670 lines
35 KiB
TypeScript
670 lines
35 KiB
TypeScript
import { useState, useMemo, useEffect, useRef } from 'react'
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import { RefreshCw, Sliders, Wifi, WifiOff } from 'lucide-react'
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import clsx from 'clsx'
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// ── Types ──────────────────────────────────────────────────────────────────────
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interface Params {
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// FED / US
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fed_rate: number // absolute, step 0.25
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fed_tone: number // –3 hawkish … +3 dovish
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cpi_us_surprise: number // ±0.5 %
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nfp_surprise: number // ±300 k
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pmi_us: number // 40–65
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// ECB / EU
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ecb_rate: number // absolute, step 0.25
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ecb_tone: number // –3 hawkish … +3 dovish
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cpi_eu_surprise: number // ±0.5 %
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pmi_eu: number // 40–65
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// Markets
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vix: number // 10–60
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oil: number // 40–130
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real_yield_us: number // –1 … 4 %
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// Base anchors (set from live data, not displayed as sliders)
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us_2y: number
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us_10y: number
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eu_2y: number
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eu_10y: number
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eurusd: number
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}
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interface ModelResult {
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fed_rate_pressure: number // rate channel signal (→ 2Y primarily)
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fed_fwd_signal: number // tone/data channel signal (→ 10Y primarily)
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ecb_rate_pressure: number
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ecb_fwd_signal: number
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us_2y_implied: number
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us_10y_implied: number
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eu_2y_implied: number
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eu_10y_implied: number
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rate_diff_2y: number
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rate_diff_10y: number
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eurusd: number
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delta_pips: number
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contribs: { label: string; pips: number; color: 'red' | 'green' | 'slate' }[]
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}
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// ── Hardcoded fallback ─────────────────────────────────────────────────────────
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const FALLBACK: Params = {
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fed_rate: 4.25, ecb_rate: 3.65,
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fed_tone: 0, ecb_tone: 0,
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cpi_us_surprise: 0, cpi_eu_surprise: 0,
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nfp_surprise: 0,
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pmi_us: 50, pmi_eu: 50,
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vix: 18, oil: 80, real_yield_us: 2.1,
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us_2y: 4.50, us_10y: 4.30,
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eu_2y: 2.80, eu_10y: 2.60,
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eurusd: 1.1450,
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}
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// ── Causal model ───────────────────────────────────────────────────────────────
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//
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// Two distinct transmission channels:
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// 1. Rate channel (fait accompli → anchors short end):
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// fed_rate change → US 2Y (coefficient ~0.085)
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// 2. Expectation/tone channel (forward guidance → long end):
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// fed_tone + CPI/NFP surprises → US 10Y (coefficient ~0.070)
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// with residual bleed into 2Y (~0.030) and 10Y from rate (~0.035)
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//
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// EUR/USD pip contributions:
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// Δ 2Y differential → −500 pips / 1% spread widening
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// Δ 10Y differential → −200 pips / 1% spread widening
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// PMI diff, VIX, real yield, oil as secondary channels
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function compute(p: Params, base: Params): ModelResult {
