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Hierarchy
- Error
- DateAlignmentError
Index
Constructors
Properties
Methods
Constructors
constructor
Parameters
- message: string
Returns DateAlignmentError
Properties
message
message: string
name
name: string
Optionalstack
stack?: string
Staticstack
stackTraceLimit: number
Methods
Staticcapture
Creates a
-.stackproperty ontargetObject, which when accessed returns -a string representing the location in the code at which -Error.captureStackTrace()was called.
- -const myObject = {};
Error.captureStackTrace(myObject);
myObject.stack; // Similar to `new Error().stack` -The first line of the trace will be prefixed with -
-${myObject.name}: ${myObject.message}.The optional
-constructorOptargument accepts a function. If given, all frames -aboveconstructorOpt, includingconstructorOpt, will be omitted from the -generated stack trace.The
-constructorOptargument is useful for hiding implementation -details of error generation from the user. For instance:
- -function a() {
b();
}
function b() {
c();
}
function c() {
// Create an error without stack trace to avoid calculating the stack trace twice.
const { stackTraceLimit } = Error;
Error.stackTraceLimit = 0;
const error = new Error();
Error.stackTraceLimit = stackTraceLimit;
// Capture the stack trace above function b
Error.captureStackTrace(error, b); // Neither function c, nor b is included in the stack trace
throw error;
}
a(); -Parameters
- targetObject: object
OptionalconstructorOpt: Function
Returns void
Staticprepare
Parameters
- err: Error
- stackTraces: CallSite[]
Returns any
Class IncorrectArgumentComboError
Hierarchy
- Error
- IncorrectArgumentComboError
Index
Constructors
Properties
Methods
Constructors
constructor
Parameters
- message: string
Returns IncorrectArgumentComboError
Properties
message
message: string
name
name: string
Optionalstack
stack?: string
Staticstack
stackTraceLimit: number
The Error.stackTraceLimit property specifies the number of stack frames
-collected by a stack trace (whether generated by new Error().stack or
-Error.captureStackTrace(obj)).
The default value is 10 but may be set to any valid JavaScript number. Changes
-will affect any stack trace captured after the value has been changed.
If set to a non-number value, or set to a negative number, stack traces will -not capture any frames.
-Methods
Staticcapture
Creates a
-.stackproperty ontargetObject, which when accessed returns -a string representing the location in the code at which -Error.captureStackTrace()was called.
- -const myObject = {};
Error.captureStackTrace(myObject);
myObject.stack; // Similar to `new Error().stack` -The first line of the trace will be prefixed with -
-${myObject.name}: ${myObject.message}.The optional
-constructorOptargument accepts a function. If given, all frames -aboveconstructorOpt, includingconstructorOpt, will be omitted from the -generated stack trace.The
-constructorOptargument is useful for hiding implementation -details of error generation from the user. For instance:
- -function a() {
b();
}
function b() {
c();
}
function c() {
// Create an error without stack trace to avoid calculating the stack trace twice.
const { stackTraceLimit } = Error;
Error.stackTraceLimit = 0;
const error = new Error();
Error.stackTraceLimit = stackTraceLimit;
// Capture the stack trace above function b
Error.captureStackTrace(error, b); // Neither function c, nor b is included in the stack trace
throw error;
}
a(); -Parameters
- targetObject: object
OptionalconstructorOpt: Function
Returns void
Staticprepare
Parameters
- err: Error
- stackTraces: CallSite[]
Returns any
Class InitialValueZeroError
Hierarchy
- Error
- InitialValueZeroError
Index
Constructors
Properties
Methods
Constructors
constructor
Parameters
- message: string
Returns InitialValueZeroError
Properties
message
message: string
name
name: string
Optionalstack
stack?: string
Staticstack
stackTraceLimit: number
The Error.stackTraceLimit property specifies the number of stack frames
-collected by a stack trace (whether generated by new Error().stack or
-Error.captureStackTrace(obj)).
The default value is 10 but may be set to any valid JavaScript number. Changes
-will affect any stack trace captured after the value has been changed.
If set to a non-number value, or set to a negative number, stack traces will -not capture any frames.
-Methods
Staticcapture
Creates a
-.stackproperty ontargetObject, which when accessed returns -a string representing the location in the code at which -Error.captureStackTrace()was called.
- -const myObject = {};
Error.captureStackTrace(myObject);
myObject.stack; // Similar to `new Error().stack` -The first line of the trace will be prefixed with -
-${myObject.name}: ${myObject.message}.The optional
-constructorOptargument accepts a function. If given, all frames -aboveconstructorOpt, includingconstructorOpt, will be omitted from the -generated stack trace.The
-constructorOptargument is useful for hiding implementation -details of error generation from the user. For instance:
- -function a() {
b();
}
function b() {
c();
}
function c() {
// Create an error without stack trace to avoid calculating the stack trace twice.
const { stackTraceLimit } = Error;
Error.stackTraceLimit = 0;
const error = new Error();
Error.stackTraceLimit = stackTraceLimit;
// Capture the stack trace above function b
Error.captureStackTrace(error, b); // Neither function c, nor b is included in the stack trace
throw error;
}
a(); -Parameters
- targetObject: object
OptionalconstructorOpt: Function
Returns void
Staticprepare
Parameters
- err: Error
- stackTraces: CallSite[]
Returns any
Class MixedValuetypesError
Hierarchy
- Error
- MixedValuetypesError
Index
Constructors
Properties
Methods
Constructors
constructor
Parameters
- message: string
Returns MixedValuetypesError
Properties
message
message: string
name
name: string
Optionalstack
stack?: string
Staticstack
stackTraceLimit: number
The Error.stackTraceLimit property specifies the number of stack frames
-collected by a stack trace (whether generated by new Error().stack or
-Error.captureStackTrace(obj)).
The default value is 10 but may be set to any valid JavaScript number. Changes
-will affect any stack trace captured after the value has been changed.
If set to a non-number value, or set to a negative number, stack traces will -not capture any frames.
-Methods
Staticcapture
Creates a
-.stackproperty ontargetObject, which when accessed returns -a string representing the location in the code at which -Error.captureStackTrace()was called.
