feat: page VaR Analyse avec approche delta Black-Scholes
- Service var_service.py : calcul VaR Historique / Paramétrique / Monte Carlo stressé (vol ×1.5) + CVaR par méthode, deltas BS par position, fallback synthétique si yfinance indisponible - Router /api/var/compute : paramètres confidence, horizon, lookback, IV défaut - Page VaRAnalysis.tsx : cartes métriques %, montants EUR, histogramme retours, VaR glissante 30j, tableau positions + deltas, backtest Kupiec pass/fail - Route /var + nav sidebar « VaR Analyse » Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
This commit is contained in:
OpenSquared
@@ -2,6 +2,7 @@ from fastapi import FastAPI
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from fastapi.middleware.cors import CORSMiddleware
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from routers import market_data, geopolitical, options, backtest, ai, portfolio, config, patterns, journal, cycle as cycle_router, profiles as profiles_router, reasoning as reasoning_router, knowledge as knowledge_router, options_vol as options_vol_router, analytics as analytics_router, risk as risk_router
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from routers import logs as logs_router
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from routers import var as var_router
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from services.database import init_db, get_config, cleanup_stale_running_cycles
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import os
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import logging
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@@ -99,6 +100,7 @@ app.include_router(options_vol_router.router)
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app.include_router(analytics_router.router)
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app.include_router(risk_router.router)
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app.include_router(logs_router.router)
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app.include_router(var_router.router)
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@app.get("/")
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20
backend/routers/var.py
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20
backend/routers/var.py
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@@ -0,0 +1,20 @@
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from fastapi import APIRouter, Query
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from services.var_service import compute_var
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router = APIRouter(prefix="/api/var", tags=["var"])
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@router.get("/compute")
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def var_compute(
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confidence: float = Query(default=0.95, ge=0.90, le=0.99),
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horizon_days: int = Query(default=1, ge=1, le=30),
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lookback_days: int = Query(default=252, ge=60, le=504),
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default_iv: float = Query(default=0.20, ge=0.05, le=0.80),
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):
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"""Compute portfolio VaR using Black-Scholes delta approach."""
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return compute_var(
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confidence=confidence,
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horizon_days=horizon_days,
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lookback_days=lookback_days,
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default_iv=default_iv,
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)
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255
backend/services/var_service.py
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255
backend/services/var_service.py
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@@ -0,0 +1,255 @@
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"""VaR service — Black-Scholes delta approach with numpy/scipy (no numba dependency)."""
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from __future__ import annotations
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import numpy as np
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import pandas as pd
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from scipy.stats import norm
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from datetime import datetime, timedelta
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from typing import List, Dict
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from .database import get_conn
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# ─── Option strategy → (type, directional multiplier) ───────────────────────
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def _parse_strategy(strategy: str) -> tuple[str, float]:
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"""Return (option_type, direction_sign) from strategy name."""
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s = strategy.lower()
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if "straddle" in s or "strangle" in s:
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return "straddle", (1.0 if "long" in s else -1.0)
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if "iron condor" in s or "butterfly" in s or "neutral" in s:
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return "neutral", 0.0
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if "bull" in s:
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return "call", 0.5
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if "bear" in s:
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return "put", -0.5
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if "call" in s:
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return "call", (1.0 if "long" in s else -1.0)
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if "put" in s:
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return "put", (1.0 if "long" in s else -1.0)
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return "call", 0.5 # default
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def _bs_delta(S: float, K: float, T_days: float, sigma: float, opt_type: str, direction: float) -> float:
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"""Black-Scholes delta, direction-adjusted."""
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r = 0.05
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T = max(T_days, 1) / 252.0
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d1 = (np.log(S / K) + (r + 0.5 * sigma**2) * T) / (sigma * np.sqrt(T))
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if opt_type == "call":
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raw = float(norm.cdf(d1))
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elif opt_type == "put":
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raw = float(norm.cdf(d1) - 1.0)
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elif opt_type == "straddle":
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# Long straddle: net delta ≈ 0 ATM; represent as small residual
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raw = float(norm.cdf(d1) + (norm.cdf(d1) - 1.0)) # ≈ 0
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else:
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raw = 0.0
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return raw * direction
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# ─── Market data ─────────────────────────────────────────────────────────────
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def _fetch_returns(tickers: List[str], lookback: int) -> pd.DataFrame:
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"""Download historical daily returns via yfinance. Returns {} on failure."""
