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

tests/test_pricing.py

@@ -0,0 +1,67 @@
+from __future__ import annotations
+
+import pytest
+
+import app.core.pricing.black_scholes as black_scholes
+from app.core.pricing.black_scholes import BlackScholesInputs
+
+
+@pytest.mark.parametrize(
+    "params, expected_price",
+    [
+        (
+            BlackScholesInputs(
+                spot=460.0,
+                strike=460.0,
+                time_to_expiry=1.0,
+                risk_free_rate=0.045,
+                volatility=0.16,
+                option_type="put",
+                dividend_yield=0.0,
+            ),
+            19.68944358516964,
+        )
+    ],
+)
+def test_put_price_calculation(
+    monkeypatch: pytest.MonkeyPatch,
+    params: BlackScholesInputs,
+    expected_price: float,
+) -> None:
+    """European put price from the research-paper ATM example."""
+    monkeypatch.setattr(black_scholes, "ql", None)
+    result = black_scholes.black_scholes_price_and_greeks(params)
+    assert result.price == pytest.approx(expected_price, rel=1e-9)
+
+
+def test_greeks_values(monkeypatch: pytest.MonkeyPatch) -> None:
+    """Validate Black-Scholes Greeks against research-paper baseline inputs."""
+    monkeypatch.setattr(black_scholes, "ql", None)
+    result = black_scholes.black_scholes_price_and_greeks(
+        BlackScholesInputs(
+            spot=460.0,
+            strike=460.0,
+            time_to_expiry=1.0,
+            risk_free_rate=0.045,
+            volatility=0.16,
+            option_type="put",
+            dividend_yield=0.0,
+        )
+    )
+
+    assert result.delta == pytest.approx(-0.35895628379355216, rel=1e-9)
+    assert result.gamma == pytest.approx(0.005078017547110844, rel=1e-9)
+    assert result.theta == pytest.approx(-5.4372889301396174, rel=1e-9)
+    assert result.vega == pytest.approx(171.92136207498476, rel=1e-9)
+    assert result.rho == pytest.approx(-184.80933413020364, rel=1e-9)
+
+
+def test_margin_call_price_calculation() -> None:
+    """Margin-call trigger from research defaults: 460 spot, 1,000,000 collateral, 600,000 loan."""
+    threshold = black_scholes.margin_call_threshold_price(
+        portfolio_value=1_000_000.0,
+        loan_amount=600_000.0,
+        current_price=460.0,
+        margin_call_ltv=0.75,
+    )
+    assert threshold == pytest.approx(368.0, rel=1e-12)