feat: strategy builder

backend/routers/strategy_builder.py

@@ -26,15 +26,25 @@ class LegIn(BaseModel):
 
 class ScenarioIn(BaseModel):
     symbol: str
-    horizon_days: int = 8
+    horizon_days: int = 8  # scenario P&L evaluation date — NOT the expiry filter, see dte_min/dte_max
     spot_shock_pct: float = 0.0
-    iv_level_shift: float = 0.0
+    iv_level_shift: float = 0.0  # parallel IV shift — applies to every strike/expiry uniformly
     skew_tilt: float = 0.0
-    term_shift: float = 0.0
+    term_slope_shift: float = 0.0  # term-structure slope, per 30 days (0 at days=0)
+    rate_shock_bps: float = 0.0
     manual_grid: Optional[List[Dict[str, Any]]] = None
     rate: float = 0.05
     n_expiries: int = 3
     contract_size: float = DEFAULT_CONTRACT_SIZE
+    # Which expiries the chain/optimizer may pick legs from — independent of horizon_days,
+    # so a short-horizon scenario (e.g. 8 days) can still be evaluated with longer-dated
+    # options (e.g. dte_min=20, dte_max=60) instead of horizon_days doing double duty.
+    dte_min: Optional[int] = None
+    dte_max: Optional[int] = None
+
+    @property
+    def shocked_rate(self) -> float:
+        return self.rate + self.rate_shock_bps / 10000.0
 
 
 class PriceRequest(BaseModel):
@@ -50,9 +60,31 @@ class ConstraintsIn(BaseModel):
     top_n: int = 20
 
 
+class GreekTargetIn(BaseModel):
+    """One Greek's desired behavior — deliberately NOT a numeric slider (see project memory,
+    Strategy Builder Greeks plan): a qualitative state the optimizer resolves against the
+    actual candidate pool, so "strongly positive" means "top of what's achievable for this
+    instrument/scenario right now" rather than a guessed absolute number."""
+    state: str = "free"  # "strong_negative"|"negative"|"neutral"|"positive"|"strong_positive"|"free"
+    tolerance: str = "normale"  # "etroite"|"normale"|"large" — etroite hard-filters sign mismatches
+    weight: float = 50.0  # 0-100, importance relative to the base objective (net_pnl/return_on_risk/...)
+
+
+class GreekProfileIn(BaseModel):
+    """Layer B of the scenario/profile/constraints split: the behavior the user wants,
+    kept separate from the scenario (Layer A, what's anticipated) and from ConstraintsIn
+    (Layer C, hard construction limits)."""
+    delta: GreekTargetIn = GreekTargetIn()
+    gamma: GreekTargetIn = GreekTargetIn()
+    theta: GreekTargetIn = GreekTargetIn()
+    vega: GreekTargetIn = GreekTargetIn()
+    rho: GreekTargetIn = GreekTargetIn()
+
+
 class OptimizeRequest(BaseModel):
     scenario: ScenarioIn
     constraints: ConstraintsIn
+    greek_profile: Optional[GreekProfileIn] = None
 
 
 class ScenarioSaveRequest(BaseModel):
@@ -62,7 +94,10 @@ class ScenarioSaveRequest(BaseModel):
     spot_shock_pct: float
     iv_level_shift: float
     skew_tilt: float
-    term_shift: float
+    term_slope_shift: float
+    rate_shock_bps: float = 0.0
+    dte_min: Optional[int] = None
+    dte_max: Optional[int] = None
     manual_grid: Optional[List[Dict[str, Any]]] = None
 
 
@@ -81,14 +116,17 @@ class StrategySaveRequest(BaseModel):
 
 
 def _build_surfaces(scenario: ScenarioIn):
-    chain_slice = get_chain_slice(scenario.symbol, scenario.horizon_days, scenario.n_expiries)
+    chain_slice = get_chain_slice(
+        scenario.symbol, scenario.horizon_days, scenario.n_expiries,
+        dte_min=scenario.dte_min, dte_max=scenario.dte_max,
+    )
     surface_now = build_surface(chain_slice)
     surface_scenario = apply_scenario(
         surface_now,
         spot_shock_pct=scenario.spot_shock_pct,
         iv_level_shift=scenario.iv_level_shift,
         skew_tilt=scenario.skew_tilt,
-        term_shift=scenario.term_shift,
+        term_slope_shift=scenario.term_slope_shift,
         manual_grid=scenario.manual_grid,
     )
     return chain_slice, surface_now, surface_scenario
@@ -99,9 +137,11 @@ def chain(
     symbol: str = Query(...),
     horizon_days: int = Query(8),
     n_expiries: int = Query(3),
+    dte_min: Optional[int] = Query(None),
+    dte_max: Optional[int] = Query(None),
 ):
     try:
-        return get_chain_slice(symbol, horizon_days, n_expiries)
+        return get_chain_slice(symbol, horizon_days, n_expiries, dte_min=dte_min, dte_max=dte_max)
     except ValueError as e:
         raise HTTPException(status_code=404, detail=str(e))
 
@@ -121,7 +161,7 @@ def price(req: PriceRequest):
     legs = [leg.model_dump() for leg in req.legs]
     result = payoff_curves(
         legs, chain_slice, surface_now, surface_scenario,
-        req.scenario.horizon_days, req.scenario.rate,
+        req.scenario.horizon_days, req.scenario.shocked_rate,
         contract_size=req.scenario.contract_size,
     )
     result["spot"] = chain_slice["spot"]
@@ -130,10 +170,24 @@ def price(req: PriceRequest):
     return result
 
 
+@router.post("/suggested-profile")
+def suggested_profile(scenario: ScenarioIn):
+    """Mode 1 of the scenario/profile/constraints split: what Greek behavior this scenario
+    already implies on its own, before the user sets any explicit target — see
+    services.scenario_profile.infer_natural_greek_profile."""
+    from services.scenario_profile import infer_natural_greek_profile
+    return infer_natural_greek_profile(scenario.spot_shock_pct, scenario.iv_level_shift, scenario.horizon_days)
+
+
 @router.post("/optimize")
 def optimize(req: OptimizeRequest):
     if req.constraints.max_legs > 4:
         raise HTTPException(status_code=400, detail="4 jambes maximum")
+    from services.scenario_profile import detect_greek_contradictions
+    warnings = detect_greek_contradictions(
+        req.greek_profile.model_dump() if req.greek_profile else None,
+        req.scenario.n_expiries, req.scenario.dte_min, req.scenario.dte_max,
+    )
     try:
         results = run_optimizer(
             symbol=req.scenario.symbol,
@@ -141,14 +195,18 @@ def optimize(req: OptimizeRequest):
             spot_shock_pct=req.scenario.spot_shock_pct,
             iv_level_shift=req.scenario.iv_level_shift,
             skew_tilt=req.scenario.skew_tilt,
-            term_shift=req.scenario.term_shift,
+            term_slope_shift=req.scenario.term_slope_shift,
             manual_grid=req.scenario.manual_grid,
             n_expiries=req.scenario.n_expiries,
             rate=req.scenario.rate,
+            rate_shock_bps=req.scenario.rate_shock_bps,
+            dte_min=req.scenario.dte_min,
+            dte_max=req.scenario.dte_max,
             constraints=req.constraints.model_dump(),
             objective=req.constraints.objective,
             top_n=req.constraints.top_n,
             contract_size=req.scenario.contract_size,
+            greek_profile=req.greek_profile.model_dump() if req.greek_profile else None,
         )
     except Exception as e:
         import traceback
@@ -161,7 +219,7 @@ def optimize(req: OptimizeRequest):
         )
         status = 404 if isinstance(e, ValueError) else 500
         raise HTTPException(status_code=status, detail=f"{e}")
-    return results
+    return {"candidates": results, "warnings": warnings}
 
