDate` `string`	calendar date (YYYY-MM-DD)	Required / declared member No @default declared; consult the signature and description.
`bond.schedule` `readonly import('@insiderfinance/totalfinance/fixed-income').SchedulePeriod[]`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`calls` `BondOption[]`	Issuer call schedule (caps the bond's value at each strike). unitless by name	Optional No @default declared; consult the signature and description.
`curve` `YieldCurve`	Calibration/discount curve (its reference date is the valuation date). unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.addSpread` `(spread: YieldCurve) => YieldCurve`	Combine with a term-structure spread curve: the continuous zeros ADD at each tenor (equivalently discount factors multiply, `D(t)·D_spread(t)`). Unions both curves' pillar tenors so the spread's shape — not just a level — is preserved. Used to discount over `benchmark + spread` (e.g. OIS + a sector/rating spread) while keeping curve construction out of leaf entrypoints. unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.addSpread(spread)` `YieldCurve`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.bumpPillar` `(index: number, delta: number) => YieldCurve`	Bump a single pillar's continuous zero by `delta` (key-rate risk). unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.bumpPillar(delta)` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.bumpPillar(index)` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.dayCount` `FixedIncomeDayCount`	count (integer)	Required / declared member No @default declared; consult the signature and description.
`curve.discount` `(at: string \| number) => number`	Discount factor to a date or year fraction. unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.discount(at)` `string \| number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.extrapolation` `import('@insiderfinance/totalfinance/fixed-income').CurveExtrapolation`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.forwardRate` `(from: string \| number, to: string \| number, dayCount?: FixedIncomeDayCount) => number`	Simple (money-market) forward rate between two times/dates under `dayCount`. decimal rate (0.05 = 5%)	Required / declared member No @default declared; consult the signature and description.
`curve.forwardRate(dayCount)` `FixedIncomeDayCount \| undefined`	unitless by name	Optional No @default declared; consult the signature and description.
`curve.forwardRate(from)` `string \| number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.forwardRate(to)` `string \| number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.instantaneousForward` `(at: string \| number) => number`	Instantaneous (continuously-compounded) forward rate at a time/date. unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.instantaneousForward(at)` `string \| number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.interpolation` `import('@insiderfinance/totalfinance/fixed-income').CurveInterpolation`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.pillars` `readonly import('@insiderfinance/totalfinance/fixed-income').CurvePillar[]`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.referenceDate` `string`	calendar date (YYYY-MM-DD)	Required / declared member No @default declared; consult the signature and description.
`curve.shift` `(delta: number) => YieldCurve`	Parallel shift of every pillar's continuous zero by `delta` (e.g. +0.0001 = +1bp). unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.shift(delta)` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.timeTo` `(at: string \| number) => number`	Year fraction from the reference date to a date (or pass a number through unchanged). unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.timeTo(at)` `string \| number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.zeroRate` `(at: string \| number, compounding?: import('@insiderfinance/totalfinance/core').InterestCompounding) => number`	Zero rate to a date or year fraction, in the requested compounding (default continuous). decimal rate (0.05 = 5%)	Required / declared member No @default declared; consult the signature and description.
`curve.zeroRate(at)` `string \| number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`curve.zeroRate(compounding)` `import('@insiderfinance/totalfinance/core').InterestCompounding \| undefined`	unitless by name	Optional No @default declared; consult the signature and description.
`curve.zeroRate(compounding).periodsPerYear` `number`	per year (count)	Required / declared member No @default declared; consult the signature and description.
`curve.zeroRate(compounding).type` `'periodic'`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`durationShock` `number`	Curve shock for the effective duration/convexity, in decimal. Default 1e-4 (1 bp). unitless by name	Optional No @default declared; consult the signature and description.
`marketPrice` `number`	Market dirty price the OAS and Z-spread are solved to. currency amount (the field or record currency)	Required / declared member No @default declared; consult the signature and description.
`meanReversion` `number`	Mean reversion and short-rate volatility for the tree model. unitless by name	Required / declared member No @default declared; consult the signature and description.
`model` `TreeModel`	Tree model (default `hull-white`). unitless by name	Optional No @default declared; consult the signature and description.
`puts` `BondOption[]`	Holder put schedule (floors the bond's value at each strike). unitless by name	Optional No @default declared; consult the signature and description.