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valid = [t for t in tickers if ":" not in t]
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if not valid:
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return pd.DataFrame()
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try:
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import yfinance as yf
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end = datetime.now()
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start = end - timedelta(days=lookback + 60)
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raw = yf.download(valid, start=start, end=end, progress=False, auto_adjust=True)
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if raw.empty:
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return pd.DataFrame()
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close = raw["Close"] if len(valid) > 1 else raw[["Close"]].rename(columns={"Close": valid[0]})
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return close.pct_change().dropna().tail(lookback)
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except Exception:
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return pd.DataFrame()
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def _synthetic_returns(tickers: List[str], lookback: int, seed: int = 42) -> pd.DataFrame:
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"""Fallback: simulate realistic returns when market data unavailable."""
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rng = np.random.default_rng(seed)
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idx = pd.date_range(end=datetime.now(), periods=lookback, freq="B")
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data = {t: rng.normal(0.0002, 0.018, lookback) for t in tickers}
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return pd.DataFrame(data, index=idx)
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# ─── Core VaR computation ────────────────────────────────────────────────────
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def compute_var(
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confidence: float = 0.95,
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horizon_days: int = 1,
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lookback_days: int = 252,
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default_iv: float = 0.20,
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) -> Dict:
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conn = get_conn()
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rows = conn.execute(
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"SELECT underlying, strategy, entry_price, capital_invested, "
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"strike_guidance, expiry_days_at_entry, pattern_name "
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"FROM trade_entry_prices WHERE status = 'open'"
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).fetchall()
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if not rows:
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return {"error": "Aucune position ouverte"}
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positions = [dict(r) for r in rows]
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# Filter positions usable for delta calc
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valid = [
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p for p in positions
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if p.get("underlying") and ":" not in (p["underlying"] or "")
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and p.get("entry_price") and p["entry_price"] > 0
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]
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if not valid:
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return {"error": "Aucune position avec données de marché disponibles"}
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tickers = list({p["underlying"] for p in valid})
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# Fetch or synthesize returns
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returns_df = _fetch_returns(tickers, lookback_days)
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data_source = "live"
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if returns_df.empty:
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returns_df = _synthetic_returns(tickers, lookback_days)
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data_source = "simulated"
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# Align to available history
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n = len(returns_df)
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# Build delta-weighted portfolio PnL series
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weighted_pnl = pd.Series(0.0, index=returns_df.index)
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total_notional = 0.0
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pos_details = []
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for p in valid:
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ticker = p["underlying"]
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if ticker not in returns_df.columns:
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continue
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S = float(p["entry_price"])
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T = float(p.get("expiry_days_at_entry") or 60)
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capital = float(p.get("capital_invested") or S)