 
 @router.post("/scenarios")

backend/services/database.py

@@ -94,7 +94,10 @@ def init_db():
         spot_shock_pct REAL NOT NULL,
         iv_level_shift REAL NOT NULL,
         skew_tilt REAL NOT NULL,
-        term_shift REAL NOT NULL,
+        term_slope_shift REAL NOT NULL,
+        rate_shock_bps REAL DEFAULT 0,
+        dte_min INTEGER,
+        dte_max INTEGER,
         manual_grid TEXT,
         created_at TEXT DEFAULT (datetime('now'))
     )""")
@@ -324,6 +327,11 @@ def init_db():
             profile_json TEXT,
             has_options_data INTEGER DEFAULT 0
         )""",
+        # Strategy Builder — Greeks scenario plan Phase 1 (2026-07-27)
+        "ALTER TABLE strategy_scenarios RENAME COLUMN term_shift TO term_slope_shift",
+        "ALTER TABLE strategy_scenarios ADD COLUMN rate_shock_bps REAL DEFAULT 0",
+        "ALTER TABLE strategy_scenarios ADD COLUMN dte_min INTEGER",
+        "ALTER TABLE strategy_scenarios ADD COLUMN dte_max INTEGER",
     ]:
         try:
             c.execute(_sql)
@@ -6351,8 +6359,9 @@ def save_scenario(scenario: Dict[str, Any]) -> str:
     scenario_id = scenario.get("id") or f"SCN-{uuid.uuid4().hex[:8].upper()}"
     conn = get_conn()
     conn.execute("""INSERT INTO strategy_scenarios (
-        id, symbol, label, horizon_days, spot_shock_pct, iv_level_shift, skew_tilt, term_shift, manual_grid
+        id, symbol, label, horizon_days, spot_shock_pct, iv_level_shift, skew_tilt, term_slope_shift,
-    ) VALUES (?,?,?,?,?,?,?,?,?)""", (
+        rate_shock_bps, dte_min, dte_max, manual_grid
+    ) VALUES (?,?,?,?,?,?,?,?,?,?,?,?)""", (
         scenario_id,
         scenario["symbol"],
         scenario.get("label", ""),
@@ -6360,7 +6369,10 @@ def save_scenario(scenario: Dict[str, Any]) -> str:
         scenario["spot_shock_pct"],
         scenario["iv_level_shift"],
         scenario["skew_tilt"],
-        scenario["term_shift"],
+        scenario["term_slope_shift"],
+        scenario.get("rate_shock_bps", 0.0),
+        scenario.get("dte_min"),
+        scenario.get("dte_max"),
         json.dumps(scenario.get("manual_grid") or []),
     ))
     conn.commit()

backend/services/option_chain.py

@@ -10,13 +10,22 @@ from datetime import date, datetime
 from typing import Any, Dict, List, Optional
 
 
-def get_chain_slice(symbol: str, target_days: int = 8, n_expiries: int = 3) -> Dict[str, Any]:
+def get_chain_slice(
+    symbol: str, target_days: int = 8, n_expiries: int = 3,
+    dte_min: Optional[int] = None, dte_max: Optional[int] = None,
+) -> Dict[str, Any]:
     """
     Builds a chain slice from the latest accumulated Saxo snapshot rows for `symbol`
     (services/database.get_latest_saxo_snapshot_rows). Returns the `n_expiries`
     expirations closest to target_days, each with calls/puts rows shaped
     {strike, bid, ask, mid, last, iv, open_interest, volume} — same shape regardless
     of source, so vol_surface.py/strategy_engine.py need no changes.
+
+    `dte_min`/`dte_max`, when given, restrict the candidate expiries to that DTE window
+    before picking the `n_expiries` closest to target_days — lets a caller evaluate a
+    scenario at a short horizon (e.g. target_days=8) while still building legs from
+    longer-dated options (e.g. dte_min=20, dte_max=60), which target_days alone can't
+    express since it drives both the evaluation date and (until now) the expiry pick.
     """
     from services.database import get_latest_saxo_snapshot_rows
 
@@ -39,7 +48,18 @@ def get_chain_slice(symbol: str, target_days: int = 8, n_expiries: int = 3) -> D
     def _days_to(expiry_date: str) -> int:
         return (datetime.strptime(expiry_date[:10], "%Y-%m-%d").date() - today).days
 
-    selected = sorted(by_expiry.keys(), key=lambda e: abs(_days_to(e) - target_days))[:max(1, n_expiries)]
+    candidates = list(by_expiry.keys())
+    if dte_min is not None or dte_max is not None:
+        lo = dte_min if dte_min is not None else 0
+        hi = dte_max if dte_max is not None else 10 ** 6
+        candidates = [e for e in candidates if lo <= _days_to(e) <= hi]
+        if not candidates:
+            raise ValueError(
+                f"Aucune échéance Saxo entre {dte_min}j et {dte_max}j pour '{symbol}' "
+                f"— élargissez la fenêtre DTE ou laissez-la vide."
+            )
+
+    selected = sorted(candidates, key=lambda e: abs(_days_to(e) - target_days))[:max(1, n_expiries)]
 
     def _row_shape(r: Dict[str, Any]) -> Dict[str, Any]:
         bid = r.get("bid") or 0.0

backend/services/options_pricer.py

@@ -6,17 +6,30 @@ import math
 
 
 def black_scholes(S: float, K: float, T: float, r: float, sigma: float, option_type: str = "call") -> Dict[str, float]:
-    """Black-Scholes pricing + Greeks."""
+    """Black-Scholes pricing + Greeks (first-order delta/gamma/theta/vega/rho, plus the
+    second-order Greeks used by Strategy Builder's "advanced sensitivities" panel: vanna,
+    charm, vomma/volga, veta, speed, color, zomma — vera deliberately omitted, see project
+    memory "Strategy Builder Greeks plan"). All second-order values are scaled to match the
+    convention their related first-order Greek already uses here — e.g. vanna/vomma/zomma
+    are "per vol POINT" like vega already is (not per unit of raw decimal sigma), charm/
+    color/veta are "per DAY" like theta already is (not per year) — every formula/scaling
+    is verified against finite-difference bumps of this same function's own first-order
+    outputs (see scratchpad test_second_order_greeks.py from the Phase 3 build), not just
+    hand-derived from a textbook, since these third-derivative formulas are easy to get
+    subtly wrong."""
     S = float(S or 100.0)
     K = float(K or S)
     T = float(T or 0.001)
     sigma = float(sigma or 0.25)
     if T <= 0 or sigma <= 0:
         intrinsic = max(0, S - K) if option_type == "call" else max(0, K - S)
-        return {"price": intrinsic, "delta": 0, "gamma": 0, "theta": 0, "vega": 0, "rho": 0}
+        return {"price": intrinsic, "delta": 0, "gamma": 0, "theta": 0, "vega": 0, "rho": 0,
+                "vanna": 0, "charm": 0, "vomma": 0, "veta": 0, "speed": 0, "color": 0, "zomma": 0}
 
-    d1 = (math.log(S / K) + (r + 0.5 * sigma ** 2) * T) / (sigma * math.sqrt(T))
+    sqrtT = math.sqrt(T)
-    d2 = d1 - sigma * math.sqrt(T)
+    d1 = (math.log(S / K) + (r + 0.5 * sigma ** 2) * T) / (sigma * sqrtT)
+    d2 = d1 - sigma * sqrtT
+    phi_d1 = norm.pdf(d1)
 
     if option_type == "call":
         price = S * norm.cdf(d1) - K * math.exp(-r * T) * norm.cdf(d2)
@@ -27,9 +40,19 @@ def black_scholes(S: float, K: float, T: float, r: float, sigma: float, option_t
         delta = norm.cdf(d1) - 1
         rho = -K * T * math.exp(-r * T) * norm.cdf(-d2) / 100
 
-    gamma = norm.pdf(d1) / (S * sigma * math.sqrt(T))
+    gamma = phi_d1 / (S * sigma * sqrtT)
-    theta = (-(S * norm.pdf(d1) * sigma) / (2 * math.sqrt(T)) - r * K * math.exp(-r * T) * norm.cdf(d2 if option_type == "call" else -d2)) / 365
+    theta = (-(S * phi_d1 * sigma) / (2 * sqrtT) - r * K * math.exp(-r * T) * norm.cdf(d2 if option_type == "call" else -d2)) / 365
-    vega = S * norm.pdf(d1) * math.sqrt(T) / 100
+    vega = S * phi_d1 * sqrtT / 100
+
+    # Second-order — same for calls and puts (this pricer carries no dividend yield, so the
+    # extra q-term that would otherwise make charm/veta/color differ by option_type is zero).
+    vanna = (-phi_d1 * d2 / sigma) / 100
+    vomma = (S * phi_d1 * sqrtT * d1 * d2 / sigma) / 10_000
+    charm = (-phi_d1 * (2 * r * T - d2 * sigma * sqrtT) / (2 * T * sigma * sqrtT)) / 365
+    veta = (S * phi_d1 * sqrtT * ((r * d1) / (sigma * sqrtT) - (1 + d1 * d2) / (2 * T))) / 36_500
+    speed = -(gamma / S) * (d1 / (sigma * sqrtT) + 1)
+    color = (phi_d1 / (2 * S * T * sigma * sqrtT) * (2 * r * T + 1 + d1 * (2 * r * T - d2 * sigma * sqrtT) / (sigma * sqrtT))) / 365
+    zomma = (gamma * (d1 * d2 - 1) / sigma) / 100
 
     return {
         "price": round(price, 4),
@@ -38,6 +61,13 @@ def black_scholes(S: float, K: float, T: float, r: float, sigma: float, option_t
         "theta": round(theta, 4),
         "vega": round(vega, 4),
         "rho": round(rho, 4),
+        "vanna": round(vanna, 6),
+        "charm": round(charm, 6),
+        "vomma": round(vomma, 6),
+        "veta": round(veta, 6),
+        "speed": round(speed, 8),
+        "color": round(color, 8),
+        "zomma": round(zomma, 6),
     }
 
