@insiderfinance/totalfinance/risk/scenario

interface

PnlAttribution

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

export interface PnlAttribution {
    total: number;
    delta: number;
    gamma: number;
    vega: number;
    theta: number;
    rho: number;
    /** Second-order spot–vol cross term: `vanna·dS·dσ` (0 when `vanna` is absent). */
    vanna: number;
    /** Second-order vol-convexity term: `½·vomma·dσ²` (0 when `vomma` is absent). */
    vomma: number;
    /** Second-order spot–time cross term: `charm·dS·dt` (0 when `charm` is absent). */
    charm: number;
    /** Second-order vol–time cross term: `veta·dσ·dt` (0 when `veta` is absent). */
    veta: number;
    /** Second-order vol–rate cross term: `vera·dσ·dr` (0 when `vera` is absent). */
    vera: number;
    /** Second-order spot–rate cross term: `deltaRate·dS·dr` (0 when `deltaRate` is absent). */
    deltaRate: number;
    /** Second-order time–rate cross term: `thetaRate·dt·dr` (0 when `thetaRate` is absent). */
    thetaRate: number;
    /** Second-order rate-convexity term: `½·rhoConvexity·dr²` (0 when `rhoConvexity` is absent). */
    rhoConvexity: number;
    /** Second-order time-convexity term: `½·thetaConvexity·dt²` (0 when `thetaConvexity` is absent). */
    thetaConvexity: number;
    /** First-order dividend-carry term: `φ·dq` (0 when `phi` is absent). */
    phi: number;
    /** Residual = repriced − value − (the Greek terms); 0 for a pure Taylor reprice. */
    other: number;
}

Fields, parameters & returned members (17)

Name / type	Meaning & unit	Optional / default
`charm` `number`	Second-order spot–time cross term: `charm·dS·dt` (0 when `charm` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`delta` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`deltaRate` `number`	Second-order spot–rate cross term: `deltaRate·dS·dr` (0 when `deltaRate` is absent). decimal rate (0.05 = 5%)	Required / declared member No @default declared; consult the signature and description.
`gamma` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`other` `number`	Residual = repriced − value − (the Greek terms); 0 for a pure Taylor reprice. unitless by name	Required / declared member No @default declared; consult the signature and description.
`phi` `number`	First-order dividend-carry term: `φ·dq` (0 when `phi` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`rho` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`rhoConvexity` `number`	Second-order rate-convexity term: `½·rhoConvexity·dr²` (0 when `rhoConvexity` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`theta` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`thetaConvexity` `number`	Second-order time-convexity term: `½·thetaConvexity·dt²` (0 when `thetaConvexity` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`thetaRate` `number`	Second-order time–rate cross term: `thetaRate·dt·dr` (0 when `thetaRate` is absent). decimal rate (0.05 = 5%)	Required / declared member No @default declared; consult the signature and description.
`total` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`vanna` `number`	Second-order spot–vol cross term: `vanna·dS·dσ` (0 when `vanna` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`vega` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`vera` `number`	Second-order vol–rate cross term: `vera·dσ·dr` (0 when `vera` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`veta` `number`	Second-order vol–time cross term: `veta·dσ·dt` (0 when `veta` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`vomma` `number`	Second-order vol-convexity term: `½·vomma·dσ²` (0 when `vomma` is absent). 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

Position

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

export interface Position<T = unknown> {
    id?: string;
    /** Number of units held (signed). Default 1. */
    quantity?: number;
    /**
     * Contract multiplier applied to per-unit value and Greeks (100 for a listed US equity option
     * whose Greeks are per share and whose `quantity` is in contracts). Default 1. Applied by
     * `aggregateGreeks`, `stressTest` and the book tools; disclosed in their assumptions.
     */
    multiplier?: number;
    greeks?: PositionGreeks;
    /**
     * Current mark per unit — the BASE a custom `reprice` differences against (H11). When `reprice`
     * is supplied, either this or `greeks.value` must be present; the base is never assumed 0.
     */
    value?: number;
    data?: T;
}

Fields, parameters & returned members (28)

Name / type	Meaning & unit	Optional / default
`data` `T`	unitless by name	Optional No @default declared; consult the signature and description.
`greeks` `PositionGreeks`	unitless by name	Optional No @default declared; consult the signature and description.
`greeks.charm` `number`	∂Δ/∂T per year of time-to-expiry — the options package's `charm` (delta drift as expiry recedes). Optional. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.color` `number`	Accepted from a whole `ExtendedGreeks`; not used by the second-order expansion. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.delta` `number`	∂V/∂S per $1 of spot. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.deltaRate` `number`	∂²V/∂S∂r per $ per 1% rate — the spot-rate cross (`∂Δ/∂r`). Optional. decimal rate (0.05 = 5%)	Optional No @default declared; consult the signature and description.
`greeks.gamma` `number`	∂²V/∂S² per $1². unitless by name	Optional No @default declared; consult the signature and description.
`greeks.lambda` `number \| null`	Accepted from a whole `ExtendedGreeks` (`null` = elasticity undefined); not used by the expansion. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.phi` `number`	φ = ∂V/∂q per 1% dividend yield — the options package's `phi` (dividend rho). Optional. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.rho` `number`	∂V/∂r per 1% rate (0.01), as the options package reports it. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.rhoConvexity` `number`	∂²V/∂r² per (1%)² — rho convexity. Optional. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.speed` `number`	Accepted from a whole `ExtendedGreeks`; not used by the second-order expansion. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.spot` `number`	Reference spot, required to resolve percent spot shocks into price moves. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.theta` `number`	∂V/∂t per CALENDAR DAY (negative for a long option), as the options package reports it. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.thetaConvexity` `number`	∂²V/∂t² per calendar day² — theta convexity (theta's own bleed). Optional. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.thetaRate` `number`	∂²V/∂t∂r per calendar day per 1% rate — the time-rate cross (`∂Θ/∂r`). Optional. decimal rate (0.05 = 5%)	Optional No @default declared; consult the signature and description.
`greeks.ultima` `number`	Accepted from a whole `ExtendedGreeks`; not used by the second-order expansion. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.value` `number`	Current mark value of the position (per unit). unitless by name	Required / declared member No @default declared; consult the signature and description.
`greeks.vanna` `number`	∂²V/∂S∂σ per 1.00 σ per $ — the options package's `vanna`. Optional — omitted ⇒ its term is 0. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.vega` `number`	∂V/∂σ per 1 volatility point (0.01), as the options package reports it. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.vera` `number`	∂²V/∂σ∂r per 1.00 σ per 1.00 rate — the options package's `vera`. Optional. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.veta` `number`	∂vega/∂T per year of time-to-expiry, vega per 1.00 σ — the options package's `veta`. Optional. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.vomma` `number`	∂²V/∂σ² per 1.00 σ² — the options package's `vomma`. Optional. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.zomma` `number`	Accepted from a whole `ExtendedGreeks`; not used by the second-order expansion. unitless by name	Optional No @default declared; consult the signature and description.
`id` `string`	unitless by name	Optional No @default declared; consult the signature and description.
`multiplier` `number`	Contract multiplier applied to per-unit value and Greeks (100 for a listed US equity option whose Greeks are per share and whose `quantity` is in contracts). Default 1. Applied by `aggregateGreeks`, `stressTest` and the book tools; disclosed in their assumptions. unitless by name	Optional No @default declared; consult the signature and description.
`quantity` `number`	Number of units held (signed). Default 1. unitless by name	Optional No @default declared; consult the signature and description.
`value` `number`	Current mark per unit — the BASE a custom `reprice` differences against (H11). When `reprice` is supplied, either this or `greeks.value` must be present; the base is never assumed 0. 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