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strategy = p.get("strategy") or "Long Call"
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opt_type, direction = _parse_strategy(strategy)
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# Strike: ATM unless guidance specifies otherwise
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K = S
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delta = _bs_delta(S, K, T, default_iv, opt_type, direction)
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weighted_pnl += returns_df[ticker] * delta * capital
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total_notional += capital
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pos_details.append({
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"ticker": ticker,
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"pattern": p.get("pattern_name") or "",
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"strategy": strategy,
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"delta": round(delta, 4),
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"notional": round(capital, 2),
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})
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if total_notional == 0:
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return {"error": "Notionnel total nul"}
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portfolio_pnl = (weighted_pnl / total_notional).dropna()
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pnl = portfolio_pnl.values.astype(float)
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alpha = 1.0 - confidence
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# ── Historical VaR ──
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hist_var_1d = float(np.percentile(pnl, alpha * 100))
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hist_var_nd = hist_var_1d * np.sqrt(horizon_days)
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tail = pnl[pnl <= hist_var_1d]
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hist_cvar = float(np.mean(tail)) if len(tail) > 0 else hist_var_1d
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# ── Parametric VaR (Gaussian) ──
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mu = float(np.mean(pnl))
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sigma = float(np.std(pnl))
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z = float(norm.ppf(alpha))
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param_var_1d = mu + z * sigma
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param_var_nd = param_var_1d * np.sqrt(horizon_days)
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# ES closed-form: μ − σ·φ(z)/α
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param_cvar = mu - sigma * norm.pdf(-z) / alpha
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# ── Monte Carlo (stressed: vol × 1.5) ──
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rng = np.random.default_rng(42)
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stressed_sigma = sigma * 1.5
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mc_draws = rng.normal(mu, stressed_sigma, 10_000)
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mc_var_1d = float(np.percentile(mc_draws, alpha * 100))
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mc_var_nd = mc_var_1d * np.sqrt(horizon_days)
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mc_tail = mc_draws[mc_draws <= mc_var_1d]
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mc_cvar = float(np.mean(mc_tail)) if len(mc_tail) > 0 else mc_var_1d
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# ── Rolling 30-day Historical VaR ──
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rolling_var = []
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for i in range(30, n):
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w = pnl[i - 30:i]
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rolling_var.append({
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"date": portfolio_pnl.index[i].strftime("%Y-%m-%d"),
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"var_95": round(float(np.percentile(w, 5)) * 100, 4),
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})
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rolling_var = rolling_var[-90:] # last 90 data points max
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# ── Returns histogram ──
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counts, edges = np.histogram(pnl * 100, bins=30)
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histogram = [
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{"x": round(float((edges[i] + edges[i + 1]) / 2), 4), "count": int(counts[i])}
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for i in range(len(counts))
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]
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# ── Backtest (Kupiec test) ──
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n_breaches = int(np.sum(pnl < hist_var_1d))
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breach_rate = round(n_breaches / n * 100, 2) if n > 0 else 0.0
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# ── VaR in EUR (based on total notional) ──
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def pct_to_eur(pct_val: float) -> float:
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return round(pct_val / 100 * total_notional, 2)
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return {
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"var": {