`sigma` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`spreadCurve` `YieldCurve`	Optional term-structure spread curve added to `curve` before the spreads are solved. The effective benchmark becomes `curve` + `spreadCurve` (continuous zeros add ⇔ discount factors multiply), so the reported OAS and Z-spread are measured OVER a NON-FLAT benchmark — e.g. an OIS discount curve plus a sector/rating spread curve — rather than the plain `curve`. Its zero rates ARE the spreads (build one with `curves.fromZeroRates(spreadPillars)`); it must share `curve`'s reference date. unitless by name	Optional No @default declared; consult the signature and description.
`spreadCurve.addSpread` `(spread: YieldCurve) => YieldCurve`	Combine with a term-structure spread curve: the continuous zeros ADD at each tenor (equivalently discount factors multiply, `D(t)·D_spread(t)`). Unions both curves' pillar tenors so the spread's shape — not just a level — is preserved. Used to discount over `benchmark + spread` (e.g. OIS + a sector/rating spread) while keeping curve construction out of leaf entrypoints. unitless by name	Required / declared member No @default declared; consult the signature and description.
`spreadCurve.addSpread(spread)` `YieldCurve`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`spreadCurve.bumpPillar` `(index: number, delta: number) => YieldCurve`	Bump a single pillar's continuous zero by `delta` (key-rate risk). unitless by name	Required / declared member No @default declared; consult the signature and description.
`spreadCurve.bumpPillar(delta)` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`spreadCurve.bumpPillar(index)` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`spreadCurve.dayCount` `FixedIncomeDayCount`	count (integer)	Required / declared member No @default declared; consult the signature and description.
`spreadCurve.discount` `(at: string \| number) => number`	Discount factor to a date or year fraction. unitless by name	Required / declared member No @default declared; consult the signature and description.
`spreadCurve.discount(at)` `string \| number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`spreadCurve.extrapolation` `import('@insiderfinance/totalfinance/fixed-income').CurveExtrapolation`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`spreadCurve.forwardRate` `(from: string \| number, to: string \| number, dayCount?: FixedIncomeDayCount) => number`	Simple (money-market) forward rate between two times/dates under `dayCount`. decimal rate (0.05 = 5%)	Required / declared member No @default declared; consult the signature and description.
`spreadCurve.forwardRate(dayCount)` `FixedIncomeDayCount \| undefined`	unitless by name	Optional No @default declared; consult the signature and description.
`spreadCurve.forwardRate(from)` `string \| number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`spreadCurve.forwardRate(to)` `string \| number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`spreadCurve.instantaneousForward` `(at: string \| number) => number`	Instantaneous (continuously-compounded) forward rate at a time/date. unitless by name	Required / declared member No @default declared; consult the signature and description.
`spreadCurve.instantaneousForward(at)` `string \| number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`spreadCurve.interpolation` `import('@insiderfinance/totalfinance/fixed-income').CurveInterpolation`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`spreadCurve.pillars` `readonly import('@insiderfinance/totalfinance/fixed-income').CurvePillar[]`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`spreadCurve.referenceDate` `string`	calendar date (YYYY-MM-DD)	Required / declared member No @default declared; consult the signature and description.
`spreadCurve.shift` `(delta: number) => YieldCurve`	Parallel shift of every pillar's continuous zero by `delta` (e.g. +0.0001 = +1bp). unitless by name	Required / declared member No @default declared; consult the signature and description.
`spreadCurve.shift(delta)` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`spreadCurve.timeTo` `(at: string \| number) => number`	Year fraction from the reference date to a date (or pass a number through unchanged). unitless by name	Required / declared member No @default declared; consult the signature and description.
`spreadCurve.timeTo(at)` `string \| number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`spreadCurve.zeroRate` `(at: string \| number, compounding?: import('@insiderfinance/totalfinance/core').InterestCompounding) => number`	Zero rate to a date or year fraction, in the requested compounding (default continuous). decimal rate (0.05 = 5%)	Required / declared member No @default declared; consult the signature and description.
`spreadCurve.zeroRate(at)` `string \| number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`spreadCurve.zeroRate(compounding)` `import('@insiderfinance/totalfinance/core').InterestCompounding \| undefined`	unitless by name	Optional No @default declared; consult the signature and description.
`spreadCurve.zeroRate(compounding).periodsPerYear` `number`	per year (count)	Required / declared member No @default declared; consult the signature and description.
`spreadCurve.zeroRate(compounding).type` `'periodic'`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`stepsPerYear` `number`	Tree steps per year (default 24, hard outer maximum 1,000,000; total-tree cap may be lower). per year (count)	Optional No @default declared; consult the signature and description.

