mirror of
https://github.com/Mihirkansara/nexus-quant-terminal.git
synced 2026-08-21 14:48:12 +00:00
44 lines
1.8 KiB
Python
44 lines
1.8 KiB
Python
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import io, csv
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from fastapi import APIRouter
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from fastapi.responses import StreamingResponse
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from ..schemas import GreeksRequest
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from ..core.greeks import portfolio_greeks
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from ..core.garman_kohlhagen import gk_price
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router = APIRouter(prefix="/export", tags=["export"])
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@router.post("/csv")
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def export_csv(req: GreeksRequest):
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options = [o.model_dump() for o in req.options]
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result = portfolio_greeks(options, req.S, req.sigma, req.T, req.r_d, req.r_f)
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out = io.StringIO()
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w = csv.writer(out)
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w.writerow(["QUANTRISK FX — GARMAN-KOHLHAGEN GREEKS REPORT"])
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w.writerow(["Spot", req.S, "Sigma", req.sigma, "T", req.T,
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"r_d", req.r_d, "r_f", req.r_f])
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w.writerow([])
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w.writerow(["PORTFOLIO TOTALS"])
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w.writerow(["Greek", "Value", "Description"])
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desc = {"delta":"Price sensitivity","gamma":"Delta curvature","vega":"Vol sensitivity",
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"theta":"Time decay/yr","rho_d":"Dom rate sensitivity","phi":"For rate sensitivity"}
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for k, v in result["total"].items():
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w.writerow([k.upper(), v, desc.get(k,"")])
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w.writerow([])
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w.writerow(["LEG BREAKDOWN"])
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w.writerow(["Leg","Delta","Gamma","Vega","Theta"])
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for leg in result["legs"]:
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w.writerow([leg["label"],leg["delta"],leg["gamma"],leg["vega"],leg["theta"]])
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w.writerow([])
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w.writerow(["OPTION PRICES (Garman-Kohlhagen)"])
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w.writerow(["Leg","GK Price"])
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for opt in options:
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price = gk_price(req.S, opt["K"], opt.get("T",req.T), req.r_d, req.r_f,
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req.sigma, opt["type"])
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w.writerow([f"{opt['type'].upper()} K={opt['K']} qty={opt['qty']}", round(price,5)])
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out.seek(0)
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return StreamingResponse(
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io.BytesIO(out.getvalue().encode()),
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media_type="text/csv",
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headers={"Content-Disposition": "attachment; filename=gk_greeks_report.csv"},
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)
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