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
72 lines
2.8 KiB
Python
72 lines
2.8 KiB
Python
from __future__ import annotations
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from dataclasses import dataclass
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@dataclass(frozen=True)
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class LombardPortfolio:
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"""Lombard loan portfolio backed by physical gold.
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Attributes:
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gold_ounces: Quantity of pledged gold in troy ounces.
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gold_price_per_ounce: Current gold spot price per ounce.
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loan_amount: Outstanding Lombard loan balance.
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initial_ltv: Origination or current reference loan-to-value ratio.
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margin_call_ltv: LTV threshold at which a margin call is triggered.
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"""
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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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initial_ltv: float
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margin_call_ltv: float
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def __post_init__(self) -> None:
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if self.gold_ounces <= 0:
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raise ValueError("gold_ounces must be positive")
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if self.gold_price_per_ounce <= 0:
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raise ValueError("gold_price_per_ounce must be positive")
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if self.loan_amount < 0:
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raise ValueError("loan_amount must be non-negative")
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if not 0 < self.initial_ltv < 1:
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raise ValueError("initial_ltv must be between 0 and 1")
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if not 0 < self.margin_call_ltv < 1:
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raise ValueError("margin_call_ltv must be between 0 and 1")
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if self.initial_ltv > self.margin_call_ltv:
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raise ValueError("initial_ltv cannot exceed margin_call_ltv")
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if self.loan_amount > self.gold_value:
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raise ValueError("loan_amount cannot exceed current gold value")
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@property
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def gold_value(self) -> float:
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"""Current market value of pledged gold."""
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return self.gold_ounces * self.gold_price_per_ounce
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@property
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def current_ltv(self) -> float:
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"""Current loan-to-value ratio."""
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return self.loan_amount / self.gold_value
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@property
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def net_equity(self) -> float:
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"""Equity remaining after subtracting the loan from gold value."""
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return self.gold_value - self.loan_amount
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def gold_value_at_price(self, gold_price_per_ounce: float) -> float:
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"""Gold value under an alternative spot-price scenario."""
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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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return self.gold_ounces * gold_price_per_ounce
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def ltv_at_price(self, gold_price_per_ounce: float) -> float:
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"""Portfolio LTV under an alternative gold-price scenario."""
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return self.loan_amount / self.gold_value_at_price(gold_price_per_ounce)
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def net_equity_at_price(self, gold_price_per_ounce: float) -> float:
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"""Net equity under an alternative gold-price scenario."""
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return self.gold_value_at_price(gold_price_per_ounce) - self.loan_amount
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def margin_call_price(self) -> float:
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"""Gold price per ounce at which the portfolio breaches the margin LTV."""
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return self.loan_amount / (self.margin_call_ltv * self.gold_ounces)
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