Detect option rolls and emit roll classifier

This commit is contained in:
dirtydishes 2026-01-28 21:04:24 -05:00
parent fe6aef5fbc
commit a82db56ab6
7 changed files with 378 additions and 16 deletions

View file

@ -40,4 +40,20 @@ describe("structure summaries", () => {
expect(summary?.type).toBe("strangle");
expect(summary?.strikes).toBe(2);
});
test("detects rolls across expiries", () => {
const summary = summarizeStructure([
{
...leg("c1", "C", 450),
expiry: "2025-01-17"
},
{
...leg("c2", "C", 455),
expiry: "2025-02-21"
}
]);
expect(summary?.type).toBe("roll");
expect(summary?.rights).toBe("C");
expect(summary?.strikes).toBe(2);
});
});