vault-dash/tests/test_portfolio_math.py

from __future__ import annotations

from decimal import Decimal

from app.domain.backtesting_math import PricePerAsset
from app.domain.instruments import price_per_weight_from_asset_price
from app.domain.portfolio_math import (
    build_alert_context,
    portfolio_snapshot_from_config,
    resolve_portfolio_spot_from_quote,
    strategy_metrics_from_snapshot,
)
from app.domain.units import BaseCurrency, WeightUnit
from app.models.portfolio import PortfolioConfig


def test_portfolio_snapshot_from_config_preserves_weight_price_and_margin_values() -> None:
    config = PortfolioConfig(entry_price=4400.0, gold_ounces=220.0, entry_basis_mode="weight", loan_amount=145000.0)

    snapshot = portfolio_snapshot_from_config(config)

    assert snapshot["spot_price"] == 4400.0
    assert snapshot["gold_units"] == 220.0
    assert snapshot["gold_value"] == 968000.0
    assert snapshot["net_equity"] == 823000.0
    assert round(snapshot["margin_call_price"], 2) == 878.79


def test_build_alert_context_uses_unit_safe_gold_value_calculation() -> None:
    config = PortfolioConfig(entry_price=4400.0, gold_ounces=220.0, entry_basis_mode="weight", loan_amount=145000.0)

    context = build_alert_context(
        config,
        spot_price=4400.0,
        source="configured_entry_price",
        updated_at="",
    )

    assert context["gold_units"] == 220.0
    assert context["gold_value"] == 968000.0
    assert context["net_equity"] == 823000.0
    assert round(float(context["margin_call_price"]), 2) == 878.79


def test_build_alert_context_accepts_explicit_gld_share_quote_conversion() -> None:
    config = PortfolioConfig(entry_price=4400.0, gold_ounces=220.0, entry_basis_mode="weight", loan_amount=145000.0)
    share_quote = PricePerAsset(amount=Decimal("404.19"), currency=BaseCurrency.USD, symbol="GLD")
    ounce_spot = price_per_weight_from_asset_price(share_quote, per_unit=WeightUnit.OUNCE_TROY)

    context = build_alert_context(
        config,
        spot_price=float(ounce_spot.amount),
        source="yfinance",
        updated_at="2026-03-24T00:00:00+00:00",
    )

    assert context["spot_price"] == 4041.9
    assert context["gold_value"] == 889218.0
    assert context["net_equity"] == 744218.0
    assert context["quote_source"] == "yfinance"


def test_strategy_metrics_from_snapshot_preserves_minus_20pct_protective_put_example() -> None:
    from app.pages.common import strategy_catalog

    strategy = next(item for item in strategy_catalog() if item["name"] == "protective_put_atm")
    snapshot = {
        "gold_value": 215000.0,
        "loan_amount": 145000.0,
        "net_equity": 70000.0,
        "spot_price": 215.0,
        "gold_units": 1000.0,
        "margin_call_ltv": 0.75,
        "margin_call_price": 193.33,
        "cash_buffer": 18500.0,
        "hedge_budget": 8000.0,
        "ltv_ratio": 145000.0 / 215000.0,
    }

    metrics = strategy_metrics_from_snapshot(strategy, -20, snapshot)

    assert metrics["scenario_price"] == 172.0
    assert metrics["unhedged_equity"] == 27000.0
    assert metrics["hedged_equity"] == 58750.0
    assert metrics["waterfall_steps"] == [
        ("Base equity", 70000.0),
        ("Spot move", -43000.0),
        ("Option payoff", 38000.0),
        ("Call cap", 0.0),
        ("Hedge cost", -6250.0),
        ("Net equity", 58750.0),
    ]


def test_resolve_portfolio_spot_from_quote_converts_gld_share_to_ozt() -> None:
    """Hedge/runtime quote resolution should convert GLD share quotes to USD/ozt."""
    from app.models.portfolio import PortfolioConfig

    config = PortfolioConfig(entry_price=4400.0, gold_ounces=220.0, entry_basis_mode="weight", loan_amount=145000.0)
    share_quote = {
        "symbol": "GLD",
        "price": 404.19,
        "quote_unit": "share",
        "source": "yfinance",
        "updated_at": "2026-03-25T00:00:00+00:00",
    }

    spot, source, updated_at = resolve_portfolio_spot_from_quote(config, share_quote)

    assert spot == 4041.9  # 404.19 / 0.1 = 4041.9 USD/ozt
    assert source == "yfinance"
    assert updated_at == "2026-03-25T00:00:00+00:00"


def test_resolve_portfolio_spot_from_quote_fails_closed_to_configured_price() -> None:
    """Missing quote_unit should fail closed to configured entry price."""
    from app.models.portfolio import PortfolioConfig

    config = PortfolioConfig(entry_price=4400.0, gold_ounces=220.0, entry_basis_mode="weight", loan_amount=145000.0)
    legacy_quote = {
        "symbol": "GLD",
        "price": 404.19,
        "source": "cache",
        "updated_at": "",
    }

    spot, source, updated_at = resolve_portfolio_spot_from_quote(config, legacy_quote)

    assert spot == 4400.0  # Falls back to configured price
    assert source == "configured_entry_price"
    assert updated_at == ""


def test_resolve_portfolio_spot_from_quote_fails_closed_for_unsupported_symbol() -> None:
    """Unsupported symbols without instrument metadata should fail closed."""
    from app.models.portfolio import PortfolioConfig

    config = PortfolioConfig(entry_price=4400.0, gold_ounces=220.0, entry_basis_mode="weight", loan_amount=145000.0)
    btc_quote = {
        "symbol": "BTC-USD",
        "price": 70000.0,
        "quote_unit": "coin",
        "source": "yfinance",
        "updated_at": "2026-03-25T00:00:00+00:00",
    }

    spot, source, updated_at = resolve_portfolio_spot_from_quote(config, btc_quote)

    assert spot == 4400.0  # Falls back to configured price
    assert source == "configured_entry_price"