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caty21
396 lines
18 KiB
TypeScript
396 lines
18 KiB
TypeScript
"use client";
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// YieldsTab — Rendements souverains 10Y : classement, opportunités carry, divergences
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import { useMemo } from "react";
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import { TrendingUp, TrendingDown, Minus, ArrowRight } from "lucide-react";
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// ── Types ─────────────────────────────────────────────────────────────────────
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interface YieldsData {
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yields: Record<string, number | null>;
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spreads: Record<string, number | null>;
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dayDeltas?: Record<string, number | null>;
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}
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interface Props {
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yieldsData: YieldsData | null;
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fxDayPct?: Record<string, number | null> | null;
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}
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// ── Helpers ───────────────────────────────────────────────────────────────────
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const CCY_FLAGS: Record<string, string> = {
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USD: "🇺🇸", EUR: "🇪🇺", GBP: "🇬🇧", JPY: "🇯🇵",
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AUD: "🇦🇺", CAD: "🇨🇦", CHF: "🇨🇭", NZD: "🇳🇿",
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};
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const CCY_COUNTRY: Record<string, string> = {
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USD: "États-Unis", EUR: "Zone Euro", GBP: "Royaume-Uni",
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JPY: "Japon", AUD: "Australie", CAD: "Canada",
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CHF: "Suisse", NZD: "Nvl-Zélande",
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};
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function fmt(n: number | null, dec = 3): string {
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return n !== null ? n.toFixed(dec) + "%" : "—";
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}
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function deltaColor(d: number | null) {
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if (d === null || d === 0) return "text-gray-400";
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return d > 0 ? "text-green-600" : "text-red-600";
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}
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function deltaIcon(d: number | null) {
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if (d === null || Math.abs(d) < 0.001) return <Minus size={10} />;
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return d > 0 ? <TrendingUp size={10} /> : <TrendingDown size={10} />;
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}
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// Niveau d'écart en bps → label d'opportunité
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function carryLabel(bps: number): { label: string; color: string } {
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if (bps >= 400) return { label: "Très fort", color: "text-emerald-700 bg-emerald-50 border-emerald-200" };
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if (bps >= 200) return { label: "Fort", color: "text-green-700 bg-green-50 border-green-200" };
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if (bps >= 100) return { label: "Modéré", color: "text-yellow-700 bg-yellow-50 border-yellow-200" };
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return { label: "Faible", color: "text-gray-600 bg-gray-50 border-gray-200" };
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}
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// ── Component ─────────────────────────────────────────────────────────────────
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export default function YieldsTab({ yieldsData, fxDayPct }: Props) {
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if (!yieldsData) {
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return (
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<div className="flex items-center justify-center h-48 text-gray-400 text-sm">
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Chargement des rendements…
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</div>
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);
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}
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const { yields, dayDeltas = {} } = yieldsData;
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// Filtre les devises avec données, tri décroissant
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const sorted = useMemo(() => {
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return (Object.entries(yields) as [string, number | null][])
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.filter(([, v]) => v !== null)
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.sort(([, a], [, b]) => (b as number) - (a as number)) as [string, number][];
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}, [yields]);
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if (sorted.length === 0) {
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return (
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<div className="flex items-center justify-center h-48 text-gray-400 text-sm">
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Données indisponibles
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</div>
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);
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}
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const maxYield = sorted[0][1];
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const minYield = sorted[sorted.length - 1][1];
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// Top carry pairs (toutes combinaisons triées par écart décroissant)
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const carryPairs = useMemo(() => {
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const pairs: { long: string; short: string; bps: number }[] = [];
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for (let i = 0; i < sorted.length; i++) {
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for (let j = i + 1; j < sorted.length; j++) {
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const [cLong, yLong] = sorted[i];
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const [cShort, yShort] = sorted[j];
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pairs.push({ long: cLong, short: cShort, bps: Math.round((yLong - yShort) * 100) });
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}
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}
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return pairs.sort((a, b) => b.bps - a.bps);
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}, [sorted]);
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const topCarry = carryPairs.slice(0, 6);
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const tightPairs = [...carryPairs].sort((a, b) => a.bps - b.bps).slice(0, 4);
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// Divergences yield/FX : yield et devise vont dans des directions opposées
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// Yield ↑ + devise ↓ → obligations vendues MAIS devise sous pression = signal de stress
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// Yield ↓ + devise ↑ → obligations achetées MAIS devise forte = safe-haven ou anomalie
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// Seuils : yield ≥ 2bp (0.02%) ET FX ≥ 0.1% pour filtrer le bruit
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const divergences = useMemo(() => {
