@insiderfinance/totalfinance/options/local-volatility

interface

DupireLocalVolatilityInput

One cohesive request for construction of a Dupire local-volatility function.

/** One cohesive request for construction of a Dupire local-volatility function. */
export interface DupireLocalVolatilityInput {
    impliedVolatility: ImpliedVolatilityFunction;
    market: LocalVolatilityMarket;
    options?: DupireOptions;
}

Fields, parameters & returned members (11)

Name / type	Meaning & unit	Optional / default
`impliedVolatility` `ImpliedVolatilityFunction`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`impliedVolatility(strike)` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`impliedVolatility(timeToExpiryYears)` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`market` `LocalVolatilityMarket`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`market.dividendYield` `number`	decimal rate (0.05 = 5%)	Optional No @default declared; consult the signature and description.
`market.riskFreeRate` `number`	decimal rate (0.05 = 5%)	Required / declared member No @default declared; consult the signature and description.
`market.spot` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`options` `DupireOptions`	unitless by name	Optional No @default declared; consult the signature and description.
`options.floorVolatility` `number`	Floor for local vol (default 1e-3) — also the clamp when a local arbitrage drives σ_loc² ≤ 0. unitless by name	Optional No @default declared; consult the signature and description.
`options.logMoneynessStep` `number`	Log-moneyness finite-difference step (default 0.01). unitless by name	Optional No @default declared; consult the signature and description.
`options.timeStepYears` `number`	Time finite-difference step in years (default 1/365). years (decimal)	Optional 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

DupireOptions

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

export interface DupireOptions {
    /** Log-moneyness finite-difference step (default 0.01). */
    logMoneynessStep?: number;
    /** Time finite-difference step in years (default 1/365). */
    timeStepYears?: number;
    /** Floor for local vol (default 1e-3) — also the clamp when a local arbitrage drives σ_loc² ≤ 0. */
    floorVolatility?: number;
}

Fields, parameters & returned members (3)

Name / type	Meaning & unit	Optional / default
`floorVolatility` `number`	Floor for local vol (default 1e-3) — also the clamp when a local arbitrage drives σ_loc² ≤ 0. unitless by name	Optional No @default declared; consult the signature and description.
`logMoneynessStep` `number`	Log-moneyness finite-difference step (default 0.01). unitless by name	Optional No @default declared; consult the signature and description.
`timeStepYears` `number`	Time finite-difference step in years (default 1/365). years (decimal)	Optional No @default declared; consult the signature and description.

Stability, warnings & conventions

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

type

ImpliedVolatilityFunction

A market implied-volatility surface as a function of strike and time-to-expiry (years).

/** A market implied-volatility surface as a function of strike and time-to-expiry (years). */
export type ImpliedVolatilityFunction = (strike: number, timeToExpiryYears: number) => number;

Fields, parameters & returned members (2)

Name / type	Meaning & unit	Optional / default
`(strike)` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(timeToExpiryYears)` `number`	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)

type

LocalVolatilityFunction

Local volatility as a function of underlying level and time (years).

/** Local volatility as a function of underlying level and time (years). */
export type LocalVolatilityFunction = (level: number, timeToExpiryYears: number) => number;

Fields, parameters & returned members (2)

Name / type	Meaning & unit	Optional / default
`(level)` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(timeToExpiryYears)` `number`	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

LocalVolatilityGridSpecification

Grid specification for {@link localVolatilityGrid}: strictly-ascending level and time knots.

/** Grid specification for {@link localVolatilityGrid}: strictly-ascending level and time knots. */
export interface LocalVolatilityGridSpecification {
    /** Underlying levels, ascending (e.g. 0.4·S₀ … 2.5·S₀). */
    levels: number[];
    /** Times in years, ascending (e.g. up to the longest expiry priced). */
    times: number[];
}

Fields, parameters & returned members (2)

Name / type	Meaning & unit	Optional / default
`levels` `number[]`	Underlying levels, ascending (e.g. 0.4·S₀ … 2.5·S₀). unitless by name	Required / declared member No @default declared; consult the signature and description.
`times` `number[]`	Times in years, ascending (e.g. up to the longest expiry priced). 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

LocalVolatilityInput

Market inputs for a local-volatility MC price.

