vault-dash/app/strategies/protective_put.py

from __future__ import annotations

import math
from dataclasses import dataclass
from datetime import date, timedelta

from app.core.pricing.black_scholes import (
    BlackScholesInputs,
    black_scholes_price_and_greeks,
)
from app.domain.instruments import gld_ounces_per_share
from app.models.option import Greeks, OptionContract
from app.models.strategy import HedgingStrategy
from app.strategies.base import BaseStrategy, StrategyConfig

DEFAULT_SCENARIO_CHANGES = (
    -0.6,
    -0.5,
    -0.4,
    -0.3,
    -0.2,
    -0.1,
    0.0,
    0.1,
    0.2,
    0.3,
    0.4,
    0.5,
)


@dataclass(frozen=True)
class ProtectivePutSpec:
    label: str
    strike_pct: float
    months: int = 12


class ProtectivePutStrategy(BaseStrategy):
    """Single-leg protective put strategy using ATM or configurable OTM strikes."""

    def __init__(self, config: StrategyConfig, spec: ProtectivePutSpec) -> None:
        super().__init__(config)
        self.spec = spec

    @property
    def name(self) -> str:
        return f"protective_put_{self.spec.label.lower()}"

    @property
    def hedge_units(self) -> float:
        """Gold ounces to hedge (canonical portfolio weight)."""
        return self.config.portfolio.gold_ounces

    @property
    def strike(self) -> float:
        return self.config.spot_price * self.spec.strike_pct

    @property
    def term_years(self) -> float:
        return self.spec.months / 12.0

    @property
    def gld_backing(self) -> float:
        """GLD ounces per share for contract count calculation."""
        return float(gld_ounces_per_share())

    @property
    def contract_count(self) -> int:
        """Number of GLD option contracts needed.

        GLD options cover 100 shares each. Each share represents ~0.0919 oz
        (expense-ratio adjusted). Formula: ceil(gold_ounces / (100 * backing)).
        """
        return math.ceil(self.hedge_units / (100 * self.gld_backing))

    def build_contract(self) -> OptionContract:
        pricing = black_scholes_price_and_greeks(
            BlackScholesInputs(
                spot=self.config.spot_price,
                strike=self.strike,
                time_to_expiry=self.term_years,
                risk_free_rate=self.config.risk_free_rate,
                volatility=self.config.volatility,
                option_type="put",
            )
        )
        return OptionContract(
            option_type="put",
            strike=self.strike,
            expiry=date.today() + timedelta(days=max(1, round(365 * self.term_years))),
            premium=pricing.price,
            quantity=float(self.contract_count),
            contract_size=100 * self.gld_backing,
            underlying_price=self.config.spot_price,
            greeks=Greeks(
                delta=pricing.delta,
                gamma=pricing.gamma,
                theta=pricing.theta,
                vega=pricing.vega,
                rho=pricing.rho,
            ),
        )

    def build_hedging_strategy(self) -> HedgingStrategy:
        return HedgingStrategy(
            strategy_type="single_put",
            long_contracts=(self.build_contract(),),
            description=f"{self.spec.label} protective put",
        )

    def calculate_cost(self) -> dict:
        contract = self.build_contract()
        total_cost = contract.total_premium
        return {
            "strategy": self.name,
            "label": self.spec.label,
            "strike": round(contract.strike, 2),
            "strike_pct": self.spec.strike_pct,
            "premium_per_share": round(contract.premium, 4),
            "total_cost": round(total_cost, 2),
            "cost_pct_of_portfolio": round(total_cost / self.config.portfolio.gold_value, 6),
            "term_months": self.spec.months,
            "annualized_cost": round(total_cost / self.term_years, 2),
            "annualized_cost_pct": round((total_cost / self.term_years) / self.config.portfolio.gold_value, 6),
        }

    def calculate_protection(self) -> dict:
        contract = self.build_contract()
        threshold_price = self.config.portfolio.margin_call_price()
        payoff_at_threshold = contract.payoff(threshold_price)
        hedged_value_at_threshold = self.config.portfolio.gold_value_at_price(threshold_price) + payoff_at_threshold
        protected_ltv = self.config.portfolio.loan_amount / hedged_value_at_threshold
        floor_value = contract.strike * contract.notional_units
        return {
            "strategy": self.name,
            "threshold_price": round(threshold_price, 2),
            "strike": round(contract.strike, 2),
            "portfolio_floor_value": round(floor_value, 2),
            "unhedged_ltv_at_threshold": round(self.config.portfolio.ltv_at_price(threshold_price), 6),
            "hedged_ltv_at_threshold": round(protected_ltv, 6),
            "payoff_at_threshold": round(payoff_at_threshold, 2),
            "maintains_margin_call_buffer": protected_ltv < self.config.portfolio.margin_call_ltv,
        }

    def get_scenarios(self) -> list[dict]:
        strategy = self.build_hedging_strategy()
        scenarios: list[dict] = []
        for change in DEFAULT_SCENARIO_CHANGES:
            price = self.config.spot_price * (1 + change)
            if price <= 0:
                continue
            gold_value = self.config.portfolio.gold_value_at_price(price)
            option_payoff = strategy.gross_payoff(price)
            hedged_collateral = gold_value + option_payoff
            scenarios.append(
                {
                    "price_change_pct": round(change, 2),
                    "gld_price": round(price, 2),
                    "gold_value": round(gold_value, 2),
                    "option_payoff": round(option_payoff, 2),
                    "hedge_cost": round(strategy.hedge_cost, 2),
                    "net_portfolio_value": round(gold_value + option_payoff - strategy.hedge_cost, 2),
                    "unhedged_ltv": round(self.config.portfolio.loan_amount / gold_value, 6),
                    "hedged_ltv": round(self.config.portfolio.loan_amount / hedged_collateral, 6),
                    "margin_call_without_hedge": (self.config.portfolio.loan_amount / gold_value)
                    >= self.config.portfolio.margin_call_ltv,
                    "margin_call_with_hedge": (self.config.portfolio.loan_amount / hedged_collateral)
                    >= self.config.portfolio.margin_call_ltv,
                }
            )
        return scenarios