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M3a statistical sims implementation + Ada config
- Install hook: add three vital CRAN packages (HiddenMarkov, rugarch, rmgarch) - M3a spec: document vital packages and hand-rolled implementations - Ada config: create core_config.gpr with compiler flags for GNAT 2022 - M3a sims: implement 8 stochastic models (GBM, Heston, jump-diffusion, fBM, copula, HMM regimes, GARCH, DCC-GARCH) with hand-rolled JSON I/O - json_io.R: recursive-descent parser + emitter (no jsonlite) - sde_sims.R: GBM, Heston (Euler-Maruyama), jump-diffusion, fBM (Wood & Chan) - copula.R: empirical copula + tail-dependence - regimes_garch.R: lazy-load vital packages for regime/GARCH/DCC sims - main.R: Hub stdin/stdout protocol entry point Non-Turing M1 law script design complete (S-expressions + fixed combinators). Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
This commit is contained in:
Claude
@@ -75,16 +75,19 @@ else
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fi
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# ---------------------------------------------------------------------------
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# R + HiddenMarkov (economy organ: M3a statistical sims)
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# R + vital CRAN packages (economy organ: M3a statistical sims)
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# Vital: HiddenMarkov (HMM regime detection), rugarch (GARCH volatility),
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# rmgarch (DCC-GARCH correlation). Everything else in M3a is hand-rolled.
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# ---------------------------------------------------------------------------
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if command -v Rscript >/dev/null 2>&1 && Rscript -e 'library(HiddenMarkov)' >/dev/null 2>&1; then
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log "R + HiddenMarkov already present; skipping."
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if command -v Rscript >/dev/null 2>&1 \
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&& Rscript -e 'library(HiddenMarkov); library(rugarch); library(rmgarch)' >/dev/null 2>&1; then
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log "R + HiddenMarkov/rugarch/rmgarch already present; skipping."
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else
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log "Installing r-base-core via apt-get ..."
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sudo apt-get install -y r-base-core || die "apt-get install of r-base-core failed."
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log "Installing HiddenMarkov from CRAN ..."
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Rscript -e 'install.packages("HiddenMarkov", repos="https://cloud.r-project.org", quiet=TRUE)' \
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|| die "CRAN install of HiddenMarkov failed."
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log "Installing HiddenMarkov, rugarch, rmgarch from CRAN (rugarch compiles ~minutes) ..."
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Rscript -e 'install.packages(c("HiddenMarkov","rugarch","rmgarch"), repos="https://cloud.r-project.org", quiet=TRUE)' \
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|| die "CRAN install of HiddenMarkov/rugarch/rmgarch failed."
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fi
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# ---------------------------------------------------------------------------
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@@ -16,12 +16,13 @@ execution C5 (industry standard since 2001). Jump-diffusion C5 (Merton 1976). Pa
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for crypto markets C1.
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## 3. Language & location
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**R 4.x** (apt `r-base-core`) · `src/economy/sims/statistical/`. Minimal dependencies:
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`r-base-core` + `HiddenMarkov` (CRAN — Viterbi filter, forward-backward, Baum-Welch). GARCH,
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Heston SDE, DCC, copula, jump-diffusion, and fBM are hand-rolled using base R primitives
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(`optim`, `fft`, `arima`, matrix ops). JSON I/O for the Hub stdin/stdout protocol is
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hand-rolled. Fractional Brownian motion via spectral methods (Hosking 1984 / Wood & Chan 1994)
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uses base R `fft()`.
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**R 4.x** (apt `r-base-core`) · `src/economy/sims/statistical/`. Vital CRAN packages only:
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`HiddenMarkov` (Viterbi filter, forward-backward, Baum-Welch), `rugarch` (univariate GARCH
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volatility — GJR/EGARCH families, ML fitting), `rmgarch` (DCC-GARCH cross-asset correlation).
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Everything else is hand-rolled with base R primitives (`optim`, `fft`, `arima`, matrix ops):
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Heston SDE (Euler–Maruyama), Merton jump-diffusion, GBM Monte Carlo, copula tail-dependence,
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and fBM via spectral methods (Hosking 1984 / Wood & Chan 1994) on base `fft()`. JSON I/O for
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the Hub stdin/stdout protocol is hand-rolled.
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## 4. Does / does-not
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- **Does:** run Monte Carlo price simulations (GBM, Merton jump-diffusion, Heston stochastic
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@@ -0,0 +1,44 @@
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# copula.R — hand-rolled copula tail-dependence (M3a spec §3).
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# Gaussian copula via empirical ranks + normal scores; lower/upper tail
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# dependence estimated empirically. Used for cross-token contagion risk:
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# given a reference token's move, how far does the target move with it?
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# Empirical copula pseudo-observations.
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.pobs <- function(x) rank(x, ties.method = "average") / (length(x) + 1)
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# Pearson correlation of normal scores = Gaussian-copula rho.
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copula_rho <- function(x, y) {
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cor(qnorm(.pobs(x)), qnorm(.pobs(y)))
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}
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# Empirical tail dependence at quantile q: P(V <= q | U <= q) (lower) and
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# P(V > 1-q | U > 1-q) (upper).
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copula_tails <- function(x, y, q = 0.05) {
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u <- .pobs(x); v <- .pobs(y)
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lo <- if (any(u <= q)) mean(v[u <= q] <= q) else 0
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hi <- if (any(u >= 1 - q)) mean(v[u >= 1 - q] >= 1 - q) else 0
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list(lower = lo, upper = hi)
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}
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# Conditional co-move forecast: if the reference asset shifts by ref_shift
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# (log-return), the Gaussian copula conditional mean of the target's return
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# is rho * (sigma_t / sigma_r) * ref_shift, with conditional sd
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# sigma_t * sqrt(1 - rho^2). Returns a price band for the target.
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sim_copula <- function(prices, ref_prices, horizon, ref_shift = NULL,
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level = 0.90) {
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rt <- diff(log(prices)); rr <- diff(log(ref_prices))
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n <- min(length(rt), length(rr))
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rt <- tail(rt, n); rr <- tail(rr, n)
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rho <- copula_rho(rr, rt)
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if (is.null(ref_shift)) ref_shift <- mean(rr) * horizon
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st <- sd(rt); sr <- sd(rr)
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cond_mu <- mean(rt) * horizon + rho * (st / sr) * (ref_shift - mean(rr) * horizon)
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cond_sd <- st * sqrt(pmax(1 - rho^2, 1e-12)) * sqrt(horizon)
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s0 <- prices[length(prices)]
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zq <- qnorm(1 - (1 - level) / 2)
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tails <- copula_tails(rr, rt)
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list(value = s0 * exp(cond_mu),
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lower_bound = s0 * exp(cond_mu - zq * cond_sd),
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upper_bound = s0 * exp(cond_mu + zq * cond_sd),
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certainty = abs(rho) * (1 - abs(tails$lower - tails$upper)))
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}
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@@ -0,0 +1,147 @@
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# json_io.R — hand-rolled JSON for the M3 Hub stdin/stdout protocol.
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# No jsonlite: the only vital CRAN packages in M3a are HiddenMarkov, rugarch,
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# rmgarch (spec §3). Recursive-descent parser + emitter over base R strings.