/** Market inputs for a local-volatility MC price. */
export interface LocalVolatilityInput {
    spot: number;
    strike: number;
    timeToExpiryYears: number;
    riskFreeRate: number;
    dividendYield?: number;
}

Fields, parameters & returned members (5)

Name / type	Meaning & unit	Optional / default
`dividendYield` `number`	decimal rate (0.05 = 5%)	Optional No @default declared; consult the signature and description.
`riskFreeRate` `number`	decimal rate (0.05 = 5%)	Required / declared member No @default declared; consult the signature and description.
`spot` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`strike` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`timeToExpiryYears` `number`	years (decimal)	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

LocalVolatilityMarket

Market context the Dupire transform needs to convert strikes to moneyness.

/** Market context the Dupire transform needs to convert strikes to moneyness. */
export interface LocalVolatilityMarket {
    spot: number;
    riskFreeRate: number;
    dividendYield?: number;
}

Fields, parameters & returned members (3)

Name / type	Meaning & unit	Optional / default
`dividendYield` `number`	decimal rate (0.05 = 5%)	Optional No @default declared; consult the signature and description.
`riskFreeRate` `number`	decimal rate (0.05 = 5%)	Required / declared member No @default declared; consult the signature and description.
`spot` `number`	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

LocalVolatilityMonteCarloEstimateInput

Complete, assumption-light inputs for one raw local-volatility Monte-Carlo estimate.

/** Complete, assumption-light inputs for one raw local-volatility Monte-Carlo estimate. */
export interface LocalVolatilityMonteCarloEstimateInput {
    type: OptionType;
    spot: number;
    strike: number;
    timeToExpiryYears: number;
    riskFreeRate: number;
    dividendYield: number;
    localVolatility: LocalVolatilityFunction;
    options: LocalVolatilityMonteCarloOptions;
}

Fields, parameters & returned members (18)

Name / type	Meaning & unit	Optional / default
`dividendYield` `number`	decimal rate (0.05 = 5%)	Required / declared member No @default declared; consult the signature and description.
`localVolatility` `LocalVolatilityFunction`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`localVolatility(level)` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`localVolatility(timeToExpiryYears)` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`options` `LocalVolatilityMonteCarloOptions`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`options.antithetic` `boolean`	Antithetic variates (pseudo only; ignored for QMC). Default `true`. unitless by name	Optional No @default declared; consult the signature and description.
`options.brownianBridge` `boolean`	Brownian-bridge path ordering (QMC only; concentrates variance in the leading dimensions). unitless by name	Optional No @default declared; consult the signature and description.
`options.confidence` `number`	Confidence level for the interval (default 0.95). unitless by name	Optional No @default declared; consult the signature and description.
`options.method` `import('@insiderfinance/totalfinance/options').MonteCarloMethod`	Sampling method (default `'pseudo'`). unitless by name	Optional No @default declared; consult the signature and description.
`options.paths` `number`	Number of paths (antithetic pairs when `antithetic`). Default 50_000. unitless by name	Optional No @default declared; consult the signature and description.
`options.randomNumberGenerator` `import('@insiderfinance/totalfinance/options').MonteCarloRandomNumberGenerator`	PRNG for `method: 'pseudo'` (default `'mulberry32'`). unitless by name	Optional No @default declared; consult the signature and description.
`options.seed` `number`	Seed — required and echoed for reproducibility. unitless by name	Required / declared member No @default declared; consult the signature and description.
`options.steps` `number`	Time steps per path (default 100). unitless by name	Optional No @default declared; consult the signature and description.
`riskFreeRate` `number`	decimal rate (0.05 = 5%)	Required / declared member No @default declared; consult the signature and description.
`spot` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`strike` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`timeToExpiryYears` `number`	years (decimal)	Required / declared member No @default declared; consult the signature and description.
`type` `OptionType`	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

LocalVolatilityMonteCarloOptions

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

export interface LocalVolatilityMonteCarloOptions extends MonteCarloSamplingOptions {
    /** Time steps per path (default 100). */
    steps?: number;
}

Fields, parameters & returned members (8)