PositionGreeks

A position's Greeks in TotalFinance's ONE unit system — the units `@insiderfinance/totalfinance/options` and `@insiderfinance/totalfinance/strategy` report (`DEFAULT_GREEK_UNITS`), so a `blackScholesGreeks(...)` / `Position.value().greeks` object spreads straight in: `{ value, spot, ...greeks }`. Per unit of the position (per share of one contract when `Position.multiplier` scales it): - `delta` per $1 of spot, `gamma` per $1²; - `theta` per CALENDAR DAY; `vega` per 1 volatility POINT (0.01); `rho` per 1% rate (0.01); `phi` per 1% dividend yield; - the second-order Greeks in the options package's own units: `vanna` ∂Δ/∂σ and `vomma` ∂²V/∂σ² per 1.00 σ, `charm` = ∂Δ/∂T and `veta` = ∂vega/∂T per YEAR of time-to-expiry (vega per 1.00 σ), `vera` per 1.00 σ per 1.00 rate; - the rate cross terms the options package does not emit follow the first-order conventions: `deltaRate` per 1% rate, `thetaRate` per day per 1% rate, `rhoConvexity` per (1%)², `thetaConvexity` per day². The Taylor engine converts to the raw per-year / per-1.00 form internally, in one place. Third-order Greeks (`speed`, `color`, `zomma`, `ultima`) and `lambda` are accepted so a whole `ExtendedGreeks` can be passed, and are not used by the second-order expansion.

/**
 * A position's Greeks in TotalFinance's ONE unit system — the units `@insiderfinance/totalfinance/options` and
 * `@insiderfinance/totalfinance/strategy` report (`DEFAULT_GREEK_UNITS`), so a `blackScholesGreeks(...)` /
 * `Position.value().greeks` object spreads straight in: `{ value, spot, ...greeks }`.
 *
 * Per unit of the position (per share of one contract when `Position.multiplier` scales it):
 *   - `delta` per $1 of spot, `gamma` per $1²;
 *   - `theta` per CALENDAR DAY; `vega` per 1 volatility POINT (0.01); `rho` per 1% rate (0.01);
 *     `phi` per 1% dividend yield;
 *   - the second-order Greeks in the options package's own units: `vanna` ∂Δ/∂σ and `vomma` ∂²V/∂σ²
 *     per 1.00 σ, `charm` = ∂Δ/∂T and `veta` = ∂vega/∂T per YEAR of time-to-expiry (vega per 1.00 σ),
 *     `vera` per 1.00 σ per 1.00 rate;
 *   - the rate cross terms the options package does not emit follow the first-order conventions:
 *     `deltaRate` per 1% rate, `thetaRate` per day per 1% rate, `rhoConvexity` per (1%)²,
 *     `thetaConvexity` per day².
 * The Taylor engine converts to the raw per-year / per-1.00 form internally, in one place. Third-order
 * Greeks (`speed`, `color`, `zomma`, `ultima`) and `lambda` are accepted so a whole `ExtendedGreeks`
 * can be passed, and are not used by the second-order expansion.
 */
export interface PositionGreeks {
    /** Current mark value of the position (per unit). */
    value: number;
    /** Reference spot, required to resolve percent spot shocks into price moves. */
    spot?: number;
    /** ∂V/∂S per $1 of spot. */
    delta?: number;
    /** ∂²V/∂S² per $1². */
    gamma?: number;
    /** ∂V/∂σ per 1 volatility point (0.01), as the options package reports it. */
    vega?: number;
    /** ∂V/∂t per CALENDAR DAY (negative for a long option), as the options package reports it. */
    theta?: number;
    /** ∂V/∂r per 1% rate (0.01), as the options package reports it. */
    rho?: number;
    /** ∂²V/∂S∂σ per 1.00 σ per $ — the options package's `vanna`. Optional — omitted ⇒ its term is 0. */
    vanna?: number;
    /** ∂²V/∂σ² per 1.00 σ² — the options package's `vomma`. Optional. */
    vomma?: number;
    /** ∂Δ/∂T per year of time-to-expiry — the options package's `charm` (delta drift as expiry recedes). Optional. */
    charm?: number;
    /** ∂vega/∂T per year of time-to-expiry, vega per 1.00 σ — the options package's `veta`. Optional. */
    veta?: number;
    /** ∂²V/∂σ∂r per 1.00 σ per 1.00 rate — the options package's `vera`. Optional. */
    vera?: number;
    /** ∂²V/∂S∂r per $ per 1% rate — the spot-rate cross (`∂Δ/∂r`). Optional. */
    deltaRate?: number;
    /** ∂²V/∂t∂r per calendar day per 1% rate — the time-rate cross (`∂Θ/∂r`). Optional. */
    thetaRate?: number;
    /** ∂²V/∂r² per (1%)² — rho convexity. Optional. */
    rhoConvexity?: number;
    /** ∂²V/∂t² per calendar day² — theta convexity (theta's own bleed). Optional. */
    thetaConvexity?: number;
    /** φ = ∂V/∂q per 1% dividend yield — the options package's `phi` (dividend rho). Optional. */
    phi?: number;
    /** Accepted from a whole `ExtendedGreeks`; not used by the second-order expansion. */
    speed?: number;
    /** Accepted from a whole `ExtendedGreeks`; not used by the second-order expansion. */
    color?: number;
    /** Accepted from a whole `ExtendedGreeks`; not used by the second-order expansion. */
    zomma?: number;
    /** Accepted from a whole `ExtendedGreeks`; not used by the second-order expansion. */
    ultima?: number;
    /** Accepted from a whole `ExtendedGreeks` (`null` = elasticity undefined); not used by the expansion. */
    lambda?: number | null;
}

