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
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>
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@@ -102,20 +102,18 @@ class TestHedgePlanCalc(unittest.TestCase):
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a = {"opt_type": "C", "strike": 3300, "sheets": 1, "ct_mult": 0.01, "premium_paid": 5}
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b = {"opt_type": "P", "strike": 3100, "sheets": 1, "ct_mult": 0.01, "premium_paid": 5}
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p = build_options_options_preview(
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target_price_up=3500,
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target_price_down=3000,
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profit_rr=2,
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index_px=3200,
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leg_a=a,
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leg_b=b,
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)
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self.assertEqual(p["summary"]["premium_paid"], 10)
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self.assertTrue(p["summary"]["expiry_is_loss"])
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self.assertEqual(p["summary"]["rr_risk_premium"], 10)
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self.assertIsNotNone(p["summary"]["rr_at_up"])
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self.assertAlmostEqual(p["summary"]["rr_at_up"], p["summary"]["at_target_up_total"] / 10, places=4)
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self.assertEqual(len(p["scenarios"]), 4)
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self.assertEqual(p["scenarios"][0]["id"], "target_up")
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self.assertEqual(p["scenarios"][1]["id"], "target_down")
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self.assertEqual(p["summary"]["profit_rr"], 2)
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self.assertEqual(p["summary"]["at_rr_a_full_total"], 5) # 2*5 - 5
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self.assertEqual(len(p["scenarios"]), 5)
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self.assertEqual(p["scenarios"][0]["id"], "rr_leg_a_full")
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self.assertEqual(p["scenarios"][1]["id"], "rr_leg_b_full")
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def test_oo_legacy_single_target_still_works(self):
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a = {"opt_type": "C", "strike": 3300, "sheets": 1, "ct_mult": 0.01, "premium_paid": 5}
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