DeltaCalc.OptionsRisk (DeltaCalc v0.3.0)

Long-option risk framing and margin-bridge funding stress for option buyers.

Long options have defined max loss equal to premium paid. Combined with perp-funded margin bridges, cash-flow risk from negative funding dominates — price risk is hedged.

API Functions

Function	Arity	Description	Param Kinds
`monitor_margin_bridge_health`	2	Monitor margin-bridge health using margin ratio, runway, and status bands.	`params: value`, `opts: value`
`stress_test_extended_negative`	2	Stress-test multiple negative funding rates over an extended horizon.	`params: value`, `opts: value`
`calculate_negative_funding_impact`	1	Estimate daily funding drain and cash-flow risk under negative rates.	`params: value`
`calculate_total_exposure`	1	Sum gross exposure across spot, perp, options, and margin debt legs.	`legs: value`
`max_loss`	1	Return defined max loss for long options (premium paid only).	`option_premiums: value`

Summary

Types

decimal_input()

exposure_inputs()

exposure_result()

extended_stress_inputs()

extended_stress_result()

health_status()

margin_health()

margin_health_inputs()

max_loss_result()

negative_funding_impact()

negative_funding_inputs()

stress_scenario()

Functions

calculate_negative_funding_impact(params)

Compute negative-funding cash-flow impact for a delta-neutral margin bridge.

calculate_total_exposure(legs)

Return per-leg notionals and total_exposure as the sum of absolute leg values.

max_loss(option_premiums)

Frame long-option risk as premium-only max loss.

monitor_margin_bridge_health(params, opts \\ [])

Evaluate margin-bridge health during the payback period.

stress_test_extended_negative(params, opts \\ [])

Run extended negative-funding scenarios (default 90 days) across multiple rates.

Types

decimal_input()

@type decimal_input() :: DeltaCalc.Decimal.input()

exposure_inputs()

@type exposure_inputs() :: %{
  spot_notional: decimal_input(),
  perp_notional: decimal_input(),
  options_notional: decimal_input(),
  margin_debt: decimal_input()
}

exposure_result()

@type exposure_result() :: %{
  spot_notional: Decimal.t(),
  perp_notional: Decimal.t(),
  options_notional: Decimal.t(),
  margin_debt: Decimal.t(),
  total_exposure: Decimal.t()
}

extended_stress_inputs()

@type extended_stress_inputs() :: %{
  :funding_rates => [decimal_input()],
  :position_size => decimal_input(),
  optional(:scenario) => atom()
}

extended_stress_result()

@type extended_stress_result() :: %{
  scenario: atom(),
  scenarios: [stress_scenario()],
  kill_switch_day_min: pos_integer() | nil,
  kill_switch_day_max: pos_integer() | nil
}

health_status()

@type health_status() :: :healthy | :warning | :critical

margin_health()

@type margin_health() :: %{
  margin_ratio: Decimal.t(),
  runway_days: Decimal.t() | nil,
  health_status: health_status()
}

margin_health_inputs()

@type margin_health_inputs() :: %{
  initial_margin: decimal_input(),
  option_premium: decimal_input(),
  capital: decimal_input(),
  available_margin: decimal_input(),
  daily_burn: decimal_input()
}

max_loss_result()

@type max_loss_result() :: %{
  max_loss: Decimal.t(),
  risk_model: :premium_only,
  limited_downside: true
}

negative_funding_impact()

@type negative_funding_impact() :: %{
  daily_cost: Decimal.t(),
  capital_at_risk: boolean(),
  cash_flow_risk: boolean(),
  market_setup: :bullish | :neutral | :bearish,
  opportunity: :high | :moderate | :low
}

negative_funding_inputs()

@type negative_funding_inputs() :: %{
  :negative_rate => decimal_input(),
  :position_size => decimal_input(),
  optional(:market_context) => atom(),
  optional(:capital_protected) => boolean(),
  optional(:periods_per_day) => pos_integer()
}

stress_scenario()

@type stress_scenario() :: %{
  rate: Decimal.t(),
  daily: Decimal.t(),
  margin_impact: Decimal.t()
}

Functions

calculate_negative_funding_impact(params)

@spec calculate_negative_funding_impact(negative_funding_inputs()) ::
  negative_funding_impact()

Compute negative-funding cash-flow impact for a delta-neutral margin bridge.

:negative_rate is a decimal fraction per funding period (e.g. -0.0003 for -0.03%), matching Funding/Hedging/MarginBridge — not a percent number. :capital_protected defaults to true (price risk hedged). :market_context adjusts qualitative setup/opportunity fields (:post_crash, :bear_market, etc.).

calculate_total_exposure(legs)

@spec calculate_total_exposure(exposure_inputs()) :: exposure_result()

Return per-leg notionals and total_exposure as the sum of absolute leg values.

max_loss(option_premiums)

@spec max_loss(decimal_input() | [decimal_input()]) :: max_loss_result()

Frame long-option risk as premium-only max loss.

Accepts one premium or a list; returns the summed premium as max_loss.

monitor_margin_bridge_health(params, opts \\ [])

@spec monitor_margin_bridge_health(
  margin_health_inputs(),
  keyword()
) :: margin_health()

Evaluate margin-bridge health during the payback period.

Delegates ratio and runway math to DeltaCalc.MarginBridge. Three status bands default to phase7 thresholds: healthy at or below 25%, warning above 25% through 35%, critical above the :reduce threshold (default 35%).

stress_test_extended_negative(params, opts \\ [])

@spec stress_test_extended_negative(
  extended_stress_inputs(),
  keyword()
) :: extended_stress_result()

Run extended negative-funding scenarios (default 90 days) across multiple rates.

Each rate in :funding_rates is a decimal fraction per period (e.g. -0.0002 for -0.02%), matching Funding/Hedging/MarginBridge. margin_impact is the funding drain as a ratio of free capital headroom below the kill-switch threshold (e.g. 0.07 for 7% of headroom).