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>
2026-08-11 17:01:21 +08:00
parent a1bf760a28
commit 38e3e00fe9
2 changed files with 66 additions and 6 deletions
@@ -114,6 +114,11 @@ class TestHedgePlanCalc(unittest.TestCase):
        self.assertEqual(len(p["scenarios"]), 5)
        self.assertEqual(p["scenarios"][0]["id"], "rr_leg_a_full")
        self.assertEqual(p["scenarios"][1]["id"], "rr_leg_b_full")
+        # 到期实值反推:Call 盈利20 → 价值25 → 每币2500 → spot=3300+2500
+        self.assertEqual(p["scenarios"][0]["spot"], 5800.0)
+        # Put 盈利20 → spot=3100-2500
+        self.assertEqual(p["scenarios"][1]["spot"], 600.0)
+        self.assertEqual(p["scenarios"][2]["spot"], 5800.0)  # 残值情景同腿A反推

    def test_oo_legacy_single_target_still_works(self):
        a = {"opt_type": "C", "strike": 3300, "sheets": 1, "ct_mult": 0.01, "premium_paid": 5}