Fields, parameters & returned members (22)

Name / type	Meaning & unit	Optional / default
`charm` `number`	∂Δ/∂T per year of time-to-expiry — the options package's `charm` (delta drift as expiry recedes). Optional. unitless by name	Optional No @default declared; consult the signature and description.
`color` `number`	Accepted from a whole `ExtendedGreeks`; not used by the second-order expansion. unitless by name	Optional No @default declared; consult the signature and description.
`delta` `number`	∂V/∂S per $1 of spot. unitless by name	Optional No @default declared; consult the signature and description.
`deltaRate` `number`	∂²V/∂S∂r per $ per 1% rate — the spot-rate cross (`∂Δ/∂r`). Optional. decimal rate (0.05 = 5%)	Optional No @default declared; consult the signature and description.
`gamma` `number`	∂²V/∂S² per $1². unitless by name	Optional No @default declared; consult the signature and description.
`lambda` `number \| null`	Accepted from a whole `ExtendedGreeks` (`null` = elasticity undefined); not used by the expansion. unitless by name	Optional No @default declared; consult the signature and description.
`phi` `number`	φ = ∂V/∂q per 1% dividend yield — the options package's `phi` (dividend rho). Optional. unitless by name	Optional No @default declared; consult the signature and description.
`rho` `number`	∂V/∂r per 1% rate (0.01), as the options package reports it. unitless by name	Optional No @default declared; consult the signature and description.
`rhoConvexity` `number`	∂²V/∂r² per (1%)² — rho convexity. Optional. unitless by name	Optional No @default declared; consult the signature and description.
`speed` `number`	Accepted from a whole `ExtendedGreeks`; not used by the second-order expansion. unitless by name	Optional No @default declared; consult the signature and description.
`spot` `number`	Reference spot, required to resolve percent spot shocks into price moves. unitless by name	Optional No @default declared; consult the signature and description.
`theta` `number`	∂V/∂t per CALENDAR DAY (negative for a long option), as the options package reports it. unitless by name	Optional No @default declared; consult the signature and description.
`thetaConvexity` `number`	∂²V/∂t² per calendar day² — theta convexity (theta's own bleed). Optional. unitless by name	Optional No @default declared; consult the signature and description.
`thetaRate` `number`	∂²V/∂t∂r per calendar day per 1% rate — the time-rate cross (`∂Θ/∂r`). Optional. decimal rate (0.05 = 5%)	Optional No @default declared; consult the signature and description.
`ultima` `number`	Accepted from a whole `ExtendedGreeks`; not used by the second-order expansion. unitless by name	Optional No @default declared; consult the signature and description.
`value` `number`	Current mark value of the position (per unit). unitless by name	Required / declared member No @default declared; consult the signature and description.
`vanna` `number`	∂²V/∂S∂σ per 1.00 σ per $ — the options package's `vanna`. Optional — omitted ⇒ its term is 0. unitless by name	Optional No @default declared; consult the signature and description.
`vega` `number`	∂V/∂σ per 1 volatility point (0.01), as the options package reports it. unitless by name	Optional No @default declared; consult the signature and description.
`vera` `number`	∂²V/∂σ∂r per 1.00 σ per 1.00 rate — the options package's `vera`. Optional. unitless by name	Optional No @default declared; consult the signature and description.
`veta` `number`	∂vega/∂T per year of time-to-expiry, vega per 1.00 σ — the options package's `veta`. Optional. unitless by name	Optional No @default declared; consult the signature and description.
`vomma` `number`	∂²V/∂σ² per 1.00 σ² — the options package's `vomma`. Optional. unitless by name	Optional No @default declared; consult the signature and description.
`zomma` `number`	Accepted from a whole `ExtendedGreeks`; not used by the second-order expansion. 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

PositionScenarioResult

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

export interface PositionScenarioResult {
    id: string;
    quantity: number;
    pnl: number;
    attribution: PnlAttribution;
    /** How this position was revalued under the scenario (H11 disclosure). */
    valuationMethod: 'greeks-taylor' | 'reprice';
}

Fields, parameters & returned members (22)

