40 lines
1.3 KiB
Python
40 lines
1.3 KiB
Python
"""串關動態對沖（Dynamic Hedging）計算器。"""
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from __future__ import annotations
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def calculate_hedge_amount(
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original_stake: float,
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parlay_total_odds: float,
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final_leg_hedge_odds: float,
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) -> dict[str, float]:
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"""
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在 1 場或 2/3 場連贏快到最終局，計算對沖下注金額。
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將原始串關保本化：
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目標是「串關全過的淨利」與「對沖走向中的淨利」在最後同值。
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設原始串關到位後保底淨利 = S * (O_parlay - 1)
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對沖選項淨利 = H * (O_hedge - 1)
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求 H * (O_hedge - 1) = S * (O_parlay - 1) - H
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=> H = (S * (O_parlay - 1)) / O_hedge
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"""
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if original_stake <= 0:
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raise ValueError('original_stake 必須大於 0')
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if parlay_total_odds <= 1:
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raise ValueError('parlay_total_odds 必須大於 1')
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if final_leg_hedge_odds <= 1:
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raise ValueError('final_leg_hedge_odds 必須大於 1')
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expected_parlay_net = original_stake * (parlay_total_odds - 1)
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hedge_stake = expected_parlay_net / final_leg_hedge_odds
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profit_after_hedge = hedge_stake * (final_leg_hedge_odds - 1)
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return {
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'hedge_stake': round(hedge_stake, 4),
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'locked_profit': round(profit_after_hedge, 4),
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'parlay_net_after_hedge_if_win': round(expected_parlay_net - hedge_stake, 4),
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'hedge_net_if_win': round(profit_after_hedge, 4),
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}
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