- -const myObject = {};
Error.captureStackTrace(myObject);
myObject.stack; // Similar to `new Error().stack` -The first line of the trace will be prefixed with -
-${myObject.name}: ${myObject.message}.The optional
-constructorOptargument accepts a function. If given, all frames -aboveconstructorOpt, includingconstructorOpt, will be omitted from the -generated stack trace.The
-constructorOptargument is useful for hiding implementation -details of error generation from the user. For instance:
- -function a() {
b();
}
function b() {
c();
}
function c() {
// Create an error without stack trace to avoid calculating the stack trace twice.
const { stackTraceLimit } = Error;
Error.stackTraceLimit = 0;
const error = new Error();
Error.stackTraceLimit = stackTraceLimit;
// Capture the stack trace above function b
Error.captureStackTrace(error, b); // Neither function c, nor b is included in the stack trace
throw error;
}
a(); -Parameters
- targetObject: object
OptionalconstructorOpt: Function
Returns void
Staticprepare
Parameters
- err: Error
- stackTraces: CallSite[]
Returns any
Class NoWeightsError
Hierarchy
- Error
- NoWeightsError
Index
Constructors
Properties
Methods
Constructors
constructor
Parameters
- message: string
Returns NoWeightsError
Properties
message
message: string
name
name: string
Optionalstack
stack?: string
Staticstack
stackTraceLimit: number
The Error.stackTraceLimit property specifies the number of stack frames
-collected by a stack trace (whether generated by new Error().stack or
-Error.captureStackTrace(obj)).
The default value is 10 but may be set to any valid JavaScript number. Changes
-will affect any stack trace captured after the value has been changed.
If set to a non-number value, or set to a negative number, stack traces will -not capture any frames.
-Methods
Staticcapture
Creates a
-.stackproperty ontargetObject, which when accessed returns -a string representing the location in the code at which -Error.captureStackTrace()was called.
- -const myObject = {};
Error.captureStackTrace(myObject);
myObject.stack; // Similar to `new Error().stack` -The first line of the trace will be prefixed with -
-${myObject.name}: ${myObject.message}.The optional
-constructorOptargument accepts a function. If given, all frames -aboveconstructorOpt, includingconstructorOpt, will be omitted from the -generated stack trace.The
-constructorOptargument is useful for hiding implementation -details of error generation from the user. For instance:
- -function a() {
b();
}
function b() {
c();
}
function c() {
// Create an error without stack trace to avoid calculating the stack trace twice.
const { stackTraceLimit } = Error;
Error.stackTraceLimit = 0;
const error = new Error();
Error.stackTraceLimit = stackTraceLimit;
// Capture the stack trace above function b
Error.captureStackTrace(error, b); // Neither function c, nor b is included in the stack trace
throw error;
}
a(); -Parameters
- targetObject: object
OptionalconstructorOpt: Function
Returns void
Staticprepare
Parameters
- err: Error
- stackTraces: CallSite[]
Returns any
Class OpenFrame
Collection of aligned timeseries with portfolio and correlation methods.
-Index
Constructors
Properties
Accessors
Methods
Constructors
constructor
- new OpenFrame(
constituents: OpenTimeSeries[],
weights?: number[] | null,
options?: { countries?: string | string[] },
): OpenFrameParameters
- constituents: OpenTimeSeries[]
- weights: number[] | null = null
Optionaloptions: { countries?: string | string[] }
Returns OpenFrame
Properties
column
columnLabels: string[]
constituents
countries
countries: string[]
Country code(s) for business calendar (holidays, resampling). Used when adapting data to business days.
-tsdf
tsdf: { columns: number[][]; dates: string[] }
weights
weights: number[] | null
Accessors
first
- get firstIdx(): string
Returns string
item
- get itemCount(): number
Returns number
last
- get lastIdx(): string
Returns string
length
- get length(): number
Returns number
period
- get periodInAYear(): number
Returns number
Methods
add
Parameters
- series: OpenTimeSeries
Returns this
autocorr
Lag-k autocorrelation per constituent. Matches Python OpenFrame.autocorr_func.
-Parameters
- lag: number = 1
- squared: boolean = false
Returns number[]
beta
Parameters
- assetColumn: number
- marketColumn: number
Returns number
capture
- captureRatio(
ratio: "both" | "up" | "down",
baseColumn?: number,
opts?: { freq?: ResampleFreq },
): number[]CAGR-based capture ratio vs benchmark column. -Matches Python openseries capture_ratio_func behavior: uses frame data as-is (no resample) -with dynamic time_factor = observations / (span_days/365.25).
-Parameters
- ratio: "both" | "up" | "down"
"up" | "down" | "both" (up/down or both = up/down)
- - baseColumn: number = -1
Benchmark column index (-1 = last)
- Optionalopts: { freq?: ResampleFreq }Optionalfreq?: ResampleFreqIf set, resample to period-end before computing (e.g. "ME" for monthly). -When omitted, uses frame data as-is to match Python default.
-
Returns number[]
- ratio: "both" | "up" | "down"
correl
Returns number[][]
filter
Filters tsdf to retain only business days. Mutates in place.
-Returns this
info
Parameters
- baseColumn: number = -1
Returns number[]
jensen
Parameters
- assetColumn: number
- marketColumn: number
- riskfreeRate: number = 0
Returns number
make
- makePortfolio(
name: string,
weightStrat?: LiteralPortfolioWeightings,
): { dates: string[]; values: number[] }Parameters
- name: string
OptionalweightStrat: LiteralPortfolioWeightings
Returns { dates: string[]; values: number[] }
max
Max drawdown per column (price series). Returns array of max drawdowns.
-Returns number[]
max
Date when max drawdown bottom occurs per column. -Returns array of date strings (or undefined when no drawdown).
-Returns (string | undefined)[]
merge
Parameters
- how: "inner" | "outer" = "outer"
Returns this
ord
- ordLeastSquaresFit(
yColumn: number,
xColumn: number,
opts?: { fittedSeries?: boolean },
): OrdLeastSquaresResultOrdinary Least Squares fit of y on x. -Regresses tsdf column yColumn (dependent) on xColumn (explanatory). -Matches Python openseries ord_least_squares_fit.
-Parameters
- yColumn: number
Column index of dependent variable y
- - xColumn: number
Column index of exogenous variable x
- Optionalopts: { fittedSeries?: boolean }OptionalfittedSeries?: booleanIf true, add fitted values as new column (default true)
-
Returns OrdLeastSquaresResult
Object with coefficient (slope), intercept, and rsquared
- - yColumn: number
resample
Resamples all constituents to business period-end frequency, then re-merges. -Throws if any constituent is a return series.
-Parameters
- freq: ResampleFreq = "ME"
Returns this
return
Returns return columns (first element 0). Throws if mixed PRICE/RTRN.