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const YIELD_THRESHOLD = 0.02; // 2 basis points minimum
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const FX_THRESHOLD = 0.1; // 0.1% FX move minimum
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const result: { ccy: string; yieldDelta: number; fxPct: number; type: "stress" | "safehaven" }[] = [];
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for (const [ccy] of sorted) {
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const yd = dayDeltas[ccy] ?? null;
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const fx = fxDayPct?.[ccy] ?? null;
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if (yd === null || fx === null) continue;
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if (Math.abs(yd) < YIELD_THRESHOLD || Math.abs(fx) < FX_THRESHOLD) continue;
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const yieldUp = yd > 0;
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const fxUp = fx > 0;
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if (yieldUp && !fxUp) {
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// Yield monte, devise baisse → signal de stress / pression vendeuse sur dettes
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result.push({ ccy, yieldDelta: yd, fxPct: fx, type: "stress" });
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} else if (!yieldUp && fxUp) {
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// Yield baisse, devise monte → safe-haven ou anomalie (ex: JPY, CHF)
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result.push({ ccy, yieldDelta: yd, fxPct: fx, type: "safehaven" });
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}
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}
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return result.sort((a, b) => Math.abs(b.yieldDelta) + Math.abs(b.fxPct) - (Math.abs(a.yieldDelta) + Math.abs(a.fxPct)));
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}, [sorted, dayDeltas, fxDayPct]);
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// Movers du jour (triés par amplitude de variation)
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const movers = useMemo(() => {
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return sorted
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.map(([ccy]) => ({ ccy, d: dayDeltas[ccy] ?? 0 }))
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.filter(x => Math.abs(x.d) >= 0.001)
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.sort((a, b) => Math.abs(b.d) - Math.abs(a.d));
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}, [sorted, dayDeltas]);
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return (
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<div className="space-y-5">
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{/* ── Header ──────────────────────────────────────────────────────────── */}
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<div className="flex items-center justify-between">
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<div>
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<h2 className="text-sm font-semibold text-gray-800">
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Rendements Souverains 10Y
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</h2>
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<p className="text-[10px] text-gray-400 mt-0.5">
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Source : Trading Economics (données du jour) · EUR = Bund allemand
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</p>
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</div>
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<div className="text-right text-[10px] text-gray-400">
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<span className="font-semibold text-green-600">{sorted[0][0]} {fmt(maxYield)} ↑ max</span>
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<span className="mx-2 text-gray-300">|</span>
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<span className="font-semibold text-blue-600">{sorted.at(-1)![0]} {fmt(minYield)} ↓ min</span>
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</div>
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</div>
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{/* ── Classement barres horizontales ──────────────────────────────────── */}
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<div className="bg-white border border-gray-100 rounded-xl p-4">
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<p className="text-[10px] font-semibold text-gray-400 uppercase tracking-widest mb-3">
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Classement Yield 10Y
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</p>
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<div className="space-y-2">
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{sorted.map(([ccy, yld], i) => {
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const pct = maxYield > 0 ? (yld / maxYield) * 100 : 0;
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const delta = dayDeltas[ccy] ?? null;
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const isMax = i === 0;
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const isMin = i === sorted.length - 1;
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const barColor = isMax
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? "bg-emerald-500"
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: isMin
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? "bg-blue-400"
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: yld > 3.5
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? "bg-green-400"
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: yld > 2
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? "bg-yellow-400"
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: "bg-blue-300";
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return (
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<div key={ccy} className="flex items-center gap-3">
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{/* Devise */}
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<div className="w-24 flex items-center gap-1.5 flex-shrink-0">
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<span className="text-sm">{CCY_FLAGS[ccy]}</span>
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<span className="text-xs font-semibold text-gray-700 w-7">{ccy}</span>
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{isMax && (
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<span className="text-[9px] font-medium bg-emerald-100 text-emerald-700 rounded-full px-1">MAX</span>
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)}
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{isMin && (
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<span className="text-[9px] font-medium bg-blue-100 text-blue-700 rounded-full px-1">MIN</span>
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)}
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</div>
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{/* Barre */}
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<div className="flex-1 bg-gray-100 rounded-full h-2.5 overflow-hidden">
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<div
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className={`h-full rounded-full transition-all duration-500 ${barColor}`}
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style={{ width: `${pct}%` }}
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/>
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</div>
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{/* Yield */}
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<div className="w-16 text-right text-xs font-mono font-semibold text-gray-800">
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{fmt(yld)}
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</div>
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{/* Delta jour */}
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<div className={`w-16 text-right text-[10px] font-mono flex items-center justify-end gap-0.5 ${deltaColor(delta)}`}>