 

backend/services/scenario_profile.py

@@ -0,0 +1,139 @@
+"""
+Phase 4 of the Strategy Builder Greeks plan (see project memory) — Mode 1 ("scenario only")
+and the contradiction-detection layer from the user's spec, section 12.
+
+`infer_natural_greek_profile` answers "what Greek behavior does this scenario already imply,
+before the user sets any explicit target?" — a deterministic, rule-based reading of the
+spec's own lookup tables (2.1 spot / 2.2 IV), NOT a fitted or learned model. Thresholds are
+judgment calls, documented inline, meant as a starting suggestion the Phase 2 profile panel
+can be pre-filled with and the user can freely override — not an authoritative answer.
+
+`detect_greek_contradictions` answers "did the user just ask for something that's hard to
+get on a single option structure?" — static checks on the requested profile alone (no need
+to run the optimizer), returned as non-blocking warnings, never filtering the request.
+"""
+from typing import Any, Dict, List, Optional
+
+_POSITIVE_STATES = {"positive", "strong_positive"}
+_STRONG_STATES = {"strong_positive", "strong_negative"}
+
+
+def infer_natural_greek_profile(spot_shock_pct: float, iv_level_shift: float, horizon_days: int) -> Dict[str, Any]:
+    horizon_days = max(horizon_days, 1)
+    speed = abs(spot_shock_pct) / horizon_days  # %/day intensity of the anticipated move
+
+    if abs(spot_shock_pct) < 1.0:
+        spot_dir = "stable"
+    elif spot_shock_pct > 0:
+        spot_dir = "hausse"
+    else:
+        spot_dir = "baisse"
+
+    # Thresholds are a judgment call, not calibrated against real move distributions —
+    # ~0.8%/day is "a few percent in a few days" (fast), ~0.15%/day is "a percent or two
+    # over a couple weeks" (progressive), below that reads as effectively directionless drift.
+    if speed >= 0.8:
+        spot_speed = "rapide"
+    elif speed >= 0.15:
+        spot_speed = "moderee"
+    else:
+        spot_speed = "lente"
+
+    if iv_level_shift >= 0.05:
+        iv_bucket = "forte_hausse"
+    elif iv_level_shift >= 0.02:
+        iv_bucket = "hausse_moderee"
+    elif iv_level_shift <= -0.02:
+        iv_bucket = "baisse"
+    else:
+        iv_bucket = "faible"
+
+    delta = gamma = theta = "free"
+    rationale: List[str] = []
+
+    # Spot -> delta/gamma/theta, spec section 2.1's table
+    if spot_dir == "stable":
+        delta, theta = "neutral", "positive"
+        rationale.append("Spot quasi stable → Delta proche de zéro, Theta plutôt positif (collecte de temps).")
+    elif spot_dir == "hausse" and spot_speed == "rapide":
+        delta, gamma = "strong_positive", "positive"
+        rationale.append("Hausse forte et rapide → Delta et Gamma positifs, la vitesse du mouvement compte autant que le niveau.")
+    elif spot_dir == "hausse":
+        delta = "positive"
+        theta = "positive" if spot_speed == "lente" else "neutral"
+        rationale.append("Hausse modérée/progressive → Delta positif, Theta plutôt positif si le mouvement reste lent.")
+    elif spot_dir == "baisse" and spot_speed == "rapide":
+        delta, gamma = "strong_negative", "positive"
+        rationale.append("Baisse forte et rapide → Delta négatif et Gamma positif, la vitesse compte plus que le niveau.")
+    else:  # baisse, lente/modérée
+        delta = "negative"
+        theta = "positive" if spot_speed == "lente" else "neutral"
+        rationale.append("Baisse modérée ou stagnation baissière → Delta négatif faible, Theta plutôt positif.")
+
+    # IV -> vega, spec section 2.2's table — can nuance the theta read above when IV dominates
+    if iv_bucket == "forte_hausse":
+        vega = "strong_positive"
+        rationale.append("Forte hausse d'IV anticipée → Vega positif, idéalement avec de la convexité de vol (Vomma).")
+    elif iv_bucket == "hausse_moderee":
+        vega = "positive"
+        rationale.append("Hausse modérée d'IV → Vega positif, sans excès.")
+    elif iv_bucket == "baisse":
+        vega = "negative"
+        if theta == "free":
+            theta = "positive"
+        rationale.append("Baisse d'IV attendue (normalisation) → Vega négatif, Theta plutôt positif.")
+    else:
+        vega = "free"
+
+    return {
+        "delta": delta, "gamma": gamma, "theta": theta, "vega": vega, "rho": "free",
+        "rationale": rationale,
+        "reading": {"spot_direction": spot_dir, "spot_speed": spot_speed, "iv_bucket": iv_bucket},
+    }
+
+
+def detect_greek_contradictions(
+    greek_profile: Optional[Dict[str, Any]], n_expiries: int,
+    dte_min: Optional[int], dte_max: Optional[int],
+) -> List[str]:
+    if not greek_profile:
+        return []
+
+    def state_of(key: str) -> str:
+        return (greek_profile.get(key) or {}).get("state", "free")
+
+    def weight_of(key: str) -> float:
+        return (greek_profile.get(key) or {}).get("weight", 50.0)
+
+    single_expiry = (n_expiries or 1) <= 1 or (
+        dte_min is not None and dte_max is not None and dte_max - dte_min <= 5
+    )
+
+    warnings: List[str] = []
+    gamma_state, theta_state, delta_state, vega_state = (
+        state_of("gamma"), state_of("theta"), state_of("delta"), state_of("vega"),
+    )
+
+    if (gamma_state in _POSITIVE_STATES and theta_state in _POSITIVE_STATES
+            and weight_of("gamma") >= 30 and weight_of("theta") >= 30 and single_expiry):
+        warnings.append(
+            "Gamma positif et Theta positif en même temps sont difficiles à obtenir sur une seule "
+            "échéance. Solutions : élargir la fenêtre DTE (calendars/diagonales), réduire l'exigence "
+            "sur l'un des deux, ou n'exiger un Theta positif qu'autour du scénario central."
+        )
+
+    if delta_state == "neutral" and gamma_state in _STRONG_STATES and weight_of("delta") >= 30 and weight_of("gamma") >= 30:
+        warnings.append(
+            "Delta neutre et Gamma fortement positif se contredisent dans la durée : un Gamma élevé "
+            "fait bouger le Delta dès que le marché évolue — il ne restera « neutre » qu'au voisinage "
+            "immédiat du scénario central."
+        )
+
+    if vega_state == "strong_positive" and theta_state == "strong_positive" and weight_of("vega") >= 30 and weight_of("theta") >= 30:
+        warnings.append(
+            "Vega fortement positif et Theta fortement positif combinent rarement bien : la convexité "
+            "de volatilité coûte généralement du portage — vérifiez que le crédit net visé reste "
+            "cohérent avec cet objectif."
+        )
+
+    return warnings

backend/services/strategy_engine.py

@@ -97,7 +97,10 @@ def value_at(
 
 
 def greeks_at(legs: List[Dict[str, Any]], S: float, eval_days_from_now: float, surface: Any, r: float) -> Dict[str, float]:
-    net = {"delta": 0.0, "gamma": 0.0, "theta": 0.0, "vega": 0.0}
+    net = {
+        "delta": 0.0, "gamma": 0.0, "theta": 0.0, "vega": 0.0, "rho": 0.0,
+        "vanna": 0.0, "charm": 0.0, "vomma": 0.0, "veta": 0.0, "speed": 0.0, "color": 0.0, "zomma": 0.0,
+    }
     for leg in legs:
         remaining = max(leg["days_to_expiry"] - eval_days_from_now, 0.001)
         qty = leg.get("quantity", 1)
@@ -106,7 +109,34 @@ def greeks_at(legs: List[Dict[str, Any]], S: float, eval_days_from_now: float, s
         g = black_scholes(S, leg["strike"], remaining / 365, r, sigma, leg["option_type"])
         for k in net:
             net[k] += g[k] * qty * sign
-    return {k: round(v, 4) for k, v in net.items()}
+    return {k: round(v, 6) for k, v in net.items()}
+
+
+def vanna_simulation(
+    legs: List[Dict[str, Any]], S: float, eval_days_from_now: float, surface: Any, r: float,
+    spot_shock_pct: float = -5.0, iv_shock_pts: float = 8.0,
+) -> Dict[str, float]:
+    """A concrete joint spot+IV shock reprice — "if spot drops 5% and IV jumps 8pts, what
+    actually happens to my net delta" — rather than a bare "vanna is positive/negative"
+    label. Uses a real Black-Scholes reprice (not the linear vanna approximation) so it's
+    accurate for shocks this large, matching the same "show a simulation, not a sign"
+    principle the payoff diagram already uses elsewhere in Strategy Builder."""
+    delta_before = greeks_at(legs, S, eval_days_from_now, surface, r)["delta"]
+
+    class _ShockedSurface:
+        def iv_at(self, strike: float, days: float) -> float:
+            return max(0.01, surface.iv_at(strike, days) + iv_shock_pts / 100.0)
+
+    S_shocked = S * (1 + spot_shock_pct / 100.0)
+    delta_after = greeks_at(legs, S_shocked, eval_days_from_now, _ShockedSurface(), r)["delta"]
+
+    return {
+        "spot_shock_pct": spot_shock_pct,
+        "iv_shock_pts": iv_shock_pts,
+        "delta_before": delta_before,
+        "delta_after": delta_after,
+        "delta_change": round(delta_after - delta_before, 6),
+    }
 
