feat(PRICING-003): use true GLD backing for hedge contract count

app/strategies/protective_put.py

@@ -1,5 +1,6 @@
 from __future__ import annotations
 
+import math
 from dataclasses import dataclass
 from datetime import date, timedelta
 
@@ -7,6 +8,7 @@ from app.core.pricing.black_scholes import (
     BlackScholesInputs,
     black_scholes_price_and_greeks,
 )
+from app.domain.instruments import gld_ounces_per_share
 from app.models.option import Greeks, OptionContract
 from app.models.strategy import HedgingStrategy
 from app.strategies.base import BaseStrategy, StrategyConfig
@@ -47,7 +49,8 @@ class ProtectivePutStrategy(BaseStrategy):
 
     @property
     def hedge_units(self) -> float:
-        return self.config.portfolio.gold_value / self.config.spot_price
+        """Gold ounces to hedge (canonical portfolio weight)."""
+        return self.config.portfolio.gold_ounces
 
     @property
     def strike(self) -> float:
@@ -57,6 +60,20 @@ class ProtectivePutStrategy(BaseStrategy):
     def term_years(self) -> float:
         return self.spec.months / 12.0
 
+    @property
+    def gld_backing(self) -> float:
+        """GLD ounces per share for contract count calculation."""
+        return float(gld_ounces_per_share())
+
+    @property
+    def contract_count(self) -> int:
+        """Number of GLD option contracts needed.
+
+        GLD options cover 100 shares each. Each share represents ~0.0919 oz
+        (expense-ratio adjusted). Formula: ceil(gold_ounces / (100 * backing)).
+        """
+        return math.ceil(self.hedge_units / (100 * self.gld_backing))
+
     def build_contract(self) -> OptionContract:
         pricing = black_scholes_price_and_greeks(
             BlackScholesInputs(
@@ -73,8 +90,8 @@ class ProtectivePutStrategy(BaseStrategy):
             strike=self.strike,
             expiry=date.today() + timedelta(days=max(1, round(365 * self.term_years))),
             premium=pricing.price,
-            quantity=1.0,
-            contract_size=self.hedge_units,
+            quantity=float(self.contract_count),
+            contract_size=100 * self.gld_backing,
             underlying_price=self.config.spot_price,
             greeks=Greeks(
                 delta=pricing.delta,
@@ -114,7 +131,7 @@ class ProtectivePutStrategy(BaseStrategy):
         payoff_at_threshold = contract.payoff(threshold_price)
         hedged_value_at_threshold = self.config.portfolio.gold_value_at_price(threshold_price) + payoff_at_threshold
         protected_ltv = self.config.portfolio.loan_amount / hedged_value_at_threshold
-        floor_value = contract.strike * self.hedge_units
+        floor_value = contract.strike * contract.notional_units
         return {
             "strategy": self.name,
             "threshold_price": round(threshold_price, 2),