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// ── Rate pressure (current policy rate, already priced → hits 2Y hard) ─────
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const fed_rate_pressure = (p.fed_rate - base.fed_rate) / 0.25 // units of 25bps
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const ecb_rate_pressure = (p.ecb_rate - base.ecb_rate) / 0.25
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// ── Forward guidance / expectations (tone + data → shapes future path) ──────
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// Positive = hawkish signal for USD (tone: +3 dovish → signal = −3*1.2 → negative → dovish)
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const fed_fwd_signal =
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-p.fed_tone * 1.2
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+ p.cpi_us_surprise / 0.1 * 0.50 // hot CPI → more hikes expected
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+ p.nfp_surprise / 100 * 0.35 // strong jobs → Fed stays restrictive
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const ecb_fwd_signal =
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-p.ecb_tone * 1.2
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+ p.cpi_eu_surprise / 0.1 * 0.45
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+ (p.pmi_eu - 50) / 5 * 0.22
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// ── Implied yields ─────────────────────────────────────────────────────────
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// 2Y: 90% anchored by current rate, 10% by near-term guidance
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const us_2y_delta = fed_rate_pressure * 0.085 + fed_fwd_signal * 0.030
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const eu_2y_delta = ecb_rate_pressure * 0.080 + ecb_fwd_signal * 0.025
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// 10Y: 35% by current rate (level shift), 65% by long-term expectations
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const us_10y_delta = fed_rate_pressure * 0.035 + fed_fwd_signal * 0.070 + (p.pmi_us - 50) / 50 * 0.012
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const eu_10y_delta = ecb_rate_pressure * 0.030 + ecb_fwd_signal * 0.060 + (p.pmi_eu - 50) / 50 * 0.012
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const us_2y_implied = base.us_2y + us_2y_delta
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const us_10y_implied = base.us_10y + us_10y_delta
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const eu_2y_implied = base.eu_2y + eu_2y_delta
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const eu_10y_implied = base.eu_10y + eu_10y_delta
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const rate_diff_2y = us_2y_implied - eu_2y_implied
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const rate_diff_10y = us_10y_implied - eu_10y_implied
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const delta_diff_2y = rate_diff_2y - (base.us_2y - base.eu_2y)
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const delta_diff_10y = rate_diff_10y - (base.us_10y - base.eu_10y)
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// ── Secondary channels ─────────────────────────────────────────────────────
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const pmi_diff = (p.pmi_eu - 50) - (p.pmi_us - 50)
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const vix_dev = p.vix - base.vix
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const ry_dev = p.real_yield_us - base.real_yield_us
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const oil_dev = p.oil - base.oil
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// ── Pip contributions ──────────────────────────────────────────────────────
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const c_2y = Math.round(-delta_diff_2y * 500) // rate channel (dominant)
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const c_10y = Math.round(-delta_diff_10y * 200) // tone/expectations channel
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const c_pmi = Math.round(pmi_diff * 7)
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const c_vix = Math.round(-vix_dev * 4)
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const c_ry = Math.round(-ry_dev * 100)
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const c_oil = Math.round(oil_dev * 0.5)
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const total_pips = c_2y + c_10y + c_pmi + c_vix + c_ry + c_oil
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const contribs = ([
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{ label: 'Δ 2Y — taux directeurs', pips: c_2y, color: c_2y < 0 ? 'red' : c_2y > 0 ? 'green' : 'slate' },
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{ label: 'Δ 10Y — anticipations/ton', pips: c_10y, color: c_10y < 0 ? 'red' : c_10y > 0 ? 'green' : 'slate' },
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{ label: 'PMI diff (EU−US)', pips: c_pmi, color: c_pmi > 0 ? 'green' : c_pmi < 0 ? 'red' : 'slate' },
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{ label: 'VIX / Risk-off', pips: c_vix, color: c_vix < 0 ? 'red' : c_vix > 0 ? 'green' : 'slate' },
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{ label: 'Taux réel US', pips: c_ry, color: c_ry < 0 ? 'red' : c_ry > 0 ? 'green' : 'slate' },
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{ label: 'Pétrole', pips: c_oil, color: c_oil > 0 ? 'green' : c_oil < 0 ? 'red' : 'slate' },
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] as ModelResult['contribs']).sort((a, b) => Math.abs(b.pips) - Math.abs(a.pips))
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return {
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fed_rate_pressure, fed_fwd_signal,