 
 def price_combo(
@@ -176,6 +206,9 @@ def price_combo(
         "greeks_scenario": greeks_at(legs, spot_scenario, horizon_days, surface_scenario, r),
         "net_delta_now": delta_now,
         "net_delta_scenario": delta_scenario,
+        # Skipped during the optimizer's bulk scan (precise=False, hundreds of candidates
+        # per request) — only computed for the single position actually loaded/priced.
+        "vanna_simulation": vanna_simulation(legs, spot_now, 0, surface_now, r) if precise else None,
     })
 
 

backend/services/strategy_optimizer.py

@@ -17,6 +17,122 @@ MAX_SEEDS_FOR_RESIDUAL_SEARCH = 40
 RESIDUAL_ITERATIONS_PER_SEED = 8
 RESIDUAL_MAX_EVALS = 400
 
+GREEK_KEYS = ("delta", "gamma", "theta", "vega", "rho")
+
+# Neutral band and "strong" percentile threshold, both self-calibrated against the actual
+# candidate pool (see _greek_target_match) rather than a hardcoded absolute number — there's
+# no single "big gamma" that means the same thing for EURUSD and for GOLD, but "top third of
+# what's achievable for this instrument under this scenario" means the same thing for both.
+_TOLERANCE_NEUTRAL_FRACTION = {"etroite": 0.05, "normale": 0.15, "large": 0.30}
+_TOLERANCE_STRONG_PERCENTILE = {"etroite": 0.75, "normale": 0.66, "large": 0.50}
+
+
+def _percentile_rank(sorted_vals: List[float], v: float) -> float:
+    if not sorted_vals:
+        return 0.0
+    import bisect
+    return bisect.bisect_left(sorted_vals, v) / len(sorted_vals)
+
+
+def _greek_target_match(value: float, state: str, tolerance: str, sorted_abs_pool: List[float]):
+    """Returns (match_score in [0,1], hard_fail: bool) for one candidate's Greek value
+    against one target. hard_fail only ever fires under "etroite" tolerance on a sign/neutral
+    violation — everything else is a soft score, blended in by optimize()."""
+    if state == "free":
+        return 1.0, False
+    max_abs = sorted_abs_pool[-1] if sorted_abs_pool else 0.0
+    neutral_band = max_abs * _TOLERANCE_NEUTRAL_FRACTION.get(tolerance, 0.15)
+    if state == "neutral":
+        ok = abs(value) <= max(neutral_band, 1e-9)
+        return (1.0 if ok else 0.0), (tolerance == "etroite" and not ok)
+    desired_sign = -1 if "negative" in state else 1
+    actual_sign = 1 if value > 1e-9 else (-1 if value < -1e-9 else 0)
+    if actual_sign != desired_sign:
+        return 0.0, (tolerance == "etroite")
+    if state in ("strong_negative", "strong_positive"):
+        pct = _percentile_rank(sorted_abs_pool, abs(value))
+        threshold = _TOLERANCE_STRONG_PERCENTILE.get(tolerance, 0.66)
+        return (1.0 if pct >= threshold else 0.55), False
+    return 1.0, False  # plain "positive"/"negative": correct sign is enough
+
+
+def _apply_greek_profile(scored: List[Dict[str, Any]], greek_profile: Optional[Dict[str, Any]]) -> List[Dict[str, Any]]:
+    """Post-hoc re-ranking of an already-evaluated candidate pool against the requested
+    Greek behavior profile — see routers/strategy_builder.GreekProfileIn and project memory
+    (Strategy Builder Greeks plan, Phase 2). Scoped to entry-state greeks_now (a candidate's
+    immediate nature), not the residual search's own hill-climbing objective — the search
+    still climbs toward the base objective (net_pnl/return_on_risk/prob_weighted); this only
+    re-orders the resulting pool, it doesn't steer the search itself (a Phase 2.x refinement
+    if the un-guided pool turns out too shallow in practice)."""
+    if not scored:
+        return scored
+    active = {
+        k: t for k, t in (greek_profile or {}).items()
+        if k in GREEK_KEYS and t.get("state", "free") != "free"
+    }
+    if not active:
+        scored.sort(key=lambda c: c["score"], reverse=True)
+        return scored
+
+    # For "strong" states, the percentile pool must be restricted to candidates that already
+    # share the desired sign — otherwise a large WRONG-signed value (e.g. a deep-negative
+    # delta candidate) inflates the pool's max and makes a genuinely strong correctly-signed
+    # candidate look merely average by comparison.
+    def _sign_of(v: float) -> int:
+        return 1 if v > 1e-9 else (-1 if v < -1e-9 else 0)
+
+    pool_abs: Dict[str, List[float]] = {}
+    for k, t in active.items():
+        state = t.get("state", "free")
+        if state in ("strong_negative", "strong_positive"):
+            desired_sign = -1 if "negative" in state else 1
+            pool_abs[k] = sorted(
+                abs(c["greeks_now"][k]) for c in scored if _sign_of(c["greeks_now"][k]) == desired_sign
+            )
+        else:
+            pool_abs[k] = sorted(abs(c["greeks_now"][k]) for c in scored)
+    kept: List[Dict[str, Any]] = []
+    for c in scored:
+        hard_fail = False
+        match_scores, weights = [], []
+        for k, t in active.items():
+            v = c["greeks_now"].get(k, 0.0)
+            m, fail = _greek_target_match(v, t.get("state", "free"), t.get("tolerance", "normale"), pool_abs[k])
+            if fail:
+                hard_fail = True
+                break
+            match_scores.append(m)
+            weights.append(max(0.0, min(100.0, t.get("weight", 50.0))) / 100.0)
+        if hard_fail:
+            continue
+        avg_weight = sum(weights) / len(weights) if weights else 0.0
+        greek_match = sum(m * w for m, w in zip(match_scores, weights)) / sum(weights) if weights else 1.0
+        c["greek_match_score"] = round(greek_match, 3)
+        c["greek_weight"] = round(avg_weight, 3)
+        kept.append(c)
+
+    if not kept:
+        # Every candidate hard-failed an "étroite" target — fall back to the un-filtered
+        # pool (ranked on the base objective alone) rather than returning nothing, since an
+        # empty result reads as "no strategies exist" instead of "no strategy matches this
+        # strict a Greek target".
+        scored.sort(key=lambda c: c["score"], reverse=True)
+        for c in scored:
+            c["greek_match_score"] = 0.0
+            c["greek_weight"] = 0.0
+        return scored
+
+    # Linear blend of the two percentile ranks, NOT a product — a candidate with a perfect
+    # Greek match but the pool's worst raw score has base_pct=0, and multiplying would zero
+    # it out regardless of how much weight the user put on the Greek profile.
+    base_scores = sorted(c["score"] for c in kept)
+    for c in kept:
+        base_pct = _percentile_rank(base_scores, c["score"])
+        aw, gm = c["greek_weight"], c["greek_match_score"]
+        c["final_rank_score"] = round((1 - aw) * base_pct + aw * gm, 4)
+    kept.sort(key=lambda c: c["final_rank_score"], reverse=True)
+    return kept
+
 
 def _score(priced: Dict[str, Any], legs: List[Dict[str, Any]], objective: str, surface_scenario: ScenarioSurface, horizon_days: int, r: float, contract_size: float) -> Optional[float]:
     if objective == "net_pnl":
@@ -145,7 +261,7 @@ def optimize(
     spot_shock_pct: float,
     iv_level_shift: float,
     skew_tilt: float,
-    term_shift: float,
+    term_slope_shift: float,
     manual_grid: Optional[List[Dict[str, Any]]],
     n_expiries: int,
     rate: float,
@@ -153,26 +269,31 @@ def optimize(
     objective: str,
     top_n: int = 20,
     contract_size: float = DEFAULT_CONTRACT_SIZE,
+    rate_shock_bps: float = 0.0,
+    dte_min: Optional[int] = None,
+    dte_max: Optional[int] = None,
+    greek_profile: Optional[Dict[str, Any]] = None,
 ) -> List[Dict[str, Any]]:
-    chain_slice = get_chain_slice(symbol, horizon_days, n_expiries)
+    r = rate + rate_shock_bps / 10000.0
+    chain_slice = get_chain_slice(symbol, horizon_days, n_expiries, dte_min=dte_min, dte_max=dte_max)
     surface_now = build_surface(chain_slice)
     surface_scenario = apply_scenario(
         surface_now, spot_shock_pct=spot_shock_pct, iv_level_shift=iv_level_shift,
-        skew_tilt=skew_tilt, term_shift=term_shift, manual_grid=manual_grid,
+        skew_tilt=skew_tilt, term_slope_shift=term_slope_shift, manual_grid=manual_grid,
     )
 
