情景测算按到期实值反推盈亏比达标现货价

达标情景现货价按权利金价值与行权价反推，便于对照到期后效果。

Co-authored-by: Cursor <cursoragent@cursor.com>

lib/hedge_plan/hedge_plan_calc_lib.py

@@ -58,6 +58,42 @@ def option_expiry_pnl(
     return value - float(premium_paid)
 
 
+def spot_from_expiry_intrinsic_profit(
+    *,
+    opt_type: str,
+    strike: float,
+    sheets: float,
+    ct_mult: float,
+    premium_paid: float,
+    profit: float,
+) -> float | None:
+    """按到期实值反推现货价:使该腿到期盈亏 ≈ profit.
+
+    到期价值=实值×张数×乘数;盈亏=价值−权利金 → 实值/币=(profit+权利金)/(张数×乘数).
+    Call: spot=K+实值/币; Put: spot=K−实值/币.
+    """
+    try:
+        k = float(strike)
+        n = float(sheets or 0)
+        ct = float(ct_mult or 0.01)
+        prem = float(premium_paid or 0)
+        pnl = float(profit)
+    except (TypeError, ValueError):
+        return None
+    denom = n * ct
+    if denom <= 0:
+        return None
+    need = (pnl + prem) / denom
+    if need < 0:
+        need = 0.0
+    o = (opt_type or "").strip().upper()
+    if o in ("C", "CALL"):
+        return round(k + need, 2)
+    if o in ("P", "PUT"):
+        return round(k - need, 2)
+    return None
+
+
 def suggest_contracts_from_notional(
     *,
     notional: float,
@@ -484,6 +520,23 @@ def build_options_options_preview(
         a_at_b_full = -prem_a
         a_at_b_res = -prem_a * 0.8
 
+        spot_a = spot_from_expiry_intrinsic_profit(
+            opt_type=str(leg_a.get("opt_type") or ""),
+            strike=float(leg_a["strike"]),
+            sheets=float(leg_a.get("sheets") or 0),
+            ct_mult=float(leg_a.get("ct_mult") or 0.01),
+            premium_paid=prem_a,
+            profit=win_profit,
+        )
+        spot_b = spot_from_expiry_intrinsic_profit(
+            opt_type=str(leg_b.get("opt_type") or ""),
+            strike=float(leg_b["strike"]),
+            sheets=float(leg_b.get("sheets") or 0),
+            ct_mult=float(leg_b.get("ct_mult") or 0.01),
+            premium_paid=prem_b,
+            profit=win_profit,
+        )
+
         a_flat = _leg_pnl(leg_a, index_px)
         b_flat = _leg_pnl(leg_b, index_px)
         flat_total = a_flat + b_flat
@@ -502,29 +555,29 @@ def build_options_options_preview(
                 {
                     "id": "rr_leg_a_full",
                     "label": f"腿A达盈亏比{rr:g}(亏腿全损)",
-                    "spot": None,
+                    "spot": spot_a,
                     "leg_a_pnl": round(a_at_a, 4),
                     "leg_b_pnl": round(b_at_a_full, 4),
                     "total": round(a_at_a + b_at_a_full, 4),
-                    "note": "盈利=总权利金×盈亏比;亏损腿本合约全亏",
+                    "note": "现货=到期实值反推;盈利=总权利金×盈亏比;亏腿本合约全亏",
                 },
                 {
                     "id": "rr_leg_b_full",
                     "label": f"腿B达盈亏比{rr:g}(亏腿全损)",
-                    "spot": None,
+                    "spot": spot_b,
                     "leg_a_pnl": round(a_at_b_full, 4),
                     "leg_b_pnl": round(b_at_b, 4),
                     "total": round(a_at_b_full + b_at_b, 4),
-                    "note": "盈利=总权利金×盈亏比;亏损腿本合约全亏",
+                    "note": "现货=到期实值反推;盈利=总权利金×盈亏比;亏腿本合约全亏",
                 },
                 {
                     "id": "rr_leg_a_residual",
                     "label": f"腿A达盈亏比{rr:g}(亏腿残值20%)",
-                    "spot": None,
+                    "spot": spot_a,
                     "leg_a_pnl": round(a_at_a, 4),
                     "leg_b_pnl": round(b_at_a_res, 4),
                     "total": round(a_at_a + b_at_a_res, 4),
-                    "note": "亏损腿买一回收约本合约权利金20%",
+                    "note": "现货同腿A达标反推;亏腿买一回收约本合约权利金20%",
                 },
                 {
                     "id": "expiry_flat",
@@ -547,6 +600,8 @@ def build_options_options_preview(
             ],
             "summary": {
                 "profit_rr": rr,
+                "spot_at_rr_a": spot_a,
+                "spot_at_rr_b": spot_b,
                 "at_rr_a_full_total": round(a_at_a + b_at_a_full, 4),
                 "at_rr_b_full_total": round(a_at_b_full + b_at_b, 4),
                 "at_rr_a_residual_total": round(a_at_a + b_at_a_res, 4),