// European option payoffs at expiry, plus a long straddle.
// max()/min() of two numbers, records for the trade leg, tolerance asserts.

cell OptionPayoff {
    face {
        signal call_payoff(spot: Float, strike: Float) -> Float
        signal put_payoff(spot: Float, strike: Float) -> Float
        signal call_pnl(spot: Float, strike: Float, premium: Float) -> Float
        signal straddle_pnl(spot: Float, strike: Float, call_prem: Float, put_prem: Float) -> Float
        signal breakeven_call(strike: Float, premium: Float) -> Float
    }

    // long call payoff = max(S - K, 0)
    on call_payoff(spot: Float, strike: Float) {
        return max(spot - strike, 0.0)
    }

    // long put payoff = max(K - S, 0)
    on put_payoff(spot: Float, strike: Float) {
        return max(strike - spot, 0.0)
    }

    // P&L = payoff - premium paid
    on call_pnl(spot: Float, strike: Float, premium: Float) {
        return call_payoff(spot, strike) - premium
    }

    // long straddle = call + put, minus both premiums
    on straddle_pnl(spot: Float, strike: Float, call_prem: Float, put_prem: Float) {
        let gross = call_payoff(spot, strike) + put_payoff(spot, strike)
        return gross - call_prem - put_prem
    }

    on breakeven_call(strike: Float, premium: Float) {
        return strike + premium
    }
}

cell test OptionTests {
    rules {
        // in-the-money call
        assert abs(call_payoff(110.0, 100.0) - 10.0) < 0.0001
        // out-of-the-money call pays nothing
        assert abs(call_payoff(90.0, 100.0) - 0.0) < 0.0001
        // put intrinsic
        assert abs(put_payoff(90.0, 100.0) - 10.0) < 0.0001
        // call P&L can be negative (premium lost)
        assert call_pnl(101.0, 100.0, 5.0) < 0.0
        // straddle profits on a big move
        assert straddle_pnl(130.0, 100.0, 5.0, 5.0) > 0.0
        // and loses near the strike
        assert straddle_pnl(100.0, 100.0, 5.0, 5.0) < 0.0
        assert abs(breakeven_call(100.0, 5.0) - 105.0) < 0.0001
    }
}