vault-dash/app/strategies/laddered_put.py

from __future__ import annotations

from dataclasses import dataclass

from app.strategies.base import BaseStrategy, StrategyConfig
from app.strategies.protective_put import (
    DEFAULT_SCENARIO_CHANGES,
    ProtectivePutSpec,
    ProtectivePutStrategy,
)


@dataclass(frozen=True)
class LadderSpec:
    label: str
    weights: tuple[float, ...]
    strike_pcts: tuple[float, ...]
    months: int = 12


class LadderedPutStrategy(BaseStrategy):
    """Multi-strike protective put ladder with blended premium and protection analysis."""

    def __init__(self, config: StrategyConfig, spec: LadderSpec) -> None:
        super().__init__(config)
        if len(spec.weights) != len(spec.strike_pcts):
            raise ValueError("weights and strike_pcts must have the same length")
        if abs(sum(spec.weights) - 1.0) > 1e-9:
            raise ValueError("weights must sum to 1.0")
        self.spec = spec

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

    def _legs(self) -> list[tuple[float, ProtectivePutStrategy]]:
        legs: list[tuple[float, ProtectivePutStrategy]] = []
        for index, (weight, strike_pct) in enumerate(
            zip(self.spec.weights, self.spec.strike_pcts, strict=True), start=1
        ):
            leg = ProtectivePutStrategy(
                self.config,
                ProtectivePutSpec(
                    label=f"{self.spec.label}_leg_{index}",
                    strike_pct=strike_pct,
                    months=self.spec.months,
                ),
            )
            legs.append((weight, leg))
        return legs

    def calculate_cost(self) -> dict:
        blended_cost = 0.0
        blended_premium = 0.0
        legs_summary: list[dict] = []
        for weight, leg in self._legs():
            contract = leg.build_contract()
            weighted_cost = contract.total_premium * weight
            blended_cost += weighted_cost
            blended_premium += contract.premium * weight
            legs_summary.append(
                {
                    "weight": weight,
                    "strike": round(contract.strike, 2),
                    "premium_per_share": round(contract.premium, 4),
                    "weighted_cost": round(weighted_cost, 2),
                }
            )
        annualized_cost = blended_cost / (self.spec.months / 12.0)
        return {
            "strategy": self.name,
            "label": self.spec.label,
            "legs": legs_summary,
            "blended_premium_per_share": round(blended_premium, 4),
            "blended_cost": round(blended_cost, 2),
            "cost_pct_of_portfolio": round(blended_cost / self.config.portfolio.gold_value, 6),
            "annualized_cost": round(annualized_cost, 2),
            "annualized_cost_pct": round(annualized_cost / self.config.portfolio.gold_value, 6),
        }

    def calculate_protection(self) -> dict:
        threshold_price = self.config.portfolio.margin_call_price()
        total_payoff = 0.0
        floor_value = 0.0
        leg_protection: list[dict] = []
        for weight, leg in self._legs():
            contract = leg.build_contract()
            weighted_payoff = contract.payoff(threshold_price) * weight
            total_payoff += weighted_payoff
            floor_value += contract.strike * leg.hedge_units * weight
            leg_protection.append(
                {
                    "weight": weight,
                    "strike": round(contract.strike, 2),
                    "weighted_payoff_at_threshold": round(weighted_payoff, 2),
                }
            )
        hedged_value_at_threshold = self.config.portfolio.gold_value_at_price(threshold_price) + total_payoff
        protected_ltv = self.config.portfolio.loan_amount / hedged_value_at_threshold
        return {
            "strategy": self.name,
            "threshold_price": round(threshold_price, 2),
            "portfolio_floor_value": round(floor_value, 2),
            "payoff_at_threshold": round(total_payoff, 2),
            "unhedged_ltv_at_threshold": round(self.config.portfolio.ltv_at_price(threshold_price), 6),
            "hedged_ltv_at_threshold": round(protected_ltv, 6),
            "maintains_margin_call_buffer": protected_ltv < self.config.portfolio.margin_call_ltv,
            "legs": leg_protection,
        }

    def get_scenarios(self) -> list[dict]:
        cost = self.calculate_cost()["blended_cost"]
        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 = 0.0
            for weight, leg in self._legs():
                option_payoff += leg.build_contract().payoff(price) * weight
            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(cost, 2),
                    "net_portfolio_value": round(gold_value + option_payoff - 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