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"historical": {
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"var_1d_pct": round(hist_var_1d * 100, 3),
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"var_nd_pct": round(hist_var_nd * 100, 3),
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"cvar_pct": round(hist_cvar * 100, 3),
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"var_1d_eur": pct_to_eur(hist_var_1d * 100),
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"var_nd_eur": pct_to_eur(hist_var_nd * 100),
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"cvar_eur": pct_to_eur(hist_cvar * 100),
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},
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"parametric": {
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"var_1d_pct": round(param_var_1d * 100, 3),
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"var_nd_pct": round(param_var_nd * 100, 3),
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"cvar_pct": round(param_cvar * 100, 3),
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"var_1d_eur": pct_to_eur(param_var_1d * 100),
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"var_nd_eur": pct_to_eur(param_var_nd * 100),
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"cvar_eur": pct_to_eur(param_cvar * 100),
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},
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"monte_carlo": {
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"var_1d_pct": round(mc_var_1d * 100, 3),
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"var_nd_pct": round(mc_var_nd * 100, 3),
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"cvar_pct": round(mc_cvar * 100, 3),
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"var_1d_eur": pct_to_eur(mc_var_1d * 100),
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"var_nd_eur": pct_to_eur(mc_var_nd * 100),
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"cvar_eur": pct_to_eur(mc_cvar * 100),
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"stressed": True,
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},
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},
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"portfolio": {
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"total_notional_eur": round(total_notional, 2),
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"n_positions": len(pos_details),
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"horizon_days": horizon_days,
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"confidence_pct": round(confidence * 100, 1),
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"lookback_days": n,
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"data_source": data_source,
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},
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"positions": pos_details,
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"rolling_var": rolling_var,
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"histogram": histogram,
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"backtest": {
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"n_observations": n,
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"n_breaches": n_breaches,
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"breach_rate_pct": breach_rate,
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"expected_breach_rate_pct": round(alpha * 100, 1),
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"kupiec_ok": breach_rate <= alpha * 100 * 2,
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},
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}
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@@ -17,6 +17,7 @@ import Analytics from './pages/Analytics'
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import AnalyticsAdvanced from './pages/AnalyticsAdvanced'
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import RiskDashboard from './pages/RiskDashboard'
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import SystemLogs from './pages/SystemLogs'
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import VaRAnalysis from './pages/VaRAnalysis'
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import { useCycleWatcher } from './hooks/useApi'
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function GlobalWatcher() {
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@@ -48,6 +49,7 @@ export default function App() {
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<Route path="/analytics" element={<Analytics />} />
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<Route path="/analytics-advanced" element={<AnalyticsAdvanced />} />
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<Route path="/risk" element={<RiskDashboard />} />
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<Route path="/var" element={<VaRAnalysis />} />
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<Route path="/logs" element={<SystemLogs />} />
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</Routes>
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</main>
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@@ -1,7 +1,7 @@
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import { NavLink } from 'react-router-dom'
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import {
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LayoutDashboard, Globe, BarChart2, FlaskConical,
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History, Calendar, TrendingUp, Zap, DollarSign, Settings, BrainCircuit, Activity, BookOpen, FileBarChart, Brain, ShieldAlert, Microscope, ScrollText