     candidates = generate_all(chain_slice)
     scored: List[Dict[str, Any]] = []
     for name, legs in candidates:
-        evaluated = _evaluate(name, legs, chain_slice, surface_now, surface_scenario, horizon_days, rate, constraints, objective, contract_size)
+        evaluated = _evaluate(name, legs, chain_slice, surface_now, surface_scenario, horizon_days, r, constraints, objective, contract_size)
         if evaluated:
             scored.append(evaluated)
 
     scored.sort(key=lambda c: c["score"], reverse=True)
     seeds = scored[:MAX_SEEDS_FOR_RESIDUAL_SEARCH]
 
-    refined = _residual_search(seeds, chain_slice, surface_now, surface_scenario, horizon_days, rate, constraints, objective, contract_size)
+    refined = _residual_search(seeds, chain_slice, surface_now, surface_scenario, horizon_days, r, constraints, objective, contract_size)
     scored.extend(refined)
 
-    scored.sort(key=lambda c: c["score"], reverse=True)
+    scored = _apply_greek_profile(scored, greek_profile)
     return to_native(_dedup_top_n(scored, top_n))

backend/services/vol_surface.py

@@ -43,7 +43,13 @@ class Surface:
 
 
 class ScenarioSurface:
-    """Shocked surface at the scenario horizon: parametric shifts + manual overrides."""
+    """Shocked surface at the scenario horizon: parametric shifts + manual overrides.
+
+    `iv_level_shift` is already the "parallel" component (applies to every strike/expiry
+    uniformly) — `term_slope_shift` is the term-structure *slope* (zero at days=0, growing
+    linearly per 30 days), so between the two the surface already has the "parallel vs.
+    slope" split a term-structure model needs; a third "curvature" term is deliberately
+    not modeled yet (see project memory: Strategy Builder Greeks plan, Phase 1)."""
 
     def __init__(
         self,
@@ -51,14 +57,14 @@ class ScenarioSurface:
         scenario_spot: float,
         iv_level_shift: float,
         skew_tilt: float,
-        term_shift: float,
+        term_slope_shift: float,
         manual_overrides: Optional[Dict[Tuple[int, float], float]] = None,
     ):
         self.base = base
         self.spot = scenario_spot
         self.iv_level_shift = iv_level_shift
         self.skew_tilt = skew_tilt
-        self.term_shift = term_shift
+        self.term_slope_shift = term_slope_shift
         self.manual_overrides = manual_overrides or {}
 
     def iv_at(self, strike: float, days: float) -> float:
@@ -71,7 +77,7 @@ class ScenarioSurface:
             base_iv
             + self.iv_level_shift
             + self.skew_tilt * moneyness
-            + self.term_shift * (days / 30.0)
+            + self.term_slope_shift * (days / 30.0)
         )
         return max(0.01, shocked)
 
@@ -137,7 +143,7 @@ def apply_scenario(
     spot_shock_pct: float = 0.0,
     iv_level_shift: float = 0.0,
     skew_tilt: float = 0.0,
-    term_shift: float = 0.0,
+    term_slope_shift: float = 0.0,
     manual_grid: Optional[List[Dict[str, Any]]] = None,
 ) -> ScenarioSurface:
     """
@@ -149,4 +155,4 @@ def apply_scenario(
     for cell in (manual_grid or []):
         if cell.get("iv") is not None:
             overrides[(int(cell["days_to_expiry"]), float(cell["strike_pct"]))] = float(cell["iv"])
-    return ScenarioSurface(surface, scenario_spot, iv_level_shift, skew_tilt, term_shift, overrides)
+    return ScenarioSurface(surface, scenario_spot, iv_level_shift, skew_tilt, term_slope_shift, overrides)

frontend/src/hooks/useApi.ts

@@ -1677,11 +1677,14 @@ export type StrategyScenario = {
   spot_shock_pct: number
   iv_level_shift: number
   skew_tilt: number
-  term_shift: number
+  term_slope_shift: number
+  rate_shock_bps?: number
   manual_grid?: ManualGridCell[]
   rate?: number
   n_expiries?: number
   contract_size?: number
+  dte_min?: number | null
+  dte_max?: number | null
 }
 
 export type StrategyLeg = {
@@ -1693,7 +1696,14 @@ export type StrategyLeg = {
   quantity: number
 }
 
-export type Greeks = { delta: number; gamma: number; theta: number; vega: number }
+export type Greeks = {
+  delta: number; gamma: number; theta: number; vega: number; rho: number
+  vanna: number; charm: number; vomma: number; veta: number; speed: number; color: number; zomma: number
+}
+export type VannaSimulation = {
+  spot_shock_pct: number; iv_shock_pts: number
+  delta_before: number; delta_after: number; delta_change: number
+}
 export type PayoffPoint = { underlying: number; pnl: number }
 
 export type PriceCombo = {
@@ -1710,6 +1720,7 @@ export type PriceCombo = {
   greeks_scenario: Greeks
   net_delta_now: number
   net_delta_scenario: number
+  vanna_simulation: VannaSimulation | null
   at_expiry: PayoffPoint[]
   at_scenario: PayoffPoint[]
   spot: number
@@ -1722,12 +1733,30 @@ export type StrategyCandidate = {
   legs: StrategyLeg[]
   score: number
   objective: string
+  greek_match_score?: number
+  final_rank_score?: number
 } & PriceCombo
 
-export const useOptionChainSlice = (symbol: string, horizonDays: number, nExpiries = 3, enabled = true) =>
+export type GreekState = 'strong_negative' | 'negative' | 'neutral' | 'positive' | 'strong_positive' | 'free'
+export type GreekTolerance = 'etroite' | 'normale' | 'large'
+export type GreekTarget = { state: GreekState; tolerance: GreekTolerance; weight: number }
+export type GreekProfile = { delta: GreekTarget; gamma: GreekTarget; theta: GreekTarget; vega: GreekTarget; rho: GreekTarget }
+
+export const FREE_GREEK_TARGET: GreekTarget = { state: 'free', tolerance: 'normale', weight: 50 }
+export const DEFAULT_GREEK_PROFILE: GreekProfile = {
+  delta: { ...FREE_GREEK_TARGET }, gamma: { ...FREE_GREEK_TARGET }, theta: { ...FREE_GREEK_TARGET },
+  vega: { ...FREE_GREEK_TARGET }, rho: { ...FREE_GREEK_TARGET },
+}
+
+export const useOptionChainSlice = (
+  symbol: string, horizonDays: number, nExpiries = 3, enabled = true,
+  dteMin?: number | null, dteMax?: number | null,
+) =>
   useQuery<ChainSlice>({
-    queryKey: ['strategy-builder-chain', symbol, horizonDays, nExpiries],
+    queryKey: ['strategy-builder-chain', symbol, horizonDays, nExpiries, dteMin, dteMax],
-    queryFn: () => api.get('/strategy-builder/chain', { params: { symbol, horizon_days: horizonDays, n_expiries: nExpiries } }).then(r => r.data),
+    queryFn: () => api.get('/strategy-builder/chain', {
+      params: { symbol, horizon_days: horizonDays, n_expiries: nExpiries, dte_min: dteMin ?? undefined, dte_max: dteMax ?? undefined },
+    }).then(r => r.data),
     enabled: enabled && !!symbol,
     staleTime: 30_000,
     retry: 1,
@@ -1747,15 +1776,35 @@ export type OptimizeConstraints = {
   top_n?: number
 }
 
