Kazuma
70 lines
2.2 KiB
TypeScript
70 lines
2.2 KiB
TypeScript
import { SECTOR, ASSET_TYPE, REGIME } from '../config/constants';
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import type { MarketContext, AssetType, InflatedOverrides } from '../types';
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export class MarketRegime {
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private marketPE: number;
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private techPE: number;
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private reitYield: number;
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private igSpread: number;
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private rateRegime: string;
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private volatilityRegime: string;
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constructor(marketContext: Partial<MarketContext>) {
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const b = marketContext?.benchmarks ?? ({} as MarketContext['benchmarks']);
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this.marketPE = b.marketPE ?? 22;
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this.techPE = b.techPE ?? 30;
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this.reitYield = b.reitYield ?? 3.5;
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this.igSpread = b.igSpread ?? 1.0;
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this.rateRegime = marketContext?.rateRegime ?? REGIME.NORMAL;
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this.volatilityRegime = marketContext?.volatilityRegime ?? REGIME.NORMAL;
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}
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getInflatedOverrides(type: AssetType, sector?: string): InflatedOverrides {
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if (type === ASSET_TYPE.STOCK) return this._stock(sector);
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if (type === ASSET_TYPE.ETF) return this._etf();
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if (type === ASSET_TYPE.BOND) return this._bond();
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return { gates: {}, thresholds: {} };
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}
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private _stock(sector?: string): InflatedOverrides {
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if (sector === SECTOR.REIT) {
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return {
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gates: {},
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thresholds: {
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minYield: +(this.reitYield * (this.rateRegime === REGIME.HIGH ? 0.95 : 0.85)).toFixed(2),
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maxPFFO: 20,
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},
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};
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}
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if (sector === SECTOR.TECHNOLOGY) {
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return {
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gates: {
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maxPERatio: Math.round(this.techPE * 1.3),
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maxPegGate: +(this.techPE / 15).toFixed(1),
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},
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thresholds: {},
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};
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}
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const peMultiplier = this.rateRegime === REGIME.HIGH ? 1.2 : 1.5;
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return {
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gates: {
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maxPERatio: Math.round(this.marketPE * peMultiplier),
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maxPegGate: +(this.marketPE / 12).toFixed(1),
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},
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thresholds: {},
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};
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}
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private _etf(): InflatedOverrides {
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return { gates: { maxExpenseRatio: 0.75 }, thresholds: { minYield: 0.5 } };
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}
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private _bond(): InflatedOverrides {
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const spreadMultiplier = this.rateRegime === REGIME.HIGH ? 0.9 : 0.8;
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return {
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gates: {},
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thresholds: { minSpread: +(this.igSpread * spreadMultiplier).toFixed(2) },
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};
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}
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}
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