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fix: correct hedge equity math at downside scenarios

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This commit is contained in:
Bu5hm4nn
2026-03-24 19:31:13 +01:00
parent ff4e565ee6
commit 98ecfb735e
4 changed files with 57 additions and 19 deletions
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30
app/pages/common.py
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@@ -114,7 +114,11 @@ def strategy_metrics(strategy_name: str, scenario_pct: int) -> dict[str, Any]:
(item for item in strategy_catalog() if item["name"] == strategy_name),
strategy_catalog()[0],
)
spot = demo_spot_price()
portfolio = portfolio_snapshot()
spot = float(portfolio["spot_price"])
underlying_units = portfolio["gold_value"] / spot
loan_amount = float(portfolio["loan_amount"])
base_equity = float(portfolio["net_equity"])
floor = float(strategy.get("max_drawdown_floor", spot * 0.95))
cap = strategy.get("upside_cap")
cost = float(strategy["estimated_cost"])
@@ -128,19 +132,23 @@ def strategy_metrics(strategy_name: str, scenario_pct: int) -> dict[str, Any]:
benefits.append(round(payoff - cost, 2))
scenario_price = round(spot * (1 + scenario_pct / 100), 2)
unhedged_equity = scenario_price * 1_000 - 145_000.0
scenario_payoff = max(floor - scenario_price, 0.0)
capped_upside = 0.0
unhedged_equity = scenario_price * underlying_units - loan_amount
scenario_payoff_per_unit = max(floor - scenario_price, 0.0)
capped_upside_per_unit = 0.0
if isinstance(cap, (int, float)) and scenario_price > float(cap):
capped_upside = -(scenario_price - float(cap))
hedged_equity = unhedged_equity + scenario_payoff + capped_upside - cost * 1_000
capped_upside_per_unit = -(scenario_price - float(cap))
option_payoff_cash = scenario_payoff_per_unit * underlying_units
capped_upside_cash = capped_upside_per_unit * underlying_units
hedge_cost_cash = cost * underlying_units
hedged_equity = unhedged_equity + option_payoff_cash + capped_upside_cash - hedge_cost_cash
waterfall_steps = [
("Base equity", round(70_000.0, 2)),
("Spot move", round((scenario_price - spot) * 1_000, 2)),
("Option payoff", round(scenario_payoff * 1_000, 2)),
("Call cap", round(capped_upside * 1_000, 2)),
("Hedge cost", round(-cost * 1_000, 2)),
("Base equity", round(base_equity, 2)),
("Spot move", round((scenario_price - spot) * underlying_units, 2)),
("Option payoff", round(option_payoff_cash, 2)),
("Call cap", round(capped_upside_cash, 2)),
("Hedge cost", round(-hedge_cost_cash, 2)),
("Net equity", round(hedged_equity, 2)),
]

15
app/pages/hedge.py
View File

@@ -35,19 +35,20 @@ def _waterfall_options(metrics: dict) -> dict:
steps = metrics["waterfall_steps"]
running = 0.0
base: list[float] = []
values: list[float] = []
for index, (_, amount) in enumerate(steps):
values: list[dict[str, object]] = []
for index, (label, amount) in enumerate(steps):
if index == 0:
base.append(0)
values.append(amount)
running = amount
elif index == len(steps) - 1:
base.append(0)
values.append(amount)
else:
base.append(running)
values.append(amount)
running += amount
color = "#0ea5e9" if label == "Net equity" else ("#22c55e" if amount >= 0 else "#ef4444")
values.append({"value": amount, "itemStyle": {"color": color}})
return {
"tooltip": {"trigger": "axis", "axisPointer": {"type": "shadow"}},
"xAxis": {"type": "category", "data": [label for label, _ in steps]},
@@ -58,14 +59,12 @@ def _waterfall_options(metrics: dict) -> dict:
"stack": "total",
"data": base,
"itemStyle": {"color": "rgba(0,0,0,0)"},
"tooltip": {"show": False},
},
{
"type": "bar",
"stack": "total",
"data": values,
"itemStyle": {
"color": "#22c55e",
},
},
],
}