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ecb_rate_pressure, ecb_fwd_signal,
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us_2y_implied, us_10y_implied,
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eu_2y_implied, eu_10y_implied,
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rate_diff_2y, rate_diff_10y,
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eurusd: base.eurusd + total_pips / 10000,
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delta_pips: total_pips,
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contribs,
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}
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}
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// ── Slider (with click-to-edit value) ─────────────────────────────────────────
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function Slider({
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label, value, min, max, step, format, onChange,
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colorize = false, reverse = false, center,
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}: {
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label: string; value: number; min: number; max: number; step: number
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format: (v: number) => string; onChange: (v: number) => void
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colorize?: boolean; reverse?: boolean; center?: number
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}) {
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const [editing, setEditing] = useState(false)
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const [draft, setDraft] = useState('')
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const pct = ((value - min) / (max - min)) * 100
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const pivot = center ?? 0
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const mid = Math.max(0, Math.min(100, ((pivot - min) / (max - min)) * 100))
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const atBase = Math.abs(value - pivot) < step / 2
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let trackColor = 'bg-blue-500'
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if (colorize) {
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const pos = reverse ? value < pivot : value > pivot
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trackColor = atBase ? 'bg-slate-600' : pos ? 'bg-emerald-500' : 'bg-rose-500'
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}
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const startEdit = () => { setDraft(String(value)); setEditing(true) }
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const commitEdit = () => {
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const v = parseFloat(draft.replace(',', '.'))
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if (!isNaN(v)) {
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const clamped = Math.max(min, Math.min(max, v))
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const snapped = Math.round((clamped - min) / step) * step + min
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onChange(parseFloat(snapped.toFixed(10)))
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}
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setEditing(false)
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}
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const isColored = colorize && !atBase
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const valueColor = isColored
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? (reverse ? value < pivot : value > pivot) ? 'text-emerald-400' : 'text-rose-400'
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: 'text-white'
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return (
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<div className="space-y-1">
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<div className="flex items-center justify-between gap-2">
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<span className="text-xs text-slate-400 flex-1 min-w-0 truncate">{label}</span>
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{editing ? (
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<input
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autoFocus
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type="number"
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min={min} max={max} step={step}
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value={draft}
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onChange={e => setDraft(e.target.value)}
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onBlur={commitEdit}
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onKeyDown={e => {
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if (e.key === 'Enter') commitEdit()
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if (e.key === 'Escape') setEditing(false)
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}}
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className="w-20 bg-dark-900 border border-blue-500 rounded px-2 py-0.5 text-xs font-mono text-white text-right outline-none [appearance:textfield] [&::-webkit-inner-spin-button]:appearance-none [&::-webkit-outer-spin-button]:appearance-none"
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/>
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) : (
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<button
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onClick={startEdit}
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title="Cliquer pour saisir une valeur"
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className={clsx(