Name / type	Meaning & unit	Optional / default
`antithetic` `boolean`	Antithetic variates (pseudo only; ignored for QMC). Default `true`. unitless by name	Optional No @default declared; consult the signature and description.
`brownianBridge` `boolean`	Brownian-bridge path ordering (QMC only; concentrates variance in the leading dimensions). unitless by name	Optional No @default declared; consult the signature and description.
`confidence` `number`	Confidence level for the interval (default 0.95). unitless by name	Optional No @default declared; consult the signature and description.
`method` `import('@insiderfinance/totalfinance/options').MonteCarloMethod`	Sampling method (default `'pseudo'`). unitless by name	Optional No @default declared; consult the signature and description.
`paths` `number`	Number of paths (antithetic pairs when `antithetic`). Default 50_000. unitless by name	Optional No @default declared; consult the signature and description.
`randomNumberGenerator` `import('@insiderfinance/totalfinance/options').MonteCarloRandomNumberGenerator`	PRNG for `method: 'pseudo'` (default `'mulberry32'`). unitless by name	Optional No @default declared; consult the signature and description.
`seed` `number`	Seed — required and echoed for reproducibility. unitless by name	Required / declared member No @default declared; consult the signature and description.
`steps` `number`	Time steps per path (default 100). unitless by name	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

LocalVolatilityMonteCarloResult

A local-volatility MC result enriched with the Monte-Carlo error statistics.

/** A local-volatility MC result enriched with the Monte-Carlo error statistics. */
export interface LocalVolatilityMonteCarloResult extends PriceResult {
    monteCarlo: MonteCarloStatistics;
}

Fields, parameters & returned members (74)