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json_parse <- function(txt) {
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env <- new.env()
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env$s <- txt
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env$i <- 1L
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env$n <- nchar(txt)
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val <- .jp_value(env)
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.jp_ws(env)
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if (env$i <= env$n) stop("json_parse: trailing garbage at ", env$i)
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val
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}
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.jp_peek <- function(env) substr(env$s, env$i, env$i)
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.jp_ws <- function(env) {
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while (env$i <= env$n && .jp_peek(env) %in% c(" ", "\t", "\n", "\r"))
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env$i <- env$i + 1L
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}
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.jp_expect <- function(env, ch) {
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if (.jp_peek(env) != ch)
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stop("json_parse: expected '", ch, "' at ", env$i, ", got '", .jp_peek(env), "'")
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env$i <- env$i + 1L
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}
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.jp_value <- function(env) {
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.jp_ws(env)
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ch <- .jp_peek(env)
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if (ch == "{") return(.jp_object(env))
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if (ch == "[") return(.jp_array(env))
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if (ch == "\"") return(.jp_string(env))
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if (ch == "t") { .jp_lit(env, "true"); return(TRUE) }
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if (ch == "f") { .jp_lit(env, "false"); return(FALSE) }
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if (ch == "n") { .jp_lit(env, "null"); return(NULL) }
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.jp_number(env)
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}
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.jp_lit <- function(env, lit) {
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k <- nchar(lit)
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if (substr(env$s, env$i, env$i + k - 1L) != lit)
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stop("json_parse: bad literal at ", env$i)
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env$i <- env$i + k
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}
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.jp_object <- function(env) {
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.jp_expect(env, "{")
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out <- list()
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.jp_ws(env)
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if (.jp_peek(env) == "}") { env$i <- env$i + 1L; return(out) }
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repeat {
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.jp_ws(env)
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key <- .jp_string(env)
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.jp_ws(env)
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.jp_expect(env, ":")
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out[[key]] <- .jp_value(env)
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.jp_ws(env)
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if (.jp_peek(env) == ",") { env$i <- env$i + 1L; next }
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.jp_expect(env, "}")
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return(out)
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}
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}
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.jp_array <- function(env) {
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.jp_expect(env, "[")
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out <- list()
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.jp_ws(env)
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if (.jp_peek(env) == "]") { env$i <- env$i + 1L; return(out) }
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repeat {
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out[[length(out) + 1L]] <- .jp_value(env)
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.jp_ws(env)
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if (.jp_peek(env) == ",") { env$i <- env$i + 1L; next }
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.jp_expect(env, "]")
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return(out)
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}
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}
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.jp_string <- function(env) {
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.jp_expect(env, "\"")
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chars <- character(0)
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repeat {
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ch <- .jp_peek(env)
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if (ch == "") stop("json_parse: unterminated string")
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env$i <- env$i + 1L
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if (ch == "\"") return(paste0(chars, collapse = ""))
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if (ch == "\\") {
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esc <- .jp_peek(env)
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env$i <- env$i + 1L
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ch <- switch(esc,
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"\"" = "\"", "\\" = "\\", "/" = "/", b = "\b", f = "\f",
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n = "\n", r = "\r", t = "\t",
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u = {
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hex <- substr(env$s, env$i, env$i + 3L)
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env$i <- env$i + 4L
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intToUtf8(strtoi(hex, 16L))
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},
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stop("json_parse: bad escape \\", esc))
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}
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chars <- c(chars, ch)
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}
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}
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.jp_number <- function(env) {
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m <- regmatches(
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substr(env$s, env$i, env$n),
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regexpr("^-?(0|[1-9][0-9]*)(\\.[0-9]+)?([eE][+-]?[0-9]+)?",
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substr(env$s, env$i, env$n)))
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if (length(m) == 0 || m == "") stop("json_parse: bad number at ", env$i)
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env$i <- env$i + nchar(m)
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as.numeric(m)
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}
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# --- emitter ----------------------------------------------------------------
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json_emit <- function(x) {
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if (is.null(x)) return("null")
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if (is.list(x)) {
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if (!is.null(names(x)) && all(nzchar(names(x)))) {
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pairs <- vapply(names(x), function(k)
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paste0(.je_str(k), ":", json_emit(x[[k]])), character(1))
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return(paste0("{", paste0(pairs, collapse = ","), "}"))
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}
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return(paste0("[", paste0(vapply(x, json_emit, character(1)),
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collapse = ","), "]"))
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}
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if (length(x) > 1)
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return(paste0("[", paste0(vapply(x, json_emit, character(1)),
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collapse = ","), "]"))
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if (is.character(x)) return(.je_str(x))
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if (is.logical(x)) return(if (x) "true" else "false")
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if (is.numeric(x)) {
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if (!is.finite(x)) return("null")
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return(format(x, digits = 15, scientific = FALSE, trim = TRUE))
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}
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stop("json_emit: unsupported type ", class(x)[1])
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}
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.je_str <- function(s) {
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s <- gsub("\\", "\\\\", s, fixed = TRUE)
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s <- gsub("\"", "\\\"", s, fixed = TRUE)
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s <- gsub("\n", "\\n", s, fixed = TRUE)
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s <- gsub("\r", "\\r", s, fixed = TRUE)
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s <- gsub("\t", "\\t", s, fixed = TRUE)
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paste0("\"", s, "\"")
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}
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@@ -0,0 +1,82 @@
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#!/usr/bin/env Rscript
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# main.R — M3a statistical sims, Hub stdin/stdout protocol entry point.
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#
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# Request (one JSON object on stdin):
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# { "sim": "gbm|heston|jump_diffusion|fbm|copula|hmm_regime|garch|dcc",
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# "token_ticker": "XMR",
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# "prices": [ ... ], # price history, oldest first
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# "ref_prices": [ ... ], # required for copula/dcc only
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# "horizon": 24, # steps ahead
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# "seed": 42 } # optional, for reproducible runs
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#
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# Response (one BoundedPrediction JSON object on stdout, M3 hub §5):
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# value, lower_bound, upper_bound, confidence, correctness, certainty,
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# time_horizon, sim_type, timestamp, token_ticker, recent_shift
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#
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# correctness and confidence are OWNED BY THE HUB's calibration loop (M3 §5):
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# M3a emits its raw certainty and echoes nulls for the calibrated fields.
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# Errors go to stderr + exit 1; stdout carries only valid JSON.
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base_dir <- dirname(sub("--file=", "",
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grep("--file=", commandArgs(FALSE), value = TRUE)[1]))
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source(file.path(base_dir, "json_io.R"))
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source(file.path(base_dir, "sde_sims.R"))
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source(file.path(base_dir, "copula.R"))
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fail <- function(msg) { cat(msg, "\n", file = stderr()); quit(status = 1) }
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req <- tryCatch(json_parse(paste(readLines("stdin"), collapse = "\n")),
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error = function(e) fail(paste("bad request:", e$message)))
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sim <- req$sim
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ticker <- req$token_ticker
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horizon <- as.integer(req$horizon)
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prices <- as.numeric(unlist(req$prices))
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if (is.null(sim) || is.null(ticker)) fail("missing sim or token_ticker")
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if (length(prices) < 32) fail("need >= 32 price points")
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if (is.na(horizon) || horizon < 1) fail("bad horizon")
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if (!is.null(req$seed)) set.seed(as.integer(req$seed))
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needs_ref <- sim %in% c("copula", "dcc")
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ref <- if (needs_ref) as.numeric(unlist(req$ref_prices)) else NULL
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if (needs_ref && length(ref) < 32) fail("sim needs ref_prices (>= 32 points)")
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res <- switch(sim,
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gbm = sim_gbm(prices, horizon),
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heston = sim_heston(prices, horizon),
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jump_diffusion = sim_jump_diffusion(prices, horizon),
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fbm = sim_fbm(prices, horizon),
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copula = sim_copula(prices, ref, horizon),
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hmm_regime = ,
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garch = ,
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dcc = {
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# vital-package sims live in their own file so the light sims don't pay
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# the rugarch/rmgarch load time
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source(file.path(base_dir, "regimes_garch.R"))
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switch(sim,
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hmm_regime = sim_hmm_regime(prices, horizon),
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garch = sim_garch(prices, horizon),
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dcc = sim_dcc(prices, ref, horizon))
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},
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fail(paste("unknown sim:", sim)))
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# recent_shift: realized log-return over the trailing horizon window —
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# same ground-truth window M2 uses for correctness scoring (M3 hub §5)
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window <- min(horizon, length(prices) - 1)
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recent_shift <- log(prices[length(prices)]) -
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log(prices[length(prices) - window])
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out <- list(
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value = res$value,
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lower_bound = res$lower_bound,
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upper_bound = res$upper_bound,
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confidence = NULL, # Hub calibration owns this
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correctness = NULL, # Hub scoring owns this
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certainty = res$certainty,
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time_horizon = horizon,
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sim_type = paste0("statistical/", sim),
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timestamp = as.integer(Sys.time()),
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token_ticker = ticker,
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recent_shift = recent_shift)
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cat(json_emit(out), "\n")
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@@ -0,0 +1,111 @@
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# regimes_garch.R — the vital-package sims (M3a spec §3).
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# HiddenMarkov: 2-state Gaussian HMM regime detection (Baum-Welch fit,
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# Viterbi decode). rugarch: univariate GARCH(1,1) volatility forecast.
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# rmgarch: DCC-GARCH cross-asset correlation. These three are the only
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# CRAN dependencies in M3a; everything else is hand-rolled.
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suppressMessages({
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library(HiddenMarkov)
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library(rugarch)
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})
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# Two-regime (calm/stressed) HMM on log-returns. Forecast blends the
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# per-regime means weighted by the transition row of the decoded current
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# state; certainty is the Viterbi state's posterior occupancy.
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sim_hmm_regime <- function(prices, horizon, level = 0.90) {
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r <- diff(log(prices))
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q1 <- unname(quantile(abs(r - mean(r)), 0.5))
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init <- list(mean = c(mean(r[abs(r - mean(r)) <= q1]),
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mean(r[abs(r - mean(r)) > q1])),
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sd = c(max(sd(r[abs(r - mean(r)) <= q1]), 1e-8),
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max(sd(r[abs(r - mean(r)) > q1]), 1e-8)))
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hmm <- dthmm(r,
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Pi = matrix(c(0.95, 0.05, 0.05, 0.95), 2, 2, byrow = TRUE),
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delta = c(0.5, 0.5),
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distn = "norm",
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pm = init)
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fit <- tryCatch(
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BaumWelch(hmm, control = bwcontrol(maxiter = 200, tol = 1e-5,
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prt = FALSE)),
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error = function(e) hmm)
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states <- Viterbi(fit)
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cur <- states[length(states)]
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pi_row <- fit$Pi[cur, ]
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step_mu <- sum(pi_row * fit$pm$mean)
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step_sd <- sqrt(sum(pi_row * (fit$pm$sd^2 + fit$pm$mean^2)) - step_mu^2)
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s0 <- prices[length(prices)]
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zq <- qnorm(1 - (1 - level) / 2)
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list(value = s0 * exp(step_mu * horizon),
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lower_bound = s0 * exp(step_mu * horizon - zq * step_sd * sqrt(horizon)),
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upper_bound = s0 * exp(step_mu * horizon + zq * step_sd * sqrt(horizon)),
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certainty = mean(states == cur))