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'text-xs font-mono font-semibold shrink-0 px-1 py-0.5 rounded hover:bg-slate-700/40 cursor-text transition-colors',
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valueColor,
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)}
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>
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{format(value)}
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</button>
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)}
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</div>
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<div className="relative h-1.5 bg-dark-900 rounded overflow-hidden">
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<div className={clsx('absolute h-full rounded transition-all', trackColor)}
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style={colorize
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? { left: `${Math.min(pct, mid)}%`, width: `${Math.abs(pct - mid)}%` }
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: { left: 0, width: `${pct}%` }} />
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{colorize && (
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<div className="absolute top-0 bottom-0 w-0.5 bg-slate-400 transition-all"
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style={{ left: `${Math.min(98.5, pct)}%` }} />
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)}
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<input type="range" min={min} max={max} step={step} value={value}
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onChange={e => onChange(parseFloat(e.target.value))}
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className="absolute inset-0 w-full opacity-0 cursor-pointer h-full" />
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</div>
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</div>
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)
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}
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// ── Tone selector ─────────────────────────────────────────────────────────────
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const TONES = [
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{ v: -3, label: 'Très\nhawkish', color: 'border-rose-600/60 bg-rose-900/30 text-rose-300' },
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{ v: -1.5, label: 'Hawkish', color: 'border-rose-700/40 bg-rose-900/10 text-rose-400' },
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{ v: 0, label: 'Neutre', color: 'border-slate-600/40 bg-dark-800 text-slate-300' },
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{ v: 1.5, label: 'Dovish', color: 'border-emerald-700/40 bg-emerald-900/10 text-emerald-400' },
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{ v: 3, label: 'Très\ndovish', color: 'border-emerald-600/60 bg-emerald-900/30 text-emerald-300' },
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]
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function ToneSelector({ label, value, onChange }: { label: string; value: number; onChange: (v: number) => void }) {
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return (
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<div className="space-y-1">
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<span className="text-xs text-slate-400">{label}</span>
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<div className="flex gap-1">
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{TONES.map(o => (
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<button key={o.v} onClick={() => onChange(o.v)}
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className={clsx('flex-1 px-1 py-1 rounded border text-[10px] leading-tight text-center transition-colors whitespace-pre-line',
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value === o.v ? o.color : 'border-slate-700/30 text-slate-600 bg-dark-900 hover:border-slate-600',
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)}>
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{o.label}
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</button>
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))}
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</div>
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</div>
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)
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}
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// ── Causal chain SVG ──────────────────────────────────────────────────────────
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// Two-channel layout:
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// Solid arrows = rate channel (taux directeurs → 2Y)
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// Dashed arrows = tone/expectations channel (ton + données → 10Y)
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function CausalChain({ r, base }: { r: ModelResult; base: Params }) {
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const sign = (v: number) => v > 0 ? '+' : ''
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const delta2yVal = r.rate_diff_2y - (base.us_2y - base.eu_2y)
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const delta10yVal = r.rate_diff_10y - (base.us_10y - base.eu_10y)
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const col3 = (v: number, threshold = 0.03): string =>
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Math.abs(v) < threshold ? '#94a3b8' : v > 0 ? '#f87171' : '#34d399'
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const fedRateC = col3(r.fed_rate_pressure, 0.3)
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const fedFwdC = col3(r.fed_fwd_signal, 0.5)
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const ecbRateC = col3(-r.ecb_rate_pressure, 0.3) // flipped: ECB hawkish → EUR up → green
