Where to start

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