Sai Kiran Vella
86 lines
3.1 KiB
TypeScript
86 lines
3.1 KiB
TypeScript
import { YahooFinanceClient } from '../clients/YahooFinanceClient';
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import { REGIME } from '../config/constants';
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import type { MarketContext, Logger, BenchmarkProviderOptions } from '../types';
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export class BenchmarkProvider {
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private static readonly TTL_MS = 60 * 60 * 1000;
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private static readonly DEFAULTS: MarketContext = {
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sp500Price: 5000,
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riskFreeRate: 4.5,
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vixLevel: 20,
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rateRegime: 'HIGH',
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volatilityRegime: 'NORMAL',
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benchmarks: { marketPE: 22, techPE: 30, reitYield: 3.5, igSpread: 1.0 },
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};
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private static rateRegime(rate: number): MarketContext['rateRegime'] {
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return rate < 2 ? REGIME.LOW : rate <= 5 ? REGIME.NORMAL : REGIME.HIGH;
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}
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private static volRegime(vix: number): MarketContext['volatilityRegime'] {
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return vix < 15 ? REGIME.LOW : vix <= 25 ? REGIME.NORMAL : REGIME.HIGH;
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}
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private static pe(summary: any): number | null {
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return summary?.summaryDetail?.trailingPE ?? summary?.defaultKeyStatistics?.forwardPE ?? null;
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}
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private cache: { data: MarketContext | null; expiresAt: number };
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private logger: Logger;
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constructor(
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private readonly client: YahooFinanceClient,
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{ logger }: BenchmarkProviderOptions = {},
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) {
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this.cache = { data: null, expiresAt: 0 };
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this.logger = logger ?? (console as unknown as Logger);
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}
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async getMarketContext(): Promise<MarketContext> {
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if (this.cache.data && Date.now() < this.cache.expiresAt) return this.cache.data;
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try {
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const [sp500, tn10y, vix, spy, xlk, xlre, lqd] = await Promise.all([
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this.client.fetchSummary('^GSPC'),
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this.client.fetchSummary('^TNX'),
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this.client.fetchSummary('^VIX'),
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this.client.fetchSummary('SPY'),
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this.client.fetchSummary('XLK'),
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this.client.fetchSummary('XLRE'),
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this.client.fetchSummary('LQD'),
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]);
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const riskFreeRate =
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(sp500 as any)?.price?.regularMarketPrice !== undefined
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? ((tn10y as any)?.price?.regularMarketPrice ?? 0)
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: 0;
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const sp500Price = (sp500 as any)?.price?.regularMarketPrice ?? 0;
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const vixLevel = (vix as any)?.price?.regularMarketPrice ?? 0;
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if (!sp500Price || !riskFreeRate) throw new Error('Invalid market data (zero values)');
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const lqdYield = ((lqd as any)?.summaryDetail?.trailingAnnualDividendYield ?? 0) * 100;
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const context: MarketContext = {
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sp500Price,
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riskFreeRate,
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vixLevel,
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rateRegime: BenchmarkProvider.rateRegime(riskFreeRate),
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volatilityRegime: BenchmarkProvider.volRegime(vixLevel),
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benchmarks: {
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marketPE: BenchmarkProvider.pe(spy) ?? 22,
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techPE: BenchmarkProvider.pe(xlk) ?? 30,
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reitYield: ((xlre as any)?.summaryDetail?.trailingAnnualDividendYield ?? 0.035) * 100,
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igSpread: Math.max(0.1, lqdYield - riskFreeRate),
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},
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};
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this.cache = { data: context, expiresAt: Date.now() + BenchmarkProvider.TTL_MS };
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return context;
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} catch (err) {
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this.logger.warn('Market data fetch failed, using defaults:', (err as Error).message);
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return this.cache.data ?? BenchmarkProvider.DEFAULTS;
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}
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}
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}
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