190 lines
6.9 KiB
Python
190 lines
6.9 KiB
Python
from __future__ import annotations
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from decimal import Decimal
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from app.domain.backtesting_math import PricePerAsset
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from app.domain.instruments import price_per_weight_from_asset_price
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from app.domain.portfolio_math import (
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build_alert_context,
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portfolio_snapshot_from_config,
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resolve_portfolio_spot_from_quote,
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strategy_benefit_per_unit,
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strategy_metrics_from_snapshot,
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strategy_protection_floor_bounds,
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)
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from app.domain.units import BaseCurrency, WeightUnit
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from app.models.portfolio import PortfolioConfig
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def test_portfolio_snapshot_from_config_preserves_weight_price_and_margin_values() -> None:
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config = PortfolioConfig(entry_price=4400.0, gold_ounces=220.0, entry_basis_mode="weight", loan_amount=145000.0)
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snapshot = portfolio_snapshot_from_config(config)
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assert snapshot["spot_price"] == 4400.0
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assert snapshot["gold_units"] == 220.0
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assert snapshot["gold_value"] == 968000.0
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assert snapshot["net_equity"] == 823000.0
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assert round(snapshot["margin_call_price"], 2) == 878.79
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def test_build_alert_context_uses_unit_safe_gold_value_calculation() -> None:
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config = PortfolioConfig(entry_price=4400.0, gold_ounces=220.0, entry_basis_mode="weight", loan_amount=145000.0)
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context = build_alert_context(
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config,
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spot_price=4400.0,
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source="configured_entry_price",
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updated_at="",
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)
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assert context["gold_units"] == 220.0
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assert context["gold_value"] == 968000.0
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assert context["net_equity"] == 823000.0
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assert round(float(context["margin_call_price"]), 2) == 878.79
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def test_build_alert_context_accepts_explicit_gld_share_quote_conversion() -> None:
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config = PortfolioConfig(entry_price=4400.0, gold_ounces=220.0, entry_basis_mode="weight", loan_amount=145000.0)
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share_quote = PricePerAsset(amount=Decimal("404.19"), currency=BaseCurrency.USD, symbol="GLD")
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ounce_spot = price_per_weight_from_asset_price(share_quote, per_unit=WeightUnit.OUNCE_TROY)
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context = build_alert_context(
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config,
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spot_price=float(ounce_spot.amount),
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source="yfinance",
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updated_at="2026-03-24T00:00:00+00:00",
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)
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assert context["spot_price"] == 4041.9
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assert context["gold_value"] == 889218.0
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assert context["net_equity"] == 744218.0
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assert context["quote_source"] == "yfinance"
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def test_strategy_metrics_from_snapshot_preserves_minus_20pct_protective_put_example() -> None:
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from app.pages.common import strategy_catalog
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strategy = next(item for item in strategy_catalog() if item["name"] == "protective_put_atm")
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snapshot = {
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"gold_value": 215000.0,
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"loan_amount": 145000.0,
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"net_equity": 70000.0,
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"spot_price": 215.0,
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"gold_units": 1000.0,
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"margin_call_ltv": 0.75,
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"margin_call_price": 193.33,
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"cash_buffer": 18500.0,
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"hedge_budget": 8000.0,
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"ltv_ratio": 145000.0 / 215000.0,
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}
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metrics = strategy_metrics_from_snapshot(strategy, -20, snapshot)
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assert metrics["scenario_price"] == 172.0
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assert metrics["unhedged_equity"] == 27000.0
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assert metrics["hedged_equity"] == 63750.0
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assert metrics["waterfall_steps"] == [
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("Base equity", 70000.0),
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("Spot move", -43000.0),
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("Option payoff", 43000.0),
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("Call cap", 0.0),
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("Hedge cost", -6250.0),
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("Net equity", 63750.0),
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]
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def test_resolve_portfolio_spot_from_quote_converts_gld_share_to_ozt() -> None:
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"""Hedge/runtime quote resolution should convert GLD share quotes to USD/ozt."""