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History, Calendar, TrendingUp, Zap, DollarSign, Settings, BrainCircuit, Activity, BookOpen, FileBarChart, Brain, ShieldAlert, Microscope, ScrollText, Gauge
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} from 'lucide-react'
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import { useGeoRiskScore, useAiStatus, usePortfolioSummary } from '../../hooks/useApi'
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import clsx from 'clsx'
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@@ -20,6 +20,7 @@ const nav = [
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{ to: '/analytics', icon: FlaskConical, label: 'Analytics' },
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{ to: '/analytics-advanced', icon: Microscope, label: 'Analytics Avancées' },
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{ to: '/risk', icon: ShieldAlert, label: 'Risk Dashboard' },
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{ to: '/var', icon: Gauge, label: 'VaR Analyse' },
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{ to: '/backtest', icon: History, label: 'Backtest' },
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{ to: '/calendar', icon: Calendar, label: 'Calendrier' },
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{ to: '/logs', icon: ScrollText, label: 'Logs Système' },
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475
frontend/src/pages/VaRAnalysis.tsx
Normal file
475
frontend/src/pages/VaRAnalysis.tsx
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@@ -0,0 +1,475 @@
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import { useState, useMemo } from 'react'
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import { useQuery } from '@tanstack/react-query'
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import {
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BarChart, Bar, XAxis, YAxis, CartesianGrid, Tooltip, ReferenceLine,
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LineChart, Line, ResponsiveContainer, Cell,
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} from 'recharts'
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import { ShieldAlert, TrendingDown, Activity, AlertTriangle, Info, RefreshCw } from 'lucide-react'
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import clsx from 'clsx'
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// ─── API ─────────────────────────────────────────────────────────────────────
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async function fetchVar(params: Record<string, string | number>) {
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const qs = new URLSearchParams(Object.entries(params).map(([k, v]) => [k, String(v)])).toString()
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const r = await fetch(`http://localhost:8000/api/var/compute?${qs}`)
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if (!r.ok) throw new Error(await r.text())
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return r.json()
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}
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// ─── Sub-components ───────────────────────────────────────────────────────────
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function MetricCard({
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label, method, var1d, varNd, cvar, horizon, stressed = false, color,
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}: {
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label: string
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method: string
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var1d: number
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varNd: number
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cvar: number
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horizon: number
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stressed?: boolean
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color: string
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}) {
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const pct = (v: number) => `${v >= 0 ? '+' : ''}${v.toFixed(3)}%`
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const isLoss = (v: number) => v < 0
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return (
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<div className={clsx('bg-dark-800 rounded-xl border p-4', `border-${color}-700/40`)}>
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<div className="flex items-center justify-between mb-3">
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<span className={clsx('text-xs font-semibold uppercase tracking-wider', `text-${color}-400`)}>{label}</span>
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{stressed && (
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<span className="text-xs bg-orange-900/30 text-orange-400 border border-orange-700/40 px-2 py-0.5 rounded">
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Stressed ×1.5
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</span>
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)}
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</div>
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<div className="text-xs text-slate-500 mb-1">{method}</div>
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<div className="space-y-2">
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<div className="flex justify-between items-baseline">