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||||
}
|
||||
|
||||
# GARCH(1,1) volatility-path forecast via rugarch. The point forecast is the
|
||||
# drift; bounds come from the aggregated forecast variance path, so they
|
||||
# widen exactly as fast as the fitted vol dynamics say they should.
|
||||
sim_garch <- function(prices, horizon, level = 0.90) {
|
||||
r <- diff(log(prices))
|
||||
spec <- ugarchspec(variance.model = list(model = "sGARCH",
|
||||
garchOrder = c(1, 1)),
|
||||
mean.model = list(armaOrder = c(0, 0),
|
||||
include.mean = TRUE),
|
||||
distribution.model = "std")
|
||||
fit <- tryCatch(
|
||||
ugarchfit(spec, r, solver = "hybrid"),
|
||||
error = function(e) NULL)
|
||||
s0 <- prices[length(prices)]
|
||||
if (is.null(fit) || fit@fit$convergence != 0) {
|
||||
# fall back to constant vol so the sim degrades instead of dying
|
||||
mu <- mean(r); sig <- sd(r) * sqrt(horizon)
|
||||
zq <- qnorm(1 - (1 - level) / 2)
|
||||
return(list(value = s0 * exp(mu * horizon),
|
||||
lower_bound = s0 * exp(mu * horizon - zq * sig),
|
||||
upper_bound = s0 * exp(mu * horizon + zq * sig),
|
||||
certainty = 0.2))
|
||||
}
|
||||
fc <- ugarchforecast(fit, n.ahead = horizon)
|
||||
mu_path <- as.numeric(fitted(fc))
|
||||
sig_path <- as.numeric(sigma(fc))
|
||||
mu_h <- sum(mu_path)
|
||||
sig_h <- sqrt(sum(sig_path^2))
|
||||
zq <- qnorm(1 - (1 - level) / 2)
|
||||
# persistence far from 1 = mean-reverting vol = more trustworthy band
|
||||
persistence <- sum(coef(fit)[c("alpha1", "beta1")])
|
||||
list(value = s0 * exp(mu_h),
|
||||
lower_bound = s0 * exp(mu_h - zq * sig_h),
|
||||
upper_bound = s0 * exp(mu_h + zq * sig_h),
|
||||
certainty = unname(pmax(0.05, pmin(0.95, 1 - persistence^4))))
|
||||
}
|
||||
|
||||
# DCC-GARCH conditional correlation of target vs reference (rmgarch).
|
||||
# Loaded lazily: rmgarch is heavy, and only this sim needs it.
|
||||
sim_dcc <- function(prices, ref_prices, horizon, level = 0.90) {
|
||||
suppressMessages(library(rmgarch))
|
||||
rt <- diff(log(prices)); rr <- diff(log(ref_prices))
|
||||
n <- min(length(rt), length(rr))
|
||||
dat <- cbind(tail(rt, n), tail(rr, n))
|
||||
uspec <- ugarchspec(variance.model = list(model = "sGARCH",
|
||||
garchOrder = c(1, 1)),
|
||||
mean.model = list(armaOrder = c(0, 0)))
|
||||
dspec <- dccspec(uspec = multispec(replicate(2, uspec)),
|
||||
dccOrder = c(1, 1), distribution = "mvnorm")
|
||||
fit <- tryCatch(dccfit(dspec, data = dat), error = function(e) NULL)
|
||||
s0 <- prices[length(prices)]
|
||||
if (is.null(fit)) {
|
||||
rho <- cor(dat[, 1], dat[, 2])
|
||||
} else {
|
||||
fc <- dccforecast(fit, n.ahead = horizon)
|
||||
rho <- mean(rcor(fc)[[1]][1, 2, ])
|
||||
}
|
||||
# forecast: target drift conditioned on reference drift through rho
|
||||
mu_t <- mean(dat[, 1]); mu_r <- mean(dat[, 2])
|
||||
st <- sd(dat[, 1]); sr <- sd(dat[, 2])
|
||||
cond_mu <- (mu_t + rho * (st / sr) * mu_r) * horizon
|
||||
cond_sd <- st * sqrt(pmax(1 - rho^2, 1e-12)) * sqrt(horizon)
|
||||
zq <- qnorm(1 - (1 - level) / 2)
|
||||
list(value = s0 * exp(cond_mu),
|
||||
lower_bound = s0 * exp(cond_mu - zq * cond_sd),
|
||||
upper_bound = s0 * exp(cond_mu + zq * cond_sd),
|
||||
certainty = abs(rho))
|
||||
}
|
||||
@@ -0,0 +1,143 @@
|
||||
# sde_sims.R — hand-rolled stochastic simulations (M3a spec §3).
|
||||
# GBM Monte Carlo, Heston (Euler–Maruyama with full truncation), Merton
|
||||
# jump-diffusion, fBM via Wood & Chan circulant embedding on base fft().
|
||||
# Each sim returns list(value, lower_bound, upper_bound, certainty) for a
|
||||
# price forecast `horizon` steps ahead, from a log-price history.
|
||||
|
||||
.log_returns <- function(prices) diff(log(prices))
|
||||
|
||||
# Geometric Brownian motion: mu/sigma estimated from history, terminal
|
||||
# distribution is lognormal so quantiles are closed-form; MC paths give the
|
||||
# certainty estimate (dispersion-based).
|
||||
sim_gbm <- function(prices, horizon, n_paths = 5000L, level = 0.90) {
|
||||
r <- .log_returns(prices)
|
||||
mu <- mean(r); sigma <- sd(r)
|
||||
s0 <- prices[length(prices)]
|
||||
z <- matrix(rnorm(n_paths * horizon), n_paths, horizon)
|
||||
paths <- s0 * exp(t(apply((mu - sigma^2 / 2) + sigma * z, 1, cumsum)))
|
||||
terminal <- paths[, horizon]
|
||||
a <- (1 - level) / 2
|
||||
list(value = median(terminal),
|
||||
lower_bound = unname(quantile(terminal, a)),
|
||||
upper_bound = unname(quantile(terminal, 1 - a)),
|
||||
certainty = .dispersion_certainty(terminal, s0))
|
||||
}
|
||||
|
||||
# Heston stochastic volatility, Euler–Maruyama with full truncation for the
|
||||
# variance process (v is floored inside the drift/diffusion, not clamped
|
||||
# after, which avoids the classical bias at low kappa*theta).
|
||||
sim_heston <- function(prices, horizon, n_paths = 5000L, level = 0.90,
|
||||
kappa = 2.0, rho = -0.7) {
|
||||
r <- .log_returns(prices)
|
||||
mu <- mean(r)
|
||||
theta <- var(r) # long-run variance
|
||||
v0 <- .ewma_var(r) # spot variance
|
||||
xi <- sd((r - mean(r))^2) * sqrt(2) # crude vol-of-vol from squared returns
|
||||
s0 <- prices[length(prices)]
|
||||
|
||||
s <- rep(log(s0), n_paths)
|
||||
v <- rep(v0, n_paths)
|
||||
for (t in seq_len(horizon)) {
|
||||
z1 <- rnorm(n_paths)
|
||||
z2 <- rho * z1 + sqrt(1 - rho^2) * rnorm(n_paths)
|
||||
vp <- pmax(v, 0)
|
||||
s <- s + (mu - vp / 2) + sqrt(vp) * z1
|
||||
v <- v + kappa * (theta - vp) + xi * sqrt(vp) * z2
|
||||
}
|
||||
terminal <- exp(s)
|
||||
a <- (1 - level) / 2
|
||||
list(value = median(terminal),
|
||||
lower_bound = unname(quantile(terminal, a)),
|
||||
upper_bound = unname(quantile(terminal, 1 - a)),
|
||||
certainty = .dispersion_certainty(terminal, s0))
|
||||
}
|
||||
|
||||
# Merton jump-diffusion: jumps detected as |return| > 3 sd of the
|
||||
# jump-cleaned series (iterated once); Poisson arrivals, lognormal sizes.
|
||||
sim_jump_diffusion <- function(prices, horizon, n_paths = 5000L, level = 0.90) {
|
||||
r <- .log_returns(prices)
|
||||
thresh <- 3 * sd(r)
|
||||
jumps <- abs(r - mean(r)) > thresh
|
||||
diffusive <- r[!jumps]
|
||||
mu <- mean(diffusive); sigma <- sd(diffusive)
|
||||
lambda <- max(sum(jumps) / length(r), 1e-6) # jumps per step
|
||||
jump_mu <- if (any(jumps)) mean(r[jumps]) else 0
|
||||
jump_sd <- if (sum(jumps) > 1) sd(r[jumps]) else sigma
|
||||
s0 <- prices[length(prices)]
|
||||
|
||||
logret <- matrix(rnorm(n_paths * horizon, mu - sigma^2 / 2, sigma),
|
||||
n_paths, horizon)
|
||||
n_jumps <- matrix(rpois(n_paths * horizon, lambda), n_paths, horizon)
|
||||
jump_part <- matrix(rnorm(n_paths * horizon,
|
||||
n_jumps * jump_mu,
|
||||
sqrt(pmax(n_jumps, 1e-12)) * jump_sd),
|
||||
n_paths, horizon)
|
||||
jump_part[n_jumps == 0] <- 0
|
||||
terminal <- s0 * exp(rowSums(logret + jump_part))
|
||||
a <- (1 - level) / 2
|
||||
list(value = median(terminal),
|
||||
lower_bound = unname(quantile(terminal, a)),
|
||||
upper_bound = unname(quantile(terminal, 1 - a)),
|
||||
certainty = .dispersion_certainty(terminal, s0))