Name / type	Meaning & unit	Optional / default
`attribution` `PnlAttribution`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`attribution.charm` `number`	Second-order spot–time cross term: `charm·dS·dt` (0 when `charm` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`attribution.delta` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`attribution.deltaRate` `number`	Second-order spot–rate cross term: `deltaRate·dS·dr` (0 when `deltaRate` is absent). decimal rate (0.05 = 5%)	Required / declared member No @default declared; consult the signature and description.
`attribution.gamma` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`attribution.other` `number`	Residual = repriced − value − (the Greek terms); 0 for a pure Taylor reprice. unitless by name	Required / declared member No @default declared; consult the signature and description.
`attribution.phi` `number`	First-order dividend-carry term: `φ·dq` (0 when `phi` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`attribution.rho` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`attribution.rhoConvexity` `number`	Second-order rate-convexity term: `½·rhoConvexity·dr²` (0 when `rhoConvexity` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`attribution.theta` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`attribution.thetaConvexity` `number`	Second-order time-convexity term: `½·thetaConvexity·dt²` (0 when `thetaConvexity` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`attribution.thetaRate` `number`	Second-order time–rate cross term: `thetaRate·dt·dr` (0 when `thetaRate` is absent). decimal rate (0.05 = 5%)	Required / declared member No @default declared; consult the signature and description.
`attribution.total` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`attribution.vanna` `number`	Second-order spot–vol cross term: `vanna·dS·dσ` (0 when `vanna` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`attribution.vega` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`attribution.vera` `number`	Second-order vol–rate cross term: `vera·dσ·dr` (0 when `vera` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`attribution.veta` `number`	Second-order vol–time cross term: `veta·dσ·dt` (0 when `veta` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`attribution.vomma` `number`	Second-order vol-convexity term: `½·vomma·dσ²` (0 when `vomma` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`id` `string`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`pnl` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`quantity` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`valuationMethod` `'greeks-taylor' \| 'reprice'`	How this position was revalued under the scenario (H11 disclosure). 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

ResolvedGridShock

One resolved axis entry of a {@link ScenarioGridResult} (H12).

/** One resolved axis entry of a {@link ScenarioGridResult} (H12). */
export interface ResolvedGridShock {
    factor: 'spot' | 'volatility';
    kind: ShockKind;
    value: number;
    /** The resolved ABSOLUTE move applied (percent spot shocks scaled by `greeks.spot`). */
    resolvedMove: number;
}

Fields, parameters & returned members (4)

Name / type	Meaning & unit	Optional / default
`factor` `'spot' \| 'volatility'`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`kind` `ShockKind`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`resolvedMove` `number`	The resolved ABSOLUTE move applied (percent spot shocks scaled by `greeks.spot`). unitless by name	Required / declared member No @default declared; consult the signature and description.
`value` `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

Scenario

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

export interface Scenario {
    name: string;
    shocks: Shock[];
}

Fields, parameters & returned members (2)

Name / type	Meaning & unit	Optional / default
`name` `string`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`shocks` `Shock[]`	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

ScenarioGridInput

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

export interface ScenarioGridInput {
    greeks: PositionGreeks;
    spotShocks: readonly Shock[];
    volatilityShocks: readonly Shock[];
}

Fields, parameters & returned members (25)

Name / type	Meaning & unit	Optional / default
`greeks` `PositionGreeks`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`greeks.charm` `number`	∂Δ/∂T per year of time-to-expiry — the options package's `charm` (delta drift as expiry recedes). Optional. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.color` `number`	Accepted from a whole `ExtendedGreeks`; not used by the second-order expansion. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.delta` `number`	∂V/∂S per $1 of spot. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.deltaRate` `number`	∂²V/∂S∂r per $ per 1% rate — the spot-rate cross (`∂Δ/∂r`). Optional. decimal rate (0.05 = 5%)	Optional No @default declared; consult the signature and description.
`greeks.gamma` `number`	∂²V/∂S² per $1². unitless by name	Optional No @default declared; consult the signature and description.
`greeks.lambda` `number \| null`	Accepted from a whole `ExtendedGreeks` (`null` = elasticity undefined); not used by the expansion. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.phi` `number`	φ = ∂V/∂q per 1% dividend yield — the options package's `phi` (dividend rho). Optional. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.rho` `number`	∂V/∂r per 1% rate (0.01), as the options package reports it. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.rhoConvexity` `number`	∂²V/∂r² per (1%)² — rho convexity. Optional. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.speed` `number`	Accepted from a whole `ExtendedGreeks`; not used by the second-order expansion. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.spot` `number`	Reference spot, required to resolve percent spot shocks into price moves. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.theta` `number`	∂V/∂t per CALENDAR DAY (negative for a long option), as the options package reports it. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.thetaConvexity` `number`	∂²V/∂t² per calendar day² — theta convexity (theta's own bleed). Optional. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.thetaRate` `number`	∂²V/∂t∂r per calendar day per 1% rate — the time-rate cross (`∂Θ/∂r`). Optional. decimal rate (0.05 = 5%)	Optional No @default declared; consult the signature and description.
`greeks.ultima` `number`	Accepted from a whole `ExtendedGreeks`; not used by the second-order expansion. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.value` `number`	Current mark value of the position (per unit). unitless by name	Required / declared member No @default declared; consult the signature and description.
`greeks.vanna` `number`	∂²V/∂S∂σ per 1.00 σ per $ — the options package's `vanna`. Optional — omitted ⇒ its term is 0. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.vega` `number`	∂V/∂σ per 1 volatility point (0.01), as the options package reports it. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.vera` `number`	∂²V/∂σ∂r per 1.00 σ per 1.00 rate — the options package's `vera`. Optional. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.veta` `number`	∂vega/∂T per year of time-to-expiry, vega per 1.00 σ — the options package's `veta`. Optional. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.vomma` `number`	∂²V/∂σ² per 1.00 σ² — the options package's `vomma`. Optional. unitless by name	Optional No @default declared; consult the signature and description.
`greeks.zomma` `number`	Accepted from a whole `ExtendedGreeks`; not used by the second-order expansion. unitless by name	Optional No @default declared; consult the signature and description.
`spotShocks` `readonly Shock[]`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`volatilityShocks` `readonly Shock[]`	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

ScenarioGridResult

The H12 report: both axes with resolved shock semantics + the P&L cells + the Law 2 envelope.