Name / type	Meaning & unit	Optional / default
`assumptions` `Assumptions<Record<never, never>>`	Every applied convention, echoed back. unitless by name	Required / declared member No @default declared; consult the signature and description.
`assumptions.asOf` `number`	an instant: epoch milliseconds or a YYYY-MM-DD / zoned ISO string (the resolveAsOf convention)	Optional No @default declared; consult the signature and description.
`assumptions.calendar` `string`	unitless by name	Optional No @default declared; consult the signature and description.
`assumptions.calendarVersion` `string`	unitless by name	Optional No @default declared; consult the signature and description.
`assumptions.compounding` `import('@insiderfinance/totalfinance/core').InterestCompounding`	unitless by name	Optional No @default declared; consult the signature and description.
`assumptions.compounding.periodsPerYear` `number`	per year (count)	Required / declared member No @default declared; consult the signature and description.
`assumptions.compounding.type` `'periodic'`	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` `import('@insiderfinance/totalfinance/core').DayCount`	count (integer)	Optional No @default declared; consult the signature and description.
`assumptions.dividendModel` `import('@insiderfinance/totalfinance/core').DividendModel`	unitless by name	Optional No @default declared; consult the signature and description.
`assumptions.engine` `string`	unitless by name	Optional No @default declared; consult the signature and description.
`assumptions.expiryConvention` `'us-equity-close' \| 'explicit-instant'`	How the contract's expiry label was resolved to an instant: `'us-equity-close'` when a date-only `YYYY-MM-DD` expiry resolved to the US equity/options close — 16:00 America/New_York, or 13:00 on an early-close day; `'explicit-instant'` when the caller supplied a zoned datetime. Named so the convention is never silent (alignment spec P1.6); instrument builders own the full story in Phase 3. unitless by name	Optional No @default declared; consult the signature and description.
`assumptions.model` `string`	unitless by name	Optional No @default declared; consult the signature and description.
`assumptions.seed` `number`	The randomness seed this result was computed under — REQUIRED echo for a `randomness: 'seeded'` Pricer (Gate C, 2026-08-23): a stochastic result that does not name its seed cannot be replayed from the result alone. Deterministic paths never set it. unitless by name	Optional No @default declared; consult the signature and description.
`assumptions.timeToExpiryConvention` `never`	unitless by name	Optional No @default declared; consult the signature and description.
`assumptions.timeToExpiryYears` `number`	years (decimal)	Optional No @default declared; consult the signature and description.
`assumptions.units` `import('@insiderfinance/totalfinance/core').GreekUnits`	unitless by name	Optional No @default declared; consult the signature and description.
`assumptions.units.rho` `import('@insiderfinance/totalfinance/core').RhoUnit`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`assumptions.units.theta` `import('@insiderfinance/totalfinance/core').ThetaUnit`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`assumptions.units.vega` `import('@insiderfinance/totalfinance/core').VegaUnit`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`diagnostics` `Diagnostics`	How the value was computed, plus any warnings. 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.
`greeks` `import('@insiderfinance/totalfinance/options').Greeks \| import('@insiderfinance/totalfinance/options').ExtendedGreeks`	unitless by name	Optional No @default declared; consult the signature and description.
`greeks.charm` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`greeks.color` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`greeks.delta` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`greeks.gamma` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`greeks.lambda` `number \| null`	Elasticity / effective leverage `Λ = Δ·S / V` (dimensionless). `null` when the price underflows to zero (deep-OTM): elasticity is undefined at V = 0 and is disclosed as null with a `greeks.lambda_undefined` warning on explained paths — never NaN/Infinity (Law 7). unitless by name	Required / declared member No @default declared; consult the signature and description.
`greeks.phi` `number`	Dividend rho (epsilon) `ε = ∂V/∂q`, per 1% dividend yield (scaled like `rho`). unitless by name	Required / declared member No @default declared; consult the signature and description.
`greeks.rho` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`greeks.speed` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`greeks.theta` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`greeks.ultima` `number`	`∂vomma/∂σ = ∂³V/∂σ³` (raw). unitless by name	Required / declared member No @default declared; consult the signature and description.
`greeks.vanna` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`greeks.vega` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`greeks.vera` `number`	`∂rho/∂σ = ∂²V/∂r∂σ` (raw, per 1.00 σ; rho here is per 1.00 rate). unitless by name	Required / declared member No @default declared; consult the signature and description.
`greeks.veta` `number`	`∂vega/∂T` (raw, per year of time-to-expiry; vega here is per 1.00 σ) — the ∂/∂T sibling of vega. unitless by name	Required / declared member No @default declared; consult the signature and description.
`greeks.vomma` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`greeks.zomma` `number`	`∂Γ/∂σ = ∂³V/∂S²∂σ` (raw, per 1.00 σ). unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarlo` `MonteCarloStatistics`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarlo.confidenceInterval` `[number, number] \| null`	Confidence interval at the requested level (default 95%); null for unsupported QMC uncertainty or unrepresentable endpoints (disclosed with nonconvergence), even when standardError is positive. unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarlo.method` `import('@insiderfinance/totalfinance/options').MonteCarloMethod`	The sampling method actually used (may differ from the request if QMC fell back to pseudo). unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarlo.paths` `number`	Number of paths actually evaluated (antithetic pairs count as one path). unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarlo.seed` `number`	The seed, echoed for reproducibility. unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarlo.standardError` `number \| null`	Standard error of the mean estimate — `null` for the QUASI-random methods (`sobol`, `halton`). The sample-variance formula `√(s²/n)` assumes independent draws. A low-discrepancy sequence is deterministic and negatively correlated by construction, so that formula does not estimate its error: at 16k Sobol points on a European call it overstated the true deviation by ~75×, and a confidence interval built from it was neither a confidence nor an interval. QMC error is estimated by RANDOMIZING the sequence (scrambling/shifting) and taking the variance ACROSS independent randomizations — which this estimator does not do, so it reports `null` and says so. unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarlo.varianceReduction` `import('@insiderfinance/totalfinance/options').VarianceReduction`	Which variance-reduction techniques were applied. unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarlo.varianceReduction.antithetic` `boolean`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarlo.varianceReduction.brownianBridge` `boolean`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarlo.varianceReduction.controlVariate` `boolean`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`provenance` `import('@insiderfinance/totalfinance/core').Provenance`	Optional data lineage when the inputs came from a provider. unitless by name	Optional No @default declared; consult the signature and description.
`provenance.asOf` `number`	an instant: epoch milliseconds or a YYYY-MM-DD / zoned ISO string (the resolveAsOf convention)	Optional No @default declared; consult the signature and description.
`provenance.dataset` `string`	unitless by name	Optional No @default declared; consult the signature and description.
`provenance.provider` `string`	unitless by name	Optional No @default declared; consult the signature and description.
`provenance.receivedAt` `number`	unitless by name	Optional No @default declared; consult the signature and description.
`provenance.requestId` `string`	unitless by name	Optional No @default declared; consult the signature and description.
`provenance.sourceVersion` `string`	unitless by name	Optional No @default declared; consult the signature and description.
`provenance.warnings` `import('@insiderfinance/totalfinance/core').QuantWarning[]`	unitless by name	Optional No @default declared; consult the signature and description.
`value` `number`	The computed value. Never `NaN` or `±Infinity`: a value the model cannot produce is `null` beside a diagnostic that says why (Law 7 — a warning never licenses a non-finite number). 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

LocalVolatilityPriceMonteCarloRequest

One cohesive request for the validated local-volatility Monte-Carlo pricer.