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{deltaIcon(delta)}
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{delta !== null ? (delta >= 0 ? "+" : "") + delta.toFixed(3) : "—"}
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</div>
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</div>
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);
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})}
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</div>
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</div>
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{/* ── Deux colonnes : Top Carry + Spreads Étroits ─────────────────────── */}
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<div className="grid grid-cols-1 md:grid-cols-2 gap-4">
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{/* Top carry */}
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<div className="bg-white border border-gray-100 rounded-xl p-4">
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<p className="text-[10px] font-semibold text-gray-400 uppercase tracking-widest mb-3">
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🚀 Top Carry — Écarts les plus larges
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</p>
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<div className="space-y-2">
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{topCarry.map(({ long, short, bps }) => {
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const { label, color } = carryLabel(bps);
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return (
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<div key={`${long}${short}`} className="flex items-center justify-between gap-2">
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<div className="flex items-center gap-1.5">
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<span className="text-xs">{CCY_FLAGS[long]}</span>
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<span className="text-xs font-semibold text-gray-700">{long}</span>
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<ArrowRight size={10} className="text-gray-300" />
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<span className="text-xs">{CCY_FLAGS[short]}</span>
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<span className="text-xs font-semibold text-gray-700">{short}</span>
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</div>
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<div className="flex items-center gap-2">
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<span className="text-xs font-mono font-semibold text-gray-800">
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+{bps} bps
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</span>
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<span className={`text-[9px] font-medium border rounded-full px-1.5 py-0.5 ${color}`}>
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{label}
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</span>
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</div>
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</div>
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);
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})}
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</div>
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<p className="text-[9px] text-gray-400 mt-3 border-t border-gray-50 pt-2">
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Long = devise avec yield le plus élevé · Court = yield le plus faible.
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Carry = emprunter la devise bon marché pour acheter la devise chère.
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</p>
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</div>
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{/* Spreads étroits */}
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<div className="bg-white border border-gray-100 rounded-xl p-4">
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<p className="text-[10px] font-semibold text-gray-400 uppercase tracking-widest mb-3">
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🔄 Convergence — Spreads les plus étroits
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</p>
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<div className="space-y-2">
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{tightPairs.map(({ long, short, bps }) => (
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<div key={`${long}${short}`} className="flex items-center justify-between gap-2">
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<div className="flex items-center gap-1.5">
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<span className="text-xs">{CCY_FLAGS[long]}</span>
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<span className="text-xs font-semibold text-gray-700">{long}</span>
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<span className="text-[9px] text-gray-400">/</span>
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<span className="text-xs">{CCY_FLAGS[short]}</span>
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<span className="text-xs font-semibold text-gray-700">{short}</span>
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</div>
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<div className="flex items-center gap-2">
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<span className="text-xs font-mono font-semibold text-gray-600">
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{bps} bps
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</span>
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<span className="text-[9px] font-medium border rounded-full px-1.5 py-0.5 bg-purple-50 text-purple-700 border-purple-200">
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Range
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</span>
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</div>
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</div>
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))}
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</div>
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<p className="text-[9px] text-gray-400 mt-3 border-t border-gray-50 pt-2">
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Spreads étroits = peu d'avantage de taux entre les deux devises.
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La paire est davantage guidée par d'autres facteurs (sentiment, données macro).
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</p>
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</div>
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</div>
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{/* ── Divergences + Movers du jour ────────────────────────────────────── */}
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<div className="grid grid-cols-1 md:grid-cols-2 gap-4">
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{/* Divergences yield/FX */}
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<div className="bg-white border border-gray-100 rounded-xl p-4">
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<p className="text-[10px] font-semibold text-gray-400 uppercase tracking-widest mb-1">
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⚡ Divergences Yield / FX
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</p>
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<p className="text-[9px] text-gray-400 mb-3">
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Yield et devise vont dans des sens opposés — signal d'anomalie ou de stress
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</p>
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{!fxDayPct ? (
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<p className="text-xs text-gray-400 italic">Données FX non disponibles.</p>
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) : divergences.length === 0 ? (
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<p className="text-xs text-gray-400 italic">
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Aucune divergence — yield et devise évoluent de façon cohérente ce jour.
