@railpath/finance-toolkit/dist/risk/calculateVaR.js

Production-ready finance library for portfolio construction, risk analytics, quantitative metrics, and ML-based regime detection

"use strict";
Object.defineProperty(exports, "__esModule", { value: true });
exports.calculateVaR = calculateVaR;
const VaROptionsSchema_1 = require("../schemas/VaROptionsSchema");
const calculateHistoricalVaR_1 = require("./calculateHistoricalVaR");
const calculateMonteCarloVaR_1 = require("./calculateMonteCarloVaR");
const calculateParametricVaR_1 = require("./calculateParametricVaR");
/**
 * Calculate Value at Risk using historical method
 *
 * @param returns - Array of historical returns (e.g., daily returns)
 * @param options - VaR calculation options
 * @returns VaR result with value and metadata
 *
 * @example
 * ```typescript
 * const returns = [-0.02, 0.01, -0.015, 0.03, -0.01];
 * const var95 = calculateVaR(returns, { confidenceLevel: 0.95 });
 * console.log(`95% VaR: ${var95.value}`);
 * ```
 */
function calculateVaR(returns, options) {
    // Parse und validiere mit Zod (füllt Defaults!)
    const validated = VaROptionsSchema_1.VaROptionsSchema.parse(options);
    const { confidenceLevel, method, simulations } = validated;
    if (returns.length === 0) {
        throw new Error('Returns array cannot be empty');
    }
    if (confidenceLevel <= 0 || confidenceLevel >= 1) {
        throw new Error('Confidence level must be between 0 and 1');
    }
    switch (method) {
        case 'historical':
            return (0, calculateHistoricalVaR_1.calculateHistoricalVaR)(returns, confidenceLevel);
        case 'parametric':
            return (0, calculateParametricVaR_1.calculateParametricVaR)(returns, confidenceLevel);
        case 'monteCarlo':
            return (0, calculateMonteCarloVaR_1.calculateMonteCarloVaR)(returns, confidenceLevel, simulations);
        default:
            throw new Error(`Unknown VaR method: ${method}`);
    }
}