@insiderfinance/totalfinance/volatility/sticky-regime

interface

StickyRegime

The measured regime.

/** The measured regime. */
export interface StickyRegime {
    /**
     * `∂σ_K/∂lnS` — the empirical vol-spot beta from the regression, **per LOG spot** (vol points per
     * 100% spot move). NOT the same quantity as `VolatilitySpotBeta.volatilitySpotBeta` /
     * `minimumVarianceDelta({ volatilitySpotBeta })`, which are `∂σ/∂S` — per DOLLAR. The two differ by
     * a factor of `S`: feeding this straight into the hedge would scale the smile adjustment by the
     * spot price. Divide by the reference spot first (`estimateVolatilitySpotBeta` does exactly that
     * when its `basis` is `'log'`).
     */
    volatilitySpotBetaPerLogSpot: number;
    tStatistic: number;
    /** How much of the fixed-strike vol's change spot returns explain. */
    rSquared: number;
    /** Position on the axis: 0 = sticky-strike, 1 = sticky-moneyness (`= −β/skewSlope`); `null` if no reference. */
    stickiness: number | null;
    regime: 'sticky-strike' | 'sticky-moneyness' | 'intermediate' | 'indeterminate';
    observations: number;
    assumptions: {
        conventionsVersion: string;
        skewSlope: number | null;
    };
    diagnostics: Diagnostics;
}

Fields, parameters & returned members (27)

Name / type	Meaning & unit	Optional / default
`assumptions` `{ conventionsVersion: string; skewSlope: number \| null; }`	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.skewSlope` `number \| null`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`diagnostics` `Diagnostics`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`diagnostics.autoReason` `string`	When a meta-engine (e.g. `engines.auto()`) selected a delegate, this is a one-sentence, human-readable explanation of WHY that delegate was chosen (`engine` then names the delegate). Absent when no auto-selection took place. unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.converged` `boolean`	Whether an iterative procedure converged. `false` means the value is not trustworthy. unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.decomposition` `Record<string, number>`	Named intermediate quantities the value decomposes into — a par spread's protection leg and risky annuity, a forward variance's near/far legs. The H-series explain paths disclose their arithmetic here so a caller can audit the ratio, not just receive it (3B.3). unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.engine` `string`	Pricing/solver engine name, e.g. `black-scholes-merton`. unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.finiteDifferenceBumps` `Record<string, number>`	Finite-difference engines: the ACTUAL bump sizes used for FD Greeks (spec P2.3) — adaptive near the vol/time boundaries, so the caller can see exactly what was differenced. Keys: `spotStep`, `volatilityStep`, `timeStepYears`, `rateStep`, and — extended Greeks only — `dividendYieldStep`. Each is the actual step differenced, in the unit of the coordinate it bumps. (This doc named the retired `hS`/`hSig`/`hT`/`hR`/`hQ` keys for one release after the emit sites had moved to the semantic names, so a caller following it read `undefined`.) unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.iterations` `number`	Iteration count for iterative methods. unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.method` `string`	Numerical method, e.g. `closed-form`, `brent`, `finite-difference`. unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.selection` `import('@insiderfinance/totalfinance/core/pricing').SelectionReport`	The structured engine-selection report (Gate C, `@insiderfinance/totalfinance/core/pricing`): who was selected, why, and — for automatic selection — every candidate considered with its verdict. This is the machine-readable superset of `engine` + `autoReason` (which remain for compatibility); `selected.name` always agrees with `engine` when both are present. unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.selection.candidates` `readonly import('@insiderfinance/totalfinance/core/pricing').SelectionCandidate[]`	Candidates an automatic selection considered; absent for explicit mode. unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.selection.mode` `'explicit' \| 'automatic'`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`diagnostics.selection.reason` `string`	Why the selected engine answers this request. unitless by name	Required / declared member No @default declared; consult the signature and description.
`diagnostics.selection.selected` `{ name: string; version?: string; }`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`diagnostics.selection.selected.name` `string`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`diagnostics.selection.selected.version` `string`	unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.timingMs` `number`	Wall-clock timing in milliseconds, when measured. milliseconds	Optional No @default declared; consult the signature and description.
`diagnostics.warmup` `number`	Series facades: number of leading output slots that are warmup sentinels (null/NaN) while the computation seeds. Equals the input length when the indicator never emitted. unitless by name	Optional No @default declared; consult the signature and description.
`diagnostics.warnings` `QuantWarning[]`	Structured warnings; always present (possibly empty). unitless by name	Required / declared member No @default declared; consult the signature and description.
`observations` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`rSquared` `number`	How much of the fixed-strike vol's change spot returns explain. unitless by name	Required / declared member No @default declared; consult the signature and description.
`regime` `'indeterminate' \| 'sticky-strike' \| 'sticky-moneyness' \| 'intermediate'`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`stickiness` `number \| null`	Position on the axis: 0 = sticky-strike, 1 = sticky-moneyness (`= −β/skewSlope`); `null` if no reference. unitless by name	Required / declared member No @default declared; consult the signature and description.
`tStatistic` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`volatilitySpotBetaPerLogSpot` `number`	`∂σ_K/∂lnS` — the empirical vol-spot beta from the regression, per LOG spot (vol points per 100% spot move). NOT the same quantity as `VolatilitySpotBeta.volatilitySpotBeta` / `minimumVarianceDelta({ volatilitySpotBeta })`, which are `∂σ/∂S` — per DOLLAR. The two differ by a factor of `S`: feeding this straight into the hedge would scale the smile adjustment by the spot price. Divide by the reference spot first (`estimateVolatilitySpotBeta` does exactly that when its `basis` is `'log'`). 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