/** One cohesive request for the validated local-volatility Monte-Carlo pricer. */
export interface LocalVolatilityPriceMonteCarloRequest {
    type: OptionType;
    input: LocalVolatilityInput;
    localVolatility: LocalVolatilityFunction;
    options: LocalVolatilityMonteCarloOptions;
}

Fields, parameters & returned members (19)

Name / type	Meaning & unit	Optional / default
`input` `LocalVolatilityInput`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`input.dividendYield` `number`	decimal rate (0.05 = 5%)	Optional No @default declared; consult the signature and description.
`input.riskFreeRate` `number`	decimal rate (0.05 = 5%)	Required / declared member No @default declared; consult the signature and description.
`input.spot` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`input.strike` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`input.timeToExpiryYears` `number`	years (decimal)	Required / declared member No @default declared; consult the signature and description.
`localVolatility` `LocalVolatilityFunction`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`localVolatility(level)` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`localVolatility(timeToExpiryYears)` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`options` `LocalVolatilityMonteCarloOptions`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`options.antithetic` `boolean`	Antithetic variates (pseudo only; ignored for QMC). Default `true`. unitless by name	Optional No @default declared; consult the signature and description.
`options.brownianBridge` `boolean`	Brownian-bridge path ordering (QMC only; concentrates variance in the leading dimensions). unitless by name	Optional No @default declared; consult the signature and description.
`options.confidence` `number`	Confidence level for the interval (default 0.95). unitless by name	Optional No @default declared; consult the signature and description.
`options.method` `import('@insiderfinance/totalfinance/options').MonteCarloMethod`	Sampling method (default `'pseudo'`). unitless by name	Optional No @default declared; consult the signature and description.
`options.paths` `number`	Number of paths (antithetic pairs when `antithetic`). Default 50_000. unitless by name	Optional No @default declared; consult the signature and description.
`options.randomNumberGenerator` `import('@insiderfinance/totalfinance/options').MonteCarloRandomNumberGenerator`	PRNG for `method: 'pseudo'` (default `'mulberry32'`). unitless by name	Optional No @default declared; consult the signature and description.
`options.seed` `number`	Seed — required and echoed for reproducibility. unitless by name	Required / declared member No @default declared; consult the signature and description.
`options.steps` `number`	Time steps per path (default 100). unitless by name	Optional No @default declared; consult the signature and description.
`type` `OptionType`	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

dupireLocalVolatility

Build the Dupire local-volatility function σ_loc(level, t) from an implied-vol surface. The returned function is pure and can be evaluated anywhere on the (level, t) plane; out-of-range or locally arbitrageable points are floored at `floorVolatility` rather than returning NaN. Expert kernel form (model-subpath surface) — the curated root surface is {@link localVolatility.fromImplied}.

export declare function dupireLocalVolatility(input: DupireLocalVolatilityInput): LocalVolatilityFunction;

Fields, parameters & returned members (4)

Name / type	Meaning & unit	Optional / default
`(input)` `DupireLocalVolatilityInput`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(input).impliedVolatility` `ImpliedVolatilityFunction`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(input).market` `LocalVolatilityMarket`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(input).options` `DupireOptions`	unitless by name	Optional No @default declared; consult the signature and description.

Stability, warnings & conventions

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

value

localVolatility

The local-volatility namespace — the grouped, discoverable surface over the flat local-volatility functions. `localVolatility.fromImplied` / `localVolatility.grid` / `localVolatility.monteCarloPrice` / `localVolatility.monteCarloEstimate` are the same functions; prefer the namespace over the deprecated flat exports.

export declare const localVolatility: { readonly fromImplied: (input: DupireLocalVolatilityInput) => LocalVolatilityFunction; readonly grid: (localVolatility: LocalVolatilityFunction, specification: LocalVolatilityGridSpecification) => LocalVolatilityFunction; readonly monteCarloEstimate: (input: LocalVolatilityMonteCarloEstimateInput) => MonteCarloEstimate; readonly monteCarloPrice: (request: LocalVolatilityPriceMonteCarloRequest) => LocalVolatilityMonteCarloResult; };

Fields, parameters & returned members (57)

