120 lines
5.0 KiB
Python
120 lines
5.0 KiB
Python
from __future__ import annotations
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from datetime import date
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from decimal import Decimal
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import pytest
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from app.domain.backtesting_math import AssetQuantity, PricePerAsset
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from app.domain.instruments import (
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GLD_EXPENSE_DECAY_RATE,
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GLD_INITIAL_OUNCES_PER_SHARE,
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GLD_LAUNCH_YEAR,
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asset_quantity_from_weight,
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gld_ounces_per_share,
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instrument_metadata,
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price_per_weight_from_asset_price,
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weight_from_asset_quantity,
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)
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from app.domain.units import BaseCurrency, Weight, WeightUnit
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def test_gld_ounces_per_share_decay_formula_matches_research() -> None:
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"""Verify decay formula matches research examples from docs/GLD_BASIS_RESEARCH.md."""
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# Launch (2004): should be exactly 0.10 oz/share
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launch_backing = gld_ounces_per_share(date(2004, 1, 1))
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assert launch_backing == GLD_INITIAL_OUNCES_PER_SHARE
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assert launch_backing == Decimal("0.10")
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# 2026: should be ~0.0916 oz/share (8.4% decay from 22 years)
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# Formula: 0.10 * e^(-0.004 * 22) = 0.10 * e^(-0.088) ≈ 0.091576
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years_2026 = 2026 - GLD_LAUNCH_YEAR # 22 years
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expected_2026_decay = Decimal("0.10") * Decimal(str(__import__("math").exp(-0.004 * years_2026)))
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actual_2026 = gld_ounces_per_share(date(2026, 1, 1))
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# Check 2026 backing is approximately 0.0916 (within rounding tolerance)
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assert abs(float(actual_2026) - 0.0916) < 0.0001
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assert actual_2026 == expected_2026_decay
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def test_gld_ounces_per_share_uses_current_year_by_default() -> None:
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"""Verify default behavior uses today's date."""
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current_backing = gld_ounces_per_share()
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current_year = date.today().year
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expected_backing = gld_ounces_per_share(date(current_year, 1, 1))
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# Should match the current year's calculation
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assert current_backing == expected_backing
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def test_gld_decay_rate_is_correct() -> None:
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"""Verify the decay rate constant is 0.4% annually."""
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assert GLD_EXPENSE_DECAY_RATE == Decimal("0.004")
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def test_gld_share_quantity_converts_to_troy_ounce_weight() -> None:
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"""GLD shares convert to weight using expense-adjusted backing (~0.0919 oz/share in 2026)."""
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quantity = AssetQuantity(amount=Decimal("10"), symbol="GLD")
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current_backing = gld_ounces_per_share()
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weight = weight_from_asset_quantity(quantity)
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expected_weight = current_backing * Decimal("10")
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assert weight == Weight(amount=expected_weight, unit=WeightUnit.OUNCE_TROY)
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# Verify it's NOT the old 1.0 oz (which would be wrong)
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assert weight != Weight(amount=Decimal("1.0"), unit=WeightUnit.OUNCE_TROY)
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def test_gld_troy_ounce_weight_converts_to_share_quantity() -> None:
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"""Convert 1 troy ounce to GLD shares using expense-adjusted backing."""
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# 1 oz should require more than 10 shares now (since each share backs <0.1 oz)
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weight = Weight(amount=Decimal("1"), unit=WeightUnit.OUNCE_TROY)
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current_backing = gld_ounces_per_share()
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quantity = asset_quantity_from_weight("GLD", weight)
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expected_shares = Decimal("1") / current_backing
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assert quantity == AssetQuantity(amount=expected_shares, symbol="GLD")
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# Should be more than 10 shares (approximately 10.87 in 2026)
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assert quantity.amount > Decimal("10")
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def test_gld_share_quote_converts_to_ounce_equivalent_spot() -> None:
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"""GLD price converts to gold spot using expense-adjusted backing."""
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# At ~$423/GLD share with ~0.0919 oz backing, spot should be ~$4600/oz
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quote = PricePerAsset(amount=Decimal("422.73"), currency=BaseCurrency.USD, symbol="GLD")
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current_backing = gld_ounces_per_share()
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spot = price_per_weight_from_asset_price(quote, per_unit=WeightUnit.OUNCE_TROY)
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expected_spot = quote.amount / current_backing
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assert spot.amount == expected_spot
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assert spot.currency is BaseCurrency.USD
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assert spot.per_unit is WeightUnit.OUNCE_TROY
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# Spot should be higher than naive 10:1 conversion ($4227.3)
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assert spot.amount > Decimal("4227.3")
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def test_gld_metadata_uses_expense_adjusted_backing() -> None:
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"""Verify GLD metadata uses the dynamic expense-adjusted backing."""
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gld_meta = instrument_metadata("GLD")
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expected_backing = gld_ounces_per_share()
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assert gld_meta.weight_per_share.amount == expected_backing
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assert gld_meta.weight_per_share.unit is WeightUnit.OUNCE_TROY
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# Verify it's not the old hardcoded 0.1
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assert gld_meta.weight_per_share.amount != Decimal("0.1")
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def test_instrument_conversions_fail_closed_for_unsupported_symbols() -> None:
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quote = PricePerAsset(amount=Decimal("28.50"), currency=BaseCurrency.USD, symbol="SLV")
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with pytest.raises(ValueError, match="Unsupported instrument metadata"):
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price_per_weight_from_asset_price(quote, per_unit=WeightUnit.OUNCE_TROY)
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with pytest.raises(ValueError, match="Unsupported instrument metadata"):
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weight_from_asset_quantity(AssetQuantity(amount=Decimal("10"), symbol="SLV"))
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with pytest.raises(ValueError, match="Unsupported instrument metadata"):
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asset_quantity_from_weight("SLV", Weight(amount=Decimal("1"), unit=WeightUnit.OUNCE_TROY))
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