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期期出场改盈亏比：达目标平盈利腿，亏损腿残值20%或到期平

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将上/下破目标价替换为盈亏比(盈利金额/初始权利金，默认2)；残值平需买一流动性且权利金≤初始20%。

Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-08-11 16:44:45 +08:00
parent e26a67176c
commit c5d3d9d6c1
17 changed files with 566 additions and 198 deletions
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lib/hedge_plan/hedge_plan_calc_lib.py
+103 -5
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@@ -447,11 +447,15 @@ def build_options_options_preview(
target_price: float | None = None,
target_price_up: float | None = None,
target_price_down: float | None = None,
profit_rr: float | None = None,
index_px: float,
leg_a: dict[str, Any],
leg_b: dict[str, Any],
) -> dict[str, Any]:
"""期期情景:上破/下破目标价 / 到期现价 / 最大保费损耗."""
"""期期情景:盈亏比达标 / 到期现价 / 最大保费损耗.
新口径优先 profit_rr(盈利金额/初始权利金);若未传则兼容旧上/下破目标价.
"""
def _leg_pnl(leg: dict[str, Any], spot: float) -> float:
return option_expiry_pnl(
@@ -463,15 +467,109 @@ def build_options_options_preview(
premium_paid=float(leg.get("premium_paid") or 0),
)
prem_a = float(leg_a.get("premium_paid") or 0)
prem_b = float(leg_b.get("premium_paid") or 0)
prem = prem_a + prem_b
rr = float(profit_rr) if profit_rr is not None else None
# 新:盈亏比情景(不依赖指数上下破价)
if rr is not None and rr > 0:
# 盈利腿达 RR:盈利 = rr × 该腿权利金;亏损腿按全亏 / 残值20%回收两种
a_win = rr * prem_a
b_win = rr * prem_b
a_at_a = a_win
b_at_a_full = -prem_b
b_at_a_res = -prem_b * 0.8 # 回收 20%
b_at_b = b_win
a_at_b_full = -prem_a
a_at_b_res = -prem_a * 0.8
a_flat = _leg_pnl(leg_a, index_px)
b_flat = _leg_pnl(leg_b, index_px)
flat_total = a_flat + b_flat
return {
"plan_type": "options_options",
"premium_paid": round(prem, 6),
"profit_rr": rr,
"target_price": None,
"target_price_up": None,
"target_price_down": None,
"winner_at_up": "a",
"winner_at_down": "b",
"winner_at_target": "a",
"scenarios": [
{
"id": "rr_leg_a_full",
"label": f"腿A达盈亏比{rr:g}(亏腿全损)",
"spot": None,
"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": "盈利腿按盈亏比兑现;亏损腿权利金全亏",
},
{
"id": "rr_leg_b_full",
"label": f"腿B达盈亏比{rr:g}(亏腿全损)",
"spot": None,
"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": "盈利腿按盈亏比兑现;亏损腿权利金全亏",
},
{
"id": "rr_leg_a_residual",
"label": f"腿A达盈亏比{rr:g}(亏腿残值20%)",
"spot": None,
"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": "亏损腿买一回收约初始权利金20%",
},
{
"id": "expiry_flat",
"label": "到期·现价",
"spot": index_px,
"leg_a_pnl": round(a_flat, 4),
"leg_b_pnl": round(b_flat, 4),
"total": round(flat_total, 4),
"note": "无盈利则记总亏损结束" if flat_total <= 0 else "到期仍可能有净值",
},
{
"id": "max_premium_loss",
"label": "最大保费损耗",
"spot": None,
"leg_a_pnl": round(-prem_a, 4),
"leg_b_pnl": round(-prem_b, 4),
"total": round(-prem, 4),
"note": "双腿权利金全部损失",
},
],
"summary": {
"profit_rr": rr,
"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),
"at_target_up_total": round(a_at_a + b_at_a_full, 4),
"at_target_down_total": round(a_at_b_full + b_at_b, 4),
"at_target_total": round(a_at_a + b_at_a_full, 4),
"expiry_flat_total": round(flat_total, 4),
"premium_paid": round(prem, 6),
"expiry_is_loss": flat_total <= 0,
"rr_risk_premium": round(prem, 6),
"rr_at_up": round((a_at_a + b_at_a_full) / prem, 4) if prem > 0 else None,
"rr_at_down": round((a_at_b_full + b_at_b) / prem, 4) if prem > 0 else None,
},
}
# 兼容旧单目标:若未传上下目标则用 target_price 填两边
up = target_price_up if target_price_up is not None else target_price
down = target_price_down if target_price_down is not None else target_price
if up is None or down is None:
raise ValueError("缺少上破/下破目标价")
raise ValueError("缺少盈亏比或上破/下破目标价")
up_f = float(up)
down_f = float(down)
prem = float(leg_a.get("premium_paid") or 0) + float(leg_b.get("premium_paid") or 0)
a_up = _leg_pnl(leg_a, up_f)
b_up = _leg_pnl(leg_b, up_f)
at_up = a_up + b_up
@@ -528,8 +626,8 @@ def build_options_options_preview(
"id": "max_premium_loss",
"label": "最大保费损耗",
"spot": None,
"leg_a_pnl": round(-float(leg_a.get("premium_paid") or 0), 4),
"leg_b_pnl": round(-float(leg_b.get("premium_paid") or 0), 4),
"leg_a_pnl": round(-prem_a, 4),
"leg_b_pnl": round(-prem_b, 4),
"total": round(-prem, 4),
"note": "双腿权利金全部损失",
},