-Returns number[][]
to
Converts each column to drawdown series (value / running peak - 1). -Operates on the frame's aligned tsdf. Call after mergeSeries and truncate -so drawdown is computed on the truncated date range.
-Returns this
tracking
Parameters
- baseColumn: number = -1
Optional_opts: { fromDate?: string; toDate?: string }
Returns number[]
trunc
- truncFrame(
opts?: {
endCut?: string;
startCut?: string;
where?: "before" | "after" | "both";
},
): thisTruncates frame and constituents to a common date range.
-Parameters
- opts: { endCut?: string; startCut?: string; where?: "before" | "after" | "both" } = {}
Truncation options
-OptionalendCut?: stringNew last date (default: earliest last date if where includes 'after')
-OptionalstartCut?: stringNew first date (default: latest first date of all constituents if where includes 'before')
-Optionalwhere?: "before" | "after" | "both"Which end(s) to truncate when cuts not provided
-
Returns this
- opts: { endCut?: string; startCut?: string; where?: "before" | "after" | "both" } = {}
Class OpenTimeSeries
Timeseries of dates and values with methods for risk metrics.
-Index
Constructors
Properties
Accessors
Methods
acf
-arithmetic
Constructors
constructor
- new OpenTimeSeries(
params: {
countries?: string | string[];
currency?: string;
dates: string[];
instrumentId?: string;
label?: string;
localCcy?: boolean;
markets?: string | string[] | null;
name: string;
timeseriesId?: string;
values: number[];
valuetype?: ValueType;
},
): OpenTimeSeriesParameters
- params: {
countries?: string | string[];
currency?: string;
dates: string[];
instrumentId?: string;
label?: string;
localCcy?: boolean;
markets?: string | string[] | null;
name: string;
timeseriesId?: string;
values: number[];
valuetype?: ValueType;
}
Returns OpenTimeSeries
- params: {
Properties
countries
countries: string | string[]
Country code(s) for business calendar (holidays, resampling). Default "SE".
-currency
currency: string
Readonlydates
dates: string[]
Readonlyinstrument
instrumentId: string
label
label: string
local
localCcy: boolean
markets
markets: string | string[] | null
Readonlyname
name: string
Readonlytimeseries
timeseriesId: string
tsdf
tsdf: { date: string; value: number }[]
Readonlyvalues
values: number[]
valuetype
Accessors
first
- get firstIdx(): string
Returns string
last
- get lastIdx(): string
Returns string
length
- get length(): number
Returns number
periods
- get periodsInAYear(): number
Returns number
span
- get spanOfDays(): number
Returns number
yearfrac
- get yearfrac(): number
Returns number
Methods
acf
Autocorrelation function for specified lags. -If lags is an int, compute ACF from lag 0 through that value (inclusive).
-Parameters
- lags: number | number[]
- opts: DateRangeOptions = {}
- squared: boolean = false
Returns LagSeries
arithmetic
Parameters
- opts: DateRangeOptions = {}
Returns number
autocorr
Lag-k autocorrelation of demeaned returns. -For price series, returns are derived via pct_change; for return series, -values are demeaned. Matches Python openseries autocorr_func.
-Parameters
- lag: number = 1
- opts: DateRangeOptions = {}
- squared: boolean = false
Returns number
cvar
Parameters
- level: number = 0.95
- opts: DateRangeOptions = {}
Returns number
downside
Parameters
- opts: DateRangeOptions = {}
- mar: number = 0
Returns number
ewma
Parameters
- lmbda: number = 0.94
- dayChunk: number = 11
- level: number = 0.95
- opts: DateRangeOptions = {}
Returns number[]
ewma
Parameters
- lmbda: number = 0.94
- dayChunk: number = 11
- opts: DateRangeOptions = {}
Returns number[]
filter
Filters tsdf to retain only business days. Mutates in place.
-Returns this
from
Returns OpenTimeSeries
geo
Parameters
- opts: DateRangeOptions = {}
Returns number
get
Returns string[]
get
Returns number[]
kurtosis
Parameters
- opts: DateRangeOptions = {}
Returns number
ljung
Ljung-Box test for autocorrelation at the given lags.
-Parameters
- lags: number | number[]
- opts: DateRangeOptions = {}
- squared: boolean = false
Returns LjungBoxResult
max
Parameters
- opts: DateRangeOptions = {}
Returns number
max
Returns the date when the max drawdown bottom occurs (the date of the lowest point -relative to the preceding peak). Returns undefined if no drawdown occurs.
-Parameters
- opts: DateRangeOptions = {}
Returns string | undefined
pacf
Partial autocorrelation function for specified lags. -If lags is an int, compute PACF from lag 0 through that value (inclusive).
-Parameters
- lags: number | number[]
- opts: DateRangeOptions = {}
- squared: boolean = false
Returns LagSeries
partial
Partial autocorrelation at a given lag.
-Parameters
- lag: number = 1
- opts: DateRangeOptions = {}
- squared: boolean = false
Returns number
positive
Parameters
- opts: DateRangeOptions = {}
Returns number
resample
Resamples to business period-end frequency (week, month, quarter, year). -Mutates tsdf. Throws on return series (use price series).
-Parameters
- freq: ResampleFreq = "ME"
Returns this
ret
Parameters
- riskfreeRate: number = 0
- opts: DateRangeOptions = {}
Returns number
set
Parameters
OptionallvlZero: stringOptionallvlOne: ValueType
Returns this
skew
Parameters
- opts: DateRangeOptions = {}
Returns number
sortino
Parameters
- riskfreeRate: number = 0
- minAcceptedReturn: number = 0
- opts: DateRangeOptions = {}
Returns number
to
Returns this
to
Returns this
value
Parameters
- opts: DateRangeOptions = {}
Returns number
value
Returns this
var
Parameters
- level: number = 0.95
- opts: DateRangeOptions = {}
Returns number
vol
Parameters
- opts: DateRangeOptions = {}
Returns number
vol
Parameters
- level: number = 0.95
- opts: DateRangeOptions = {}
Returns number
worst
Parameters
- observations: number = 1
- opts: DateRangeOptions = {}
Returns number
worst
Worst single calendar month return (business-month-end based). -Uses filterToBusinessDays + resampleToPeriodEnd(ME) + min of monthly returns.
