@railpath/finance-toolkit/dist/schemas/ExpectedShortfallOptionsSchema.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.ExpectedShortfallOptionsSchema = void 0;
const zod_1 = require("zod");
/**
 * Zod schema for Expected Shortfall calculation options
 */
exports.ExpectedShortfallOptionsSchema = zod_1.z.object({
    /** Confidence level (e.g., 0.95 for 95%) */
    confidenceLevel: zod_1.z.number().min(0).max(1).describe('Confidence level between 0 and 1'),
    /** Method to use for calculation */
    method: zod_1.z.enum(['historical', 'parametric', 'monteCarlo']).optional().default('historical'),
    /** Number of simulations for Monte Carlo (if applicable) */
    simulations: zod_1.z.number().int().positive().optional().default(10000),
});