Stability, warnings & conventions

stable-by-law (pre-1.0; not a 1.0 stability guarantee)

function

bermudanSwaption

Price a Bermudan swaption on the Hull-White tree. At each exercise date the holder takes `max(continuation, swapValue)`, where the node-level forward swap value uses the Hull-White analytic bond reconstruction `P(tᵢ, T; r_node)`. (Hull-White only — the lognormal Black-Karasinski tree has no analytic node bond.)

export declare function bermudanSwaption(specification: BermudanSwaptionSpecification): BermudanSwaptionResult;

Fields, parameters & returned members (26)

Name / type	Meaning & unit	Optional / default
`(specification)` `BermudanSwaptionSpecification`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(specification).curve` `YieldCurve`	Discount/forecast curve (single-curve); its reference date is the valuation date. unitless by name	Required / declared member No @default declared; consult the signature and description.
`(specification).exerciseDates` `string[]`	Dates on which the holder may exercise into the swap (each is a swap start). unitless by name	Required / declared member No @default declared; consult the signature and description.
`(specification).fixedDayCount` `FixedIncomeDayCount`	Fixed-leg day count (default `30/360`). count (integer)	Optional No @default declared; consult the signature and description.
`(specification).fixedFrequency` `Frequency`	Fixed-leg frequency (default semiannual). unitless by name	Optional No @default declared; consult the signature and description.
`(specification).fixedRate` `number`	Fixed rate of the underlying swap. decimal rate (0.05 = 5%)	Required / declared member No @default declared; consult the signature and description.
`(specification).maturityDate` `string`	Underlying swap maturity. calendar date (YYYY-MM-DD)	Required / declared member No @default declared; consult the signature and description.
`(specification).meanReversion` `number`	Mean reversion and short-rate vol. unitless by name	Required / declared member No @default declared; consult the signature and description.
`(specification).notional` `number`	unitless by name	Optional No @default declared; consult the signature and description.
`(specification).optionType` `'payer' \| 'receiver'`	`payer` = option to pay fixed; `receiver` = option to receive fixed. unitless by name	Required / declared member No @default declared; consult the signature and description.
`(specification).sigma` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(specification).stepsPerYear` `number`	Tree steps per year (default 24, hard outer maximum 1,000,000; total-tree cap may be lower). per year (count)	Optional No @default declared; consult the signature and description.
`return.assumptions` `{ conventionsVersion: string; dayCount: 'ACT/365F'; fixedDayCount: FixedIncomeDayCount; fixedFrequency: Frequency; meanReversion: number; model: 'hull-white'; notional: number; settlementDate: string; sigma: number; stepsPerYear: number; }`	Applied conventions and model knobs, echoed (Law 2 report grammar). unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.assumptions.conventionsVersion` `string`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.assumptions.dayCount` `'ACT/365F'`	count (integer)	Required / declared member No @default declared; consult the signature and description.
`return.assumptions.fixedDayCount` `FixedIncomeDayCount`	count (integer)	Required / declared member No @default declared; consult the signature and description.
`return.assumptions.fixedFrequency` `Frequency`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.assumptions.meanReversion` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.assumptions.model` `'hull-white'`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.assumptions.notional` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.assumptions.settlementDate` `string`	calendar date (YYYY-MM-DD)	Required / declared member No @default declared; consult the signature and description.
`return.assumptions.sigma` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.assumptions.stepsPerYear` `number`	per year (count)	Required / declared member No @default declared; consult the signature and description.
`return.diagnostics` `Diagnostics`	Honest computation report: the lattice method behind the price (Law 2 report grammar). unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.exerciseDates` `string[]`	The exercise schedule actually used, sorted ascending from the valuation date. unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.price` `number`	Option value, scaled by `notional`. unitless by name	Required / declared member No @default declared; consult the signature and description.