+export type OptimizeResponse = { candidates: StrategyCandidate[]; warnings: string[] }
+
 export const useOptimizeStrategy = () =>
   useMutation({
-    mutationFn: (body: { scenario: StrategyScenario; constraints: OptimizeConstraints }) =>
+    mutationFn: (body: { scenario: StrategyScenario; constraints: OptimizeConstraints; greek_profile?: GreekProfile }) =>
-      api.post<StrategyCandidate[]>('/strategy-builder/optimize', body).then(r => r.data),
+      api.post<OptimizeResponse>('/strategy-builder/optimize', body).then(r => r.data),
+  })
+
+// Mode 1 of the scenario/profile/constraints split — what Greek behavior the scenario
+// alone already implies, before the user sets any explicit target (project memory:
+// Strategy Builder Greeks plan, Phase 4).
+export type SuggestedProfile = {
+  delta: GreekState; gamma: GreekState; theta: GreekState; vega: GreekState; rho: GreekState
+  rationale: string[]
+  reading: { spot_direction: string; spot_speed: string; iv_bucket: string }
+}
+
+export const useSuggestedProfile = (scenario: StrategyScenario, enabled: boolean) =>
+  useQuery<SuggestedProfile>({
+    queryKey: ['strategy-suggested-profile', scenario.symbol, scenario.spot_shock_pct, scenario.iv_level_shift, scenario.horizon_days],
+    queryFn: () => api.post('/strategy-builder/suggested-profile', scenario).then(r => r.data),
+    enabled: enabled && !!scenario.symbol,
+    staleTime: 30_000,
   })
 
 export type SavedScenario = {
   id: string; symbol: string; label: string; horizon_days: number
-  spot_shock_pct: number; iv_level_shift: number; skew_tilt: number; term_shift: number
+  spot_shock_pct: number; iv_level_shift: number; skew_tilt: number; term_slope_shift: number
+  rate_shock_bps: number; dte_min: number | null; dte_max: number | null
   manual_grid: ManualGridCell[]; created_at: string
 }
 

frontend/src/pages/StrategyBuilder.tsx

@@ -5,12 +5,13 @@ import {
 import { Layers, Plus, Trash2, RefreshCw, AlertTriangle, Search, Save, FolderOpen, X } from 'lucide-react'
 import clsx from 'clsx'
 import {
-  useOptionChainSlice, usePriceStrategy, useOptimizeStrategy,
+  useOptionChainSlice, usePriceStrategy, useOptimizeStrategy, useSuggestedProfile,
   useScenarios, useSaveScenario, useDeleteScenario,
   useSavedStrategies, useSaveStrategyRecord, useDeleteSavedStrategy,
   useWatchlistTickers, useSaxoCatalog, useIvForTrade,
   type StrategyLeg, type StrategyScenario, type PriceCombo, type StrategyCandidate,
   type OptimizeConstraints, type SavedScenario,
+  type GreekProfile, type GreekTarget, type GreekState, type GreekTolerance, DEFAULT_GREEK_PROFILE,
 } from '../hooks/useApi'
 import { fmtPrice, fmtAsOf } from '../lib/format'
 
@@ -87,14 +88,14 @@ function PayoffChart({ priced, spot, scenarioSpot }: { priced: PriceCombo; spot:
   )
 }
 
-function GreeksTile({ label, now, scenario }: { label: string; now: number; scenario: number }) {
+function GreeksTile({ label, now, scenario, precision = 4, hint }: { label: string; now: number; scenario: number; precision?: number; hint?: string }) {
   return (
-    <div className="card-sm">
+    <div className="card-sm" title={hint}>
       <div className="stat-label">{label}</div>
       <div className="flex items-baseline gap-2 mt-1">
-        <span className="text-lg font-bold text-white">{now.toFixed(4)}</span>
+        <span className="text-lg font-bold text-white">{now.toFixed(precision)}</span>
         <span className="text-xs text-slate-500">→</span>
-        <span className={clsx('text-sm font-semibold', scenario >= now ? 'text-emerald-400' : 'text-red-400')}>{scenario.toFixed(4)}</span>
+        <span className={clsx('text-sm font-semibold', scenario >= now ? 'text-emerald-400' : 'text-red-400')}>{scenario.toFixed(precision)}</span>
       </div>
     </div>
   )
@@ -111,16 +112,16 @@ function ScenarioPanel({
   watchlistTickers: string[]
 }) {
   const slider = (
-    key: 'spot_shock_pct' | 'iv_level_shift' | 'skew_tilt' | 'term_shift',
+    key: 'spot_shock_pct' | 'iv_level_shift' | 'skew_tilt' | 'term_slope_shift' | 'rate_shock_bps',
     label: string, min: number, max: number, step: number, fmt: (v: number) => string,
   ) => (
     <div>
       <div className="flex items-center justify-between text-xs text-slate-400 mb-1">
         <span>{label}</span>
-        <span className="text-white font-semibold">{fmt(scenario[key])}</span>
+        <span className="text-white font-semibold">{fmt(scenario[key] ?? 0)}</span>
       </div>
       <input
-        type="range" min={min} max={max} step={step} value={scenario[key]}
+        type="range" min={min} max={max} step={step} value={scenario[key] ?? 0}
         onChange={(e) => setScenario({ ...scenario, [key]: parseFloat(e.target.value) })}
         className="w-full accent-blue-500"
       />
@@ -152,20 +153,41 @@ function ScenarioPanel({
           </datalist>
         </div>
         <div className="w-28">
-          <label className="stat-label block mb-1">Horizon (j)</label>
+          <label className="stat-label block mb-1" title="Date d'évaluation du P&L du scénario — indépendante des échéances utilisées (voir DTE min/max)">
+            Horizon (j)
+          </label>
           <input
             type="number" min={1} max={90} value={horizonDays}
             onChange={(e) => setHorizonDays(parseInt(e.target.value) || 8)}
             className="w-full bg-dark-700 border border-slate-700/50 rounded px-2 py-1.5 text-sm text-white"
           />
         </div>
+        <div className="w-24">
+          <label className="stat-label block mb-1" title="Échéances autorisées pour les jambes — laisser vide pour revenir au comportement par défaut (proche de l'horizon)">
+            DTE min
+          </label>
+          <input
+            type="number" min={0} placeholder="—" value={scenario.dte_min ?? ''}
+            onChange={(e) => setScenario({ ...scenario, dte_min: e.target.value === '' ? null : parseInt(e.target.value) })}
+            className="w-full bg-dark-700 border border-slate-700/50 rounded px-2 py-1.5 text-sm text-white"
+          />
+        </div>
+        <div className="w-24">
+          <label className="stat-label block mb-1">DTE max</label>
+          <input
+            type="number" min={0} placeholder="—" value={scenario.dte_max ?? ''}
+            onChange={(e) => setScenario({ ...scenario, dte_max: e.target.value === '' ? null : parseInt(e.target.value) })}
+            className="w-full bg-dark-700 border border-slate-700/50 rounded px-2 py-1.5 text-sm text-white"
+          />
+        </div>
       </div>
 
       <div className="grid grid-cols-2 gap-4">
         {slider('spot_shock_pct', 'Choc spot', -20, 20, 0.5, (v) => `${v >= 0 ? '+' : ''}${v.toFixed(1)}%`)}
         {slider('iv_level_shift', 'Choc niveau IV', -0.15, 0.15, 0.005, (v) => `${v >= 0 ? '+' : ''}${(v * 100).toFixed(1)}pts`)}
         {slider('skew_tilt', 'Tilt skew', -0.1, 0.1, 0.005, (v) => v.toFixed(3))}
-        {slider('term_shift', 'Choc terme (/30j)', -0.1, 0.1, 0.005, (v) => `${v >= 0 ? '+' : ''}${(v * 100).toFixed(1)}pts`)}
+        {slider('term_slope_shift', 'Pente du terme (/30j)', -0.1, 0.1, 0.005, (v) => `${v >= 0 ? '+' : ''}${(v * 100).toFixed(1)}pts`)}
+        {slider('rate_shock_bps', 'Choc de taux', -200, 200, 5, (v) => `${v >= 0 ? '+' : ''}${v.toFixed(0)}bps`)}
       </div>
     </div>
   )
@@ -187,7 +209,7 @@ function ScenarioGrid({
     const base = estimateBaseIv(chain, daysToExpiry, strikePct, spot)
     if (base == null) return null
     const moneyness = Math.log(strikePct / 100)
-    return Math.max(0.01, base + scenario.iv_level_shift + scenario.skew_tilt * moneyness + scenario.term_shift * (daysToExpiry / 30))
+    return Math.max(0.01, base + scenario.iv_level_shift + scenario.skew_tilt * moneyness + scenario.term_slope_shift * (daysToExpiry / 30))
   }
 
   const setOverride = (daysToExpiry: number, strikePct: number, iv: number | null) => {
@@ -468,6 +490,134 @@ function OptimizerPanel({
   )
 }
 
