vault-dash/app/domain/instruments.py

from __future__ import annotations

import math
from dataclasses import dataclass
from datetime import date
from decimal import Decimal
from enum import Enum

from app.domain.backtesting_math import AssetQuantity, PricePerAsset
from app.domain.units import BaseCurrency, PricePerWeight, Weight, WeightUnit


class Underlying(str, Enum):
    """Supported underlying instruments for options evaluation."""

    GLD = "GLD"
    GC_F = "GC=F"

    def display_name(self) -> str:
        """Human-readable display name."""
        return {
            Underlying.GLD: "SPDR Gold Shares ETF",
            Underlying.GC_F: "Gold Futures (COMEX)",
        }.get(self, self.value)

    def description(self) -> str:
        """Description of the underlying and data source."""
        return {
            Underlying.GLD: "SPDR Gold Shares ETF (live data via yfinance)",
            Underlying.GC_F: "Gold Futures (coming soon)",
        }.get(self, "")


# GLD expense ratio decay parameters (from docs/GLD_BASIS_RESEARCH.md)
# Formula: ounces_per_share = 0.10 * e^(-0.004 * years_since_2004)
GLD_INITIAL_OUNCES_PER_SHARE = Decimal("0.10")
GLD_EXPENSE_DECAY_RATE = Decimal("0.004")  # 0.4% annual decay
GLD_LAUNCH_YEAR = 2004

# GC=F contract specifications
GC_F_OUNCES_PER_CONTRACT = Decimal("100")  # 100 troy oz per contract
GC_F_QUOTE_CURRENCY = BaseCurrency.USD


def gld_ounces_per_share(reference_date: date | None = None) -> Decimal:
    """
    Calculate GLD's current gold backing per share based on expense ratio decay.

    GLD's expense ratio (0.40% annually) causes the gold backing per share to
    decay exponentially from the initial 0.10 oz/share at launch (2004).

    Formula: ounces_per_share = 0.10 * e^(-0.004 * years_since_2004)

    Args:
        reference_date: Date to calculate backing for. Defaults to today.

    Returns:
        Decimal representing troy ounces of gold backing per GLD share.

    Examples:
        >>> # 2026 backing should be ~0.0919 oz/share (8.1% decay)
        >>> from datetime import date
        >>> result = gld_ounces_per_share(date(2026, 1, 1))
        >>> float(result)  # doctest: +SKIP
        0.0919...
    """
    if reference_date is None:
        reference_date = date.today()

    years_since_launch = Decimal(reference_date.year - GLD_LAUNCH_YEAR)
    decay_factor = Decimal(str(math.exp(-float(GLD_EXPENSE_DECAY_RATE * years_since_launch))))
    return GLD_INITIAL_OUNCES_PER_SHARE * decay_factor


@dataclass(frozen=True, slots=True)
class InstrumentMetadata:
    symbol: str
    quote_currency: BaseCurrency | str
    weight_per_share: Weight

    def __post_init__(self) -> None:
        normalized_symbol = str(self.symbol).strip().upper()
        if not normalized_symbol:
            raise ValueError("Instrument symbol is required")
        object.__setattr__(self, "symbol", normalized_symbol)
        object.__setattr__(self, "quote_currency", BaseCurrency(self.quote_currency))
        object.__setattr__(self, "weight_per_share", self.weight_per_share)

    def assert_symbol(self, symbol: str) -> InstrumentMetadata:
        normalized = str(symbol).strip().upper()
        if self.symbol != normalized:
            raise ValueError(f"Instrument symbol mismatch: {self.symbol} != {normalized}")
        return self

    def assert_currency(self, currency: BaseCurrency | str) -> InstrumentMetadata:
        normalized = BaseCurrency(currency)
        if self.quote_currency is not normalized:
            raise ValueError(f"Instrument currency mismatch: {self.quote_currency} != {normalized}")
        return self

    def price_per_weight_from_asset_price(
        self,
        price: PricePerAsset,
        *,
        per_unit: WeightUnit = WeightUnit.OUNCE_TROY,
    ) -> PricePerWeight:
        self.assert_symbol(price.symbol)
        self.assert_currency(price.currency)
        weight_per_share = self.weight_per_share.to_unit(per_unit)
        if weight_per_share.amount <= 0:
            raise ValueError("Instrument weight_per_share must be positive")
        return PricePerWeight(
            amount=price.amount / weight_per_share.amount,
            currency=price.currency,
            per_unit=per_unit,
        )

    def weight_from_asset_quantity(self, quantity: AssetQuantity) -> Weight:
        self.assert_symbol(quantity.symbol)
        return Weight(amount=quantity.amount * self.weight_per_share.amount, unit=self.weight_per_share.unit)

    def asset_quantity_from_weight(self, weight: Weight) -> AssetQuantity:
        normalized_weight = weight.to_unit(self.weight_per_share.unit)
        if self.weight_per_share.amount <= 0:
            raise ValueError("Instrument weight_per_share must be positive")
        return AssetQuantity(amount=normalized_weight.amount / self.weight_per_share.amount, symbol=self.symbol)


_GLD = InstrumentMetadata(
    symbol="GLD",
    quote_currency=BaseCurrency.USD,
    weight_per_share=Weight(amount=gld_ounces_per_share(), unit=WeightUnit.OUNCE_TROY),
)

_GC_F = InstrumentMetadata(
    symbol="GC=F",
    quote_currency=GC_F_QUOTE_CURRENCY,
    weight_per_share=Weight(amount=GC_F_OUNCES_PER_CONTRACT, unit=WeightUnit.OUNCE_TROY),
)

_INSTRUMENTS: dict[str, InstrumentMetadata] = {
    _GLD.symbol: _GLD,
    _GC_F.symbol: _GC_F,
}


def supported_underlyings() -> list[Underlying]:
    """Return list of supported underlying instruments."""
    return list(Underlying)


def instrument_metadata(symbol: str) -> InstrumentMetadata:
    normalized = str(symbol).strip().upper()
    metadata = _INSTRUMENTS.get(normalized)
    if metadata is None:
        raise ValueError(f"Unsupported instrument metadata: {normalized or symbol!r}")
    return metadata


def price_per_weight_from_asset_price(
    price: PricePerAsset,
    *,
    per_unit: WeightUnit = WeightUnit.OUNCE_TROY,
) -> PricePerWeight:
    return instrument_metadata(price.symbol).price_per_weight_from_asset_price(price, per_unit=per_unit)


def weight_from_asset_quantity(quantity: AssetQuantity) -> Weight:
    return instrument_metadata(quantity.symbol).weight_from_asset_quantity(quantity)


def asset_quantity_from_weight(symbol: str, weight: Weight) -> AssetQuantity:
    return instrument_metadata(symbol).asset_quantity_from_weight(weight)