-Parameters
- opts: DateRangeOptions = {}
Returns number
z
Parameters
- opts: DateRangeOptions = {}
Returns number
Staticfrom
- fromArrays(
name: string,
dates: string[],
values: number[],
options?: {
baseccy?: string;
countries?: string | string[];
instrumentId?: string;
localCcy?: boolean;
timeseriesId?: string;
valuetype?: ValueType;
},
): OpenTimeSeriesCreates an OpenTimeSeries from a name, dates array, and values array.
-Parameters
- name: string
- dates: string[]
- values: number[]
Optionaloptions: {
baseccy?: string;
countries?: string | string[];
instrumentId?: string;
localCcy?: boolean;
timeseriesId?: string;
valuetype?: ValueType;
}
Returns OpenTimeSeries
Staticfrom
- fromDateColumns(
dateColumns: {
columns: { name: string; values: number[] }[];
dates: string[];
},
options?: {
columnIndex?: number;
countries?: string | string[];
valuetype?: ValueType;
},
): OpenTimeSeriesCreates an OpenTimeSeries from simulation dateColumns by column index.
-Parameters
- dateColumns: { columns: { name: string; values: number[] }[]; dates: string[] }
Optionaloptions: { columnIndex?: number; countries?: string | string[]; valuetype?: ValueType }
Returns OpenTimeSeries
Staticfrom
Creates an OpenTimeSeries from a record or array of {date, value}.
-Parameters
- data: Record<string, number> | { date: string; value: number }[]
Returns OpenTimeSeries
Class ResampleDataLossError
Hierarchy
- Error
- ResampleDataLossError
Index
Constructors
Properties
Methods
Constructors
constructor
Parameters
- message: string
Returns ResampleDataLossError
Properties
message
message: string
name
name: string
Optionalstack
stack?: string
Staticstack
stackTraceLimit: number
The Error.stackTraceLimit property specifies the number of stack frames
-collected by a stack trace (whether generated by new Error().stack or
-Error.captureStackTrace(obj)).
The default value is 10 but may be set to any valid JavaScript number. Changes
-will affect any stack trace captured after the value has been changed.
If set to a non-number value, or set to a negative number, stack traces will -not capture any frames.
-Methods
Staticcapture
Creates a
-.stackproperty ontargetObject, which when accessed returns -a string representing the location in the code at which -Error.captureStackTrace()was called.
- -const myObject = {};
Error.captureStackTrace(myObject);
myObject.stack; // Similar to `new Error().stack` -The first line of the trace will be prefixed with -
-${myObject.name}: ${myObject.message}.The optional
-constructorOptargument accepts a function. If given, all frames -aboveconstructorOpt, includingconstructorOpt, will be omitted from the -generated stack trace.The
-constructorOptargument is useful for hiding implementation -details of error generation from the user. For instance:
- -function a() {
b();
}
function b() {
c();
}
function c() {
// Create an error without stack trace to avoid calculating the stack trace twice.
const { stackTraceLimit } = Error;
Error.stackTraceLimit = 0;
const error = new Error();
Error.stackTraceLimit = stackTraceLimit;
// Capture the stack trace above function b
Error.captureStackTrace(error, b); // Neither function c, nor b is included in the stack trace
throw error;
}
a(); -Parameters
- targetObject: object
OptionalconstructorOpt: Function
Returns void
Staticprepare
Parameters
- err: Error
- stackTraces: CallSite[]
Returns any
Class ReturnSimulation
Monte Carlo return simulation with optional seed for reproducibility.
-Index
Constructors
Properties
Accessors
Methods
Constructors
constructor
- new ReturnSimulation(
params: {
dframe: number[][];
jumps_lamda?: number;
jumps_mu?: number;
jumps_sigma?: number;
mean_annual_return: number;
mean_annual_vol: number;
number_of_sims: number;
seed?: number;
trading_days: number;
trading_days_in_year: number;
},
): ReturnSimulationParameters
- params: {
dframe: number[][];
jumps_lamda?: number;
jumps_mu?: number;
jumps_sigma?: number;
mean_annual_return: number;
mean_annual_vol: number;
number_of_sims: number;
seed?: number;
trading_days: number;
trading_days_in_year: number;
}
Returns ReturnSimulation
- params: {
Properties
Readonlydframe
dframe: number[][]
Readonlyjumps
jumpsLamda: number
Readonlyjumps
jumpsMu: number
Readonlyjumps
jumpsSigma: number
Readonlymean
meanAnnualReturn: number
Readonlymean
meanAnnualVol: number
Readonlynumber
numberOfSims: number
Optional Readonlyseed
seed?: number
Readonlytrading
tradingDays: number
Readonlytrading
tradingDaysInYear: number
Accessors
realized
- get realizedMeanReturn(): number
Returns number
realized
- get realizedVol(): number
Returns number
results
- get results(): number[][]
Returns number[][]
Methods
to
- toDateColumns(
name: string,
options?: { asReturns?: boolean; end?: string; start?: string },
): { columns: { name: string; values: number[] }[]; dates: string[] }Parameters
- name: string
Optionaloptions: { asReturns?: boolean; end?: string; start?: string }
Returns { columns: { name: string; values: number[] }[]; dates: string[] }
Staticfrom
- fromGbm(
number_of_sims: number,
mean_annual_return: number,
mean_annual_vol: number,
trading_days: number,
trading_days_in_year?: number,
seed?: number,
): ReturnSimulationParameters
- number_of_sims: number
- mean_annual_return: number
- mean_annual_vol: number
- trading_days: number
- trading_days_in_year: number = 252
Optionalseed: number
Returns ReturnSimulation
Staticfrom
- fromLognormal(
number_of_sims: number,
mean_annual_return: number,
mean_annual_vol: number,
trading_days: number,
trading_days_in_year?: number,
seed?: number,
): ReturnSimulationParameters
- number_of_sims: number
- mean_annual_return: number
- mean_annual_vol: number
- trading_days: number
- trading_days_in_year: number = 252
