Where to start
- pricing/forward.ts — priceForward(): the carry-model forward and dividend PV
- pricing/instruments.ts — Synthetic and TRF fair values, TRF basis, the funding accrual
- pricing/implied.ts — implied(): the generic inverse solver
- pricing/brent.ts — Brent root-finder and bracket expansion
- grid/rowModel.ts — A pricer row: solve-for, two-way sides, marks, dividend curve, forward funding
- carry/carry.ts — Carry, roll-down and forward funding of a calendar spread
- carry/greeks.ts — Delta, IR DV01 and the forward funding DV01 (bump-based)
- pricing/__tests__/trfReview.test.ts — Checks against Eurex's worked example