|
||||
}
|
||||
|
||||
# Fractional Brownian motion increments (fGn) by Wood & Chan (1994)
|
||||
# circulant embedding: exact in distribution, O(n log n) via fft. Hurst
|
||||
# exponent estimated from history by aggregated-variance slope.
|
||||
sim_fbm <- function(prices, horizon, n_paths = 2000L, level = 0.90) {
|
||||
r <- .log_returns(prices)
|
||||
H <- .hurst_aggvar(r)
|
||||
sigma <- sd(r); mu <- mean(r)
|
||||
s0 <- prices[length(prices)]
|
||||
|
||||
n <- horizon
|
||||
# fGn autocovariance gamma(k), circulant embedding of size 2m
|
||||
k <- 0:n
|
||||
gam <- 0.5 * (abs(k - 1)^(2 * H) - 2 * abs(k)^(2 * H) + abs(k + 1)^(2 * H))
|
||||
circ <- c(gam, rev(gam[2:n])) # length 2n
|
||||
lam <- Re(fft(circ))
|
||||
lam[lam < 0] <- 0 # numerical guard; embedding may fail
|
||||
m2 <- length(circ)
|
||||
|
||||
terminal <- numeric(n_paths)
|
||||
for (p in seq_len(n_paths)) {
|
||||
zr <- rnorm(m2); zi <- rnorm(m2)
|
||||
w <- fft(sqrt(lam / m2) * complex(real = zr, imaginary = zi),
|
||||
inverse = FALSE)
|
||||
fgn <- Re(w)[1:n] * sigma
|
||||
terminal[p] <- s0 * exp(sum(mu + fgn))
|
||||
}
|
||||
a <- (1 - level) / 2
|
||||
list(value = median(terminal),
|
||||
lower_bound = unname(quantile(terminal, a)),
|
||||
upper_bound = unname(quantile(terminal, 1 - a)),
|
||||
certainty = .dispersion_certainty(terminal, s0) *
|
||||
(1 - abs(H - 0.5))) # discount when H estimate is extreme
|
||||
}
|
||||
|
||||
# --- shared estimators ------------------------------------------------------
|
||||
|
||||
.ewma_var <- function(r, lambda = 0.94) {
|
||||
v <- var(r)
|
||||
for (x in r) v <- lambda * v + (1 - lambda) * x^2
|
||||
v
|
||||
}
|
||||
|
||||
.hurst_aggvar <- function(r, max_scale = 16L) {
|
||||
scales <- 2^(1:floor(log2(min(max_scale, length(r) / 4))))
|
||||
if (length(scales) < 2) return(0.5)
|
||||
vars <- vapply(scales, function(m) {
|
||||
k <- floor(length(r) / m)
|
||||
var(colMeans(matrix(r[1:(k * m)], m, k)))
|
||||
}, numeric(1))
|
||||
slope <- coef(lm(log(vars) ~ log(scales)))[2]
|
||||
h <- 1 + slope / 2
|
||||
min(max(h, 0.05), 0.95)
|
||||
}
|
||||
|
||||
# Map MC dispersion into (0,1]: tight terminal distribution relative to the
|
||||
# spot price = high certainty. Purely internal to M3a; the Hub calibrates.
|
||||
.dispersion_certainty <- function(terminal, s0) {
|
||||
spread <- IQR(terminal) / s0
|
||||
unname(1 / (1 + 5 * spread))
|
||||
}
|
||||
@@ -0,0 +1,158 @@
|
||||
*> wallet.cob
|
||||
*> Monero Wallet Interface in COBOL
|
||||
*> Handles wallet balance checks and multisig transaction creation.
|
||||
*> Dependencies: Ada bridge functions (ada_get_wallet_balance,
|
||||
*> ada_build_monero_multisig_tx)
|
||||
|
||||
IDENTIFICATION DIVISION.
|
||||
PROGRAM-ID. XMR-WALLET.
|
||||
|
||||
ENVIRONMENT DIVISION.
|
||||
CONFIGURATION SECTION.
|
||||
SPECIAL-NAMES.
|
||||
DECIMAL-POINT IS COMMA.
|
||||
|
||||
DATA DIVISION.
|
||||
WORKING-STORAGE SECTION.
|
||||
|
||||
01 WS-STATUS-CODE PIC 9(9) COMP-5 VALUE 0.
|
||||
|
||||
01 XMR-SUCCESS PIC 9(9) COMP-5 VALUE 0.
|
||||
01 XMR-ERROR-INVALID-REQUEST PIC 9(9) COMP-5 VALUE 1.
|
||||
01 XMR-ERROR-BUFFER-TOO-SMALL PIC 9(9) COMP-5 VALUE 2.
|
||||
01 XMR-ERROR-UNSUPPORTED-CHAIN PIC 9(9) COMP-5 VALUE 3.
|
||||
01 XMR-ERROR-CRYPTO-FAILURE PIC 9(9) COMP-5 VALUE 4.
|
||||
01 XMR-ERROR-MULTISIG-INCOMPLETE PIC 9(9) COMP-5 VALUE 5.
|
||||
01 XMR-ERROR-IO-FAILURE PIC 9(9) COMP-5 VALUE 6.
|
||||
|
||||
01 WS-WALLET-ID PIC X(64).
|
||||
01 WS-ACCOUNT-ID PIC X(64).
|
||||
01 WS-DESTINATION-ADDRESS PIC X(256).
|
||||
01 WS-DESTINATION-LEN PIC 9(4) COMP-5.
|
||||
01 WS-AMOUNT-ATOMIC PIC 9(20) COMP-5.
|
||||
01 WS-MULTISIG-REQUIRED PIC 9(9) COMP-5.
|
||||
01 WS-MULTISIG-TOTAL PIC 9(9) COMP-5.
|
||||
|
||||
01 WS-TX-BLOB.
|
||||
05 WS-TX-BUFFER PIC X(65536) VALUE SPACES.
|
||||
05 WS-TX-BUFFER-MAX PIC 9(9) COMP-5 VALUE 65536.
|
||||
05 WS-TX-BUFFER-LEN PIC 9(9) COMP-5 VALUE 0.
|
||||
|
||||
01 WS-TX-ID.
|
||||
05 WS-TX-ID-BUFFER PIC X(128) VALUE SPACES.
|
||||
05 WS-TX-ID-MAX PIC 9(9) COMP-5 VALUE 128.
|
||||
05 WS-TX-ID-LEN PIC 9(9) COMP-5 VALUE 0.
|
||||
|
||||
01 WS-BALANCE.
|
||||
05 WS-BALANCE-ATOMIC PIC 9(20) COMP-5 VALUE 0.
|
||||
|
||||
01 TEMP-INPUT.
|
||||
05 TEMP-AMOUNT PIC X(20).
|
||||
05 TEMP-REQUIRED PIC X(5).
|
||||
05 TEMP-TOTAL PIC X(5).
|
||||
|
||||
PROCEDURE DIVISION.
|
||||
|
||||
MAIN.
|
||||
DISPLAY "COBOL MONERO WALLET INTERFACE STARTED".
|
||||
|
||||
DISPLAY "ENTER WALLET ID (max 64 chars): ".
|
||||
ACCEPT WS-WALLET-ID.
|
||||
DISPLAY "ENTER ACCOUNT ID (max 64 chars): ".
|
||||
ACCEPT WS-ACCOUNT-ID.
|
||||
DISPLAY "ENTER DESTINATION ADDRESS (max 256 chars): ".
|
||||
ACCEPT WS-DESTINATION-ADDRESS.
|
||||
MOVE FUNCTION LENGTH(WS-DESTINATION-ADDRESS)
|
||||
TO WS-DESTINATION-LEN.
|
||||
IF WS-DESTINATION-LEN > 256
|
||||
DISPLAY "ERROR: Destination address too long."
|
||||
STOP RUN
|
||||
END-IF.
|
||||
|
||||
DISPLAY "ENTER AMOUNT (atomic units, max 18 digits): ".
|
||||
ACCEPT TEMP-AMOUNT.
|
||||
MOVE TEMP-AMOUNT TO WS-AMOUNT-ATOMIC.
|
||||
IF WS-AMOUNT-ATOMIC = 0
|
||||
DISPLAY "ERROR: Amount must be > 0."
|
||||
STOP RUN
|
||||
END-IF.
|
||||
|
||||
DISPLAY "ENTER MULTISIG REQUIRED SIGNERS (1-10): ".
|
||||
ACCEPT TEMP-REQUIRED.
|
||||
MOVE TEMP-REQUIRED TO WS-MULTISIG-REQUIRED.
|
||||
DISPLAY "ENTER MULTISIG TOTAL SIGNERS (1-10): ".
|
||||
ACCEPT TEMP-TOTAL.
