API: perp.js

Indices, funding, margin and collateral.

Import path site/perp.js. Imports options.js and nothing else.

Indices and funding

constantMaturityIndex(o): kind of 'vol', 'call' or 'straddle'. Returns {value, unit, T, K}.
fundingRate(o): {mark, index} to a rate per interval, damped and capped.
fundingPayment(o): Signed payment for a position over one interval.

markPortfolio(p, m): Returns {value, legs, greeks}. Handles option, perp and spot legs.
shockGrid(o): Derives the scenario grid from {atmVol, horizonDays, sigmas}.
stressPortfolio(p, m): Full revaluation at every node. Returns the worst loss, the scenario that produced it, and every cell.
marginRequirement(p, m): Initial and maintenance from the scenario loss.
borrowingPower(p, m): Value less the haircut scenario loss, floored at zero, plus the advance rate.
accountHealth(o): Equity over maintenance margin. Below 1.0 is liquidatable.
liquidationSpot(o): Bisection for the spot at which the account becomes liquidatable, or null if it never does in that direction.

accepted legs

{ kind: 'call' | 'put', K, expiryDays, qty }
{ kind: 'perp', indexKind, tenorDays, qty, entry }
{ kind: 'spot', qty }

negative qty is short