Name / type	Meaning & unit	Optional / default
`fromImplied` `(input: DupireLocalVolatilityInput) => LocalVolatilityFunction`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`fromImplied(input)` `DupireLocalVolatilityInput`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`fromImplied(input).impliedVolatility` `ImpliedVolatilityFunction`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`fromImplied(input).market` `LocalVolatilityMarket`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`fromImplied(input).options` `DupireOptions`	unitless by name	Optional No @default declared; consult the signature and description.
`grid` `(localVolatility: LocalVolatilityFunction, specification: LocalVolatilityGridSpecification) => LocalVolatilityFunction`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`grid(localVolatility)` `LocalVolatilityFunction`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`grid(specification)` `LocalVolatilityGridSpecification`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`grid(specification).levels` `number[]`	Underlying levels, ascending (e.g. 0.4·S₀ … 2.5·S₀). unitless by name	Required / declared member No @default declared; consult the signature and description.
`grid(specification).times` `number[]`	Times in years, ascending (e.g. up to the longest expiry priced). unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloEstimate` `(input: LocalVolatilityMonteCarloEstimateInput) => MonteCarloEstimate`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloEstimate().return.confidenceInterval` `[number, number] \| null`	Confidence interval at the requested level (default 95%); null for unsupported QMC uncertainty or unrepresentable endpoints (disclosed with nonconvergence), even when standardError is positive. unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloEstimate().return.converged` `boolean`	Whether the estimate is trustworthy (finite value and standard error). unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloEstimate().return.method` `import('@insiderfinance/totalfinance/options').MonteCarloMethod`	The sampling method actually used (may differ from the request if QMC fell back to pseudo). unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloEstimate().return.paths` `number`	Number of paths actually evaluated (antithetic pairs count as one path). unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloEstimate().return.seed` `number`	The seed, echoed for reproducibility. unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloEstimate().return.standardError` `number \| null`	Standard error of the mean estimate — `null` for the QUASI-random methods (`sobol`, `halton`). The sample-variance formula `√(s²/n)` assumes independent draws. A low-discrepancy sequence is deterministic and negatively correlated by construction, so that formula does not estimate its error: at 16k Sobol points on a European call it overstated the true deviation by ~75×, and a confidence interval built from it was neither a confidence nor an interval. QMC error is estimated by RANDOMIZING the sequence (scrambling/shifting) and taking the variance ACROSS independent randomizations — which this estimator does not do, so it reports `null` and says so. unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloEstimate().return.value` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloEstimate().return.varianceReduction` `import('@insiderfinance/totalfinance/options').VarianceReduction`	Which variance-reduction techniques were applied. unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloEstimate().return.warnings` `import('@insiderfinance/totalfinance/core').QuantWarning[]`	Structured warnings (e.g. a QMC dimension fallback). unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloEstimate(input)` `LocalVolatilityMonteCarloEstimateInput`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloEstimate(input).dividendYield` `number`	decimal rate (0.05 = 5%)	Required / declared member No @default declared; consult the signature and description.
`monteCarloEstimate(input).localVolatility` `LocalVolatilityFunction`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloEstimate(input).options` `LocalVolatilityMonteCarloOptions`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloEstimate(input).riskFreeRate` `number`	decimal rate (0.05 = 5%)	Required / declared member No @default declared; consult the signature and description.
`monteCarloEstimate(input).spot` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloEstimate(input).strike` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloEstimate(input).timeToExpiryYears` `number`	years (decimal)	Required / declared member No @default declared; consult the signature and description.
`monteCarloEstimate(input).type` `OptionType`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloPrice` `(request: LocalVolatilityPriceMonteCarloRequest) => LocalVolatilityMonteCarloResult`	currency amount (the field or record currency)	Required / declared member No @default declared; consult the signature and description.
`monteCarloPrice().return.assumptions` `Assumptions<Record<never, never>>`	Every applied convention, echoed back. unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloPrice().return.diagnostics` `Diagnostics`	How the value was computed, plus any warnings. unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloPrice().return.greeks` `import('@insiderfinance/totalfinance/options').Greeks \| import('@insiderfinance/totalfinance/options').ExtendedGreeks`	unitless by name	Optional No @default declared; consult the signature and description.
`monteCarloPrice().return.greeks.charm` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloPrice().return.greeks.color` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloPrice().return.greeks.delta` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloPrice().return.greeks.gamma` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloPrice().return.greeks.lambda` `number \| null`	Elasticity / effective leverage `Λ = Δ·S / V` (dimensionless). `null` when the price underflows to zero (deep-OTM): elasticity is undefined at V = 0 and is disclosed as null with a `greeks.lambda_undefined` warning on explained paths — never NaN/Infinity (Law 7). unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloPrice().return.greeks.phi` `number`	Dividend rho (epsilon) `ε = ∂V/∂q`, per 1% dividend yield (scaled like `rho`). unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloPrice().return.greeks.rho` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloPrice().return.greeks.speed` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloPrice().return.greeks.theta` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloPrice().return.greeks.ultima` `number`	`∂vomma/∂σ = ∂³V/∂σ³` (raw). unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloPrice().return.greeks.vanna` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloPrice().return.greeks.vega` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloPrice().return.greeks.vera` `number`	`∂rho/∂σ = ∂²V/∂r∂σ` (raw, per 1.00 σ; rho here is per 1.00 rate). unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloPrice().return.greeks.veta` `number`	`∂vega/∂T` (raw, per year of time-to-expiry; vega here is per 1.00 σ) — the ∂/∂T sibling of vega. unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloPrice().return.greeks.vomma` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloPrice().return.greeks.zomma` `number`	`∂Γ/∂σ = ∂³V/∂S²∂σ` (raw, per 1.00 σ). unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloPrice().return.monteCarlo` `MonteCarloStatistics`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloPrice().return.provenance` `import('@insiderfinance/totalfinance/core').Provenance`	Optional data lineage when the inputs came from a provider. unitless by name	Optional No @default declared; consult the signature and description.
`monteCarloPrice().return.value` `number`	The computed value. Never `NaN` or `±Infinity`: a value the model cannot produce is `null` beside a diagnostic that says why (Law 7 — a warning never licenses a non-finite number). unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloPrice(request)` `LocalVolatilityPriceMonteCarloRequest`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloPrice(request).input` `LocalVolatilityInput`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloPrice(request).localVolatility` `LocalVolatilityFunction`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloPrice(request).options` `LocalVolatilityMonteCarloOptions`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`monteCarloPrice(request).type` `OptionType`	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

