mirror of
https://github.com/Mihirkansara/nexus-quant-terminal.git
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Claude
fb2b15c596
Importer/exporter TARFs with leverage and full/exact/no-payout targets, priced by Monte Carlo on the forward under Black, Dupire local vol from an arbitrage-free SSVI surface fitted to ATM/RR/BF, and Merton jumps: zero-cost strike, model-risk spread, KO timing, expected cash flows, client P&L tail and Greeks. Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_01FpiqUMAyo4RL5DdQHMWbwE
84 lines
4.3 KiB
Python
84 lines
4.3 KiB
Python
"""TARF desk: SSVI fit, Dupire consistency, payoff mechanics, limits, model spread, endpoint."""
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import numpy as np
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import pytest
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from fastapi.testclient import TestClient
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from app.core.exotics import gk_vanilla
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from app.core.tarf import (fit_ssvi, simulate, ssvi_implied_vol, tarf_cashflows, tarf_report)
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from app.main import app
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client = TestClient(app)
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@pytest.mark.parametrize("atm,rr,bf,T", [(0.18, 0.02, 0.004, 0.5), (0.55, -0.06, 0.02, 0.25), (0.08, -0.005, 0.002, 0.5)])
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def test_ssvi_reproduces_quotes_and_is_arbitrage_free(atm, rr, bf, T):
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f = fit_ssvi(atm, rr, bf, T)
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assert f["fit_error"] < 1e-6 and f["arb_free"]
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assert ssvi_implied_vol(0.0, T, atm, f["rho"], f["eta"]) == pytest.approx(atm, abs=1e-12)
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assert np.sign(f["rho"]) == np.sign(rr)
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def test_local_vol_reprices_vanillas():
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S, rd, rf, T, atm = 62000.0, 0.04, 0.0, 0.5, 0.55
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f = fit_ssvi(atm, -0.06, 0.02, T)
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p = simulate(S, rd, rf, [T], "lv", atm, 120000, np.random.default_rng(2), ssvi=f, substeps=100)[:, 0]
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F = S * np.exp(rd * T)
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assert p.mean() == pytest.approx(F, rel=1e-9) # forward matched exactly
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for k in (-0.3, 0.0, 0.3):
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K = F * np.exp(k)
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call = k >= 0
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mc = np.exp(-rd * T) * (np.maximum(p - K, 0) if call else np.maximum(K - p, 0)).mean()
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bs = gk_vanilla(S, K, T, rd, rf, ssvi_implied_vol(k, T, atm, f["rho"], f["eta"]), call)
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assert mc == pytest.approx(bs, rel=0.04)
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def test_payoff_mechanics():
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paths = np.array([[110, 95, 120, 130.0], # gains 10, -2·5, 20 → acc 30 ≥ 25 at fixing 3
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[90, 90, 90, 90.0]]) # never gains: loses 2·10 each fixing
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for typ, ko_pay in (("full", 20), ("exact", 15), ("none", 0)):
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cf, ko = tarf_cashflows(paths, 100, 25, side="buy", leverage=2, target_type=typ)
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assert list(ko) == [2, 4]
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assert cf[0].tolist() == [10, -10, ko_pay, 0]
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assert cf[1].tolist() == [-20, -20, -20, -20]
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cf, ko = tarf_cashflows(paths, 100, 25, side="sell", leverage=2) # seller gains when spot < K
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assert list(ko) == [4, 2]
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assert cf[0].tolist() == [-20, 5, -40, -60] and cf[1].tolist() == [10, 10, 10, 0]
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def test_forward_strip_limit_and_model_spread():
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rep = tarf_report(4400, 0.0525, 0.0, 0.18, side="buy", K=4400, target_pct=1e4 - 1, leverage=1.0,
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rr25=0.02, bf25=0.004, n_paths=20000)
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for m, v in rep["models"].items(): # no target, no gearing → forward strip
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assert v["pv"] == pytest.approx(rep["forward_strip_pv"], abs=4 * v["pv_se"] + 1), m
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assert v["prob_ko"] == 0
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std = tarf_report(4400, 0.0525, 0.0, 0.18, side="buy", rr25=0.02, bf25=0.004, n_paths=10000)
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assert abs(std["models"]["lv"]["pv"]) < 1e-4 * 4400 # zero-cost under the reference model (PV is piecewise in K)
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assert std["zero_cost_strike"] < std["forwards"][0] # gearing buys the client a better strike
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assert 0 < std["models"]["bs"]["prob_ko"] <= 1
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assert std["greeks"]["delta"] > 0 # importer is long the underlying
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assert std["models"]["bs"]["client_es_5"] > std["max_gain"] # losses dwarf the capped gain
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def test_no_target_matches_analytic_leveraged_forward_strip():
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"""With no target, the zero-cost strike solves Σ C(K) = L·Σ P(K) over the fixings."""
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from scipy.optimize import brentq
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S, s, rd = 4400.0, 0.22, 0.0525
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r = tarf_report(S, rd, 0.0, s, side="buy", target_pct=9999, target_type="exact", rr25=0.01, bf25=0.004,
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n_paths=20000, models=("bs",))
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fix = np.arange(1, 13) / 12
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Ka = brentq(lambda K: sum(gk_vanilla(S, K, t, rd, 0, s, True) - 2 * gk_vanilla(S, K, t, rd, 0, s, False)
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for t in fix), 3000, 5000)
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assert r["zero_cost_strike"] == pytest.approx(Ka, rel=2e-3)
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def test_endpoint():
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body = {"pair": "BTCUSD", "S": 62000, "sigma": 0.55, "r_d": 0.04, "r_f": 0.0, "side": "sell",
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"n_fix": 8, "freq_per_year": 52, "n_paths": 4000}
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r = client.post("/api/tarf/price", json=body)
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assert r.status_code == 200, r.text
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js = r.json()
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assert js["smile"]["source"] == "assumed" and set(js["models"]) == {"bs", "lv", "jump"}
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assert len(js["detail"]["ko_by_fixing"]) == 8
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assert client.post("/api/tarf/price", json={**body, "pair": "NOPE"}).status_code == 404
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