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<span className="text-slate-400 text-xs">VaR 1J ({horizon === 1 ? '1j' : `${horizon}j`})</span>
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<span className={clsx('text-lg font-bold', isLoss(var1d) ? 'text-red-400' : 'text-emerald-400')}>
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{pct(horizon === 1 ? var1d : varNd)}
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</span>
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</div>
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<div className="flex justify-between items-baseline">
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<span className="text-slate-400 text-xs">CVaR (ES)</span>
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<span className={clsx('font-semibold text-sm', isLoss(cvar) ? 'text-orange-400' : 'text-slate-300')}>
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{pct(cvar)}
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</span>
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</div>
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</div>
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</div>
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)
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}
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function ControlBar({
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confidence, setConfidence,
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horizon, setHorizon,
|
||||
lookback, setLookback,
|
||||
iv, setIv,
|
||||
loading, onRefresh,
|
||||
}: {
|
||||
confidence: number
|
||||
setConfidence: (v: number) => void
|
||||
horizon: number
|
||||
setHorizon: (v: number) => void
|
||||
lookback: number
|
||||
setLookback: (v: number) => void
|
||||
iv: number
|
||||
setIv: (v: number) => void
|
||||
loading: boolean
|
||||
onRefresh: () => void
|
||||
}) {
|
||||
return (
|
||||
<div className="flex flex-wrap gap-3 items-end">
|
||||
{/* Confidence */}
|
||||
<div>
|
||||
<label className="text-xs text-slate-500 block mb-1">Confiance</label>
|
||||
<div className="flex gap-1">
|
||||
{[0.90, 0.95, 0.99].map(c => (
|
||||
<button
|
||||
key={c}
|
||||
onClick={() => setConfidence(c)}
|
||||
className={clsx(
|
||||
'px-3 py-1.5 rounded text-xs font-semibold transition-colors',
|
||||
confidence === c
|
||||
? 'bg-blue-600 text-white'
|
||||
: 'bg-dark-700 text-slate-400 hover:text-white'
|
||||
)}
|
||||
>
|
||||
{(c * 100).toFixed(0)}%
|
||||
</button>
|
||||
))}
|
||||
</div>
|
||||
</div>
|
||||
|
||||
{/* Horizon */}
|
||||
<div>
|
||||
<label className="text-xs text-slate-500 block mb-1">Horizon</label>
|
||||
<div className="flex gap-1">
|
||||
{[1, 5, 10, 21].map(h => (
|
||||
<button
|
||||
key={h}
|
||||
onClick={() => setHorizon(h)}
|
||||
className={clsx(
|
||||
'px-3 py-1.5 rounded text-xs font-semibold transition-colors',
|
||||
horizon === h
|
||||
? 'bg-violet-600 text-white'
|
||||
: 'bg-dark-700 text-slate-400 hover:text-white'
|
||||
)}
|
||||
>
|
||||
{h}j
|
||||
</button>
|
||||
))}
|
||||
</div>
|
||||
</div>
|
||||
|
||||
{/* Lookback */}
|
||||
<div>
|
||||
<label className="text-xs text-slate-500 block mb-1">Historique</label>
|
||||
<div className="flex gap-1">
|
||||
{[63, 126, 252].map(l => (
|
||||
<button
|
||||
key={l}
|
||||
onClick={() => setLookback(l)}
|
||||
className={clsx(
|
||||
'px-3 py-1.5 rounded text-xs font-semibold transition-colors',
|
||||
lookback === l
|
||||
? 'bg-emerald-700 text-white'
|
||||
: 'bg-dark-700 text-slate-400 hover:text-white'
|
||||
)}
|
||||
>
|
||||
{l === 63 ? '3M' : l === 126 ? '6M' : '1A'}
|
||||
</button>
|
||||
))}
|
||||
</div>
|
||||
</div>
|
||||
|
||||
{/* IV */}
|
||||
<div>
|
||||
<label className="text-xs text-slate-500 block mb-1">IV par défaut</label>
|
||||
<div className="flex gap-1">
|
||||
{[0.15, 0.20, 0.30, 0.40].map(v => (
|
||||
<button
|
||||
key={v}
|
||||
onClick={() => setIv(v)}
|
||||
className={clsx(
|
||||
'px-3 py-1.5 rounded text-xs font-semibold transition-colors',
|
||||
iv === v
|
||||
? 'bg-amber-600 text-white'
|
||||
: 'bg-dark-700 text-slate-400 hover:text-white'
|
||||
)}
|
||||
>
|
||||
{(v * 100).toFixed(0)}%
|
||||
</button>
|
||||
))}
|
||||
</div>
|
||||
</div>
|
||||
|
||||
<button
|
||||
onClick={onRefresh}
|
||||
disabled={loading}
|
||||
className={clsx(
|
||||
'flex items-center gap-1.5 px-3 py-1.5 rounded text-xs font-semibold transition-colors',
|
||||
'bg-slate-700 text-slate-300 hover:bg-slate-600'
|
||||
)}
|
||||
>
|
||||
<RefreshCw className={clsx('w-3.5 h-3.5', loading && 'animate-spin')} />
|
||||
Recalcul
|
||||
</button>
|
||||
</div>
|
||||
)
|
||||
}
|
||||
|
||||
// ─── Custom tooltip for histogram ─────────────────────────────────────────────
|
||||
|
||||
function HistoTooltip({ active, payload }: any) {
|
||||
if (!active || !payload?.length) return null
|
||||
const { x, count } = payload[0].payload
|
||||
return (
|
||||
<div className="bg-dark-800 border border-slate-700 rounded px-3 py-2 text-xs">
|
||||
<div className="text-slate-300">Ret: <span className="font-bold">{x.toFixed(3)}%</span></div>
|
||||
<div className="text-slate-400">Obs: {count}</div>
|
||||
</div>
|
||||
)
|
||||
}
|
||||
|
||||
function RollingTooltip({ active, payload, label }: any) {
|
||||
if (!active || !payload?.length) return null
|
||||
return (
|
||||
<div className="bg-dark-800 border border-slate-700 rounded px-3 py-2 text-xs">
|
||||
<div className="text-slate-500 mb-1">{label}</div>
|
||||
<div className="text-red-400 font-semibold">VaR: {payload[0]?.value?.toFixed(3)}%</div>
|
||||
</div>
|
||||