/** The H12 report: both axes with resolved shock semantics + the P&L cells + the Law 2 envelope. */
export interface ScenarioGridResult {
    assumptions: {
        conventionsVersion: string;
        greekUnits: typeof GREEK_UNITS;
    };
    diagnostics: {
        warnings: QuantWarning[];
    };
    spotAxis: ResolvedGridShock[];
    volatilityAxis: ResolvedGridShock[];
    /** `pnl[i][j]` = P&L per unit at `spotAxis[i]` × `volatilityAxis[j]`. */
    pnl: number[][];
}

Fields, parameters & returned members (12)

Name / type	Meaning & unit	Optional / default
`assumptions` `{ conventionsVersion: string; greekUnits: typeof GREEK_UNITS; }`	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.greekUnits` `{ readonly phi: 'per1Percent'; readonly rho: import('@insiderfinance/totalfinance/core').RhoUnit; readonly theta: import('@insiderfinance/totalfinance/core').ThetaUnit; readonly vega: import('@insiderfinance/totalfinance/core').VegaUnit; }`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`assumptions.greekUnits.phi` `'per1Percent'`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`assumptions.greekUnits.rho` `import('@insiderfinance/totalfinance/core').RhoUnit`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`assumptions.greekUnits.theta` `import('@insiderfinance/totalfinance/core').ThetaUnit`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`assumptions.greekUnits.vega` `import('@insiderfinance/totalfinance/core').VegaUnit`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`diagnostics` `{ warnings: QuantWarning[]; }`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`diagnostics.warnings` `QuantWarning[]`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`pnl` `number[][]`	`pnl[i][j]` = P&L per unit at `spotAxis[i]` × `volatilityAxis[j]`. unitless by name	Required / declared member No @default declared; consult the signature and description.
`spotAxis` `ResolvedGridShock[]`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`volatilityAxis` `ResolvedGridShock[]`	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

ScenarioResult

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

export interface ScenarioResult {
    scenario: string;
    /** Book P&L summed over positions. */
    pnl: number;
    byPosition: PositionScenarioResult[];
    /** Book-level P&L-explain (sum of position explains). */
    attribution: PnlAttribution;
}

Fields, parameters & returned members (21)

Name / type	Meaning & unit	Optional / default
`attribution` `PnlAttribution`	Book-level P&L-explain (sum of position explains). unitless by name	Required / declared member No @default declared; consult the signature and description.
`attribution.charm` `number`	Second-order spot–time cross term: `charm·dS·dt` (0 when `charm` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`attribution.delta` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`attribution.deltaRate` `number`	Second-order spot–rate cross term: `deltaRate·dS·dr` (0 when `deltaRate` is absent). decimal rate (0.05 = 5%)	Required / declared member No @default declared; consult the signature and description.
`attribution.gamma` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`attribution.other` `number`	Residual = repriced − value − (the Greek terms); 0 for a pure Taylor reprice. unitless by name	Required / declared member No @default declared; consult the signature and description.
`attribution.phi` `number`	First-order dividend-carry term: `φ·dq` (0 when `phi` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`attribution.rho` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`attribution.rhoConvexity` `number`	Second-order rate-convexity term: `½·rhoConvexity·dr²` (0 when `rhoConvexity` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`attribution.theta` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`attribution.thetaConvexity` `number`	Second-order time-convexity term: `½·thetaConvexity·dt²` (0 when `thetaConvexity` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`attribution.thetaRate` `number`	Second-order time–rate cross term: `thetaRate·dt·dr` (0 when `thetaRate` is absent). decimal rate (0.05 = 5%)	Required / declared member No @default declared; consult the signature and description.
`attribution.total` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`attribution.vanna` `number`	Second-order spot–vol cross term: `vanna·dS·dσ` (0 when `vanna` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`attribution.vega` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`attribution.vera` `number`	Second-order vol–rate cross term: `vera·dσ·dr` (0 when `vera` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`attribution.veta` `number`	Second-order vol–time cross term: `veta·dσ·dt` (0 when `veta` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`attribution.vomma` `number`	Second-order vol-convexity term: `½·vomma·dσ²` (0 when `vomma` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`byPosition` `PositionScenarioResult[]`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`pnl` `number`	Book P&L summed over positions. unitless by name	Required / declared member No @default declared; consult the signature and description.
`scenario` `string`	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

Shock

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

export interface Shock {
    factor: ShockFactor;
    kind: ShockKind;
    value: number;
}

Fields, parameters & returned members (3)

Name / type	Meaning & unit	Optional / default
`factor` `string`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`kind` `ShockKind`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`value` `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

ShockFactor

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

export type ShockFactor = 'spot' | 'volatility' | 'riskFreeRate' | 'time' | 'dividend' | string;

Stability, warnings & conventions

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

type

ShockKind

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

export type ShockKind = 'percent' | 'absolute';

Stability, warnings & conventions

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

interface

StressOptions

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

export interface StressOptions<T> {
    /** Custom revaluation: return the position's **new value per unit** under the scenario. Falls back
     *  to the Greeks-Taylor expansion when omitted. */
    reprice?: (position: Position<T>, scenario: Scenario) => number;
}

Fields, parameters & returned members (11)

Name / type	Meaning & unit	Optional / default
`reprice` `(position: Position<T>, scenario: Scenario) => number`	Custom revaluation: return the position's new value per unit under the scenario. Falls back to the Greeks-Taylor expansion when omitted. unitless by name	Optional No @default declared; consult the signature and description.
`reprice(position)` `Position<T>`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`reprice(position).data` `T`	unitless by name	Optional No @default declared; consult the signature and description.
`reprice(position).greeks` `PositionGreeks`	unitless by name	Optional No @default declared; consult the signature and description.
`reprice(position).id` `string`	unitless by name	Optional No @default declared; consult the signature and description.
`reprice(position).multiplier` `number`	Contract multiplier applied to per-unit value and Greeks (100 for a listed US equity option whose Greeks are per share and whose `quantity` is in contracts). Default 1. Applied by `aggregateGreeks`, `stressTest` and the book tools; disclosed in their assumptions. unitless by name	Optional No @default declared; consult the signature and description.
`reprice(position).quantity` `number`	Number of units held (signed). Default 1. unitless by name	Optional No @default declared; consult the signature and description.
`reprice(position).value` `number`	Current mark per unit — the BASE a custom `reprice` differences against (H11). When `reprice` is supplied, either this or `greeks.value` must be present; the base is never assumed 0. unitless by name	Optional No @default declared; consult the signature and description.
`reprice(scenario)` `Scenario`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`reprice(scenario).name` `string`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`reprice(scenario).shocks` `Shock[]`	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