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const ecbFwdC = col3(-r.ecb_fwd_signal, 0.5)
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const us2C = col3(r.us_2y_implied - base.us_2y)
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const us10C = col3(r.us_10y_implied - base.us_10y)
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const eu2C = col3(-(r.eu_2y_implied - base.eu_2y)) // EU yield up → EUR/USD up → green
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const eu10C = col3(-(r.eu_10y_implied - base.eu_10y))
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const diff2C = col3(delta2yVal, 0.02)
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const diff10C = col3(delta10yVal, 0.02)
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const fxC = r.delta_pips < -5 ? '#f87171' : r.delta_pips > 5 ? '#34d399' : '#94a3b8'
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const aw = (v: number) => Math.max(1, Math.min(3.5, Math.abs(v) * 1.2 + 1))
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const W = 400, H = 490
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const fedX = 100, ecbX = 300
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const us2X = 52, us10X = 155
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const eu2X = 348, eu10X = 245
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const diff2X = 140, diff10X = 260
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const vixX = 28
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const cX = 200
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const yIn1 = 38, yIn2 = 74
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const yCB = 132
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const yYld = 220
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const yDiff = 310
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const yFX = 400
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const COLORS = ['#f87171', '#34d399', '#94a3b8']
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const mk = (id: string, c: string) => (
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<marker key={id} id={id} viewBox="0 0 6 6" refX={5} refY={3} markerWidth={4} markerHeight={4} orient="auto">
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<path d="M0,0 L6,3 L0,6 Z" fill={c} />
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</marker>
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)
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const Node = ({ x, y, label, sub, col, w = 88 }: { x: number; y: number; label: string; sub?: string; col: string; w?: number }) => (
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<g>
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<rect x={x - w / 2} y={y - 16} width={w} height={sub ? 32 : 26} rx={5} fill="#1e293b" stroke={col} strokeWidth={1.5} />
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<text x={x} y={y - 2} textAnchor="middle" fill={col} fontSize={9.5} fontWeight={600}>{label}</text>
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{sub && <text x={x} y={y + 11} textAnchor="middle" fill={col} fontSize={8.5} opacity={0.75}>{sub}</text>}
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</g>
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)
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const Arr = ({ x1, y1, x2, y2, col, w, dashed = false }: { x1: number; y1: number; x2: number; y2: number; col: string; w: number; dashed?: boolean }) => (
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<line x1={x1} y1={y1} x2={x2} y2={y2} stroke={col} strokeWidth={w} opacity={0.65}
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strokeDasharray={dashed ? '5 3' : undefined}
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markerEnd={`url(#a${col.replace('#', '')})`} />
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)
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return (
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<svg width={W} height={H} viewBox={`0 0 ${W} ${H}`} className="w-full">
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<defs>{COLORS.map(c => mk(`a${c.replace('#', '')}`, c))}</defs>
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{/* US inputs */}
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<Node x={fedX - 22} y={yIn1} label="CPI US / NFP" col={r.fed_fwd_signal > 0.4 ? '#f87171' : '#94a3b8'} w={98} />
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<Node x={fedX + 30} y={yIn2} label="PMI US" col="#94a3b8" w={70} />
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<Arr x1={fedX - 8} y1={yIn1 + 14} x2={fedX - 5} y2={yCB - 17} col={fedRateC} w={1.4} />
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<Arr x1={fedX + 28} y1={yIn2 + 13} x2={fedX + 8} y2={yCB - 17} col="#94a3b8" w={1.1} dashed />
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{/* EU inputs */}
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<Node x={ecbX + 22} y={yIn1} label="CPI EU / PMI" col={r.ecb_fwd_signal > 0.4 ? '#34d399' : '#94a3b8'} w={98} />
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<Arr x1={ecbX + 8} y1={yIn1 + 14} x2={ecbX + 5} y2={yCB - 17} col={ecbRateC} w={1.4} />
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{/* CB nodes */}
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<Node x={fedX} y={yCB} label="FED"
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sub={`taux ${sign(r.fed_rate_pressure)}${r.fed_rate_pressure.toFixed(1)} | ton ${sign(r.fed_fwd_signal)}${r.fed_fwd_signal.toFixed(1)}`}
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col={fedRateC} w={118} />
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<Node x={ecbX} y={yCB} label="BCE"