)
|
||||
}
|
||||
|
||||
// ─── Main page ────────────────────────────────────────────────────────────────
|
||||
|
||||
export default function VaRAnalysis() {
|
||||
const [confidence, setConfidence] = useState(0.95)
|
||||
const [horizon, setHorizon] = useState(1)
|
||||
const [lookback, setLookback] = useState(252)
|
||||
const [iv, setIv] = useState(0.20)
|
||||
const [refreshKey, setRefreshKey] = useState(0)
|
||||
|
||||
const params = useMemo(() => ({
|
||||
confidence,
|
||||
horizon_days: horizon,
|
||||
lookback_days: lookback,
|
||||
default_iv: iv,
|
||||
}), [confidence, horizon, lookback, iv, refreshKey]) // eslint-disable-line
|
||||
|
||||
const { data, isLoading, error } = useQuery({
|
||||
queryKey: ['var-compute', params],
|
||||
queryFn: () => fetchVar(params),
|
||||
staleTime: 60_000,
|
||||
})
|
||||
|
||||
const varData = data?.var
|
||||
const portfolio = data?.portfolio
|
||||
const histogram: { x: number; count: number }[] = data?.histogram ?? []
|
||||
const rolling: { date: string; var_95: number }[] = data?.rolling_var ?? []
|
||||
const positions: any[] = data?.positions ?? []
|
||||
const backtest = data?.backtest
|
||||
|
||||
// Color histogram bars: red if x < VaR threshold
|
||||
const histVarThreshold = varData?.historical?.var_1d_pct ?? 0
|
||||
|
||||
return (
|
||||
<div className="p-6 space-y-6 max-w-screen-xl mx-auto">
|
||||
{/* Header */}
|
||||
<div className="flex items-start justify-between flex-wrap gap-4">
|
||||
<div>
|
||||
<div className="flex items-center gap-3 mb-1">
|
||||
<ShieldAlert className="w-6 h-6 text-red-400" />
|
||||
<h1 className="text-xl font-bold text-white">Analyse VaR — Value at Risk</h1>
|
||||
</div>
|
||||
<p className="text-slate-400 text-sm">
|
||||
Approche delta Black-Scholes · {portfolio ? `${portfolio.n_positions} positions · Notionnel ${portfolio.total_notional_eur.toLocaleString('fr-FR')} EUR` : '—'}
|
||||
{portfolio?.data_source === 'simulated' && (
|
||||
<span className="ml-2 text-amber-400 text-xs">⚠ Données simulées (marché indisponible)</span>
|
||||
)}
|
||||
</p>
|
||||
</div>
|
||||
<ControlBar
|
||||
confidence={confidence} setConfidence={setConfidence}
|
||||
horizon={horizon} setHorizon={setHorizon}
|
||||
lookback={lookback} setLookback={setLookback}
|
||||
iv={iv} setIv={setIv}
|
||||
loading={isLoading}
|
||||
onRefresh={() => setRefreshKey(k => k + 1)}
|
||||
/>
|
||||
</div>
|
||||
|
||||
{/* Error state */}
|
||||
{error && (
|
||||
<div className="bg-red-900/20 border border-red-700/40 rounded-xl p-4 text-red-400 flex items-center gap-2">
|
||||
<AlertTriangle className="w-4 h-4 shrink-0" />
|
||||
<span>{String(error)}</span>
|
||||
</div>
|
||||
)}
|
||||
|
||||
{data?.error && (
|
||||
<div className="bg-amber-900/20 border border-amber-700/40 rounded-xl p-4 text-amber-400 flex items-center gap-2">
|
||||
<Info className="w-4 h-4 shrink-0" />
|
||||
<span>{data.error}</span>
|
||||
</div>
|
||||
)}
|
||||
|
||||
{/* VaR metric cards */}
|
||||
{varData && (
|
||||
<div className="grid grid-cols-1 md:grid-cols-3 gap-4">
|
||||
<MetricCard
|
||||
label="Historique"
|
||||
method="Percentile empirique"
|
||||
var1d={varData.historical.var_1d_pct}
|
||||
varNd={varData.historical.var_nd_pct}
|
||||
cvar={varData.historical.cvar_pct}
|
||||
horizon={horizon}
|
||||
color="blue"
|
||||
/>
|
||||
<MetricCard
|
||||
label="Paramétrique"
|
||||
method="Distribution normale"
|
||||
var1d={varData.parametric.var_1d_pct}
|
||||
varNd={varData.parametric.var_nd_pct}
|
||||
cvar={varData.parametric.cvar_pct}
|
||||
horizon={horizon}
|
||||
color="violet"
|
||||
/>
|
||||
<MetricCard
|
||||
label="Monte Carlo"
|
||||
method={`${(confidence * 100).toFixed(0)}% · vol stressée ×1.5`}
|
||||
var1d={varData.monte_carlo.var_1d_pct}
|
||||
varNd={varData.monte_carlo.var_nd_pct}
|
||||
cvar={varData.monte_carlo.cvar_pct}
|
||||
horizon={horizon}
|
||||
stressed
|
||||
color="orange"
|
||||
/>
|
||||
</div>
|
||||
)}
|
||||
|
||||
{/* EUR amounts */}
|
||||
{varData && portfolio && (
|
||||
<div className="grid grid-cols-3 md:grid-cols-6 gap-3">
|
||||
{[
|
||||
{ label: 'VaR Hist. 1J', val: varData.historical.var_1d_eur, color: 'blue' },
|
||||
{ label: 'CVaR Hist.', val: varData.historical.cvar_eur, color: 'blue' },
|
||||
{ label: 'VaR Param. 1J', val: varData.parametric.var_1d_eur, color: 'violet' },
|
||||
{ label: 'CVaR Param.', val: varData.parametric.cvar_eur, color: 'violet' },
|
||||
{ label: 'VaR MC Stressed', val: varData.monte_carlo.var_1d_eur, color: 'orange' },
|
||||
{ label: 'CVaR MC', val: varData.monte_carlo.cvar_eur, color: 'orange' },
|
||||
].map(({ label, val, color }) => (
|
||||
<div key={label} className={clsx('bg-dark-800 rounded-lg border p-3', `border-${color}-700/30`)}>
|
||||
<div className="text-xs text-slate-500 mb-1">{label}</div>
|
||||
<div className={clsx('font-bold text-sm', val < 0 ? 'text-red-400' : 'text-emerald-400')}>
|
||||
{val < 0 ? '' : '+'}{val.toLocaleString('fr-FR', { maximumFractionDigits: 0 })} €
|
||||
</div>
|
||||
</div>
|
||||
))}
|
||||
</div>
|
||||
)}
|
||||
|
||||
{/* Charts row */}
|
||||
<div className="grid grid-cols-1 lg:grid-cols-2 gap-4">
|
||||
{/* Returns distribution histogram */}
|
||||
<div className="bg-dark-800 border border-slate-700/40 rounded-xl p-4">
|
||||
<div className="flex items-center gap-2 mb-4">
|
||||
<Activity className="w-4 h-4 text-slate-400" />
|
||||
<h3 className="text-sm font-semibold text-white">Distribution des Retours</h3>
|
||||
<span className="text-xs text-slate-500 ml-auto">— trait rouge = VaR hist.</span>
|
||||
</div>
|
||||
{histogram.length > 0 ? (
|
||||