StressTestInput

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

export interface StressTestInput<T> {
    positions: readonly Position<T>[];
    scenarios: readonly Scenario[];
    options?: StressOptions<T>;
}

Fields, parameters & returned members (14)

Name / type	Meaning & unit	Optional / default
`options` `StressOptions<T>`	unitless by name	Optional No @default declared; consult the signature and description.
`options.reprice` `(position: Position<T>, scenario: Scenario) => number`	Custom revaluation: return the position's new value per unit under the scenario. Falls back to the Greeks-Taylor expansion when omitted. unitless by name	Optional No @default declared; consult the signature and description.
`options.reprice(position)` `Position<T>`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`options.reprice(position).data` `T`	unitless by name	Optional No @default declared; consult the signature and description.
`options.reprice(position).greeks` `PositionGreeks`	unitless by name	Optional No @default declared; consult the signature and description.
`options.reprice(position).id` `string`	unitless by name	Optional No @default declared; consult the signature and description.
`options.reprice(position).multiplier` `number`	Contract multiplier applied to per-unit value and Greeks (100 for a listed US equity option whose Greeks are per share and whose `quantity` is in contracts). Default 1. Applied by `aggregateGreeks`, `stressTest` and the book tools; disclosed in their assumptions. unitless by name	Optional No @default declared; consult the signature and description.
`options.reprice(position).quantity` `number`	Number of units held (signed). Default 1. unitless by name	Optional No @default declared; consult the signature and description.
`options.reprice(position).value` `number`	Current mark per unit — the BASE a custom `reprice` differences against (H11). When `reprice` is supplied, either this or `greeks.value` must be present; the base is never assumed 0. unitless by name	Optional No @default declared; consult the signature and description.
`options.reprice(scenario)` `Scenario`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`options.reprice(scenario).name` `string`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`options.reprice(scenario).shocks` `Shock[]`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`positions` `readonly Position<T>[]`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`scenarios` `readonly Scenario[]`	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

StressTestResult

The H11 report: scenarios + the Law 2 envelope with the book-level valuation summary.

/** The H11 report: scenarios + the Law 2 envelope with the book-level valuation summary. */
export interface StressTestResult {
    assumptions: {
        conventionsVersion: string;
        scenarios: number;
        positions: number;
        /** Book-level valuation summary: 'greeks-taylor' | 'reprice' | 'mixed'. */
        valuation: string;
    };
    diagnostics: {
        warnings: QuantWarning[];
    };
    scenarios: ScenarioResult[];
}

Fields, parameters & returned members (8)

Name / type	Meaning & unit	Optional / default
`assumptions` `{ conventionsVersion: string; positions: number; scenarios: number; valuation: string; }`	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.positions` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`assumptions.scenarios` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`assumptions.valuation` `string`	Book-level valuation summary: 'greeks-taylor' \| 'reprice' \| 'mixed'. unitless by name	Required / declared member No @default declared; consult the signature and description.
`diagnostics` `{ warnings: QuantWarning[]; }`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`diagnostics.warnings` `QuantWarning[]`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`scenarios` `ScenarioResult[]`	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

TaylorPnlResult

{@link taylorPnl}'s report: the attribution inline plus the applied conventions (Law 2).

/** {@link taylorPnl}'s report: the attribution inline plus the applied conventions (Law 2). */
export interface TaylorPnlResult extends PnlAttribution {
    /** Applied conventions, echoed (Law 2 report grammar). */
    assumptions: {
        conventionsVersion: string;
        [k: string]: unknown;
    };
    /** Structured warnings; always present (possibly empty). */
    diagnostics: {
        warnings: QuantWarning[];
    };
}

Fields, parameters & returned members (21)

Name / type	Meaning & unit	Optional / default
`assumptions` `{ [k: string]: unknown; conventionsVersion: string; }`	Applied conventions, 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.
`charm` `number`	Second-order spot–time cross term: `charm·dS·dt` (0 when `charm` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`delta` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`deltaRate` `number`	Second-order spot–rate cross term: `deltaRate·dS·dr` (0 when `deltaRate` is absent). decimal rate (0.05 = 5%)	Required / declared member No @default declared; consult the signature and description.
`diagnostics` `{ warnings: QuantWarning[]; }`	Structured warnings; always present (possibly empty). unitless by name	Required / declared member No @default declared; consult the signature and description.
`diagnostics.warnings` `QuantWarning[]`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`gamma` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`other` `number`	Residual = repriced − value − (the Greek terms); 0 for a pure Taylor reprice. unitless by name	Required / declared member No @default declared; consult the signature and description.
`phi` `number`	First-order dividend-carry term: `φ·dq` (0 when `phi` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`rho` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`rhoConvexity` `number`	Second-order rate-convexity term: `½·rhoConvexity·dr²` (0 when `rhoConvexity` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`theta` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`thetaConvexity` `number`	Second-order time-convexity term: `½·thetaConvexity·dt²` (0 when `thetaConvexity` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`thetaRate` `number`	Second-order time–rate cross term: `thetaRate·dt·dr` (0 when `thetaRate` is absent). decimal rate (0.05 = 5%)	Required / declared member No @default declared; consult the signature and description.
`total` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`vanna` `number`	Second-order spot–vol cross term: `vanna·dS·dσ` (0 when `vanna` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`vega` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`vera` `number`	Second-order vol–rate cross term: `vera·dσ·dr` (0 when `vera` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`veta` `number`	Second-order vol–time cross term: `veta·dσ·dt` (0 when `veta` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`vomma` `number`	Second-order vol-convexity term: `½·vomma·dσ²` (0 when `vomma` is absent). 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

scenario

Build a named scenario from shocks. Each shock is validated at build time (use the `shock.*` constructors — they produce exactly this shape), so a malformed shock fails here with a typed error instead of deep inside the Taylor engine.

export declare function scenario(name: string, ...shocks: Shock[]): Scenario;