+const GREEK_STATES: { value: GreekState; label: string }[] = [
+  { value: 'strong_negative', label: 'Fortement négatif' },
+  { value: 'negative', label: 'Négatif' },
+  { value: 'neutral', label: 'Neutre' },
+  { value: 'positive', label: 'Positif' },
+  { value: 'strong_positive', label: 'Fortement positif' },
+  { value: 'free', label: 'Libre / non contraint' },
+]
+const GREEK_TOLERANCES: { value: GreekTolerance; label: string }[] = [
+  { value: 'etroite', label: 'Étroite' },
+  { value: 'normale', label: 'Normale' },
+  { value: 'large', label: 'Large' },
+]
+const GREEK_ROWS: { key: keyof GreekProfile; label: string; hint: string }[] = [
+  { key: 'delta', label: 'Delta', hint: 'Exposition directionnelle immédiate' },
+  { key: 'gamma', label: 'Gamma', hint: 'Le Delta s’améliore-t-il avec le mouvement ?' },
+  { key: 'theta', label: 'Theta', hint: 'Collecte de prime (+) ou achat de temps (-)' },
+  { key: 'vega', label: 'Vega', hint: 'Acheteur (+) ou vendeur (-) de volatilité' },
+  { key: 'rho', label: 'Rho', hint: 'Sensibilité au taux — surtout utile en LEAPS/futures' },
+]
+
+const GREEK_STATE_LABEL: Record<GreekState, string> = {
+  strong_negative: 'Fortement négatif', negative: 'Négatif', neutral: 'Neutre',
+  positive: 'Positif', strong_positive: 'Fortement positif', free: 'Libre',
+}
+
+function SuggestedProfileCard({
+  scenario, enabled, onAdopt,
+}: { scenario: StrategyScenario; enabled: boolean; onAdopt: (states: Record<'delta' | 'gamma' | 'theta' | 'vega' | 'rho', GreekState>) => void }) {
+  const { data } = useSuggestedProfile(scenario, enabled)
+  if (!data) return null
+  const rows: { key: 'delta' | 'gamma' | 'theta' | 'vega' | 'rho'; label: string }[] = [
+    { key: 'delta', label: 'Delta' }, { key: 'gamma', label: 'Gamma' }, { key: 'theta', label: 'Theta' }, { key: 'vega', label: 'Vega' },
+  ]
+  const active = rows.filter(r => data[r.key] !== 'free')
+  if (active.length === 0) return null
+
+  return (
+    <div className="card border-slate-700/50 bg-dark-700/20 space-y-2">
+      <div className="flex items-center justify-between">
+        <div className="stat-label">Profil suggéré par le scénario seul (avant vos propres cibles)</div>
+        <button
+          onClick={() => onAdopt({
+            delta: data.delta, gamma: data.gamma, theta: data.theta, vega: data.vega, rho: data.rho,
+          })}
+          className="text-[11px] bg-blue-600/80 hover:bg-blue-500 text-white px-2 py-1 rounded font-semibold"
+        >
+          Adopter ce profil
+        </button>
+      </div>
+      <div className="flex flex-wrap gap-2">
+        {active.map(r => (
+          <span key={r.key} className="text-[11px] bg-dark-700/60 border border-slate-700/40 rounded px-2 py-0.5 text-slate-200">
+            {r.label} : <span className="font-semibold">{GREEK_STATE_LABEL[data[r.key]]}</span>
+          </span>
+        ))}
+      </div>
+      <ul className="text-[11px] text-slate-500 space-y-0.5 list-disc list-inside">
+        {data.rationale.map((r, i) => <li key={i}>{r}</li>)}
+      </ul>
+    </div>
+  )
+}
+
+function GreekProfilePanel({
+  profile, setProfile,
+}: { profile: GreekProfile; setProfile: (v: GreekProfile) => void }) {
+  const setTarget = (key: keyof GreekProfile, patch: Partial<GreekTarget>) =>
+    setProfile({ ...profile, [key]: { ...profile[key], ...patch } })
+
+  const anyActive = Object.values(profile).some(t => t.state !== 'free')
+
+  return (
+    <div className="card space-y-3">
+      <div className="flex items-center justify-between">
+        <div className="stat-label">Profil recherché — comportement Greeks, pas un nouveau scénario</div>
+        {anyActive && (
+          <button onClick={() => setProfile(DEFAULT_GREEK_PROFILE)} className="text-[10px] text-slate-500 hover:text-slate-300">
+            Réinitialiser
+          </button>
+        )}
+      </div>
+      <p className="text-[11px] text-slate-500">
+        Le scénario ci-dessus produit déjà naturellement certains Greeks — ces contrôles servent à favoriser,
+        tolérer ou interdire certaines expositions parmi les candidats trouvés, pas à décrire un second scénario.
+      </p>
+      <div className="space-y-2">
+        {GREEK_ROWS.map(({ key, label, hint }) => {
+          const t = profile[key]
+          const isFree = t.state === 'free'
+          return (
+            <div key={key} className={clsx('grid grid-cols-12 gap-2 items-center text-xs rounded px-2 py-1.5',
+              isFree ? 'bg-transparent' : 'bg-dark-700/40')}>
+              <div className="col-span-2">
+                <div className="text-slate-200 font-medium">{label}</div>
+                <div className="text-[9px] text-slate-600 leading-tight" title={hint}>{hint}</div>
+              </div>
+              <select
+                value={t.state}
+                onChange={(e) => setTarget(key, { state: e.target.value as GreekState })}
+                className="col-span-4 bg-dark-700 border border-slate-700/50 rounded px-2 py-1 text-slate-200"
+              >
+                {GREEK_STATES.map(s => <option key={s.value} value={s.value}>{s.label}</option>)}
+              </select>
+              <select
+                value={t.tolerance}
+                disabled={isFree}
+                onChange={(e) => setTarget(key, { tolerance: e.target.value as GreekTolerance })}
+                className="col-span-2 bg-dark-700 border border-slate-700/50 rounded px-2 py-1 text-slate-200 disabled:opacity-30"
+              >
+                {GREEK_TOLERANCES.map(o => <option key={o.value} value={o.value}>{o.label}</option>)}
+              </select>
+              <input
+                type="range" min={0} max={100} step={5} value={t.weight} disabled={isFree}
+                onChange={(e) => setTarget(key, { weight: parseFloat(e.target.value) })}
+                className="col-span-3 accent-blue-500 disabled:opacity-30"
+              />
+              <span className={clsx('col-span-1 text-right font-mono', isFree ? 'text-slate-700' : 'text-slate-300')}>
+                {isFree ? '—' : `${t.weight.toFixed(0)}%`}
+              </span>
+            </div>
+          )
+        })}
+      </div>
+    </div>
+  )
+}
+
 function ResultsTable({ results, onSelect }: { results: StrategyCandidate[]; onSelect: (c: StrategyCandidate) => void }) {
   if (!results.length) return <div className="card-sm text-xs text-slate-500">Aucun candidat ne satisfait les contraintes — élargissez le seuil de delta ou le plafond de perte.</div>
   return (
@@ -483,6 +633,7 @@ function ResultsTable({ results, onSelect }: { results: StrategyCandidate[]; onS
             <th className="py-1 pr-3 text-right" title="À l'échéance de la jambe la plus proche, sous la même vue de vol que le scénario. Approximatif (balayage rapide pour classer des centaines de candidats) — se précise après «Charger».">Max gain</th>
             <th className="py-1 pr-3 text-right" title="À l'échéance de la jambe la plus proche, sous la même vue de vol que le scénario. Approximatif (balayage rapide pour classer des centaines de candidats) — se précise après «Charger».">Max perte</th>
             <th className="py-1 pr-3 text-right">Δ net</th>
+            <th className="py-1 pr-3 text-right" title="Correspondance avec le profil de Greeks demandé (0-100%) — n'apparaît que si un profil est actif.">Profil</th>
             <th className="py-1 pr-1"></th>
           </tr>
         </thead>
@@ -496,6 +647,9 @@ function ResultsTable({ results, onSelect }: { results: StrategyCandidate[]; onS
               <td className="py-1.5 pr-3 text-right text-emerald-400">{r.max_gain != null ? fmtMoney(r.max_gain) : '∞'}</td>
               <td className="py-1.5 pr-3 text-right text-red-400">{r.max_loss != null ? fmtMoney(r.max_loss) : '−∞'}</td>
               <td className="py-1.5 pr-3 text-right text-slate-400">{r.net_delta_now.toFixed(3)}</td>
+              <td className="py-1.5 pr-3 text-right text-slate-400">
+                {r.greek_match_score != null ? `${(r.greek_match_score * 100).toFixed(0)}%` : '—'}
+              </td>
               <td className="py-1.5 pr-1 text-blue-400 text-right">Charger →</td>
             </tr>
           ))}
@@ -585,7 +739,8 @@ export default function StrategyBuilder() {
   const [debouncedSymbol, setDebouncedSymbol] = useState('')
   const [horizonDays, setHorizonDays] = useState(8)
   const [scenario, setScenario] = useState<StrategyScenario>({
-    symbol: '', horizon_days: 8, spot_shock_pct: 0, iv_level_shift: 0, skew_tilt: 0, term_shift: 0, manual_grid: [],
+    symbol: '', horizon_days: 8, spot_shock_pct: 0, iv_level_shift: 0, skew_tilt: 0, term_slope_shift: 0,
+    rate_shock_bps: 0, dte_min: null, dte_max: null, manual_grid: [],
     contract_size: 100_000,
   })
 
