update calculator
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MuslemRahimi
parent
441902dca7
commit
1a68d83792
@ -125,25 +125,55 @@
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selectedAction = "Sell";
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break;
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default:
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console.warn("Unknown strategy:", strategy);
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selectedOptionType = null;
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selectedAction = null;
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break;
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}
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if (["Bull Call Spread"]?.includes(selectedStrategy)) {
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if (["Bull Call Spread"].includes(selectedStrategy)) {
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// Find the lower strike first (for the Buy leg)
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const lowerStrike = selectedStrike;
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// Find a higher strike in the available strikeList for the Sell leg
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// First, calculate the target strike (40% higher)
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const targetHigherStrike = lowerStrike * 1.4;
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// Find the closest available strike price that is higher than the lower strike
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let higherStrike;
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if (strikeList && strikeList.length > 0) {
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// Filter strikes that are higher than the lower strike
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const higherStrikes = strikeList?.filter(
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(strike) => strike > lowerStrike,
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);
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if (higherStrikes.length > 0) {
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// Find the strike closest to our target from the available higher strikes
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higherStrike = higherStrikes?.reduce((closest, strike) => {
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return Math.abs(strike - targetHigherStrike) <
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Math.abs(closest - targetHigherStrike)
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? strike
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: closest;
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}, higherStrikes[0]);
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} else {
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// If no higher strikes available, use the highest available strike
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higherStrike = Math.max(...strikeList);
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}
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} else {
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// Fallback if strikeList is empty
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higherStrike = lowerStrike * 1.4;
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}
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userStrategy = [
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{
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strike: selectedStrike,
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strike: lowerStrike,
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optionType: "Call",
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date: selectedDate,
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optionPrice: selectedOptionPrice,
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optionPrice: 0, // This will be updated when loadData() is called
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quantity: 1,
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action: "Buy",
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},
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{
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strike: selectedStrike,
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strike: higherStrike,
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optionType: "Call",
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optionPrice: 0, // This will be updated when loadData() is called
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date: selectedDate,
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optionPrice: selectedOptionPrice,
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quantity: 1,
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action: "Sell",
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},
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@ -160,7 +190,8 @@
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},
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];
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}
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userStrategy = [...userStrategy];
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await loadData();
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shouldUpdate = true;
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}
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@ -248,6 +279,7 @@
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// Calculate break-even and metrics for single-leg strategies
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calculateMetrics();
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calculateBreakevenPrice(dataPoints);
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console.log(userStrategy);
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// Build the chart options
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const options = {
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credits: { enabled: false },
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@ -385,69 +417,105 @@
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function calculateMetrics() {
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const multiplier = 100;
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let totalPremium = 0;
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let overallMaxProfit = 0;
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let overallMaxLoss = 0;
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let unlimitedProfit = false;
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let unlimitedLoss = false;
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// Determine if the strategy is a vertical spread for calls:
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const buyCalls = userStrategy.filter(
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(leg) => leg.action === "Buy" && leg.optionType === "Call",
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);
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const sellCalls = userStrategy.filter(
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(leg) => leg.action === "Sell" && leg.optionType === "Call",
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);
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// Loop through each leg in the strategy.
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for (let i = 0; i < userStrategy.length; i++) {
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const leg = userStrategy[i];
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const quantity = leg?.quantity || 1; // Default to 1 if quantity is missing.
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// If we have both buy and sell call legs, assume a vertical spread.
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if (buyCalls.length > 0 && sellCalls.length > 0) {
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// For simplicity, assume one pairing per vertical spread.
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// Find the highest strike among the sell calls (short leg) and the lowest strike among the buy calls (long leg).
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const lowerBuyCall = buyCalls.reduce((prev, curr) =>
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prev.strike < curr.strike ? prev : curr,
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);
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const higherSellCall = sellCalls.reduce((prev, curr) =>
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prev.strike > curr.strike ? prev : curr,
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);
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// Multiply the premium by the contract multiplier and quantity.
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totalPremium += leg.optionPrice * multiplier * quantity;
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const scenarioKey = `${leg?.action} ${leg?.optionType}`;
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let legProfit = 0;
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let legLoss = 0;
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// Calculate net premium (net debit)
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// Note: Adjust if quantities differ.
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const netDebit =
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lowerBuyCall.optionPrice * multiplier * (lowerBuyCall.quantity || 1) -
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higherSellCall.optionPrice *
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multiplier *
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(higherSellCall.quantity || 1);
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// Determine metrics for each leg based on its scenario.
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if (scenarioKey === "Buy Call") {
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// Long call: unlimited profit, limited loss (the premium paid).
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legProfit = Infinity;
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legLoss = leg.optionPrice * multiplier * quantity;
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unlimitedProfit = true;
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} else if (scenarioKey === "Sell Call") {
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// Short call: limited profit (premium received), unlimited loss.