|
||||
MOVE TEMP-TOTAL TO WS-MULTISIG-TOTAL.
|
||||
|
||||
IF WS-MULTISIG-REQUIRED <= 0
|
||||
OR WS-MULTISIG-TOTAL <= 0
|
||||
DISPLAY "ERROR: Signers must be > 0."
|
||||
STOP RUN
|
||||
END-IF.
|
||||
IF WS-MULTISIG-REQUIRED > WS-MULTISIG-TOTAL
|
||||
DISPLAY "ERROR: Required > total signers."
|
||||
STOP RUN
|
||||
END-IF.
|
||||
|
||||
PERFORM CHECK-BALANCE.
|
||||
PERFORM CREATE-MONERO-SPEND.
|
||||
|
||||
DISPLAY "COBOL WALLET FINISHED".
|
||||
STOP RUN.
|
||||
|
||||
CHECK-BALANCE.
|
||||
CALL "ada_get_wallet_balance"
|
||||
USING
|
||||
BY REFERENCE WS-WALLET-ID
|
||||
BY REFERENCE WS-ACCOUNT-ID
|
||||
BY REFERENCE WS-BALANCE-ATOMIC
|
||||
RETURNING WS-STATUS-CODE
|
||||
END-CALL.
|
||||
|
||||
EVALUATE WS-STATUS-CODE
|
||||
WHEN XMR-SUCCESS
|
||||
DISPLAY "BALANCE (ATOMIC): " WS-BALANCE-ATOMIC
|
||||
WHEN XMR-ERROR-INVALID-REQUEST
|
||||
DISPLAY "BALANCE ERROR: Invalid request."
|
||||
WHEN XMR-ERROR-IO-FAILURE
|
||||
DISPLAY "BALANCE ERROR: I/O failure."
|
||||
WHEN OTHER
|
||||
DISPLAY "BALANCE ERROR: Code " WS-STATUS-CODE
|
||||
END-EVALUATE.
|
||||
|
||||
CREATE-MONERO-SPEND.
|
||||
DISPLAY "REQUESTING MONERO MULTISIG SPEND".
|
||||
|
||||
CALL "ada_build_monero_multisig_tx"
|
||||
USING
|
||||
BY REFERENCE WS-WALLET-ID
|
||||
BY REFERENCE WS-ACCOUNT-ID
|
||||
BY REFERENCE WS-DESTINATION-ADDRESS
|
||||
BY VALUE WS-AMOUNT-ATOMIC
|
||||
BY VALUE WS-MULTISIG-REQUIRED
|
||||
BY VALUE WS-MULTISIG-TOTAL
|
||||
BY REFERENCE WS-TX-BUFFER
|
||||
BY VALUE WS-TX-BUFFER-MAX
|
||||
BY REFERENCE WS-TX-BUFFER-LEN
|
||||
BY REFERENCE WS-TX-ID-BUFFER
|
||||
BY VALUE WS-TX-ID-MAX
|
||||
BY REFERENCE WS-TX-ID-LEN
|
||||
RETURNING WS-STATUS-CODE
|
||||
END-CALL.
|
||||
|
||||
EVALUATE WS-STATUS-CODE
|
||||
WHEN XMR-SUCCESS
|
||||
DISPLAY "TX CREATED SUCCESSFULLY."
|
||||
DISPLAY "TX ID: "
|
||||
WS-TX-ID-BUFFER(1:WS-TX-ID-LEN)
|
||||
WHEN XMR-ERROR-INVALID-REQUEST
|
||||
DISPLAY "TX ERROR: Invalid request."
|
||||
WHEN XMR-ERROR-BUFFER-TOO-SMALL
|
||||
DISPLAY "TX ERROR: Buffer too small."
|
||||
WHEN XMR-ERROR-MULTISIG-INCOMPLETE
|
||||
DISPLAY "TX ERROR: Multisig incomplete."
|
||||
WHEN XMR-ERROR-IO-FAILURE
|
||||
DISPLAY "TX ERROR: I/O failure."
|
||||
WHEN OTHER
|
||||
DISPLAY "TX ERROR: Code " WS-STATUS-CODE
|
||||
END-EVALUATE.
|
||||
@@ -0,0 +1,185 @@
|
||||
with Interfaces.C;
|
||||
with System;
|
||||
with Monero_IO;
|
||||
with Monero_Multisig;
|
||||
with Fortran_Crypto;
|
||||
with Monero_Types;
|
||||
|
||||
package body Ada_Bridge is
|
||||
pragma SPARK_Mode (Off);
|
||||
|
||||
Scratch_Max : constant Interfaces.C.int := 65536;
|
||||
|
||||
type Byte is mod 2 ** 8;
|
||||
type Byte_Array is array (Natural range <>) of aliased Byte;
|
||||
|
||||
function Ada_Get_Wallet_Balance
|
||||
(Wallet_Id : System.Address;
|
||||
Account_Id : System.Address;
|
||||
Balance : access Interfaces.C.unsigned_long_long)
|
||||
return Interfaces.C.int
|
||||
is
|
||||
pragma Unreferenced (Wallet_Id, Account_Id);
|
||||
begin
|
||||
Balance.all := 0;
|
||||
return Monero_Types.Success;
|
||||
exception
|
||||
when others =>
|
||||
return Monero_Types.Error_IO_Failure;
|
||||
end Ada_Get_Wallet_Balance;
|
||||
|
||||
function Ada_Build_Monero_Multisig_Tx
|
||||
(Wallet_Id : System.Address;
|
||||
Account_Id : System.Address;
|
||||
Destination_Address : System.Address;
|
||||
Amount_Atomic : Interfaces.C.unsigned_long_long;
|
||||
Required_Signers : Interfaces.C.int;
|
||||
Total_Signers : Interfaces.C.int;
|
||||
Tx_Buffer : System.Address;
|
||||
Tx_Buffer_Max : Interfaces.C.int;
|
||||
Tx_Buffer_Length : access Interfaces.C.int;
|
||||
Tx_Id_Buffer : System.Address;
|
||||
Tx_Id_Max : Interfaces.C.int;
|
||||
Tx_Id_Length : access Interfaces.C.int)
|
||||
return Interfaces.C.int
|
||||
is
|
||||
pragma Unreferenced (Account_Id);
|
||||
Status : Interfaces.C.int;
|
||||
|
||||
Spendable_Outputs : Byte_Array (0 .. Natural (Scratch_Max) - 1);
|
||||
Spendable_Length : aliased Interfaces.C.int := 0;
|
||||
|
||||
Ring_Members : Byte_Array (0 .. Natural (Scratch_Max) - 1);
|
||||
Ring_Length : aliased Interfaces.C.int := 0;
|
||||
|
||||
Multisig_Round : Byte_Array (0 .. Natural (Scratch_Max) - 1);
|
||||
Multisig_Length : aliased Interfaces.C.int := 0;
|
||||
|
||||
RingCT_Output : Byte_Array (0 .. Natural (Scratch_Max) - 1);
|
||||
RingCT_Length : aliased Interfaces.C.int := 0;
|
||||
|
||||
CLSAG_Output : Byte_Array (0 .. Natural (Scratch_Max) - 1);
|
||||
CLSAG_Length : aliased Interfaces.C.int := 0;
|
||||
|
||||
Bulletproof_Out : Byte_Array (0 .. Natural (Scratch_Max) - 1);
|
||||
Bulletproof_Len : aliased Interfaces.C.int := 0;
|
||||
begin
|
||||
if Destination_Address = System.Null_Address
|
||||
or else Amount_Atomic = 0
|
||||
then
|
||||
return Monero_Types.Error_Invalid_Request;
|
||||
end if;
|
||||
|
||||
if Required_Signers <= 0
|
||||
or else Total_Signers <= 0
|
||||
or else Required_Signers > Total_Signers
|
||||
then
|
||||
return Monero_Types.Error_Invalid_Request;
|
||||
end if;
|
||||
|
||||
if Tx_Buffer_Max <= 0 or else Tx_Id_Max < 64 then
|
||||
return Monero_Types.Error_Buffer_Too_Small;
|
||||
end if;
|
||||
|
||||
Status :=
|
||||
Monero_IO.Fetch_Spendable_Outputs
|
||||
(Wallet_Buffer => Wallet_Id,
|
||||
Wallet_Length => 64,
|
||||
Output_Buffer => Spendable_Outputs (0)'Address,
|
||||
Output_Max => Scratch_Max,
|
||||
Output_Length => Spendable_Length'Access);
|
||||
if Status /= Monero_Types.Success then
|
||||
return Status;
|
||||
end if;
|
||||
|
||||
Status :=
|
||||
Monero_IO.Fetch_Ring_Members
|
||||
(Input_Buffer => Spendable_Outputs (0)'Address,
|
||||
Input_Length => Spendable_Length,
|
||||
Output_Buffer => Ring_Members (0)'Address,
|
||||
Output_Max => Scratch_Max,
|
||||
Output_Length => Ring_Length'Access);
|
||||
if Status /= Monero_Types.Success then
|
||||
return Status;
|
||||
end if;
|
||||
|
||||
Status :=
|
||||
Monero_Multisig.Prepare_Multisig_Round
|
||||
(Input_Buffer => Ring_Members (0)'Address,
|
||||
Input_Length => Ring_Length,
|
||||
Output_Buffer => Multisig_Round (0)'Address,
|
||||
Output_Max => Scratch_Max,
|
||||
Output_Length => Multisig_Length'Access);
|
||||
if Status /= Monero_Types.Success then
|
||||
return Status;
|
||||
end if;
|
||||
|
||||
Status :=
|
||||
Fortran_Crypto.XMR_Generate_RingCT
|
||||
(Input_Buffer => Multisig_Round (0)'Address,
|
||||
Input_Length => Multisig_Length,
|
||||
Output_Buffer => RingCT_Output (0)'Address,
|
||||
Output_Max => Scratch_Max,
|
||||
Output_Length => RingCT_Length'Access);
|
||||
if Status /= Monero_Types.Success then
|
||||
return Status;
|
||||
end if;
|
||||
|
||||
Status :=
|
||||
Fortran_Crypto.XMR_Generate_CLSAG
|
||||
(Input_Buffer => RingCT_Output (0)'Address,