@@ -599,6 +754,8 @@ export default function StrategyBuilder() {
   const [constraints, setConstraints] = useState<OptimizeConstraints>({
     max_legs: 4, delta_threshold: 0.15, max_loss_cap: null, objective: 'net_pnl', top_n: 20,
   })
+  const [greekProfile, setGreekProfile] = useState<GreekProfile>(DEFAULT_GREEK_PROFILE)
+  const [showAdvancedGreeks, setShowAdvancedGreeks] = useState(false)
   const [activeTemplate, setActiveTemplate] = useState<string | null>(null)
 
   const { data: watchlistData } = useWatchlistTickers()
@@ -609,7 +766,7 @@ export default function StrategyBuilder() {
   ])).sort()
 
   const { data: chain, isLoading: chainLoading, isError: chainError, error: chainErrorObj, refetch: refetchChain, isFetching } =
-    useOptionChainSlice(debouncedSymbol, horizonDays, 3)
+    useOptionChainSlice(debouncedSymbol, horizonDays, 3, true, scenario.dte_min, scenario.dte_max)
   const { data: ivForTrade } = useIvForTrade(debouncedSymbol)
 
   useEffect(() => {
@@ -655,7 +812,7 @@ export default function StrategyBuilder() {
 
   const handleOptimize = () => {
     setActiveTemplate(null)
-    optimizeMutation.mutate({ scenario, constraints })
+    optimizeMutation.mutate({ scenario, constraints, greek_profile: greekProfile })
   }
 
   const handleSelectCandidate = (c: StrategyCandidate) => {
@@ -668,7 +825,8 @@ export default function StrategyBuilder() {
     setHorizonDays(s.horizon_days)
     setScenario(prev => ({
       symbol: s.symbol, horizon_days: s.horizon_days, spot_shock_pct: s.spot_shock_pct,
-      iv_level_shift: s.iv_level_shift, skew_tilt: s.skew_tilt, term_shift: s.term_shift,
+      iv_level_shift: s.iv_level_shift, skew_tilt: s.skew_tilt, term_slope_shift: s.term_slope_shift,
+      rate_shock_bps: s.rate_shock_bps, dte_min: s.dte_min, dte_max: s.dte_max,
       manual_grid: s.manual_grid, contract_size: prev.contract_size,
     }))
   }
@@ -775,7 +933,20 @@ export default function StrategyBuilder() {
       )}
 
       {chain && (
-        <OptimizerPanel constraints={constraints} setConstraints={setConstraints} onRun={handleOptimize} isRunning={optimizeMutation.isPending} />
+        <>
+          <SuggestedProfileCard
+            scenario={scenario} enabled={!!chain}
+            onAdopt={(states) => setGreekProfile({
+              delta: { state: states.delta, tolerance: 'normale', weight: 60 },
+              gamma: { state: states.gamma, tolerance: 'normale', weight: 60 },
+              theta: { state: states.theta, tolerance: 'normale', weight: 60 },
+              vega: { state: states.vega, tolerance: 'normale', weight: 60 },
+              rho: { state: states.rho, tolerance: 'normale', weight: 60 },
+            })}
+          />
+          <GreekProfilePanel profile={greekProfile} setProfile={setGreekProfile} />
+          <OptimizerPanel constraints={constraints} setConstraints={setConstraints} onRun={handleOptimize} isRunning={optimizeMutation.isPending} />
+        </>
       )}
 
       {optimizeMutation.isError && (
@@ -783,8 +954,18 @@ export default function StrategyBuilder() {
           {(optimizeMutation.error as any)?.response?.data?.detail ?? "Erreur lors de l'optimisation."}
         </div>
       )}
+      {optimizeMutation.data && optimizeMutation.data.warnings.length > 0 && (
+        <div className="space-y-1.5">
+          {optimizeMutation.data.warnings.map((w, i) => (
+            <div key={i} className="flex items-start gap-2 px-3 py-2 rounded border border-amber-700/40 bg-amber-900/10 text-xs text-amber-300">
+              <AlertTriangle className="w-3.5 h-3.5 mt-0.5 shrink-0" />
+              <span>{w}</span>
+            </div>
+          ))}
+        </div>
+      )}
       {optimizeMutation.data && (
-        <ResultsTable results={optimizeMutation.data} onSelect={handleSelectCandidate} />
+        <ResultsTable results={optimizeMutation.data.candidates} onSelect={handleSelectCandidate} />
       )}
 
       {priceMutation.isPending && <div className="card-sm text-xs text-slate-500">Calcul en cours…</div>}
@@ -843,11 +1024,56 @@ export default function StrategyBuilder() {
             </p>
           </div>
 
-          <div className="grid grid-cols-2 md:grid-cols-4 gap-3">
+          <div className="grid grid-cols-2 md:grid-cols-5 gap-3">
             <GreeksTile label="Delta net" now={priced.greeks_now.delta} scenario={priced.greeks_scenario.delta} />
             <GreeksTile label="Gamma net" now={priced.greeks_now.gamma} scenario={priced.greeks_scenario.gamma} />
             <GreeksTile label="Theta net" now={priced.greeks_now.theta} scenario={priced.greeks_scenario.theta} />
             <GreeksTile label="Vega net" now={priced.greeks_now.vega} scenario={priced.greeks_scenario.vega} />
+            <GreeksTile label="Rho net" now={priced.greeks_now.rho} scenario={priced.greeks_scenario.rho} />
+          </div>
+
+          {priced.vanna_simulation && (
+            <div className="card border-blue-700/30 bg-blue-900/10">
+              <div className="stat-label mb-1">Simulation Vanna — pas juste un signe</div>
+              <p className="text-sm text-slate-200">
+                Spot <span className="font-semibold">{priced.vanna_simulation.spot_shock_pct}%</span>{' '}
+                et IV <span className="font-semibold">+{priced.vanna_simulation.iv_shock_pts}pts</span> →
+                {' '}Delta net passe de{' '}
+                <span className="font-mono font-semibold">{priced.vanna_simulation.delta_before.toFixed(4)}</span>
+                {' '}à{' '}
+                <span className="font-mono font-semibold">{priced.vanna_simulation.delta_after.toFixed(4)}</span>
+                <span className={clsx('ml-2 font-mono font-bold', priced.vanna_simulation.delta_change >= 0 ? 'text-emerald-400' : 'text-red-400')}>
+                  ({priced.vanna_simulation.delta_change >= 0 ? '+' : ''}{priced.vanna_simulation.delta_change.toFixed(4)})
+                </span>
+              </p>
+              <p className="text-[11px] text-slate-500 mt-1">
+                Repricing Black-Scholes réel sous ce choc conjoint — pas une approximation linéaire, valable même pour un choc large.
+              </p>
+            </div>
+          )}
+
+          <div className="card">
+            <button onClick={() => setShowAdvancedGreeks(v => !v)} className="stat-label flex items-center gap-1.5 w-full">
+              {showAdvancedGreeks ? '▾' : '▸'} Sensibilités avancées (second ordre)
+            </button>
+            {showAdvancedGreeks && (
+              <div className="grid grid-cols-2 md:grid-cols-4 gap-3 mt-3">
+                <GreeksTile label="Vanna" precision={6} hint="∂Delta/∂IV — interaction spot/vol, par point d'IV"
+                  now={priced.greeks_now.vanna} scenario={priced.greeks_scenario.vanna} />
+                <GreeksTile label="Charm" precision={6} hint="∂Delta/∂temps — dérive du Delta par jour"
+                  now={priced.greeks_now.charm} scenario={priced.greeks_scenario.charm} />
+                <GreeksTile label="Vomma" precision={6} hint="∂Vega/∂IV — convexité de volatilité, par point d'IV"
+                  now={priced.greeks_now.vomma} scenario={priced.greeks_scenario.vomma} />
+                <GreeksTile label="Veta" precision={6} hint="∂Vega/∂temps — dérive du Vega par jour"
+                  now={priced.greeks_now.veta} scenario={priced.greeks_scenario.veta} />
+                <GreeksTile label="Speed" precision={8} hint="∂Gamma/∂spot — où se déplace la convexité"
+                  now={priced.greeks_now.speed} scenario={priced.greeks_scenario.speed} />
+                <GreeksTile label="Color" precision={8} hint="∂Gamma/∂temps — dérive du Gamma par jour"
+                  now={priced.greeks_now.color} scenario={priced.greeks_scenario.color} />
+                <GreeksTile label="Zomma" precision={6} hint="∂Gamma/∂IV — le Gamma survit-il à un choc de vol ?"
+                  now={priced.greeks_now.zomma} scenario={priced.greeks_scenario.zomma} />
+              </div>
+            )}
           </div>
         </>
       )}