localVolatilityGrid

Precompute a local-volatility function onto a (level × time) grid and return a fast bilinear-interpolating `LocalVolatilityFunction`. The exact `dupireLocalVolatility` does ~4 surface evaluations per call — far too slow to run inside a Monte-Carlo step loop — so cache it once on a grid and interpolate. Off-grid queries clamp to the nearest edge (a documented, no-NaN extrapolation). Expert kernel form (model-subpath surface) — the curated root surface is {@link localVolatility.grid}.

export declare function localVolatilityGrid(localVolatility: LocalVolatilityFunction, specification: LocalVolatilityGridSpecification): LocalVolatilityFunction;

Fields, parameters & returned members (4)

Name / type	Meaning & unit	Optional / default
`(localVolatility)` `LocalVolatilityFunction`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(specification)` `LocalVolatilityGridSpecification`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(specification).levels` `number[]`	Underlying levels, ascending (e.g. 0.4·S₀ … 2.5·S₀). unitless by name	Required / declared member No @default declared; consult the signature and description.
`(specification).times` `number[]`	Times in years, ascending (e.g. up to the longest expiry priced). 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

localVolatilityMonteCarloEstimate

Low-level kernel: local-volatility Monte-Carlo estimate of the discounted European payoff. Expert kernel form (model-subpath surface) — the curated root surface is {@link localVolatility.monteCarloEstimate }.

export declare function localVolatilityMonteCarloEstimate(input: LocalVolatilityMonteCarloEstimateInput): MonteCarloEstimate;

Fields, parameters & returned members (18)