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sub={`taux ${sign(r.ecb_rate_pressure)}${r.ecb_rate_pressure.toFixed(1)} | ton ${sign(r.ecb_fwd_signal)}${r.ecb_fwd_signal.toFixed(1)}`}
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col={ecbRateC} w={118} />
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{/* FED → US 2Y (solid, rate) and FED → US 10Y (dashed, tone) */}
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<Arr x1={fedX - 18} y1={yCB + 17} x2={us2X + 8} y2={yYld - 17} col={us2C} w={aw(Math.abs(r.fed_rate_pressure) * 0.085)} />
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<Arr x1={fedX + 18} y1={yCB + 17} x2={us10X - 8} y2={yYld - 17} col={us10C} w={aw(Math.abs(r.fed_fwd_signal) * 0.07)} dashed />
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{/* BCE → EU 2Y (solid) and BCE → EU 10Y (dashed) */}
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<Arr x1={ecbX + 18} y1={yCB + 17} x2={eu2X - 8} y2={yYld - 17} col={eu2C} w={aw(Math.abs(r.ecb_rate_pressure) * 0.080)} />
|
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<Arr x1={ecbX - 18} y1={yCB + 17} x2={eu10X + 8} y2={yYld - 17} col={eu10C} w={aw(Math.abs(r.ecb_fwd_signal) * 0.060)} dashed />
|
||
|
||
{/* Yield nodes */}
|
||
<Node x={us2X} y={yYld} label="US 2Y" sub={`${r.us_2y_implied.toFixed(2)}%`} col={us2C} w={76} />
|
||
<Node x={us10X} y={yYld} label="US 10Y" sub={`${r.us_10y_implied.toFixed(2)}%`} col={us10C} w={76} />
|
||
<Node x={eu2X} y={yYld} label="Bund 2Y" sub={`${r.eu_2y_implied.toFixed(2)}%`} col={eu2C} w={76} />
|
||
<Node x={eu10X} y={yYld} label="Bund 10Y" sub={`${r.eu_10y_implied.toFixed(2)}%`} col={eu10C} w={76} />
|
||
|
||
{/* Yields → differentials */}
|
||
<Arr x1={us2X + 20} y1={yYld + 16} x2={diff2X - 8} y2={yDiff - 17} col={us2C} w={aw(Math.abs(r.us_2y_implied - base.us_2y))} />
|
||
<Arr x1={eu2X - 20} y1={yYld + 16} x2={diff2X + 8} y2={yDiff - 17} col={eu2C} w={aw(Math.abs(r.eu_2y_implied - base.eu_2y))} />
|
||
<Arr x1={us10X + 14} y1={yYld + 16} x2={diff10X - 8} y2={yDiff - 17} col={us10C} w={aw(Math.abs(r.us_10y_implied - base.us_10y))} dashed />
|
||
<Arr x1={eu10X - 14} y1={yYld + 16} x2={diff10X + 8} y2={yDiff - 17} col={eu10C} w={aw(Math.abs(r.eu_10y_implied - base.eu_10y))} dashed />
|
||
|
||
{/* Differential nodes */}
|
||
<Node x={diff2X} y={yDiff} label="Δ 2Y (taux)" sub={`${r.rate_diff_2y.toFixed(2)}% US−EU`} col={diff2C} w={108} />
|
||
<Node x={diff10X} y={yDiff} label="Δ 10Y (anticipations)" sub={`${r.rate_diff_10y.toFixed(2)}% US−EU`} col={diff10C} w={114} />
|
||
|
||
{/* VIX (left) */}
|
||
<Node x={vixX} y={yDiff} label="VIX" sub="risk" col="#94a3b8" w={48} />
|
||
<Arr x1={vixX + 24} y1={yDiff + 8} x2={cX - 68} y2={yFX - 16} col="#94a3b8" w={1.2} />
|
||
|
||
{/* Differentials → EURUSD */}
|
||
<Arr x1={diff2X + 12} y1={yDiff + 17} x2={cX - 22} y2={yFX - 22} col={diff2C} w={aw(Math.abs(delta2yVal) * 5)} />
|
||
<Arr x1={diff10X - 12} y1={yDiff + 17} x2={cX + 22} y2={yFX - 22} col={diff10C} w={aw(Math.abs(delta10yVal) * 2)} dashed />
|
||
|
||
{/* EURUSD box */}
|
||
<rect x={cX - 78} y={yFX - 22} width={156} height={44} rx={8} fill="#1e3a5f" stroke={fxC} strokeWidth={2} />
|
||
<text x={cX} y={yFX - 5} textAnchor="middle" fill={fxC} fontSize={11} fontWeight={700}>EURUSD</text>
|
||
<text x={cX} y={yFX + 13} textAnchor="middle" fill={fxC} fontSize={13} fontWeight={800}>{r.eurusd.toFixed(4)}</text>
|
||
|
||
{/* Legend */}
|
||
<line x1={cX - 64} y1={H - 14} x2={cX - 46} y2={H - 14} stroke="#64748b" strokeWidth={1.5} opacity={0.7} />
|
||
<text x={cX - 41} y={H - 10} fill="#64748b" fontSize={8} opacity={0.7}>taux (2Y)</text>
|
||
<line x1={cX + 18} y1={H - 14} x2={cX + 36} y2={H - 14} stroke="#64748b" strokeWidth={1.5} strokeDasharray="5 3" opacity={0.7} />
|
||
<text x={cX + 40} y={H - 10} fill="#64748b" fontSize={8} opacity={0.7}>ton (10Y)</text>
|
||
</svg>
|
||
)
|
||
}
|
||
|
||
// ── Sensitivity bar ────────────────────────────────────────────────────────────
|
||
|
||
function SensBar({ label, pips, maxAbs }: { label: string; pips: number; maxAbs: number }) {
|
||
const pct = maxAbs > 0 ? (Math.abs(pips) / maxAbs) * 100 : 0
|
||
return (
|
||
<div className="grid grid-cols-[140px_1fr_48px] items-center gap-2">
|
||
<span className="text-xs text-slate-400 truncate">{label}</span>
|
||
<div className="h-2 bg-dark-900 rounded overflow-hidden">
|
||
<div className={clsx('h-full rounded transition-all', pips > 0 ? 'bg-emerald-500' : 'bg-rose-500')}
|
||
style={{ width: `${pct}%` }} />
|
||
</div>
|
||
<span className={clsx('text-xs font-mono text-right', pips > 0 ? 'text-emerald-400' : 'text-rose-400')}>
|
||
{pips > 0 ? '+' : ''}{pips}p
|
||
</span>
|
||
</div>
|
||
)
|
||
}
|
||
|
||
function Section({ title, children, color }: { title: string; children: React.ReactNode; color: string }) {
|
||
return (
|
||
<div className={clsx('rounded-lg border p-3 space-y-3', color)}>
|
||
<div className="text-xs font-semibold uppercase tracking-wider text-slate-300">{title}</div>
|
||
{children}
|
||
</div>
|
||
)
|
||
}
|
||
|
||
// ── Main page ─────────────────────────────────────────────────────────────────
|
||
|
||
interface Baseline {
|
||
fed_rate: number; ecb_rate: number
|
||
us_2y: number; us_10y: number
|
||
eu_2y: number; eu_10y: number
|
||
eurusd: number; vix: number; oil: number; real_yield_us: number
|
||
fetched_at?: string; sources?: Record<string, string>
|
||
}
|
||
|
||
export default function EuroSimulator() {
|
||
const [base, setBase] = useState<Params>(FALLBACK)
|
||
const [p, setP] = useState<Params>(FALLBACK)
|
||
const [liveStatus, setLive] = useState<'loading' | 'ok' | 'fallback'>('loading')
|
||
const [fetchedAt, setAt] = useState<string | null>(null)
|
||
const [sources, setSources] = useState<Record<string, string>>({})
|
||
const fetched = useRef(false)
|
||
|
||
const set = (k: keyof Params, v: number) => setP(prev => ({ ...prev, [k]: v }))
|
||
|
||
useEffect(() => {
