00a68bc767
- FastAPI + NiceGUI web application - QuantLib-based Black-Scholes pricing with Greeks - Protective put, laddered, and LEAPS strategies - Real-time WebSocket updates - TradingView-style charts via Lightweight-Charts - Docker containerization - GitLab CI/CD pipeline for VPS deployment - VPN-only access configuration
99 lines
3.7 KiB
Python
99 lines
3.7 KiB
Python
from __future__ import annotations
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from typing import Iterable
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from app.models.option import OptionContract
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from app.models.portfolio import LombardPortfolio
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from app.models.strategy import HedgingStrategy
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def margin_call_price(gold_ounces: float, loan_amount: float, margin_call_ltv: float) -> float:
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"""Calculate the gold price per ounce that triggers a margin call."""
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if gold_ounces <= 0:
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raise ValueError("gold_ounces must be positive")
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if loan_amount < 0:
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raise ValueError("loan_amount must be non-negative")
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if not 0 < margin_call_ltv < 1:
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raise ValueError("margin_call_ltv must be between 0 and 1")
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return loan_amount / (margin_call_ltv * gold_ounces)
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def loan_to_value(loan_amount: float, collateral_value: float) -> float:
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"""Calculate the loan-to-value ratio."""
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if loan_amount < 0:
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raise ValueError("loan_amount must be non-negative")
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if collateral_value <= 0:
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raise ValueError("collateral_value must be positive")
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return loan_amount / collateral_value
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def ltv_scenarios(portfolio: LombardPortfolio, gold_prices: Iterable[float]) -> dict[float, float]:
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"""Return LTV values for a collection of gold-price scenarios."""
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scenarios: dict[float, float] = {}
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for price in gold_prices:
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if price <= 0:
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raise ValueError("scenario gold prices must be positive")
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scenarios[price] = portfolio.ltv_at_price(price)
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if not scenarios:
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raise ValueError("gold_prices must contain at least one scenario")
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return scenarios
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def option_payoff(contracts: Iterable[OptionContract], underlying_price: float, *, short: bool = False) -> float:
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"""Aggregate expiry payoff across option contracts."""
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if underlying_price <= 0:
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raise ValueError("underlying_price must be positive")
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payoff = sum(contract.payoff(underlying_price) for contract in contracts)
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return -payoff if short else payoff
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def strategy_payoff(strategy: HedgingStrategy, underlying_price: float) -> float:
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"""Net option payoff before premium cost for a hedging strategy."""
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return strategy.gross_payoff(underlying_price)
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def net_equity(
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gold_ounces: float,
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gold_price_per_ounce: float,
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loan_amount: float,
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hedge_cost: float = 0.0,
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option_payoff_value: float = 0.0,
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) -> float:
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"""Calculate net equity after debt and hedging effects.
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Formula:
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``gold_value - loan_amount - hedge_cost + option_payoff``
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"""
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if gold_ounces <= 0:
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raise ValueError("gold_ounces must be positive")
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if gold_price_per_ounce <= 0:
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raise ValueError("gold_price_per_ounce must be positive")
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if loan_amount < 0:
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raise ValueError("loan_amount must be non-negative")
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if hedge_cost < 0:
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raise ValueError("hedge_cost must be non-negative")
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gold_value = gold_ounces * gold_price_per_ounce
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return gold_value - loan_amount - hedge_cost + option_payoff_value
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def portfolio_net_equity(
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portfolio: LombardPortfolio,
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gold_price_per_ounce: float | None = None,
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strategy: HedgingStrategy | None = None,
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) -> float:
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"""Calculate scenario net equity for a portfolio with an optional hedge."""
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scenario_price = portfolio.gold_price_per_ounce if gold_price_per_ounce is None else gold_price_per_ounce
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if scenario_price <= 0:
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raise ValueError("gold_price_per_ounce must be positive")
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payoff_value = strategy.gross_payoff(scenario_price) if strategy is not None else 0.0
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hedge_cost = strategy.hedge_cost if strategy is not None else 0.0
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return net_equity(
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gold_ounces=portfolio.gold_ounces,
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gold_price_per_ounce=scenario_price,
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loan_amount=portfolio.loan_amount,
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hedge_cost=hedge_cost,
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option_payoff_value=payoff_value,
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)
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