Optionalseed: number
Returns ReturnSimulation
Staticfrom
- fromMertonJumpGbm(
number_of_sims: number,
trading_days: number,
mean_annual_return: number,
mean_annual_vol: number,
jumps_lamda: number,
jumps_sigma?: number,
jumps_mu?: number,
trading_days_in_year?: number,
seed?: number,
): ReturnSimulationParameters
- number_of_sims: number
- trading_days: number
- mean_annual_return: number
- mean_annual_vol: number
- jumps_lamda: number
- jumps_sigma: number = 0
- jumps_mu: number = 0
- trading_days_in_year: number = 252
Optionalseed: number
Returns ReturnSimulation
Staticfrom
- fromNormal(
number_of_sims: number,
mean_annual_return: number,
mean_annual_vol: number,
trading_days: number,
trading_days_in_year?: number,
seed?: number,
): ReturnSimulationParameters
- number_of_sims: number
- mean_annual_return: number
- mean_annual_vol: number
- trading_days: number
- trading_days_in_year: number = 252
Optionalseed: number
Returns ReturnSimulation
Enumeration ValueType
Enumeration Members
EWMA_
EWMA_VAR: "EWMA VaR"
EWMA_
EWMA_VOL: "EWMA volatility"
PRICE
PRICE: "Price(Close)"
RELRTRN
RELRTRN: "Relative return"
ROLLBETA
ROLLBETA: "Beta"
ROLLCORR
ROLLCORR: "Rolling correlation"
ROLLCVAR
ROLLCVAR: "Rolling CVaR"
ROLLINFORATIO
ROLLINFORATIO: "Information Ratio"
ROLLRTRN
ROLLRTRN: "Rolling returns"
ROLLVAR
ROLLVAR: "Rolling VaR"
ROLLVOL
ROLLVOL: "Rolling volatility"
RTRN
RTRN: "Return(Total)"
diff --git a/docs/functions/dateToStr.html b/docs/functions/dateToStr.html
deleted file mode 100644
index 945635f..0000000
--- a/docs/functions/dateToStr.html
+++ /dev/null
@@ -1,2 +0,0 @@
-
diff --git a/docs/functions/efficientFrontier.html b/docs/functions/efficientFrontier.html
deleted file mode 100644
index 04ae9af..0000000
--- a/docs/functions/efficientFrontier.html
+++ /dev/null
@@ -1,2 +0,0 @@
-
Function efficientFrontier
- efficientFrontier(
frame: OpenFrame,
numPorts?: number,
seed?: number,
frontierPoints?: number,
): {
frontier: EfficientFrontierPoint[];
maxSharpe: EfficientFrontierPoint;
simulated: SimulatedPortfolio[];
}Computes the mean-variance efficient frontier using analytic QP.
-Parameters
- frame: OpenFrame
- numPorts: number = 5000
- seed: number = 71
- frontierPoints: number = 50
Returns {
frontier: EfficientFrontierPoint[];
maxSharpe: EfficientFrontierPoint;
simulated: SimulatedPortfolio[];
}
Function fetchCaptorSeries
Fetches a single timeseries from the Captor Open API.
-Parameters
- id: string
The timeseries ID (e.g. "638f681e0c2f4c8d28a13392")
-
Returns Promise<CaptorSeriesResponse>
The timeseries data with dates and values arrays
-- id: string
Function fetchCaptorSeriesBatch
Fetches multiple timeseries from the Captor Open API.
-Parameters
- ids: string[]
Array of timeseries IDs
-
Returns Promise<CaptorSeriesResponse[]>
Array of timeseries data
-- ids: string[]
Function filterBusinessDays
Filters an array of date strings to keep only business days. -Business day = not weekend (Sat/Sun) and not a holiday in any of the specified countries.
-Parameters
- dates: string[]
Array of date strings (YYYY-MM-DD)
- - countries: string | string[]
Country code(s) for holiday calendar, e.g. "SE", "US", ["SE", "NO"]
-
Returns string[]
Array of business-day date strings (subsequence of input, preserving order)
-- dates: string[]
Function filterToBusinessDays
- filterToBusinessDays(
dates: string[],
columns: number[][],
countries: string | string[],
): { columns: number[][]; dates: string[] }Filters (dates, columns) to retain only rows where the date is a business day. -Preserves alignment across all columns.
-Parameters
- dates: string[]
- columns: number[][]
- countries: string | string[]
Returns { columns: number[][]; dates: string[] }
diff --git a/docs/functions/getPreviousBusinessDayBeforeToday.html b/docs/functions/getPreviousBusinessDayBeforeToday.html
deleted file mode 100644
index e7f8c4b..0000000
--- a/docs/functions/getPreviousBusinessDayBeforeToday.html
+++ /dev/null
@@ -1,3 +0,0 @@
-
Function getPreviousBusinessDayBeforeToday
Returns the most recent business day strictly before today. -Uses the given country code(s) for holiday calendar (e.g. "SE" for XSTO/Stockholm).
-Parameters
- countries: string | string[]
Returns string
diff --git a/docs/functions/lastBusinessDayOfMonth.html b/docs/functions/lastBusinessDayOfMonth.html
deleted file mode 100644
index 1b1e168..0000000
--- a/docs/functions/lastBusinessDayOfMonth.html
+++ /dev/null
@@ -1,2 +0,0 @@
-
diff --git a/docs/functions/lastBusinessDayOfYear.html b/docs/functions/lastBusinessDayOfYear.html
deleted file mode 100644
index 03339e8..0000000
--- a/docs/functions/lastBusinessDayOfYear.html
+++ /dev/null
@@ -1,2 +0,0 @@
-
diff --git a/docs/functions/mean.html b/docs/functions/mean.html
deleted file mode 100644
index 5b19018..0000000
--- a/docs/functions/mean.html
+++ /dev/null
@@ -1,2 +0,0 @@
-
diff --git a/docs/functions/offsetBusinessDays.html b/docs/functions/offsetBusinessDays.html
deleted file mode 100644
index e48ceef..0000000
--- a/docs/functions/offsetBusinessDays.html
+++ /dev/null
@@ -1,2 +0,0 @@
-
diff --git a/docs/functions/pctChange.html b/docs/functions/pctChange.html
deleted file mode 100644
index 93e2458..0000000
--- a/docs/functions/pctChange.html
+++ /dev/null
@@ -1,2 +0,0 @@
-
diff --git a/docs/functions/plotSeries.html b/docs/functions/plotSeries.html
deleted file mode 100644
index 5103353..0000000
--- a/docs/functions/plotSeries.html
+++ /dev/null
@@ -1,6 +0,0 @@
-
Function plotSeries
- plotSeries(
seriesOrFrame: OpenTimeSeries | OpenFrame,
options?: PlotSeriesOptions,
): Promise<string>Generate full-page series plot HTML, write to file, and optionally open in browser. -Analogous to Python plot_series with auto_open.