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legProfit = leg.optionPrice * multiplier * quantity;
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legLoss = -Infinity;
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unlimitedLoss = true;
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} else if (scenarioKey === "Buy Put") {
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// Long put: profit is (strike * multiplier minus premium) and loss is the premium paid.
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legProfit =
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(leg.strike * multiplier - leg.optionPrice * multiplier) * quantity;
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legLoss = leg.optionPrice * multiplier * quantity;
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} else if (scenarioKey === "Sell Put") {
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// Short put: profit is the premium received;
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// Maximum loss is the difference between strike * multiplier and the premium, scaled by quantity.
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legProfit = leg.optionPrice * multiplier * quantity;
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legLoss =
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(leg.strike * multiplier - leg.optionPrice * multiplier) * quantity;
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} else {
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console.error("Metrics not defined for scenario:", scenarioKey);
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legProfit = 0;
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legLoss = 0;
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// Maximum profit is the difference in strikes times the multiplier minus the net debit.
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const strikeDiff =
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(higherSellCall.strike - lowerBuyCall.strike) * multiplier;
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const maxProfit = strikeDiff - netDebit;
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const maxLoss = netDebit;
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metrics = {
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maxProfit: `$${formatCurrency(maxProfit)}`,
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maxLoss: `$${formatCurrency(maxLoss)}`,
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};
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} else {
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// Otherwise, use the individual leg logic.
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let overallMaxProfit = 0;
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let overallMaxLoss = 0;
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let unlimitedProfit = false;
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let unlimitedLoss = false;
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let totalPremium = 0;
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// Loop through each leg in the strategy.
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for (let i = 0; i < userStrategy.length; i++) {
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const leg = userStrategy[i];
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const quantity = leg?.quantity || 1;
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totalPremium += leg.optionPrice * multiplier * quantity;
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const scenarioKey = `${leg?.action} ${leg?.optionType}`;
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let legProfit = 0;
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let legLoss = 0;
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if (scenarioKey === "Buy Call") {
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// Long call: unlimited profit, limited loss (the premium paid).
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legProfit = Infinity;
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legLoss = leg.optionPrice * multiplier * quantity;
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unlimitedProfit = true;
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} else if (scenarioKey === "Sell Call") {
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// Short call: limited profit (premium received), unlimited loss.
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legProfit = leg.optionPrice * multiplier * quantity;
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legLoss = -Infinity;
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unlimitedLoss = true;
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} else if (scenarioKey === "Buy Put") {
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// Long put: profit is (strike * multiplier minus premium) and loss is the premium paid.
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legProfit =
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(leg.strike * multiplier - leg.optionPrice * multiplier) * quantity;
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legLoss = leg.optionPrice * multiplier * quantity;
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} else if (scenarioKey === "Sell Put") {
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// Short put: profit is the premium received;
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// Maximum loss is the difference between strike * multiplier and the premium, scaled by quantity.
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legProfit = leg.optionPrice * multiplier * quantity;
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legLoss =
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(leg.strike * multiplier - leg.optionPrice * multiplier) * quantity;
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} else {
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console.error("Metrics not defined for scenario:", scenarioKey);
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legProfit = 0;
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legLoss = 0;
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}
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if (isFinite(legProfit)) {
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overallMaxProfit += legProfit;
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}
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if (isFinite(legLoss)) {
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overallMaxLoss += legLoss;
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}
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}
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// Sum only the finite numbers.
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if (isFinite(legProfit)) {
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overallMaxProfit += legProfit;
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}
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if (isFinite(legLoss)) {
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overallMaxLoss += legLoss;
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}
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metrics = {
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maxProfit: unlimitedProfit
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? "Unlimited"
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: `$${formatCurrency(overallMaxProfit)}`,
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maxLoss: unlimitedLoss
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? "Unlimited"
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: `$${formatCurrency(overallMaxLoss)}`,
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};
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}
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// Format the aggregated metrics.
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metrics = {
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maxProfit: unlimitedProfit
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? "Unlimited"
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: `$${formatCurrency(overallMaxProfit)}`,
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maxLoss: unlimitedLoss
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? "Unlimited"
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: `$${formatCurrency(overallMaxLoss)}`,
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};
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}
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function calculateBreakevenPrice(dataPoints) {
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@ -542,13 +610,16 @@
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item.strikeList = strikeList;
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// Find closest strike to current stock price
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if (!strikeList?.includes(item?.strike) && strikeList?.length > 0) {
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selectedStrike = strikeList.reduce((closest, strike) => {
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if (
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!item.strikeList?.includes(item?.strike) &&
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item.strikeList?.length > 0
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) {
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selectedStrike = item?.strikeList?.reduce((closest, strike) => {
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return Math.abs(strike - currentStockPrice) <
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Math.abs(closest - currentStockPrice)
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? strike
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: closest;
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}, strikeList[0]);
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}, item.strikeList[0]);
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item.strike = selectedStrike;
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}
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