|
||
if (fetched.current) return
|
||
fetched.current = true
|
||
fetch('/api/simulator/baseline')
|
||
.then(r => r.json())
|
||
.then((data: Baseline) => {
|
||
const newBase: Params = {
|
||
...FALLBACK,
|
||
fed_rate: data.fed_rate ?? FALLBACK.fed_rate,
|
||
ecb_rate: data.ecb_rate ?? FALLBACK.ecb_rate,
|
||
us_2y: data.us_2y ?? FALLBACK.us_2y,
|
||
us_10y: data.us_10y ?? FALLBACK.us_10y,
|
||
eu_2y: data.eu_2y ?? FALLBACK.eu_2y,
|
||
eu_10y: data.eu_10y ?? FALLBACK.eu_10y,
|
||
eurusd: data.eurusd ?? FALLBACK.eurusd,
|
||
vix: data.vix ?? FALLBACK.vix,
|
||
oil: data.oil ?? FALLBACK.oil,
|
||
real_yield_us: data.real_yield_us ?? FALLBACK.real_yield_us,
|
||
}
|
||
setBase(newBase)
|
||
setP(newBase)
|
||
setLive('ok')
|
||
setAt(data.fetched_at ?? null)
|
||
setSources(data.sources ?? {})
|
||
})
|
||
.catch(() => setLive('fallback'))
|
||
}, [])
|
||
|
||
const r = useMemo(() => compute(p, base), [p, base])
|
||
|
||
const maxAbs = useMemo(() => Math.max(1, ...r.contribs.map(c => Math.abs(c.pips))), [r.contribs])
|
||
const eurusdColor = r.delta_pips < -5 ? 'text-rose-400' : r.delta_pips > 5 ? 'text-emerald-400' : 'text-slate-300'
|
||
|
||
return (
|
||
<div className="p-4 max-w-[1400px] mx-auto space-y-4">
|
||
|
||
{/* Header */}
|
||
<div className="flex items-center justify-between">
|
||
<div className="flex items-center gap-3">
|
||
<Sliders className="w-5 h-5 text-blue-400" />
|
||
<div>
|
||
<h1 className="text-lg font-bold text-white">Simulateur EUR/USD</h1>
|
||
<p className="text-xs text-slate-500">Modèle causal 2 canaux — taux directeurs → 2Y · ton/données → 10Y</p>
|
||
</div>
|
||
</div>
|
||
|
||
<div className="flex items-center gap-3">
|
||
<div className={clsx('flex items-center gap-1.5 px-2.5 py-1 rounded border text-xs',
|
||
liveStatus === 'loading' ? 'border-slate-700/40 text-slate-500' :
|
||
liveStatus === 'ok' ? 'border-emerald-700/40 bg-emerald-900/20 text-emerald-400' :
|
||
'border-amber-700/40 bg-amber-900/20 text-amber-400',
|
||
)}>
|
||
{liveStatus === 'ok' ? <Wifi className="w-3 h-3" /> : <WifiOff className="w-3 h-3" />}
|
||
{liveStatus === 'loading' ? 'Chargement…' :
|
||
liveStatus === 'ok' ? `Live — base ${fetchedAt ? fetchedAt.slice(0, 10) : ''}` :
|
||
'Fallback — données hardcodées'}
|
||
</div>
|
||
|
||
<button onClick={() => setP(base)}
|
||
className="flex items-center gap-1.5 px-3 py-1.5 rounded border border-slate-700/40 text-xs text-slate-400 hover:text-white hover:border-slate-500 transition-colors">
|
||
<RefreshCw className="w-3.5 h-3.5" />
|
||
Reset
|
||
</button>
|
||
</div>
|
||
</div>
|
||
|
||
<div className="grid grid-cols-[320px_1fr_280px] gap-4 items-start">
|
||
|
||
{/* ── Controls ──────────────────────────────────────────────────────── */}
|
||
<div className="space-y-3">
|
||
|
||
<Section title="🇺🇸 Politique monétaire US (FED)" color="border-rose-900/30 bg-rose-950/10">
|
||
<Slider label="Taux directeur FED" value={p.fed_rate} min={0} max={6} step={0.25}
|
||
format={v => `${v.toFixed(2)}%`} onChange={v => set('fed_rate', v)} />
|
||
<ToneSelector label="Ton FED" value={p.fed_tone} onChange={v => set('fed_tone', v)} />
|
||
<Slider label="Surprise CPI US" value={p.cpi_us_surprise} min={-0.5} max={0.5} step={0.05}
|
||
format={v => `${v > 0 ? '+' : ''}${v.toFixed(2)}%`}
|
||
onChange={v => set('cpi_us_surprise', v)} colorize reverse />
|
||
<Slider label="Surprise NFP" value={p.nfp_surprise} min={-300} max={300} step={10}
|
||
format={v => `${v > 0 ? '+' : ''}${v}k`}
|
||
onChange={v => set('nfp_surprise', v)} colorize reverse />
|
||
<Slider label="PMI manufacturier US" value={p.pmi_us} min={40} max={65} step={0.5}
|
||
format={v => v.toFixed(1)} onChange={v => set('pmi_us', v)} />
|
||
</Section>
|
||
|
||
<Section title="🇪🇺 Politique monétaire EU (BCE)" color="border-emerald-900/30 bg-emerald-950/10">
|
||
<Slider label="Taux directeur BCE" value={p.ecb_rate} min={0} max={5} step={0.25}
|
||
format={v => `${v.toFixed(2)}%`} onChange={v => set('ecb_rate', v)} />
|
||
<ToneSelector label="Ton BCE" value={p.ecb_tone} onChange={v => set('ecb_tone', v)} />
|
||
<Slider label="Surprise CPI EU" value={p.cpi_eu_surprise} min={-0.5} max={0.5} step={0.05}
|
||
format={v => `${v > 0 ? '+' : ''}${v.toFixed(2)}%`}
|
||
onChange={v => set('cpi_eu_surprise', v)} colorize />
|
||
<Slider label="PMI manufacturier EU" value={p.pmi_eu} min={40} max={65} step={0.5}
|
||
format={v => v.toFixed(1)} onChange={v => set('pmi_eu', v)} />
|
||
</Section>
|
||
|
||
<Section title="📊 Marchés & sentiment" color="border-slate-700/30 bg-dark-800/60">
|
||
<Slider label="VIX" value={p.vix} min={10} max={60} step={0.5}
|
||
format={v => v.toFixed(1)} onChange={v => set('vix', v)}
|
||
colorize reverse center={base.vix} />
|
||
<Slider label="Pétrole (USD/bbl)" value={p.oil} min={40} max={130} step={1}
|
||
format={v => `$${v.toFixed(0)}`} onChange={v => set('oil', v)} />
|
||
<Slider label="Taux réel US 10Y" value={p.real_yield_us} min={-1} max={4} step={0.05}
|
||
format={v => `${v > 0 ? '+' : ''}${v.toFixed(2)}%`}
|
||
onChange={v => set('real_yield_us', v)} colorize reverse center={base.real_yield_us} />
|
||
</Section>
|
||
|
||
{/* Sources panel */}
|
||
{liveStatus === 'ok' && Object.keys(sources).length > 0 && (
|
||
<div className="rounded-lg border border-slate-800/60 bg-dark-900/60 p-3 space-y-1">
|
||
<div className="text-[10px] text-slate-600 uppercase tracking-wider mb-1">Sources baseline</div>
|
||
{Object.entries(sources).map(([k, v]) => (
|
||
<div key={k} className="flex justify-between text-[10px]">
|
||
<span className="text-slate-600">{k}</span>
|
||
<span className="text-slate-500 font-mono">{v}</span>
|
||
</div>
|
||
))}
|
||
</div>
|
||
)}
|
||
</div>
|
||
|
||
{/* ── Causal chain ──────────────────────────────────────────────────── */}
|
||
<div className="bg-dark-800/60 rounded-xl border border-slate-700/30 p-4 flex flex-col items-center">