-Parameters
- seriesOrFrame: OpenTimeSeries | OpenFrame
OpenTimeSeries or OpenFrame (use mergeSeries("inner") for frame)
- - options: PlotSeriesOptions = {}
Title, filename, autoOpen
-
Returns Promise<string>
Path to the written HTML file
- - seriesOrFrame: OpenTimeSeries | OpenFrame
Function plotSeriesHtml
Generate full-page HTML with a line chart of the series (or multiple series). -Plots cumulative returns (base 1). Percent display is formatting only. -Works with OpenTimeSeries or OpenFrame. For OpenFrame, use mergeSeries("inner") first.
-Parameters
- seriesOrFrame: OpenTimeSeries | OpenFrame
OpenTimeSeries or OpenFrame
- - options: PlotSeriesOptions = {}
Optional title
-
Returns string
HTML string
-- seriesOrFrame: OpenTimeSeries | OpenFrame
Function preparePlotData
- preparePlotData(
assets: OpenFrame,
currentPortfolio: { dates: string[]; values: number[] },
optimum: EfficientFrontierPoint,
): SharpePlotPoint[]Prepares labeled points for the efficient-frontier chart: individual assets, -current (e.g. eq-weight) portfolio, and the max-Sharpe optimum.
-Parameters
- assets: OpenFrame
- currentPortfolio: { dates: string[]; values: number[] }
- optimum: EfficientFrontierPoint
Returns SharpePlotPoint[]
diff --git a/docs/functions/quantile.html b/docs/functions/quantile.html
deleted file mode 100644
index ff879b6..0000000
--- a/docs/functions/quantile.html
+++ /dev/null
@@ -1,2 +0,0 @@
-
diff --git a/docs/functions/randomGenerator.html b/docs/functions/randomGenerator.html
deleted file mode 100644
index 60b5f92..0000000
--- a/docs/functions/randomGenerator.html
+++ /dev/null
@@ -1,2 +0,0 @@
-
diff --git a/docs/functions/reportHtml.html b/docs/functions/reportHtml.html
deleted file mode 100644
index ca0e331..0000000
--- a/docs/functions/reportHtml.html
+++ /dev/null
@@ -1,11 +0,0 @@
-
Function reportHtml
Generate HTML report from an OpenFrame. -Analogous to Python openseries report_html(data: OpenFrame, ...). -The frame should have mergeSeries("inner") already applied.
-Requires at least 2 constituents: the first N-1 are compared against the last -(benchmark). Benchmark-relative metrics (Capture Ratio, Information Ratio, etc.) -are empty for the benchmark series.
-Parameters
- frame: OpenFrame
OpenFrame with aligned series (mergeSeries("inner"))
- - options: ReportOptions = {}
Report options (title, logo). Countries come from frame.countries.
-
Returns string
HTML string
-- frame: OpenFrame
Function resampleToPeriodEnd
- resampleToPeriodEnd(
dates: string[],
columns: number[][],
freq: ResampleFreq,
countries: string | string[],
): { columns: number[][]; dates: string[] }Resamples dates and columns to end-of-business period frequency. -Each period takes the last observation that falls on a business day within that period.
-Parameters
- dates: string[]
Sorted array of date strings
- - columns: number[][]
Value columns (same length as dates)
- - freq: ResampleFreq
WE (week-end), ME (month-end), QE (quarter-end), YE (year-end)
- - countries: string | string[]
Country code(s) for holiday filtering
-
Returns { columns: number[][]; dates: string[] }
- dates: string[]
Function sharpeplot
- sharpeplot(
simulated: SimulatedPortfolio[],
frontier: EfficientFrontierPoint[],
pointFrame: SharpePlotPoint[],
options?: SharpePlotOptions,
): Promise<string>Writes efficient-frontier HTML to file and optionally opens in browser.
-Parameters
- simulated: SimulatedPortfolio[]
- frontier: EfficientFrontierPoint[]
- pointFrame: SharpePlotPoint[]
- options: SharpePlotOptions = {}
Returns Promise<string>
Function sharpeplotHtml
- sharpeplotHtml(
simulated: SimulatedPortfolio[],
frontier: EfficientFrontierPoint[],
pointFrame: SharpePlotPoint[],
options?: SharpePlotOptions,
): stringGenerates full-page HTML with efficient frontier scatter plot. -Simulated portfolios colored by Sharpe ratio, frontier as line, labeled points.
-Parameters
- simulated: SimulatedPortfolio[]
- frontier: EfficientFrontierPoint[]
- pointFrame: SharpePlotPoint[]
- options: SharpePlotOptions = {}
Returns string
Function simulatePortfolios
Simulates random long-only portfolios from frame returns and covariance.
-Parameters
- frame: OpenFrame
- numPorts: number
- seed: number
Returns SimulatedPortfolio[]
diff --git a/docs/functions/timeseriesChain.html b/docs/functions/timeseriesChain.html
deleted file mode 100644
index c479434..0000000
--- a/docs/functions/timeseriesChain.html
+++ /dev/null
@@ -1,2 +0,0 @@
-
Function timeseriesChain
Chains two timeseries at their overlap. Scales back by front's level at the overlap date.
-Parameters
- front: OpenTimeSeries
- back: OpenTimeSeries
- oldFee: number = 0
Returns OpenTimeSeries
@captor/openseries-ts - v1.1.0
Hierarchy Summary
@captor/openseries-ts - v1.1.0
openseries (TypeScript)
-
-
-
Tools for analyzing financial timeseries of a single asset or a group of assets. -Designed for daily or less frequent data. -TypeScript port of the -Python openseries package.
-Installation
-npm install @captor/openseries-ts
-The published package requires Node.js 22 or later.
-To develop this repository you need npm 12+ and Node.js 22, 24, or 26
-(^22.22.2 || ^24.15.0 || >=26.0.0). Those versions are enforced via
-package.json engines, devEngines, and packageManager (npm@12.0.2).
-CI runs the test suite on Node 22, 24, and 26.