Stability, warnings & conventions

stable-by-law (pre-1.0; not a 1.0 stability guarantee)

function

callableBond

Price a callable and/or putable bond on a short-rate tree, with option value, effective duration, and OAS.

export declare function callableBond(specification: CallableBondSpecification): CallableBondResult;

Fields, parameters & returned members (24)

Name / type	Meaning & unit	Optional / default
`(specification)` `CallableBondSpecification`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(specification).bond` `Bond`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(specification).calls` `BondOption[]`	Issuer call schedule (caps the bond's value at each strike). unitless by name	Optional No @default declared; consult the signature and description.
`(specification).curve` `YieldCurve`	Calibration/discount curve (its reference date is the valuation date). unitless by name	Required / declared member No @default declared; consult the signature and description.
`(specification).marketPrice` `number`	Market dirty price; when given, the result includes the option-adjusted spread. currency amount (the field or record currency)	Optional No @default declared; consult the signature and description.
`(specification).meanReversion` `number`	Mean reversion and short-rate volatility for the tree model. unitless by name	Required / declared member No @default declared; consult the signature and description.
`(specification).model` `TreeModel`	Tree model (default `hull-white`). unitless by name	Optional No @default declared; consult the signature and description.
`(specification).puts` `BondOption[]`	Holder put schedule (floors the bond's value at each strike). unitless by name	Optional No @default declared; consult the signature and description.
`(specification).sigma` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(specification).stepsPerYear` `number`	Tree steps per year (default 24, hard outer maximum 1,000,000; total-tree cap may be lower). per year (count)	Optional No @default declared; consult the signature and description.
`return.assumptions` `{ conventionsVersion: string; dayCount: 'ACT/365F'; meanReversion: number; model: TreeModel; settlementDate: string; sigma: number; stepsPerYear: number; }`	Applied conventions and model knobs, echoed (R2). unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.assumptions.conventionsVersion` `string`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.assumptions.dayCount` `'ACT/365F'`	count (integer)	Required / declared member No @default declared; consult the signature and description.
`return.assumptions.meanReversion` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.assumptions.model` `TreeModel`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.assumptions.settlementDate` `string`	calendar date (YYYY-MM-DD)	Required / declared member No @default declared; consult the signature and description.
`return.assumptions.sigma` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.assumptions.stepsPerYear` `number`	per year (count)	Required / declared member No @default declared; consult the signature and description.
`return.diagnostics` `Diagnostics`	Honest computation report: the lattice method, and the OAS root-find when one ran (R2). unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.effectiveDuration` `number`	Effective duration from a ±1bp parallel curve shock (re-trees each side). unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.oas` `number`	Option-adjusted spread (parallel curve shift repricing the model to `marketPrice`); present only when `marketPrice` is supplied. unitless by name	Optional No @default declared; consult the signature and description.
`return.optionValue` `number`	Value of the embedded option(s): `straightPrice − price` (positive for a callable). currency amount (the field or record currency)	Required / declared member No @default declared; consult the signature and description.
`return.price` `number`	Model dirty price including the embedded option(s). unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.straightPrice` `number`	Model dirty price of the otherwise-identical straight bond (no embedded options). currency amount (the field or record currency)	Required / declared member No @default declared; consult the signature and description.