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from app.models.portfolio import PortfolioConfig
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config = PortfolioConfig(entry_price=4400.0, gold_ounces=220.0, entry_basis_mode="weight", loan_amount=145000.0)
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share_quote = {
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"symbol": "GLD",
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"price": 404.19,
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"quote_unit": "share",
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"source": "yfinance",
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"updated_at": "2026-03-25T00:00:00+00:00",
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}
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spot, source, updated_at = resolve_portfolio_spot_from_quote(config, share_quote)
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assert spot == 4041.9 # 404.19 / 0.1 = 4041.9 USD/ozt
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assert source == "yfinance"
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assert updated_at == "2026-03-25T00:00:00+00:00"
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def test_resolve_portfolio_spot_from_quote_fails_closed_to_configured_price() -> None:
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"""Missing quote_unit should fail closed to configured entry price."""
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from app.models.portfolio import PortfolioConfig
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config = PortfolioConfig(entry_price=4400.0, gold_ounces=220.0, entry_basis_mode="weight", loan_amount=145000.0)
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legacy_quote = {
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"symbol": "GLD",
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"price": 404.19,
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"source": "cache",
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"updated_at": "",
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}
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spot, source, updated_at = resolve_portfolio_spot_from_quote(config, legacy_quote)
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assert spot == 4400.0 # Falls back to configured price
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assert source == "configured_entry_price"
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assert updated_at == ""
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def test_strategy_metrics_from_snapshot_uses_relative_template_strikes_for_high_spot_portfolios() -> None:
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from app.pages.common import strategy_catalog
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strategy = next(item for item in strategy_catalog() if item["name"] == "protective_put_atm")
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snapshot = portfolio_snapshot_from_config(
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PortfolioConfig(entry_price=4400.0, gold_ounces=220.0, entry_basis_mode="weight", loan_amount=145000.0)
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)
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metrics = strategy_metrics_from_snapshot(strategy, -20, snapshot)
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assert metrics["scenario_price"] == 3520.0
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assert metrics["unhedged_equity"] == 629400.0
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assert metrics["hedged_equity"] == 821625.0
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assert metrics["waterfall_steps"] == [
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("Base equity", 823000.0),
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("Spot move", -193600.0),
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("Option payoff", 193600.0),
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("Call cap", 0.0),
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("Hedge cost", -1375.0),
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("Net equity", 821625.0),
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]
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assert metrics["scenario_series"][0]["benefit"] == 1093.75
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assert metrics["scenario_series"][1]["benefit"] == 873.75
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def test_strategy_benefit_and_floor_bounds_support_laddered_relative_put_legs() -> None:
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from app.pages.common import strategy_catalog
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strategy = next(item for item in strategy_catalog() if item["name"] == "laddered_put_50_50_atm_otm95")
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floor_bounds = strategy_protection_floor_bounds(strategy, current_spot=4400.0)
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benefit = strategy_benefit_per_unit(strategy, current_spot=4400.0, scenario_spot=3520.0)
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assert floor_bounds == (4180.0, 4400.0)
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assert benefit == 765.55
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def test_resolve_portfolio_spot_from_quote_fails_closed_for_unsupported_symbol() -> None:
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"""Unsupported symbols without instrument metadata should fail closed."""
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from app.models.portfolio import PortfolioConfig
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config = PortfolioConfig(entry_price=4400.0, gold_ounces=220.0, entry_basis_mode="weight", loan_amount=145000.0)
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btc_quote = {
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"symbol": "BTC-USD",
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"price": 70000.0,
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"quote_unit": "coin",
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"source": "yfinance",
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"updated_at": "2026-03-25T00:00:00+00:00",
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}
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spot, source, updated_at = resolve_portfolio_spot_from_quote(config, btc_quote)
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assert spot == 4400.0 # Falls back to configured price
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assert source == "configured_entry_price"
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