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fix(pricing): correct relative hedge payoff calculations

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This commit is contained in:
Bu5hm4nn
2026-03-25 19:27:26 +01:00
parent 5217304624
commit bfb6c71be3
6 changed files with 241 additions and 50 deletions
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41
app/components/strategy_panel.py
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@@ -4,6 +4,12 @@ from typing import Any
from nicegui import ui
from app.domain.portfolio_math import (
strategy_benefit_per_unit,
strategy_protection_floor_bounds,
strategy_upside_cap_price,
)
class StrategyComparisonPanel:
"""Interactive strategy comparison with scenario slider and cost-benefit table."""
@@ -107,8 +113,6 @@ class StrategyComparisonPanel:
for strategy in self.strategies:
name = str(strategy.get("name", "strategy")).replace("_", " ").title()
cost = float(strategy.get("estimated_cost", 0.0))
floor = strategy.get("max_drawdown_floor", "—")
cap = strategy.get("upside_cap", "—")
scenario = self._scenario_benefit(strategy)
scenario_class = (
"text-emerald-600 dark:text-emerald-400" if scenario >= 0 else "text-rose-600 dark:text-rose-400"
@@ -117,8 +121,8 @@ class StrategyComparisonPanel:
<tr class=\"border-b border-slate-200 dark:border-slate-800\">
<td class=\"px-4 py-3 font-medium text-slate-900 dark:text-slate-100\">{name}</td>
<td class=\"px-4 py-3 text-slate-600 dark:text-slate-300\">${cost:,.2f}</td>
<td class=\"px-4 py-3 text-slate-600 dark:text-slate-300\">{self._fmt_optional_money(floor)}</td>
<td class=\"px-4 py-3 text-slate-600 dark:text-slate-300\">{self._fmt_optional_money(cap)}</td>
<td class=\"px-4 py-3 text-slate-600 dark:text-slate-300\">{self._format_floor(strategy)}</td>
<td class=\"px-4 py-3 text-slate-600 dark:text-slate-300\">{self._format_cap(strategy)}</td>
<td class=\"px-4 py-3 font-semibold {scenario_class}\">${scenario:,.2f}</td>
</tr>
""")
@@ -140,17 +144,26 @@ class StrategyComparisonPanel:
"""
def _scenario_benefit(self, strategy: dict[str, Any]) -> float:
scenario_spot = self._scenario_spot()
cost = float(strategy.get("estimated_cost", 0.0))
floor = strategy.get("max_drawdown_floor")
cap = strategy.get("upside_cap")
benefit = -cost
return strategy_benefit_per_unit(
strategy,
current_spot=self.current_spot,
scenario_spot=self._scenario_spot(),
)
if isinstance(floor, (int, float)) and scenario_spot < float(floor):
benefit += float(floor) - scenario_spot
if isinstance(cap, (int, float)) and scenario_spot > float(cap):
benefit -= scenario_spot - float(cap)
return benefit
def _format_floor(self, strategy: dict[str, Any]) -> str:
bounds = strategy_protection_floor_bounds(strategy, current_spot=self.current_spot)
if bounds is None:
return self._fmt_optional_money(strategy.get("max_drawdown_floor"))
low, high = bounds
if abs(high - low) < 1e-9:
return f"${high:,.2f}"
return f"${low:,.2f}–${high:,.2f}"
def _format_cap(self, strategy: dict[str, Any]) -> str:
cap = strategy_upside_cap_price(strategy, current_spot=self.current_spot)
if cap is None:
return self._fmt_optional_money(strategy.get("upside_cap"))
return f"${cap:,.2f}"
@staticmethod
def _fmt_optional_money(value: Any) -> str: