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
2026-06-19 23:15:39 +02:00
parent 27846a1b63
commit d64d1029bf
6 changed files with 756 additions and 1 deletions

View File

@@ -17,6 +17,7 @@ import Analytics from './pages/Analytics'
import AnalyticsAdvanced from './pages/AnalyticsAdvanced'
import RiskDashboard from './pages/RiskDashboard'
import SystemLogs from './pages/SystemLogs'
import VaRAnalysis from './pages/VaRAnalysis'
import { useCycleWatcher } from './hooks/useApi'
function GlobalWatcher() {
@@ -48,6 +49,7 @@ export default function App() {
<Route path="/analytics" element={<Analytics />} />
<Route path="/analytics-advanced" element={<AnalyticsAdvanced />} />
<Route path="/risk" element={<RiskDashboard />} />
<Route path="/var" element={<VaRAnalysis />} />
<Route path="/logs" element={<SystemLogs />} />
</Routes>
</main>