Stability, warnings & conventions

stable-by-law (pre-1.0; not a 1.0 stability guarantee)

function

oasAnalytics

Market-calibrated option-adjusted-spread analytics for a callable/putable bond: the OAS, the Z-spread, their difference (the embedded-**option cost**), and the **OAS-consistent** effective duration and convexity (the curve shocked with the spread held fixed). Composes the same short-rate lattice as {@link callableBond}. See `docs/specs/oas-analytics.md`.

export declare function oasAnalytics(specification: OasAnalyticsSpecification): OasAnalyticsResult;

Fields, parameters & returned members (28)

Name / type	Meaning & unit	Optional / default
`(specification)` `OasAnalyticsSpecification`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(specification).bond` `Bond`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(specification).calls` `BondOption[]`	Issuer call schedule (caps the bond's value at each strike). unitless by name	Optional No @default declared; consult the signature and description.
`(specification).curve` `YieldCurve`	Calibration/discount curve (its reference date is the valuation date). unitless by name	Required / declared member No @default declared; consult the signature and description.
`(specification).durationShock` `number`	Curve shock for the effective duration/convexity, in decimal. Default 1e-4 (1 bp). unitless by name	Optional No @default declared; consult the signature and description.
`(specification).marketPrice` `number`	Market dirty price the OAS and Z-spread are solved to. currency amount (the field or record currency)	Required / declared member No @default declared; consult the signature and description.
`(specification).meanReversion` `number`	Mean reversion and short-rate volatility for the tree model. unitless by name	Required / declared member No @default declared; consult the signature and description.
`(specification).model` `TreeModel`	Tree model (default `hull-white`). unitless by name	Optional No @default declared; consult the signature and description.
`(specification).puts` `BondOption[]`	Holder put schedule (floors the bond's value at each strike). unitless by name	Optional No @default declared; consult the signature and description.
`(specification).sigma` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(specification).spreadCurve` `YieldCurve`	Optional term-structure spread curve added to `curve` before the spreads are solved. The effective benchmark becomes `curve` + `spreadCurve` (continuous zeros add ⇔ discount factors multiply), so the reported OAS and Z-spread are measured OVER a NON-FLAT benchmark — e.g. an OIS discount curve plus a sector/rating spread curve — rather than the plain `curve`. Its zero rates ARE the spreads (build one with `curves.fromZeroRates(spreadPillars)`); it must share `curve`'s reference date. unitless by name	Optional No @default declared; consult the signature and description.
`(specification).stepsPerYear` `number`	Tree steps per year (default 24, hard outer maximum 1,000,000; total-tree cap may be lower). per year (count)	Optional No @default declared; consult the signature and description.
`return.assumptions` `{ conventionsVersion: string; dayCount: 'ACT/365F'; meanReversion: number; model: TreeModel; settlementDate: string; sigma: number; stepsPerYear: number; }`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.assumptions.conventionsVersion` `string`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.assumptions.dayCount` `'ACT/365F'`	count (integer)	Required / declared member No @default declared; consult the signature and description.
`return.assumptions.meanReversion` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.assumptions.model` `TreeModel`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.assumptions.settlementDate` `string`	calendar date (YYYY-MM-DD)	Required / declared member No @default declared; consult the signature and description.
`return.assumptions.sigma` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.assumptions.stepsPerYear` `number`	per year (count)	Required / declared member No @default declared; consult the signature and description.
`return.diagnostics` `Diagnostics`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.effectiveConvexity` `number`	OAS-consistent effective convexity. unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.effectiveDuration` `number`	OAS-consistent effective duration (curve shocked ±`durationShock` at constant OAS). unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.marketPrice` `number`	currency amount (the field or record currency)	Required / declared member No @default declared; consult the signature and description.
`return.modelPrice` `number`	The no-spread lattice model price (the gap `marketPrice − modelPrice` is what the OAS explains). currency amount (the field or record currency)	Required / declared member No @default declared; consult the signature and description.
`return.oas` `number`	Parallel curve shift repricing the callable model to `marketPrice` (decimal; ×1e4 = bps). unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.optionCost` `number`	`zSpread − oas` (decimal) — the embedded-option cost. Positive callable / negative putable. currency amount (the field or record currency)	Required / declared member No @default declared; consult the signature and description.
`return.zSpread` `number`	Zero-volatility spread on the same lattice's straight leg (decimal). unitless by name	Required / declared member No @default declared; consult the signature and description.

Stability, warnings & conventions

stable-by-law (pre-1.0; not a 1.0 stability guarantee)