<ResponsiveContainer width="100%" height={220}>
|
||||
<BarChart data={histogram} margin={{ top: 4, right: 4, left: -20, bottom: 0 }}>
|
||||
<CartesianGrid strokeDasharray="3 3" stroke="#334155" />
|
||||
<XAxis dataKey="x" tick={{ fontSize: 10, fill: '#94a3b8' }} />
|
||||
<YAxis tick={{ fontSize: 10, fill: '#94a3b8' }} />
|
||||
<Tooltip content={<HistoTooltip />} />
|
||||
<ReferenceLine x={histVarThreshold} stroke="#f87171" strokeDasharray="4 2" strokeWidth={2} />
|
||||
<Bar dataKey="count" radius={[2, 2, 0, 0]}>
|
||||
{histogram.map((entry, i) => (
|
||||
<Cell key={i} fill={entry.x < histVarThreshold ? '#ef4444' : '#3b82f6'} fillOpacity={0.75} />
|
||||
))}
|
||||
</Bar>
|
||||
</BarChart>
|
||||
</ResponsiveContainer>
|
||||
) : (
|
||||
<div className="h-[220px] flex items-center justify-center text-slate-600 text-sm">
|
||||
{isLoading ? 'Calcul en cours…' : 'Aucune donnée'}
|
||||
</div>
|
||||
)}
|
||||
</div>
|
||||
|
||||
{/* Rolling VaR */}
|
||||
<div className="bg-dark-800 border border-slate-700/40 rounded-xl p-4">
|
||||
<div className="flex items-center gap-2 mb-4">
|
||||
<TrendingDown className="w-4 h-4 text-red-400" />
|
||||
<h3 className="text-sm font-semibold text-white">VaR 95% Glissante (fenêtre 30J)</h3>
|
||||
</div>
|
||||
{rolling.length > 0 ? (
|
||||
<ResponsiveContainer width="100%" height={220}>
|
||||
<LineChart data={rolling} margin={{ top: 4, right: 4, left: -20, bottom: 0 }}>
|
||||
<CartesianGrid strokeDasharray="3 3" stroke="#334155" />
|
||||
<XAxis
|
||||
dataKey="date"
|
||||
tick={{ fontSize: 9, fill: '#94a3b8' }}
|
||||
tickFormatter={d => d.slice(5)} // MM-DD
|
||||
interval={Math.floor(rolling.length / 6)}
|
||||
/>
|
||||
<YAxis tick={{ fontSize: 10, fill: '#94a3b8' }} unit="%" />
|
||||
<Tooltip content={<RollingTooltip />} />
|
||||
<ReferenceLine y={0} stroke="#475569" />
|
||||
<Line
|
||||
type="monotone"
|
||||
dataKey="var_95"
|
||||
stroke="#f87171"
|
||||
dot={false}
|
||||
strokeWidth={2}
|
||||
/>
|
||||
</LineChart>
|
||||
</ResponsiveContainer>
|
||||
) : (
|
||||
<div className="h-[220px] flex items-center justify-center text-slate-600 text-sm">
|
||||
{isLoading ? 'Calcul en cours…' : 'Historique insuffisant'}
|
||||
</div>
|
||||
)}
|
||||
</div>
|
||||
</div>
|
||||
|
||||
{/* Bottom row: positions + backtest */}
|
||||
<div className="grid grid-cols-1 lg:grid-cols-2 gap-4">
|
||||
{/* Positions deltas */}
|
||||
<div className="bg-dark-800 border border-slate-700/40 rounded-xl p-4">
|
||||
<h3 className="text-sm font-semibold text-white mb-3">Positions & Deltas</h3>
|
||||
{positions.length === 0 ? (
|
||||
<p className="text-slate-600 text-sm">{isLoading ? 'Chargement…' : 'Aucune position'}</p>
|
||||
) : (
|
||||
<div className="space-y-2">
|
||||
{positions.map((p, i) => (
|
||||
<div key={i} className="flex items-center justify-between text-xs py-1.5 border-b border-slate-700/30 last:border-0">
|
||||
<div className="min-w-0 flex-1">
|
||||
<span className="text-white font-semibold">{p.ticker}</span>
|
||||
<span className="text-slate-400 ml-2">{p.strategy}</span>
|
||||
{p.pattern && <div className="text-slate-600 truncate">{p.pattern}</div>}
|
||||
</div>
|
||||
<div className="flex items-center gap-4 shrink-0 ml-4">
|
||||
<span className={clsx(
|
||||
'font-mono font-semibold',
|
||||
Math.abs(p.delta) < 0.05 ? 'text-slate-500'
|
||||
: p.delta > 0 ? 'text-emerald-400' : 'text-red-400'
|
||||
)}>
|
||||
Δ {p.delta > 0 ? '+' : ''}{p.delta.toFixed(3)}
|
||||
</span>
|
||||
<span className="text-slate-500 font-mono">{p.notional.toLocaleString('fr-FR', { maximumFractionDigits: 0 })} €</span>
|
||||
</div>
|
||||
</div>
|
||||
))}
|
||||
</div>
|
||||
)}
|
||||
</div>
|
||||
|
||||
{/* Backtest Kupiec */}
|
||||
{backtest && (
|
||||
<div className="bg-dark-800 border border-slate-700/40 rounded-xl p-4">
|
||||
<h3 className="text-sm font-semibold text-white mb-3">Backtest — Test de Kupiec</h3>
|
||||
<div className="space-y-3">
|
||||
<div className="flex justify-between items-center">
|
||||
<span className="text-slate-400 text-sm">Observations</span>
|
||||
<span className="text-white font-semibold">{backtest.n_observations}</span>
|
||||
</div>
|
||||
<div className="flex justify-between items-center">
|
||||
<span className="text-slate-400 text-sm">Violations VaR</span>
|
||||
<span className="text-white font-semibold">{backtest.n_breaches}</span>
|
||||
</div>
|
||||
<div className="flex justify-between items-center">
|
||||
<span className="text-slate-400 text-sm">Taux réel</span>
|
||||
<span className={clsx('font-semibold', backtest.kupiec_ok ? 'text-emerald-400' : 'text-red-400')}>
|
||||
{backtest.breach_rate_pct}%
|
||||
</span>
|
||||
</div>
|
||||
<div className="flex justify-between items-center">
|
||||
<span className="text-slate-400 text-sm">Taux attendu</span>
|
||||
<span className="text-slate-300">{backtest.expected_breach_rate_pct}%</span>
|
||||
</div>
|
||||
<div className={clsx(
|
||||
'flex items-center gap-2 p-3 rounded-lg text-sm',
|
||||
backtest.kupiec_ok
|
||||
? 'bg-emerald-900/20 border border-emerald-700/40 text-emerald-400'
|
||||
: 'bg-red-900/20 border border-red-700/40 text-red-400'
|
||||
)}>
|
||||
{backtest.kupiec_ok
|
||||
? '✓ Modèle validé — violations dans la tolérance'
|
||||
: '✗ Excès de violations — modèle sous-estime le risque'}
|
||||
</div>
|
||||
<div className="text-xs text-slate-600 mt-1">
|
||||
Règle : taux réel ≤ 2× taux attendu ({backtest.expected_breach_rate_pct * 2}%)
|
||||
</div>
|
||||
</div>
|
||||
</div>
|
||||
)}
|
||||
</div>
|
||||
</div>
|
||||
)
|
||||
}
|
||||
Reference in New Issue
Block a user