Fields, parameters & returned members (4)

Name / type	Meaning & unit	Optional / default
`(name)` `string`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(shocks)` `Shock[]`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.name` `string`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.shocks` `Shock[]`	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

scenarioGrid

2-D scenario grid (H12 report): P&L (per unit) of one position's Greeks across a Cartesian product of spot and vol shocks. A serialized result is self-interpreting — both axes carry their resolved shock semantics beside the cells, so a detached matrix never travels alone.

export declare function scenarioGrid(input: ScenarioGridInput): ScenarioGridResult;

Fields, parameters & returned members (16)

Name / type	Meaning & unit	Optional / default
`(input)` `ScenarioGridInput`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(input).greeks` `PositionGreeks`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(input).spotShocks` `readonly Shock[]`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(input).volatilityShocks` `readonly Shock[]`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.assumptions` `{ conventionsVersion: string; greekUnits: typeof GREEK_UNITS; }`	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.greekUnits` `{ readonly phi: 'per1Percent'; readonly rho: import('@insiderfinance/totalfinance/core').RhoUnit; readonly theta: import('@insiderfinance/totalfinance/core').ThetaUnit; readonly vega: import('@insiderfinance/totalfinance/core').VegaUnit; }`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.assumptions.greekUnits.phi` `'per1Percent'`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.assumptions.greekUnits.rho` `import('@insiderfinance/totalfinance/core').RhoUnit`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.assumptions.greekUnits.theta` `import('@insiderfinance/totalfinance/core').ThetaUnit`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.assumptions.greekUnits.vega` `import('@insiderfinance/totalfinance/core').VegaUnit`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.diagnostics` `{ warnings: QuantWarning[]; }`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.diagnostics.warnings` `QuantWarning[]`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.pnl` `number[][]`	`pnl[i][j]` = P&L per unit at `spotAxis[i]` × `volatilityAxis[j]`. unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.spotAxis` `ResolvedGridShock[]`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.volatilityAxis` `ResolvedGridShock[]`	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)

value

shock

Typed shock constructors. Strings carry units; raw numbers are absolute.

export declare const shock: { dividend(change: string | number): Shock; factor(name: string, change: string | number): Shock; riskFreeRate(change: string | number): Shock; spot(change: string | number): Shock; time(years: number): Shock; volatility(change: string | number): Shock; };

Fields, parameters & returned members (31)

Name / type	Meaning & unit	Optional / default
`dividend` `(change: string \| number) => Shock`	Dividend-yield move: `'+50bp'` ⇒ +0.005, or a raw `0.005`. Drives the first-order carry term `ε·dq`. Percent (`'%'`) dividend moves are rejected by the Taylor engine — it has no reference dividend level to scale against. unitless by name	Required / declared member No @default declared; consult the signature and description.
`dividend().return.factor` `string`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`dividend().return.kind` `ShockKind`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`dividend().return.value` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`dividend(change)` `string \| number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`factor` `(name: string, change: string \| number) => Shock`	A custom named factor shock. Percent (`'%'`) moves resolve only for `'spot'` in the Taylor engine; a custom `reprice` fn receives the raw scenario and may interpret `%` itself. unitless by name	Required / declared member No @default declared; consult the signature and description.
`factor().return.factor` `string`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`factor().return.kind` `ShockKind`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`factor().return.value` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`factor(change)` `string \| number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`factor(name)` `string`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`riskFreeRate` `(change: string \| number) => Shock`	Rate move: `'+50bp'` ⇒ +0.005, or a raw `0.005`. Percent (`'%'`) rate moves are rejected by the Taylor engine — it has no reference rate to scale against. decimal rate (0.05 = 5%)	Required / declared member No @default declared; consult the signature and description.
`riskFreeRate().return.factor` `string`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`riskFreeRate().return.kind` `ShockKind`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`riskFreeRate().return.value` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`riskFreeRate(change)` `string \| number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`spot` `(change: string \| number) => Shock`	Spot move: `'-5%'` (relative) or `-5` (absolute price). unitless by name	Required / declared member No @default declared; consult the signature and description.
`spot().return.factor` `string`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`spot().return.kind` `ShockKind`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`spot().return.value` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`spot(change)` `string \| number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`time` `(years: number) => Shock`	Time decay over `years` (e.g. `1/365` for one day). unitless by name	Required / declared member No @default declared; consult the signature and description.
`time().return.factor` `string`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`time().return.kind` `ShockKind`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`time().return.value` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`time(years)` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`volatility` `(change: string \| number) => Shock`	Volatility move in absolute vol points (`'+10pts'` ⇒ +0.10) or a raw decimal (`0.10`). Percent (`'%'`) vol moves are rejected by the Taylor engine — it has no reference vol to scale against. unitless by name	Required / declared member No @default declared; consult the signature and description.
`volatility().return.factor` `string`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`volatility().return.kind` `ShockKind`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`volatility().return.value` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`volatility(change)` `string \| 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)

function

stressTest

Stress a positions book across scenarios (H11 report): per-scenario and per-position P&L.

export declare function stressTest<T = unknown>(input: StressTestInput<T>): StressTestResult;

Fields, parameters & returned members (12)

Name / type	Meaning & unit	Optional / default
`(input)` `StressTestInput<T>`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(input).options` `StressOptions<T>`	unitless by name	Optional No @default declared; consult the signature and description.
`(input).positions` `readonly Position<T>[]`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(input).scenarios` `readonly Scenario[]`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.assumptions` `{ conventionsVersion: string; positions: number; scenarios: number; valuation: string; }`	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.positions` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.assumptions.scenarios` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.assumptions.valuation` `string`	Book-level valuation summary: 'greeks-taylor' \| 'reprice' \| 'mixed'. unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.diagnostics` `{ warnings: QuantWarning[]; }`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.diagnostics.warnings` `QuantWarning[]`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.scenarios` `ScenarioResult[]`	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

taylorPnl

Greeks-Taylor P&L of a single position's Greeks under a scenario (per unit).

