@fabrknt/tensor-core

Chain-agnostic math, types, and solver client for Tensor -- unified margin engine with Greeks-aware portfolio margining across perpetuals, options, spot, and lending.

Not every DeFi protocol needs TradFi compliance -- but if yours does, you shouldn't have to rebuild from scratch. Fabrknt plugs into your existing protocol with composable SDKs and APIs. No permissioned forks, no separate deployments.

Install

npm install @fabrknt/tensor-core

Quick Start

import {
  computeGreeks,
  aggregatePortfolioGreeks,
  computeMargin,
  computeHealth,
  deltaNet,
  buildVolSurface,
  solveIntent,
} from "@fabrknt/tensor-core";

// Compute Black-Scholes Greeks for an option position
const greeks = computeGreeks({
  asset: "ETH",
  option_type: "call",
  side: "long",
  size: 1,
  strike: 3000,
  expiry: "2026-06-30",
  underlying_price: 2800,
  implied_volatility: 0.6,
});

// Portfolio margin with delta netting
const margin = computeMargin(positions, equity);
const health = computeHealth(margin, equity);

Features

• Zero runtime dependencies -- pure TypeScript
• Black-Scholes Greeks (delta, gamma, vega, theta) with vol surface interpolation
• Portfolio margining with delta netting across spot, perps, and options
• Health status classification (healthy, warning, critical, liquidatable)
• Volatility surface generation (moneyness x expiry grid with skew/term structure)
• Intent language for multi-leg strategies (spreads, straddles, iron condors)
• Solver client for bid evaluation, auction processing, and settlement scanning
• Plug-in architecture: chain adapters for Solana, EVM, or custom integrations

API Summary

Greeks

| Export | Description | |--------|-------------| | computeGreeks(position) | Black-Scholes Greeks for a single option position | | aggregatePortfolioGreeks(positions) | Aggregate Greeks across a portfolio |

Margin

| Export | Description | |--------|-------------| | computeMargin(positions, equity) | Initial/maintenance margin with per-position detail | | computeHealth(margin, equity) | Health status and margin ratio | | deltaNet(positions) | Delta netting across correlated positions |

Volatility Surface

| Export | Description | |--------|-------------| | buildVolSurface(atmVol, ...) | Generate a vol surface from ATM IV + skew/term multipliers | | interpolateVol(surface, moneyness, expiry) | Bilinear interpolation over the vol grid | | volSurfaceToOnChain(surface) | Serialize for on-chain storage | | fitVolSurfaceFromOracle(data) | Fit a surface from oracle variance data |

Intents and Solver

| Export | Description | |--------|-------------| | solveIntent(intent, constraints) | Decompose a multi-leg intent into execution steps | | evaluateBidOpportunity(intent) | Evaluate profitability of filling an intent | | processAuction(bids) | Rank and select winning solver bids | | findSettleableAuctions(auctions) | Identify auctions ready for on-chain settlement |

Types

Key type exports: Position, VolSurface, OptionPosition, Greeks, PortfolioGreeks, MarginResult, HealthResult, HealthStatus, TradingIntent, Leg, SolverBid, SolverResult, ExecutionStep.

Adapters

| Export | Description | |--------|-------------| | ChainAdapter / Chain | Interface for plugging in chain-specific adapters | | CostEstimator | Gas/fee estimation interface | | solanaCostEstimator | Default cost estimator for Solana | | evmCostEstimator | Default cost estimator for EVM chains |

Chain Adapters

This package defines the ChainAdapter interface. Chain-specific implementations are provided separately:

• @fabrknt/tensor-solana -- Solana adapter with borsh decoders, instruction builders, and keeper bots

Documentation

See the main repository README for full architecture docs, on-chain program details, keeper bot configuration, and testing instructions.

License

MIT