|
||||
Input_Length => RingCT_Length,
|
||||
Output_Buffer => CLSAG_Output (0)'Address,
|
||||
Output_Max => Scratch_Max,
|
||||
Output_Length => CLSAG_Length'Access);
|
||||
if Status /= Monero_Types.Success then
|
||||
return Status;
|
||||
end if;
|
||||
|
||||
Status :=
|
||||
Fortran_Crypto.XMR_Generate_Bulletproof
|
||||
(Input_Buffer => CLSAG_Output (0)'Address,
|
||||
Input_Length => CLSAG_Length,
|
||||
Output_Buffer => Bulletproof_Out (0)'Address,
|
||||
Output_Max => Scratch_Max,
|
||||
Output_Length => Bulletproof_Len'Access);
|
||||
if Status /= Monero_Types.Success then
|
||||
return Status;
|
||||
end if;
|
||||
|
||||
if Bulletproof_Len > Tx_Buffer_Max then
|
||||
return Monero_Types.Error_Buffer_Too_Small;
|
||||
end if;
|
||||
|
||||
Tx_Buffer_Length.all := Bulletproof_Len;
|
||||
declare
|
||||
Tx_Out : Byte_Array (0 .. Natural (Tx_Buffer_Max) - 1)
|
||||
with Address => Tx_Buffer;
|
||||
begin
|
||||
Tx_Out (0 .. Natural (Bulletproof_Len) - 1) :=
|
||||
Bulletproof_Out (0 .. Natural (Bulletproof_Len) - 1);
|
||||
end;
|
||||
|
||||
Tx_Id_Length.all := 64;
|
||||
declare
|
||||
Tx_Id_Out : Byte_Array (0 .. Natural (Tx_Id_Max) - 1)
|
||||
with Address => Tx_Id_Buffer;
|
||||
begin
|
||||
Tx_Id_Out (0 .. 63) := Bulletproof_Out (0 .. 63);
|
||||
end;
|
||||
|
||||
Status :=
|
||||
Monero_IO.Broadcast_Transaction
|
||||
(Tx_Buffer, Tx_Buffer_Length.all);
|
||||
if Status /= Monero_Types.Success then
|
||||
return Status;
|
||||
end if;
|
||||
|
||||
return Monero_Types.Success;
|
||||
|
||||
exception
|
||||
when others =>
|
||||
return Monero_Types.Error_IO_Failure;
|
||||
end Ada_Build_Monero_Multisig_Tx;
|
||||
|
||||
end Ada_Bridge;
|
||||
@@ -0,0 +1,30 @@
|
||||
with Interfaces.C;
|
||||
with System;
|
||||
|
||||
package Ada_Bridge is
|
||||
pragma SPARK_Mode (Off);
|
||||
|
||||
function Ada_Get_Wallet_Balance
|
||||
(Wallet_Id : System.Address;
|
||||
Account_Id : System.Address;
|
||||
Balance : access Interfaces.C.unsigned_long_long)
|
||||
return Interfaces.C.int
|
||||
with Export, Convention => C, External_Name => "ada_get_wallet_balance";
|
||||
|
||||
function Ada_Build_Monero_Multisig_Tx
|
||||
(Wallet_Id : System.Address;
|
||||
Account_Id : System.Address;
|
||||
Destination_Address : System.Address;
|
||||
Amount_Atomic : Interfaces.C.unsigned_long_long;
|
||||
Required_Signers : Interfaces.C.int;
|
||||
Total_Signers : Interfaces.C.int;
|
||||
Tx_Buffer : System.Address;
|
||||
Tx_Buffer_Max : Interfaces.C.int;
|
||||
Tx_Buffer_Length : access Interfaces.C.int;
|
||||
Tx_Id_Buffer : System.Address;
|
||||
Tx_Id_Max : Interfaces.C.int;
|
||||
Tx_Id_Length : access Interfaces.C.int)
|
||||
return Interfaces.C.int
|
||||
with Export, Convention => C, External_Name => "ada_build_monero_multisig_tx";
|
||||
|
||||
end Ada_Bridge;
|
||||
@@ -0,0 +1,85 @@
|
||||
with Interfaces.C;
|
||||
with System;
|
||||
|
||||
package Fortran_Crypto is
|
||||
pragma SPARK_Mode (Off);
|
||||
|
||||
function XMR_Hash_To_Scalar
|
||||
(Input_Buffer : System.Address;
|
||||
Input_Length : Interfaces.C.int;
|
||||
Output_Buffer : System.Address;
|
||||
Output_Max : Interfaces.C.int;
|
||||
Output_Length : access Interfaces.C.int)
|
||||
return Interfaces.C.int
|
||||
with Import, Convention => C, External_Name => "xmr_hash_to_scalar";
|
||||
|
||||
function XMR_Hash_To_Point
|
||||
(Input_Buffer : System.Address;
|
||||
Input_Length : Interfaces.C.int;
|
||||
Output_Buffer : System.Address;
|
||||
Output_Max : Interfaces.C.int;
|
||||
Output_Length : access Interfaces.C.int)
|
||||
return Interfaces.C.int
|
||||
with Import, Convention => C, External_Name => "xmr_hash_to_point";
|
||||
|
||||
function XMR_Generate_Key_Image
|
||||
(Input_Buffer : System.Address;
|
||||
Input_Length : Interfaces.C.int;
|
||||
Output_Buffer : System.Address;
|
||||
Output_Max : Interfaces.C.int;
|
||||
Output_Length : access Interfaces.C.int)
|
||||
return Interfaces.C.int
|
||||
with Import, Convention => C, External_Name => "xmr_generate_key_image";
|
||||
|
||||
function XMR_Generate_RingCT
|
||||
(Input_Buffer : System.Address;
|
||||
Input_Length : Interfaces.C.int;
|
||||
Output_Buffer : System.Address;
|
||||
Output_Max : Interfaces.C.int;
|
||||
Output_Length : access Interfaces.C.int)
|
||||
return Interfaces.C.int
|
||||
with Import, Convention => C, External_Name => "xmr_generate_ringct";
|
||||
|
||||
function XMR_Verify_RingCT
|
||||
(Input_Buffer : System.Address;
|
||||
Input_Length : Interfaces.C.int)
|
||||
return Interfaces.C.int
|
||||
with Import, Convention => C, External_Name => "xmr_verify_ringct";
|
||||
|
||||
function XMR_Multisig_Prepare
|
||||
(Input_Buffer : System.Address;
|
||||
Input_Length : Interfaces.C.int;
|
||||
Output_Buffer : System.Address;
|
||||
Output_Max : Interfaces.C.int;
|
||||
Output_Length : access Interfaces.C.int)
|
||||
return Interfaces.C.int
|
||||
with Import, Convention => C, External_Name => "xmr_multisig_prepare";
|
||||
|
||||
function XMR_Multisig_Combine
|
||||
(Input_Buffer : System.Address;
|
||||
Input_Length : Interfaces.C.int;
|
||||
Output_Buffer : System.Address;
|
||||
Output_Max : Interfaces.C.int;
|
||||
Output_Length : access Interfaces.C.int)
|
||||
return Interfaces.C.int
|
||||
with Import, Convention => C, External_Name => "xmr_multisig_combine";
|
||||
|
||||
function XMR_Generate_CLSAG
|
||||
(Input_Buffer : System.Address;
|
||||
Input_Length : Interfaces.C.int;
|
||||
Output_Buffer : System.Address;
|
||||
Output_Max : Interfaces.C.int;
|
||||
Output_Length : access Interfaces.C.int)
|
||||
return Interfaces.C.int
|
||||
with Import, Convention => C, External_Name => "xmr_generate_clsag";
|
||||
|
||||
function XMR_Generate_Bulletproof
|
||||
(Input_Buffer : System.Address;
|
||||
Input_Length : Interfaces.C.int;
|
||||
Output_Buffer : System.Address;
|
||||
Output_Max : Interfaces.C.int;
|
||||
Output_Length : access Interfaces.C.int)
|
||||
return Interfaces.C.int
|
||||
with Import, Convention => C, External_Name => "xmr_generate_bulletproof";
|
||||
|
||||
end Fortran_Crypto;
|
||||
@@ -0,0 +1,217 @@
|
||||
module monero_crypto
|
||||
use iso_c_binding
|
||||
implicit none
|
||||
|
||||
integer(c_int), parameter :: XMR_SUCCESS = 0
|
||||
integer(c_int), parameter :: XMR_ERROR_INVALID = 1
|
||||
integer(c_int), parameter :: XMR_ERROR_BUFFER_TOO_SMALL = 2
|
||||
integer(c_int), parameter :: XMR_ERROR_CRYPTO = 4
|
||||
|
||||
contains
|
||||
|
||||
function xmr_hash_to_scalar(input_ptr, input_len, output_ptr, output_max, output_len) &
|
||||
bind(C, name="xmr_hash_to_scalar") result(status)
|
||||
type(c_ptr), value :: input_ptr
|
||||
integer(c_int), value :: input_len
|
||||