StickyRegimeInput

Inputs for {@link stickyRegime}.

/** Inputs for {@link stickyRegime}. */
export interface StickyRegimeInput {
    /** Per-observation underlying spot, aligned to `fixedStrikeVolatility`. */
    spot: ArrayLike<number>;
    /** Per-observation implied vol of a FIXED reference strike (same K across the series). */
    fixedStrikeVolatility: ArrayLike<number>;
    /** The smile slope `∂σ/∂ln(K)` — the sticky-moneyness reference. Omit ⇒ only `β`/R² (indeterminate). */
    skewSlope?: number;
}

Fields, parameters & returned members (3)

Name / type	Meaning & unit	Optional / default
`fixedStrikeVolatility` `ArrayLike<number>`	Per-observation implied vol of a FIXED reference strike (same K across the series). unitless by name	Required / declared member No @default declared; consult the signature and description.
`skewSlope` `number`	The smile slope `∂σ/∂ln(K)` — the sticky-moneyness reference. Omit ⇒ only `β`/R² (indeterminate). unitless by name	Optional No @default declared; consult the signature and description.
`spot` `ArrayLike<number>`	Per-observation underlying spot, aligned to `fixedStrikeVolatility`. 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

stickyRegime

Measure whether the market's smile is sticky-strike or sticky-moneyness (sticky-delta) from a history of spot and a fixed reference strike's implied vol. See `docs/specs/sticky-regime.md`.

export declare function stickyRegime(input: StickyRegimeInput): StickyRegime;

Fields, parameters & returned members (14)

Name / type	Meaning & unit	Optional / default
`(input)` `StickyRegimeInput`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`(input).fixedStrikeVolatility` `ArrayLike<number>`	Per-observation implied vol of a FIXED reference strike (same K across the series). unitless by name	Required / declared member No @default declared; consult the signature and description.
`(input).skewSlope` `number`	The smile slope `∂σ/∂ln(K)` — the sticky-moneyness reference. Omit ⇒ only `β`/R² (indeterminate). unitless by name	Optional No @default declared; consult the signature and description.
`(input).spot` `ArrayLike<number>`	Per-observation underlying spot, aligned to `fixedStrikeVolatility`. unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.assumptions` `{ conventionsVersion: string; skewSlope: number \| null; }`	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.skewSlope` `number \| null`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.diagnostics` `Diagnostics`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.observations` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.rSquared` `number`	How much of the fixed-strike vol's change spot returns explain. unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.regime` `'indeterminate' \| 'sticky-strike' \| 'sticky-moneyness' \| 'intermediate'`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.stickiness` `number \| null`	Position on the axis: 0 = sticky-strike, 1 = sticky-moneyness (`= −β/skewSlope`); `null` if no reference. unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.tStatistic` `number`	unitless by name	Required / declared member No @default declared; consult the signature and description.
`return.volatilitySpotBetaPerLogSpot` `number`	`∂σ_K/∂lnS` — the empirical vol-spot beta from the regression, per LOG spot (vol points per 100% spot move). NOT the same quantity as `VolatilitySpotBeta.volatilitySpotBeta` / `minimumVarianceDelta({ volatilitySpotBeta })`, which are `∂σ/∂S` — per DOLLAR. The two differ by a factor of `S`: feeding this straight into the hedge would scale the smile adjustment by the spot price. Divide by the reference spot first (`estimateVolatilitySpotBeta` does exactly that when its `basis` is `'log'`). 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)