What (One-liner)

Canvas rate-shock transmission: inputs bp change + duration + FX sensitivity + equity duration, outputs first-order % impact on bond / FX / equity. Pure client-side TS computation.

How to use

(FOMC event trigger) → rate_transmission_v1 (rate_change_bps=25)
                       → {bond -1.75%, fx +0.15%, equity -0.45%}
                       → risk_management_v1 (rate overlay)

Core formulas

See frontmatter. Three first-order formulas:

• bond_impact = -duration × Δr
• fx_impact = fx_sensitivity × Δr
• equity_impact = -equity_duration × Δr × 0.1 (Pangura heuristic)

Assumptions & applicability

Assumptions: first-order approximation + parallel shift + single FX factor + equity 10% heuristic + JS float64.

Applies to: FOMC scenarios, rate overlays, teaching demos.

Does not apply to: convexity, non-linear derivatives, CDS transmission, multi-pair FX.

Known limitations

See frontmatter. Six items: first-order only / parallel shift / single FX / equity heuristic / client-side only / JS float.

References

• Macaulay (1938) — Duration
• Dornbusch (1976) JPE — IRP
• Pangura Internal Rulebook — equity 0.1 heuristic

Golden Test

Planned — future Tier 1 TS golden (tests/golden/node/rate_transmission_golden.test.ts) in backlog; the math is simple and client-side determinism high enough that code review is the current rigor level.

Changelog

• 1.0.0 (2026-04-21) — First Active