Quick Start
-import { OpenTimeSeries } from "@captor/openseries-ts";
const dates = ["2020-01-02", "2020-01-03", "2020-01-06", "2020-01-07"];
const values = [100, 101, 102, 99];
const series = OpenTimeSeries.fromArrays("My Series", dates, values);
console.log(series.geoRet()); // CAGR
console.log(series.vol()); // Annualized volatility
console.log(series.maxDrawdown()); // Max drawdown
console.log(series.autocorr()); // lag-1 autocorrelation of demeaned returns
-Features
--
-
- OpenTimeSeries: Single timeseries with risk metrics -(CAGR, volatility, VaR, CVaR, Sortino ratio, max drawdown, autocorrelation, etc.) -
- OpenFrame: Multi-series comparison, correlation, portfolio construction, -rebalancing -
- ReturnSimulation: Monte Carlo with reproducible seeds -(normal, lognormal, GBM, Merton jump-diffusion) -
- Portfolio tools: Efficient frontier, simulated portfolios, weight strategies -
- Date utilities: Business day calendars (via date-holidays), date offsets, -period-end alignment -
- Captor API: Fetch timeseries from Captor Open API
-(
fetchCaptorSeries,fetchCaptorSeriesBatch)
- - Report:
reportHtml(frame, options)— programmatic HTML report; -CLI vianpm run report
- - Plot:
plotSeriesHtml(),plotSeries()— full-page series line chart -(like Pythonplot_series)
-
API Overview
-OpenTimeSeries
--
-
fromArrays(),fromObject(),fromDateColumns()— create from dates/values -or simulation output
-valueToRet(),toCumret()- Convert price ↔ returns
-geoRet(),arithmeticRet(),vol(),varDown(),cvarDown()
-sortinoRatio(),retVolRatio(),maxDrawdown(),maxDrawdownBottomDate(),downsideDeviation()
-autocorr(lag?, opts?, squared?)— lag-k autocorrelation of demeaned returns
-acf(lags, opts?, squared?),pacf(lags, opts?, squared?),partialAutocorr(lag?, opts?, squared?)
-ljungBox(lags, opts?, squared?)— Ljung–Box test(statistic, pvalue, lags)
-ewmaVolFunc(),ewmaVarFunc()- EWMA risk measures
-
OpenFrame
--
-
mergeSeries(),truncFrame()- Align multiple series
-toDrawdownSeries()- Convert aligned columns to drawdown (value/peak - 1)
-makePortfolio()- Weighted portfolio (eq_weights, inv_vol, max_div, min_vol_overweight)
-correlMatrix(),trackingError(),infoRatio(),beta(),jensenAlpha()
-autocorr(lag?, squared?)— per-constituent lag-k autocorrelation (number[])
-maxDrawdown(),maxDrawdownBottomDate()- Per-column drawdown metrics
-captureRatio(ratio, baseColumn?, opts?)- CAGR-based capture vs benchmark -(opts.freqoptional; when omitted, uses frame data as-is)
-ordLeastSquaresFit(),filterToBusinessDays(),resampleToPeriodEnd()
-
ReturnSimulation
--
-
fromNormal(),fromLognormal(),fromGbm(),fromMertonJumpGbm()— all accept -optionalseedfor reproducibility
-toDateColumns(name, options?)— returns dates and columns -(as returns or cumulative prices)
-randomGenerator(seed?)— seeded RNG for custom use
-
Captor API
--
-
fetchCaptorSeries(id)— fetch a single series from Captor Open API
-fetchCaptorSeriesBatch(ids)— fetch multiple series
-
Report
--
-
reportHtml(frame, options?)— generate HTML report (cumulative performance, -annual returns, stats) from an OpenFrame. -Options:title,logoUrl,addLogo. -Countries for business-day metrics come fromframe.countries.
-
Plot
--
-
plotSeriesHtml(seriesOrFrame, options?)— generate full-page HTML with a line -chart of cumulative returns (base 1). -Works withOpenTimeSeriesorOpenFrame(usemergeSeries("inner")first). -Options:title,logoUrl,addLogo,asDrawdown(plot drawdown series).
-plotSeries(seriesOrFrame, options?)— async: writes HTML to file and optionally -opens in browser. -Options:title,logoUrl,addLogo,filename(default:~/Documents/plot.html), -autoOpen(default: true).
-
Documentation
-API reference: https://captorab.github.io/openseries-ts/
-To regenerate docs locally:
-npm run docs
-This writes static HTML to docs/. To serve them via GitHub Pages:
-
-
- Run
npm run docsand commit thedocs/folder
- - In the repo: Settings → Pages -
- Under Source, choose Deploy from a branch -
- Branch:
main(or your default branch), folder:/docs
-
Docs will be available at https://<username>.github.io/<repo>/.
Scripts
-Build & Development
-| Command | -Description | -
|---|---|
npm run build |
-Build dist/ (ESM + CJS + declarations) |
-
npm run test |
-Run Vitest test suite | -
npm run test:coverage |
-Run tests with Istanbul coverage report | -
npm run lint |
-Run ESLint on src/ |
-
npm run lint:fix |
-ESLint with auto-fix | -
npm run typecheck |
-TypeScript check (tsc --noEmit) |
-
npm run check |
-Run lint + typecheck | -
npm run docs |
-Generate API docs to docs/ (TypeDoc) |
-
npm publish |
-publish to npm | -
Report Script
-Generates an HTML portfolio report from Captor API timeseries -(cumulative performance, annual returns, statistics).
-| Command | -Description | -
|---|---|
npm run report |
-Report with custom or default Captor series IDs | -
npm run report:iris |
-Preset: Captor Iris Bond + Benchmark Index | -
npm run report:captor |
-Same as report (default Captor IDs) |
-
Default output (in ~/Documents): iris_report.html (Iris preset), captor_report.html
-(default Captor preset), or report.html (custom --ids).
Options (pass after --): --ids id1 id2 ..., --iris, --title "Title",
---countries "SE,US", --from-date YYYY-MM-DD, --to-date YYYY-MM-DD,
---filename path, --no-open, --no-logo.
Examples:
-npm run report -- --ids 638f681e 5b72a10c 5c1115fb
npm run report:iris -- --from-date 2023-01-01 --to-date 2024-12-31 --no-open
-Plot Script
-Generates a full-page HTML line chart of cumulative returns (base 1)
-from Captor API timeseries.
-With the default Captor preset (no --ids), an equal-weight portfolio series is included.
| Command | -Description | -
|---|---|
npm run plot |
-Plot with custom or default Captor series IDs | -
npm run plot:iris |
-Preset: Captor Iris Bond + Benchmark Index | -
npm run plot:captor |
-Same as plot |
-
npm run plot:drawdown |
-DEFAULT_SERIES as drawdown series | -
Default output (in ~/Documents): iris_plot.html (Iris preset), captor_plot.html
-(default Captor preset), drawdown_plot.html (drawdown preset), or plot.html (custom --ids).