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</p>
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) : (
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<>
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<div className="space-y-2.5">
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{divergences.map(({ ccy, yieldDelta, fxPct, type }) => (
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<div key={ccy} className="flex items-center justify-between gap-2">
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<div className="flex items-center gap-1.5 shrink-0">
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<span className="text-xs">{CCY_FLAGS[ccy]}</span>
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<span className="text-xs font-semibold text-gray-700 w-7">{ccy}</span>
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</div>
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<div className="flex items-center gap-2 flex-1 justify-end flex-wrap">
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{/* Yield delta */}
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<span className={`text-[10px] font-mono font-semibold flex items-center gap-0.5 ${deltaColor(yieldDelta)}`}>
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{deltaIcon(yieldDelta)}
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<span className="text-[9px] text-gray-400 mr-0.5">yield</span>
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{yieldDelta >= 0 ? "+" : ""}{yieldDelta.toFixed(3)}%
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</span>
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<span className="text-gray-300 text-[10px]">vs</span>
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{/* FX delta */}
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<span className={`text-[10px] font-mono font-semibold flex items-center gap-0.5 ${deltaColor(fxPct)}`}>
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{deltaIcon(fxPct)}
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<span className="text-[9px] text-gray-400 mr-0.5">FX</span>
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{fxPct >= 0 ? "+" : ""}{fxPct.toFixed(2)}%
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</span>
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{/* Badge type */}
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<span className={`text-[9px] border rounded-full px-1.5 py-0.5 shrink-0 ${
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type === "stress"
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? "bg-red-50 text-red-700 border-red-200"
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: "bg-blue-50 text-blue-700 border-blue-200"
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}`}>
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{type === "stress" ? "⚠ stress dette" : "🛡 safe-haven"}
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</span>
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</div>
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</div>
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))}
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</div>
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<p className="text-[9px] text-gray-400 mt-3 border-t border-gray-50 pt-2">
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Stress dette : yield ↑ + devise ↓ (obligations vendues, devise sous pression).<br />
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Safe-haven : yield ↓ + devise ↑ (capitaux attirés malgré taux bas).
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</p>
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</>
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)}
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</div>
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{/* Movers du jour */}
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<div className="bg-white border border-gray-100 rounded-xl p-4">
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<p className="text-[10px] font-semibold text-gray-400 uppercase tracking-widest mb-3">
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📊 Movers du jour (variation yield)
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</p>
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{movers.length === 0 ? (
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<p className="text-xs text-gray-400 italic">Pas de mouvement significatif ce jour.</p>
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) : (
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<div className="space-y-2">
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{movers.map(({ ccy, d }, i) => {
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const maxDelta = Math.max(...movers.map(m => Math.abs(m.d)));
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const barW = maxDelta > 0 ? (Math.abs(d) / maxDelta) * 100 : 0;
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return (
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<div key={ccy} className="flex items-center gap-3">
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<div className="w-20 flex items-center gap-1.5 flex-shrink-0">
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<span className="text-xs">{CCY_FLAGS[ccy]}</span>
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<span className="text-xs font-semibold text-gray-700">{ccy}</span>
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{i === 0 && (
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<span className="text-[9px] bg-orange-100 text-orange-700 rounded-full px-1">1er</span>
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)}
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</div>
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<div className="flex-1 bg-gray-100 rounded-full h-1.5 overflow-hidden">
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<div
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className={`h-full rounded-full ${d > 0 ? "bg-green-400" : "bg-red-400"}`}
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style={{ width: `${barW}%` }}
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/>
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</div>
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<div className={`w-16 text-right text-[10px] font-mono font-semibold ${deltaColor(d)}`}>
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{d >= 0 ? "+" : ""}{d.toFixed(3)}%
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</div>
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</div>
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);
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})}
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</div>
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)}
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<p className="text-[9px] text-gray-400 mt-3 border-t border-gray-50 pt-2">
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Variation du rendement 10Y par rapport à la clôture de la veille.
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Un yield qui monte = signal hawkish / pression vendeuse sur l'obligataire.
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</p>
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</div>
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</div>
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</div>
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);
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}
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