fix(pricing): correct relative hedge payoff calculations
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@@ -22,12 +22,13 @@ logger = logging.getLogger(__name__)
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def _cost_benefit_options(metrics: dict) -> dict:
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return {
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"tooltip": {"trigger": "axis"},
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"grid": {"left": 64, "right": 24, "top": 24, "bottom": 48},
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"xAxis": {
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"type": "category",
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"data": [f"${point['price']:.0f}" for point in metrics["scenario_series"]],
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"name": "GLD spot",
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"name": "Collateral spot",
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},
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"yAxis": {"type": "value", "name": "Net benefit / oz"},
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"yAxis": {"type": "value", "name": "Net hedge benefit / oz"},
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"series": [
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{
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"type": "bar",
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@@ -35,6 +36,11 @@ def _cost_benefit_options(metrics: dict) -> dict:
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"itemStyle": {
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"color": "#0ea5e9",
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},
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"markLine": {
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"symbol": "none",
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"lineStyle": {"color": "#94a3b8", "type": "dashed"},
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"data": [{"yAxis": 0}],
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},
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}
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],
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}
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@@ -49,12 +55,14 @@ def _waterfall_options(metrics: dict) -> dict:
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return {
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"tooltip": {"trigger": "axis", "axisPointer": {"type": "shadow"}},
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"grid": {"left": 80, "right": 24, "top": 24, "bottom": 48},
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"xAxis": {"type": "category", "data": [label for label, _ in steps]},
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"yAxis": {"type": "value", "name": "USD"},
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"series": [
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{
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"type": "bar",
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"data": values,
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"label": {"show": True, "position": "top", "formatter": "{c}"},
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},
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],
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}
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