Initial commit: Vault Dashboard for options hedging

- FastAPI + NiceGUI web application
- QuantLib-based Black-Scholes pricing with Greeks
- Protective put, laddered, and LEAPS strategies
- Real-time WebSocket updates
- TradingView-style charts via Lightweight-Charts
- Docker containerization
- GitLab CI/CD pipeline for VPS deployment
- VPN-only access configuration
This commit is contained in:
Bu5hm4nn
2026-03-21 19:21:40 +01:00
commit 00a68bc767
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"""Core options pricing utilities for the Vault dashboard.
This package provides pricing helpers for:
- European Black-Scholes valuation
- American option pricing via binomial trees when QuantLib is installed
- Implied volatility inversion when QuantLib is installed
Research defaults are based on the Vault hedging paper:
- Gold price: 4,600 USD/oz
- GLD price: 460 USD/share
- Risk-free rate: 4.5%
- Volatility: 16% annualized
- GLD dividend yield: 0%
"""
from .black_scholes import (
DEFAULT_GLD_PRICE,
DEFAULT_GOLD_PRICE_PER_OUNCE,
DEFAULT_RISK_FREE_RATE,
DEFAULT_VOLATILITY,
BlackScholesInputs,
HedgingCost,
PricingResult,
annual_hedging_cost,
black_scholes_price_and_greeks,
margin_call_threshold_price,
)
__all__ = [
"DEFAULT_GLD_PRICE",
"DEFAULT_GOLD_PRICE_PER_OUNCE",
"DEFAULT_RISK_FREE_RATE",
"DEFAULT_VOLATILITY",
"BlackScholesInputs",
"HedgingCost",
"PricingResult",
"annual_hedging_cost",
"black_scholes_price_and_greeks",
"margin_call_threshold_price",
]
try: # pragma: no cover - optional QuantLib modules
from .american_pricing import AmericanOptionInputs, AmericanPricingResult, american_option_price_and_greeks
from .volatility import implied_volatility
except ImportError: # pragma: no cover - optional dependency
AmericanOptionInputs = None
AmericanPricingResult = None
american_option_price_and_greeks = None
implied_volatility = None
else:
__all__.extend(
[
"AmericanOptionInputs",
"AmericanPricingResult",
"american_option_price_and_greeks",
"implied_volatility",
]
)