|
||
<div className="text-xs text-slate-500 mb-3 uppercase tracking-wider">Chaîne de transmission causale</div>
|
||
|
||
{/* Metric strip — 6 cells in 3×2 grid */}
|
||
<div className="w-full grid grid-cols-3 gap-2 mb-4">
|
||
{(() => {
|
||
const d2 = r.us_2y_implied - base.us_2y
|
||
const d10 = r.us_10y_implied - base.us_10y
|
||
const ed2 = r.eu_2y_implied - base.eu_2y
|
||
const ed10 = r.eu_10y_implied - base.eu_10y
|
||
const baseDiff2 = base.us_2y - base.eu_2y
|
||
const baseDiff10 = base.us_10y - base.eu_10y
|
||
return [
|
||
{ label: 'US 2Y', val: `${r.us_2y_implied.toFixed(2)}%`, col: Math.abs(d2) < 0.01 ? 'text-slate-400' : d2 > 0 ? 'text-rose-400' : 'text-emerald-400' },
|
||
{ label: 'US 10Y', val: `${r.us_10y_implied.toFixed(2)}%`, col: Math.abs(d10) < 0.01 ? 'text-slate-400' : d10 > 0 ? 'text-rose-400' : 'text-emerald-400' },
|
||
{ label: 'Bund 2Y', val: `${r.eu_2y_implied.toFixed(2)}%`, col: Math.abs(ed2) < 0.01 ? 'text-slate-400' : ed2 > 0 ? 'text-emerald-400' : 'text-rose-400' },
|
||
{ label: 'Bund 10Y', val: `${r.eu_10y_implied.toFixed(2)}%`, col: Math.abs(ed10) < 0.01 ? 'text-slate-400' : ed10 > 0 ? 'text-emerald-400' : 'text-rose-400' },
|
||
{ label: 'Δ 2Y', val: `${r.rate_diff_2y.toFixed(2)}%`, col: r.rate_diff_2y > baseDiff2 + 0.01 ? 'text-rose-400' : r.rate_diff_2y < baseDiff2 - 0.01 ? 'text-emerald-400' : 'text-slate-400' },
|
||
{ label: 'Δ 10Y', val: `${r.rate_diff_10y.toFixed(2)}%`, col: r.rate_diff_10y > baseDiff10 + 0.01 ? 'text-rose-400' : r.rate_diff_10y < baseDiff10 - 0.01 ? 'text-emerald-400' : 'text-slate-400' },
|
||
]
|
||
})().map(it => (
|
||
<div key={it.label} className="bg-dark-900 rounded-lg p-2 text-center">
|
||
<div className="text-[10px] text-slate-600 uppercase tracking-wider">{it.label}</div>
|
||
<div className={clsx('text-sm font-mono font-semibold mt-0.5', it.col)}>{it.val}</div>
|
||
</div>
|
||
))}
|
||
</div>
|
||
|
||
<CausalChain r={r} base={base} />
|
||
|
||
<div className="mt-2 text-[10px] text-slate-600 text-center">
|
||
Base: EURUSD {base.eurusd.toFixed(4)} · US 2Y {base.us_2y.toFixed(2)}% · US 10Y {base.us_10y.toFixed(2)}% · Bund 10Y {base.eu_10y.toFixed(2)}%
|
||
</div>
|
||
</div>
|
||
|
||
{/* ── Results ───────────────────────────────────────────────────────── */}
|
||
<div className="space-y-3">
|
||
|
||
{/* EUR/USD display */}
|
||
<div className="bg-dark-800/60 rounded-xl border border-slate-700/30 p-4 text-center">
|
||
<div className="text-xs text-slate-500 uppercase tracking-wider mb-1">EUR/USD simulé</div>
|
||
<div className={clsx('text-4xl font-mono font-bold tracking-tight', eurusdColor)}>
|
||
{r.eurusd.toFixed(4)}
|
||
</div>
|
||
<div className={clsx('text-base font-mono mt-1', eurusdColor)}>
|
||
{r.delta_pips === 0 ? 'Neutre' : `${r.delta_pips > 0 ? '+' : ''}${r.delta_pips} pips`}
|
||
</div>
|
||
<div className="text-xs text-slate-600 mt-1">vs base {base.eurusd.toFixed(4)}</div>
|
||
|
||
{/* 4 signal gauges: FED rate/tone + BCE rate/tone */}
|
||
<div className="grid grid-cols-2 gap-2 mt-4">
|
||
{[
|
||
{ label: 'FED — taux', v: r.fed_rate_pressure, posL: 'Hawkish', negL: 'Dovish', posC: 'text-rose-400', negC: 'text-emerald-400' },
|
||
{ label: 'FED — ton', v: r.fed_fwd_signal, posL: 'Hawkish', negL: 'Dovish', posC: 'text-rose-400', negC: 'text-emerald-400' },
|
||
{ label: 'BCE — taux', v: r.ecb_rate_pressure, posL: 'Hawkish', negL: 'Dovish', posC: 'text-emerald-400', negC: 'text-rose-400' },
|
||
{ label: 'BCE — ton', v: r.ecb_fwd_signal, posL: 'Hawkish', negL: 'Dovish', posC: 'text-emerald-400', negC: 'text-rose-400' },
|
||
].map(g => (
|
||
<div key={g.label} className="bg-dark-900 rounded p-2">
|
||
<div className="text-[10px] text-slate-600">{g.label}</div>
|
||
<div className={clsx('text-xs font-semibold',
|
||
g.v > 0.2 ? g.posC : g.v < -0.2 ? g.negC : 'text-slate-400',
|
||
)}>
|
||
{g.v > 0.2 ? g.posL : g.v < -0.2 ? g.negL : 'Neutre'}
|
||
</div>
|
||
<div className="text-[10px] font-mono text-slate-500">{g.v > 0 ? '+' : ''}{g.v.toFixed(1)}</div>
|
||
</div>
|
||
))}
|
||
</div>
|
||
</div>
|
||
|
||
{/* Pip decomposition */}
|
||
<div className="bg-dark-800/60 rounded-xl border border-slate-700/30 p-4 space-y-2">
|
||
<div className="text-xs text-slate-500 uppercase tracking-wider mb-2">
|
||
Décomposition ({r.delta_pips > 0 ? '+' : ''}{r.delta_pips} pips)
|
||
</div>
|
||
{r.contribs.map(c => <SensBar key={c.label} label={c.label} pips={c.pips} maxAbs={maxAbs} />)}
|
||
</div>
|
||
|
||
{/* Relative influence */}
|
||
<div className="bg-dark-800/60 rounded-xl border border-slate-700/30 p-3 space-y-1.5">
|
||
<div className="text-xs text-slate-500 uppercase tracking-wider mb-1">Influence relative</div>
|
||
{r.contribs.slice(0, 5).map(c => (
|
||
<div key={c.label} className="flex items-center gap-2 text-[11px]">
|
||
<div className={clsx('w-2 h-2 rounded-full shrink-0', c.pips > 0 ? 'bg-emerald-500' : 'bg-rose-500')} />
|
||
<span className="text-slate-400 flex-1 truncate">{c.label}</span>
|
||
<span className="text-slate-500 font-mono">
|
||
{maxAbs > 0 ? Math.round((Math.abs(c.pips) / maxAbs) * 100) : 0}%
|
||
</span>
|
||
</div>
|
||
))}
|
||
</div>
|
||
|
||
<div className="bg-dark-900/80 rounded-lg border border-slate-800/60 p-3 text-[10px] text-slate-600 leading-relaxed space-y-1">
|
||
<div><span className="text-slate-500 font-medium">Canal taux (solid) :</span> variations des taux directeurs → principalement US/Bund 2Y. Réponse rapide, déjà pricée.</div>
|
||
<div><span className="text-slate-500 font-medium">Canal ton (tirets) :</span> discours des CBs + surprises CPI/NFP → principalement 10Y. Anticipe la trajectoire future des taux.</div>
|
||
<div className="text-slate-700">Coefficients heuristiques — non calibrés sur données historiques.</div>
|
||
</div>
|
||
</div>
|
||
</div>
|
||
</div>
|
||
)
|
||
}
|