export declare function taylorPnl(greeks: PositionGreeks, scenario: Scenario): TaylorPnlResult;

Fields, parameters & returned members (47)

Name / type	Meaning & unit	Optional / default
`(greeks)` `PositionGreeks`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(greeks).charm` `number`	∂Δ/∂T per year of time-to-expiry — the options package's `charm` (delta drift as expiry recedes). Optional. unitless by name	Optional No @default declared; consult the signature and description.
`(greeks).color` `number`	Accepted from a whole `ExtendedGreeks`; not used by the second-order expansion. unitless by name	Optional No @default declared; consult the signature and description.
`(greeks).delta` `number`	∂V/∂S per $1 of spot. unitless by name	Optional No @default declared; consult the signature and description.
`(greeks).deltaRate` `number`	∂²V/∂S∂r per $ per 1% rate — the spot-rate cross (`∂Δ/∂r`). Optional. decimal rate (0.05 = 5%)	Optional No @default declared; consult the signature and description.
`(greeks).gamma` `number`	∂²V/∂S² per $1². unitless by name	Optional No @default declared; consult the signature and description.
`(greeks).lambda` `number \| null`	Accepted from a whole `ExtendedGreeks` (`null` = elasticity undefined); not used by the expansion. unitless by name	Optional No @default declared; consult the signature and description.
`(greeks).phi` `number`	φ = ∂V/∂q per 1% dividend yield — the options package's `phi` (dividend rho). Optional. unitless by name	Optional No @default declared; consult the signature and description.
`(greeks).rho` `number`	∂V/∂r per 1% rate (0.01), as the options package reports it. unitless by name	Optional No @default declared; consult the signature and description.
`(greeks).rhoConvexity` `number`	∂²V/∂r² per (1%)² — rho convexity. Optional. unitless by name	Optional No @default declared; consult the signature and description.
`(greeks).speed` `number`	Accepted from a whole `ExtendedGreeks`; not used by the second-order expansion. unitless by name	Optional No @default declared; consult the signature and description.
`(greeks).spot` `number`	Reference spot, required to resolve percent spot shocks into price moves. unitless by name	Optional No @default declared; consult the signature and description.
`(greeks).theta` `number`	∂V/∂t per CALENDAR DAY (negative for a long option), as the options package reports it. unitless by name	Optional No @default declared; consult the signature and description.
`(greeks).thetaConvexity` `number`	∂²V/∂t² per calendar day² — theta convexity (theta's own bleed). Optional. unitless by name	Optional No @default declared; consult the signature and description.
`(greeks).thetaRate` `number`	∂²V/∂t∂r per calendar day per 1% rate — the time-rate cross (`∂Θ/∂r`). Optional. decimal rate (0.05 = 5%)	Optional No @default declared; consult the signature and description.
`(greeks).ultima` `number`	Accepted from a whole `ExtendedGreeks`; not used by the second-order expansion. unitless by name	Optional No @default declared; consult the signature and description.
`(greeks).value` `number`	Current mark value of the position (per unit). unitless by name	Required / declared member No @default declared; consult the signature and description.
`(greeks).vanna` `number`	∂²V/∂S∂σ per 1.00 σ per $ — the options package's `vanna`. Optional — omitted ⇒ its term is 0. unitless by name	Optional No @default declared; consult the signature and description.
`(greeks).vega` `number`	∂V/∂σ per 1 volatility point (0.01), as the options package reports it. unitless by name	Optional No @default declared; consult the signature and description.
`(greeks).vera` `number`	∂²V/∂σ∂r per 1.00 σ per 1.00 rate — the options package's `vera`. Optional. unitless by name	Optional No @default declared; consult the signature and description.
`(greeks).veta` `number`	∂vega/∂T per year of time-to-expiry, vega per 1.00 σ — the options package's `veta`. Optional. unitless by name	Optional No @default declared; consult the signature and description.
`(greeks).vomma` `number`	∂²V/∂σ² per 1.00 σ² — the options package's `vomma`. Optional. unitless by name	Optional No @default declared; consult the signature and description.
`(greeks).zomma` `number`	Accepted from a whole `ExtendedGreeks`; not used by the second-order expansion. unitless by name	Optional No @default declared; consult the signature and description.
`(scenario)` `Scenario`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(scenario).name` `string`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(scenario).shocks` `Shock[]`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.assumptions` `{ [k: string]: unknown; conventionsVersion: string; }`	Applied conventions, 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.charm` `number`	Second-order spot–time cross term: `charm·dS·dt` (0 when `charm` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.delta` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.deltaRate` `number`	Second-order spot–rate cross term: `deltaRate·dS·dr` (0 when `deltaRate` is absent). decimal rate (0.05 = 5%)	Required / declared member No @default declared; consult the signature and description.
`return.diagnostics` `{ warnings: QuantWarning[]; }`	Structured warnings; always present (possibly empty). unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.diagnostics.warnings` `QuantWarning[]`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.gamma` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.other` `number`	Residual = repriced − value − (the Greek terms); 0 for a pure Taylor reprice. unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.phi` `number`	First-order dividend-carry term: `φ·dq` (0 when `phi` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.rho` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.rhoConvexity` `number`	Second-order rate-convexity term: `½·rhoConvexity·dr²` (0 when `rhoConvexity` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.theta` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.thetaConvexity` `number`	Second-order time-convexity term: `½·thetaConvexity·dt²` (0 when `thetaConvexity` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.thetaRate` `number`	Second-order time–rate cross term: `thetaRate·dt·dr` (0 when `thetaRate` is absent). decimal rate (0.05 = 5%)	Required / declared member No @default declared; consult the signature and description.
`return.total` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.vanna` `number`	Second-order spot–vol cross term: `vanna·dS·dσ` (0 when `vanna` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.vega` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.vera` `number`	Second-order vol–rate cross term: `vera·dσ·dr` (0 when `vera` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.veta` `number`	Second-order vol–time cross term: `veta·dσ·dt` (0 when `veta` is absent). unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.vomma` `number`	Second-order vol-convexity term: `½·vomma·dσ²` (0 when `vomma` is absent). 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)