Options (pass after --): same as Report (--ids, --iris, --drawdown, --title,
---countries, --from-date, --to-date, --filename, --no-open, --no-logo).
Examples:
-npm run plot:iris
npm run plot -- --ids id1 id2 --no-open --filename my-plot.html
-Efficient Frontier Script
-Simulates asset returns (lognormal), builds portfolio frame, computes efficient -frontier and max-Sharpe portfolio, and plots simulated portfolios, frontier, -and labeled points (assets, current, optimum). -Mirrors the Python openseries Jupyter notebook workflow.
-| Command | -Description | -
|---|---|
npm run efficient-frontier |
-Run efficient frontier demo | -
Options (pass after --): --simulations N (default: 5000), --points N
-(default: 30), --seed N (default: 71), --countries "SE", --title "Title",
---filename path, --no-open, --no-logo.
Example:
-npm run efficient-frontier -- --simulations 3000 --points 25 --no-open
-Compare Metrics Script
-Compares TypeScript openseries-ts metrics against Python openseries metrics.
-Loads timeseries data from iris.json, computes metrics with the TS
-implementation, and displays them side-by-side with Python metrics from
-data.json.
Prerequisites: Run the Python script first to create the reference data in ~/Documents/:
python scripts/load_py_openseries_data.py
-This fetches the Captor Iris Bond timeseries from the API, saves it to
-~/Documents/iris.json, and exports Python-calculated metrics to
-~/Documents/data.json.
| Command | -Description | -
|---|---|
npm run compare-metrics |
-Compare TS vs Python metrics (default: 4 decimal places) | -
Options: --decimals=N (pass after --).
Examples:
-npm run compare-metrics
npm run compare-metrics -- --decimals=6
-
diff --git a/docs/interfaces/LagSeries.html b/docs/interfaces/LagSeries.html
deleted file mode 100644
index 203cf79..0000000
--- a/docs/interfaces/LagSeries.html
+++ /dev/null
@@ -1,4 +0,0 @@
-
diff --git a/docs/interfaces/OrdLeastSquaresResult.html b/docs/interfaces/OrdLeastSquaresResult.html
deleted file mode 100644
index dd9160d..0000000
--- a/docs/interfaces/OrdLeastSquaresResult.html
+++ /dev/null
@@ -1,5 +0,0 @@
-
Interface OrdLeastSquaresResult
Result of Ordinary Least Squares regression (ord_least_squares_fit).
-Index
Properties
Interface PlotSeriesOptions
interface PlotSeriesOptions {
addLogo?: boolean;
asDrawdown?: boolean;
autoOpen?: boolean;
filename?: string;
logoUrl?: string;
title?: string;
}
addLogo?: boolean;
asDrawdown?: boolean;
autoOpen?: boolean;
filename?: string;
logoUrl?: string;
title?: string;
}
Properties
Optionaladd
addLogo?: boolean
If true, show logo in upper left. Default: true.
-Optionalas
asDrawdown?: boolean
If true, data is drawdown series (0 to negative decimals). Plot raw values * 100 as %, skip cumulative conversion.
-Optionalauto
autoOpen?: boolean
If true, open the HTML file in the default browser. Default: true.
-Optionalfilename
filename?: string
Output file path. Default: ~/Documents/plot.html (or ~/ if Documents missing).
-Optionallogo
logoUrl?: string
Logo URL (e.g. company logo). Shown in upper left when addLogo is true.
-Optionaltitle
title?: string
Optional title above the chart.
-
diff --git a/docs/interfaces/SharpePlotOptions.html b/docs/interfaces/SharpePlotOptions.html
deleted file mode 100644
index afff4f8..0000000
--- a/docs/interfaces/SharpePlotOptions.html
+++ /dev/null
@@ -1,8 +0,0 @@
-
diff --git a/docs/interfaces/SharpePlotPoint.html b/docs/interfaces/SharpePlotPoint.html
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-
diff --git a/docs/interfaces/SimulatedPortfolio.html b/docs/interfaces/SimulatedPortfolio.html
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diff --git a/docs/modules.html b/docs/modules.html
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-
@captor/openseries-ts - v1.1.0
Enumerations
Classes
Interfaces
Type Aliases
Functions
- dateFix
- dateToStr
- efficientFrontier
- fetchCaptorSeries
- fetchCaptorSeriesBatch
- filterBusinessDays
- filterToBusinessDays
- generateCalendarDateRange
- getPreviousBusinessDayBeforeToday
- isBusinessDay
- lastBusinessDayOfMonth
- lastBusinessDayOfYear
- mean
- offsetBusinessDays
- pctChange
- plotSeries
- plotSeriesHtml
- preparePlotData
- prevBusinessDay
- quantile
- randomGenerator
- reportHtml
- resampleToPeriodEnd
- sharpeplot
- sharpeplotHtml
- simulatePortfolios
- std
- timeseriesChain
diff --git a/docs/types/CountryCode.html b/docs/types/CountryCode.html
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-
Type Alias CountryCode
CountryCode: string
Type Alias DateRangeOptions
Options to slice a series by date range.
-type DateRangeOptions = {
fromDate?: string;
monthsFromLast?: number;
periodsInYearFixed?: number;
toDate?: string;
}
fromDate?: string;
monthsFromLast?: number;
periodsInYearFixed?: number;
toDate?: string;
}
Index
Properties
Type Alias LiteralBizDayFreq
LiteralBizDayFreq: "B" | "BME" | "BQE" | "BYE"
Type Alias LiteralPortfolioWeightings
LiteralPortfolioWeightings:
| "eq_weights"
| "inv_vol"
| "max_div"
| "min_vol_overweight"
| "eq_weights"
| "inv_vol"
| "max_div"
| "min_vol_overweight"
Type Alias LjungBoxResult
LjungBoxResult: [statistic: number, pvalue: number, lags: number[]]
Result of the Ljung-Box test.
-Type Alias RandomGenerator
RandomGenerator: () => number
Type Declaration
- (): number
Returns number
Type Alias ResampleFreq
ResampleFreq: "WE" | "ME" | "QE" | "YE"
The
-Error.stackTraceLimitproperty specifies the number of stack frames -collected by a stack trace (whether generated bynew Error().stackor -Error.captureStackTrace(obj)).The default value is
-10but may be set to any valid JavaScript number. Changes -will affect any stack trace captured after the value has been changed.If set to a non-number value, or set to a negative number, stack traces will -not capture any frames.
-