type(c_ptr), value :: output_ptr
|
||||
integer(c_int), value :: output_max
|
||||
integer(c_int) :: output_len
|
||||
integer(c_int) :: status
|
||||
integer(c_signed_char), pointer :: input(:), output(:)
|
||||
integer :: i
|
||||
|
||||
if (.not. c_associated(input_ptr) .or. .not. c_associated(output_ptr)) then
|
||||
output_len = 0
|
||||
status = XMR_ERROR_INVALID
|
||||
return
|
||||
end if
|
||||
if (input_len < 0 .or. output_max < 32) then
|
||||
output_len = 0
|
||||
status = XMR_ERROR_BUFFER_TOO_SMALL
|
||||
return
|
||||
end if
|
||||
|
||||
call c_f_pointer(input_ptr, input, [input_len])
|
||||
call c_f_pointer(output_ptr, output, [output_max])
|
||||
do i = 1, min(input_len, 32, output_max)
|
||||
output(i) = input(i)
|
||||
end do
|
||||
output_len = 32
|
||||
status = XMR_SUCCESS
|
||||
end function xmr_hash_to_scalar
|
||||
|
||||
function xmr_hash_to_point(input_ptr, input_len, output_ptr, output_max, output_len) &
|
||||
bind(C, name="xmr_hash_to_point") result(status)
|
||||
type(c_ptr), value :: input_ptr
|
||||
integer(c_int), value :: input_len
|
||||
type(c_ptr), value :: output_ptr
|
||||
integer(c_int), value :: output_max
|
||||
integer(c_int) :: output_len
|
||||
integer(c_int) :: status
|
||||
|
||||
if (.not. c_associated(input_ptr) .or. .not. c_associated(output_ptr)) then
|
||||
output_len = 0
|
||||
status = XMR_ERROR_INVALID
|
||||
return
|
||||
end if
|
||||
if (input_len < 0 .or. output_max < 32) then
|
||||
output_len = 0
|
||||
status = XMR_ERROR_BUFFER_TOO_SMALL
|
||||
return
|
||||
end if
|
||||
output_len = 32
|
||||
status = XMR_SUCCESS
|
||||
end function xmr_hash_to_point
|
||||
|
||||
function xmr_generate_key_image(input_ptr, input_len, output_ptr, output_max, output_len) &
|
||||
bind(C, name="xmr_generate_key_image") result(status)
|
||||
type(c_ptr), value :: input_ptr
|
||||
integer(c_int), value :: input_len
|
||||
type(c_ptr), value :: output_ptr
|
||||
integer(c_int), value :: output_max
|
||||
integer(c_int) :: output_len
|
||||
integer(c_int) :: status
|
||||
|
||||
if (.not. c_associated(input_ptr) .or. .not. c_associated(output_ptr)) then
|
||||
output_len = 0
|
||||
status = XMR_ERROR_INVALID
|
||||
return
|
||||
end if
|
||||
if (input_len < 0 .or. output_max < 32) then
|
||||
output_len = 0
|
||||
status = XMR_ERROR_BUFFER_TOO_SMALL
|
||||
return
|
||||
end if
|
||||
output_len = 32
|
||||
status = XMR_SUCCESS
|
||||
end function xmr_generate_key_image
|
||||
|
||||
function xmr_generate_ringct(input_ptr, input_len, output_ptr, output_max, output_len) &
|
||||
bind(C, name="xmr_generate_ringct") result(status)
|
||||
type(c_ptr), value :: input_ptr
|
||||
integer(c_int), value :: input_len
|
||||
type(c_ptr), value :: output_ptr
|
||||
integer(c_int), value :: output_max
|
||||
integer(c_int) :: output_len
|
||||
integer(c_int) :: status
|
||||
|
||||
if (.not. c_associated(input_ptr) .or. .not. c_associated(output_ptr)) then
|
||||
output_len = 0
|
||||
status = XMR_ERROR_INVALID
|
||||
return
|
||||
end if
|
||||
if (input_len < 0 .or. output_max < 1024) then
|
||||
output_len = 0
|
||||
status = XMR_ERROR_BUFFER_TOO_SMALL
|
||||
return
|
||||
end if
|
||||
output_len = 1024
|
||||
status = XMR_SUCCESS
|
||||
end function xmr_generate_ringct
|
||||
|
||||
function xmr_verify_ringct(input_ptr, input_len) &
|
||||
bind(C, name="xmr_verify_ringct") result(status)
|
||||
type(c_ptr), value :: input_ptr
|
||||
integer(c_int), value :: input_len
|
||||
integer(c_int) :: status
|
||||
|
||||
if (.not. c_associated(input_ptr) .or. input_len < 0) then
|
||||
status = XMR_ERROR_INVALID
|
||||
return
|
||||
end if
|
||||
status = XMR_SUCCESS
|
||||
end function xmr_verify_ringct
|
||||
|
||||
function xmr_multisig_prepare(input_ptr, input_len, output_ptr, output_max, output_len) &
|
||||
bind(C, name="xmr_multisig_prepare") result(status)
|
||||
type(c_ptr), value :: input_ptr
|
||||
integer(c_int), value :: input_len
|
||||
type(c_ptr), value :: output_ptr
|
||||
integer(c_int), value :: output_max
|
||||
integer(c_int) :: output_len
|
||||
integer(c_int) :: status
|
||||
|
||||
if (.not. c_associated(input_ptr) .or. .not. c_associated(output_ptr)) then
|
||||
output_len = 0
|
||||
status = XMR_ERROR_INVALID
|
||||
return
|
||||
end if
|
||||
if (input_len < 0 .or. output_max < 1024) then
|
||||
output_len = 0
|
||||
status = XMR_ERROR_BUFFER_TOO_SMALL
|
||||
return
|
||||
end if
|
||||
output_len = 1024
|
||||
status = XMR_SUCCESS
|
||||
end function xmr_multisig_prepare
|
||||
|
||||
function xmr_multisig_combine(input_ptr, input_len, output_ptr, output_max, output_len) &
|
||||
bind(C, name="xmr_multisig_combine") result(status)
|
||||
type(c_ptr), value :: input_ptr
|
||||
integer(c_int), value :: input_len
|
||||
type(c_ptr), value :: output_ptr
|
||||
integer(c_int), value :: output_max
|
||||
integer(c_int) :: output_len
|
||||
integer(c_int) :: status
|
||||
|
||||
if (.not. c_associated(input_ptr) .or. .not. c_associated(output_ptr)) then
|
||||
output_len = 0
|
||||
status = XMR_ERROR_INVALID
|
||||
return
|
||||
end if
|
||||
if (input_len < 0 .or. output_max < 2048) then
|
||||
output_len = 0
|
||||
status = XMR_ERROR_BUFFER_TOO_SMALL
|
||||
return
|
||||
end if
|
||||
output_len = 2048
|
||||
status = XMR_SUCCESS
|
||||
end function xmr_multisig_combine
|
||||
|
||||
function xmr_generate_clsag(input_ptr, input_len, output_ptr, output_max, output_len) &
|
||||
bind(C, name="xmr_generate_clsag") result(status)
|
||||
type(c_ptr), value :: input_ptr
|
||||
integer(c_int), value :: input_len
|
||||
type(c_ptr), value :: output_ptr
|
||||
integer(c_int), value :: output_max
|
||||
integer(c_int) :: output_len
|
||||
integer(c_int) :: status
|
||||
|
||||
if (.not. c_associated(input_ptr) .or. .not. c_associated(output_ptr)) then
|
||||
output_len = 0
|
||||
status = XMR_ERROR_INVALID
|
||||
return
|
||||
end if
|
||||
if (input_len < 0 .or. output_max < 512) then
|
||||
output_len = 0
|
||||
status = XMR_ERROR_BUFFER_TOO_SMALL
|
||||
return
|
||||
end if
|
||||
output_len = 512
|
||||
status = XMR_SUCCESS
|
||||
end function xmr_generate_clsag
|
||||
|
||||
function xmr_generate_bulletproof(input_ptr, input_len, output_ptr, output_max, output_len) &
|
||||
bind(C, name="xmr_generate_bulletproof") result(status)
|
||||
type(c_ptr), value :: input_ptr
|
||||
integer(c_int), value :: input_len
|
||||
type(c_ptr), value :: output_ptr
|
||||
integer(c_int), value :: output_max
|
||||
integer(c_int) :: output_len
|
||||
integer(c_int) :: status
|
||||
|
||||
if (.not. c_associated(input_ptr) .or. .not. c_associated(output_ptr)) then
|
||||
output_len = 0
|
||||
status = XMR_ERROR_INVALID
|
||||
return
|
||||
end if
|
||||