Name / type	Meaning & unit	Optional / default
`(input)` `LocalVolatilityMonteCarloEstimateInput`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(input).dividendYield` `number`	decimal rate (0.05 = 5%)	Required / declared member No @default declared; consult the signature and description.
`(input).localVolatility` `LocalVolatilityFunction`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(input).options` `LocalVolatilityMonteCarloOptions`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(input).riskFreeRate` `number`	decimal rate (0.05 = 5%)	Required / declared member No @default declared; consult the signature and description.
`(input).spot` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(input).strike` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(input).timeToExpiryYears` `number`	years (decimal)	Required / declared member No @default declared; consult the signature and description.
`(input).type` `OptionType`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.confidenceInterval` `[number, number] \| null`	Confidence interval at the requested level (default 95%); null for unsupported QMC uncertainty or unrepresentable endpoints (disclosed with nonconvergence), even when standardError is positive. unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.converged` `boolean`	Whether the estimate is trustworthy (finite value and standard error). unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.method` `import('@insiderfinance/totalfinance/options').MonteCarloMethod`	The sampling method actually used (may differ from the request if QMC fell back to pseudo). unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.paths` `number`	Number of paths actually evaluated (antithetic pairs count as one path). unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.seed` `number`	The seed, echoed for reproducibility. unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.standardError` `number \| null`	Standard error of the mean estimate — `null` for the QUASI-random methods (`sobol`, `halton`). The sample-variance formula `√(s²/n)` assumes independent draws. A low-discrepancy sequence is deterministic and negatively correlated by construction, so that formula does not estimate its error: at 16k Sobol points on a European call it overstated the true deviation by ~75×, and a confidence interval built from it was neither a confidence nor an interval. QMC error is estimated by RANDOMIZING the sequence (scrambling/shifting) and taking the variance ACROSS independent randomizations — which this estimator does not do, so it reports `null` and says so. unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.value` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.varianceReduction` `import('@insiderfinance/totalfinance/options').VarianceReduction`	Which variance-reduction techniques were applied. unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.warnings` `import('@insiderfinance/totalfinance/core').QuantWarning[]`	Structured warnings (e.g. a QMC dimension fallback). 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

localVolatilityMonteCarloPrice

Price a European option under a local-volatility diffusion by Monte-Carlo. Pass a `LocalVolatilityFunction` (typically from {@link dupireLocalVolatility}); the result carries MC error statistics on `result.mc`. Expert kernel form (model-subpath surface) — the curated root surface is {@link localVolatility.monteCarloPrice }.

export declare function localVolatilityMonteCarloPrice(request: LocalVolatilityPriceMonteCarloRequest): LocalVolatilityMonteCarloResult;

Fields, parameters & returned members (27)

Name / type	Meaning & unit	Optional / default
`(request)` `LocalVolatilityPriceMonteCarloRequest`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(request).input` `LocalVolatilityInput`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(request).localVolatility` `LocalVolatilityFunction`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(request).options` `LocalVolatilityMonteCarloOptions`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(request).type` `OptionType`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.assumptions` `Assumptions<Record<never, never>>`	Every applied convention, echoed back. unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.diagnostics` `Diagnostics`	How the value was computed, plus any warnings. unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.greeks` `import('@insiderfinance/totalfinance/options').Greeks \| import('@insiderfinance/totalfinance/options').ExtendedGreeks`	unitless by name	Optional No @default declared; consult the signature and description.
`return.greeks.charm` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.greeks.color` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.greeks.delta` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.greeks.gamma` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.greeks.lambda` `number \| null`	Elasticity / effective leverage `Λ = Δ·S / V` (dimensionless). `null` when the price underflows to zero (deep-OTM): elasticity is undefined at V = 0 and is disclosed as null with a `greeks.lambda_undefined` warning on explained paths — never NaN/Infinity (Law 7). unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.greeks.phi` `number`	Dividend rho (epsilon) `ε = ∂V/∂q`, per 1% dividend yield (scaled like `rho`). unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.greeks.rho` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.greeks.speed` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.greeks.theta` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.greeks.ultima` `number`	`∂vomma/∂σ = ∂³V/∂σ³` (raw). unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.greeks.vanna` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.greeks.vega` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.greeks.vera` `number`	`∂rho/∂σ = ∂²V/∂r∂σ` (raw, per 1.00 σ; rho here is per 1.00 rate). unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.greeks.veta` `number`	`∂vega/∂T` (raw, per year of time-to-expiry; vega here is per 1.00 σ) — the ∂/∂T sibling of vega. unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.greeks.vomma` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.greeks.zomma` `number`	`∂Γ/∂σ = ∂³V/∂S²∂σ` (raw, per 1.00 σ). unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.monteCarlo` `MonteCarloStatistics`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.provenance` `import('@insiderfinance/totalfinance/core').Provenance`	Optional data lineage when the inputs came from a provider. unitless by name	Optional No @default declared; consult the signature and description.
`return.value` `number`	The computed value. Never `NaN` or `±Infinity`: a value the model cannot produce is `null` beside a diagnostic that says why (Law 7 — a warning never licenses a non-finite number). 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)