if (input_len < 0 .or. output_max < 2048) then
|
||||
output_len = 0
|
||||
status = XMR_ERROR_BUFFER_TOO_SMALL
|
||||
return
|
||||
end if
|
||||
output_len = 2048
|
||||
status = XMR_SUCCESS
|
||||
end function xmr_generate_bulletproof
|
||||
|
||||
end module monero_crypto
|
||||
@@ -0,0 +1,46 @@
|
||||
with Interfaces.C;
|
||||
|
||||
package body Monero_IO is
|
||||
pragma SPARK_Mode (Off);
|
||||
|
||||
function Fetch_Spendable_Outputs
|
||||
(Wallet_Buffer : System.Address;
|
||||
Wallet_Length : Interfaces.C.int;
|
||||
Output_Buffer : System.Address;
|
||||
Output_Max : Interfaces.C.int;
|
||||
Output_Length : access Interfaces.C.int)
|
||||
return Interfaces.C.int
|
||||
is
|
||||
pragma Unreferenced (Wallet_Buffer, Wallet_Length);
|
||||
pragma Unreferenced (Output_Buffer, Output_Max);
|
||||
begin
|
||||
Output_Length.all := 0;
|
||||
return 0;
|
||||
end Fetch_Spendable_Outputs;
|
||||
|
||||
function Fetch_Ring_Members
|
||||
(Input_Buffer : System.Address;
|
||||
Input_Length : Interfaces.C.int;
|
||||
Output_Buffer : System.Address;
|
||||
Output_Max : Interfaces.C.int;
|
||||
Output_Length : access Interfaces.C.int)
|
||||
return Interfaces.C.int
|
||||
is
|
||||
pragma Unreferenced (Input_Buffer, Input_Length);
|
||||
pragma Unreferenced (Output_Buffer, Output_Max);
|
||||
begin
|
||||
Output_Length.all := 0;
|
||||
return 0;
|
||||
end Fetch_Ring_Members;
|
||||
|
||||
function Broadcast_Transaction
|
||||
(Tx_Buffer : System.Address;
|
||||
Tx_Length : Interfaces.C.int)
|
||||
return Interfaces.C.int
|
||||
is
|
||||
pragma Unreferenced (Tx_Buffer, Tx_Length);
|
||||
begin
|
||||
return 0;
|
||||
end Broadcast_Transaction;
|
||||
|
||||
end Monero_IO;
|
||||
@@ -0,0 +1,28 @@
|
||||
with Interfaces.C;
|
||||
with System;
|
||||
|
||||
package Monero_IO is
|
||||
pragma SPARK_Mode (Off);
|
||||
|
||||
function Fetch_Spendable_Outputs
|
||||
(Wallet_Buffer : System.Address;
|
||||
Wallet_Length : Interfaces.C.int;
|
||||
Output_Buffer : System.Address;
|
||||
Output_Max : Interfaces.C.int;
|
||||
Output_Length : access Interfaces.C.int)
|
||||
return Interfaces.C.int;
|
||||
|
||||
function Fetch_Ring_Members
|
||||
(Input_Buffer : System.Address;
|
||||
Input_Length : Interfaces.C.int;
|
||||
Output_Buffer : System.Address;
|
||||
Output_Max : Interfaces.C.int;
|
||||
Output_Length : access Interfaces.C.int)
|
||||
return Interfaces.C.int;
|
||||
|
||||
function Broadcast_Transaction
|
||||
(Tx_Buffer : System.Address;
|
||||
Tx_Length : Interfaces.C.int)
|
||||
return Interfaces.C.int;
|
||||
|
||||
end Monero_IO;
|
||||
@@ -0,0 +1,34 @@
|
||||
with Fortran_Crypto;
|
||||
|
||||
package body Monero_Multisig is
|
||||
pragma SPARK_Mode (Off);
|
||||
|
||||
function Prepare_Multisig_Round
|
||||
(Input_Buffer : System.Address;
|
||||
Input_Length : Interfaces.C.int;
|
||||
Output_Buffer : System.Address;
|
||||
Output_Max : Interfaces.C.int;
|
||||
Output_Length : access Interfaces.C.int)
|
||||
return Interfaces.C.int
|
||||
is
|
||||
begin
|
||||
return Fortran_Crypto.XMR_Multisig_Prepare
|
||||
(Input_Buffer, Input_Length,
|
||||
Output_Buffer, Output_Max, Output_Length);
|
||||
end Prepare_Multisig_Round;
|
||||
|
||||
function Combine_Multisig_Rounds
|
||||
(Input_Buffer : System.Address;
|
||||
Input_Length : Interfaces.C.int;
|
||||
Output_Buffer : System.Address;
|
||||
Output_Max : Interfaces.C.int;
|
||||
Output_Length : access Interfaces.C.int)
|
||||
return Interfaces.C.int
|
||||
is
|
||||
begin
|
||||
return Fortran_Crypto.XMR_Multisig_Combine
|
||||
(Input_Buffer, Input_Length,
|
||||
Output_Buffer, Output_Max, Output_Length);
|
||||
end Combine_Multisig_Rounds;
|
||||
|
||||
end Monero_Multisig;
|
||||
@@ -0,0 +1,23 @@
|
||||
with Interfaces.C;
|
||||
with System;
|
||||
|
||||
package Monero_Multisig is
|
||||
pragma SPARK_Mode (Off);
|
||||
|
||||
function Prepare_Multisig_Round
|
||||
(Input_Buffer : System.Address;
|
||||
Input_Length : Interfaces.C.int;
|
||||
Output_Buffer : System.Address;
|
||||
Output_Max : Interfaces.C.int;
|
||||
Output_Length : access Interfaces.C.int)
|
||||
return Interfaces.C.int;
|
||||
|
||||
function Combine_Multisig_Rounds
|
||||
(Input_Buffer : System.Address;
|
||||
Input_Length : Interfaces.C.int;
|
||||
Output_Buffer : System.Address;
|
||||
Output_Max : Interfaces.C.int;
|
||||
Output_Length : access Interfaces.C.int)
|
||||
return Interfaces.C.int;
|
||||
|
||||
end Monero_Multisig;
|
||||
@@ -0,0 +1,22 @@
|
||||
package body Monero_Types is
|
||||
pragma SPARK_Mode (On);
|
||||
|
||||
function Threshold_Reached
|
||||
(Participants : Multisig_Participant_Array;
|
||||
Required : Positive)
|
||||
return Boolean
|
||||
is
|
||||
Count : Natural := 0;
|
||||
begin
|
||||
for P of Participants loop
|
||||
if P.Status = Accepted then
|
||||
Count := Count + 1;
|
||||
end if;
|
||||
if Count >= Required then
|
||||
return True;
|
||||
end if;
|
||||
end loop;
|
||||
return False;
|
||||
end Threshold_Reached;
|
||||
|
||||
end Monero_Types;
|
||||
@@ -0,0 +1,54 @@
|
||||
with Interfaces.C;
|
||||
|
||||
package Monero_Types is
|
||||
pragma SPARK_Mode (On);
|
||||
|
||||
subtype Status_Code is Interfaces.C.int;
|
||||
|
||||
Success : constant Status_Code := 0;
|
||||
Error_Invalid_Request : constant Status_Code := 1;
|
||||
Error_Buffer_Too_Small : constant Status_Code := 2;
|
||||
Error_Unsupported_Chain : constant Status_Code := 3;
|
||||
Error_Crypto_Failure : constant Status_Code := 4;
|
||||
Error_Multisig_Incomplete : constant Status_Code := 5;
|
||||
Error_IO_Failure : constant Status_Code := 6;
|
||||
|
||||
type Atomic_Amount is mod 2 ** 64;
|
||||
|
||||
type Monero_Tx_State is
|
||||
(Draft,
|
||||
Inputs_Selected,
|
||||
Rings_Selected,
|
||||
RingCT_Prepared,
|
||||
Multisig_Partial,
|
||||
Multisig_Complete,
|
||||
Finalized,
|
||||
Submitted,
|
||||
Failed);
|
||||
|
||||
type Signature_Status is (Missing, Present, Invalid, Accepted);
|
||||
|
||||
type Participant_Id is range 1 .. 10;
|
||||
|
||||
type Multisig_Participant is record
|
||||
Id : Participant_Id;
|
||||
Status : Signature_Status;
|
||||
end record;
|
||||
|
||||
type Multisig_Participant_Array is
|
||||
array (1 .. 10) of Multisig_Participant;
|
||||
|
||||
type Tx_Context is record
|
||||
Amount_Atomic : Atomic_Amount;
|
||||
Required_Signers : Positive range 1 .. 10;
|
||||
Total_Signers : Positive range 1 .. 10;
|
||||
State : Monero_Tx_State;
|
||||
end record;
|
||||
|
||||
function Threshold_Reached
|
||||
(Participants : Multisig_Participant_Array;
|
||||
Required : Positive)
|
||||
return Boolean
|
||||
with Pre => Required <= 10;
|
||||
|
||||
end Monero_Types;
|
||||
Reference in New Issue
Block a user