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_strategies.py

@@ -0,0 +1,94 @@
+from __future__ import annotations
+
+import pytest
+
+import app.core.pricing.black_scholes as black_scholes
+from app.strategies.base import StrategyConfig
+from app.strategies.laddered_put import LadderSpec, LadderedPutStrategy
+from app.strategies.protective_put import ProtectivePutSpec, ProtectivePutStrategy
+
+
+def _force_analytic_pricing(monkeypatch: pytest.MonkeyPatch) -> None:
+    """Use deterministic analytical pricing for stable expected values."""
+    monkeypatch.setattr(black_scholes, "ql", None)
+
+
+def test_protective_put_costs(
+    monkeypatch: pytest.MonkeyPatch,
+    sample_strategy_config: StrategyConfig,
+) -> None:
+    _force_analytic_pricing(monkeypatch)
+    strategy = ProtectivePutStrategy(sample_strategy_config, ProtectivePutSpec(label="ATM", strike_pct=1.0, months=12))
+    cost = strategy.calculate_cost()
+
+    assert cost["strategy"] == "protective_put_atm"
+    assert cost["label"] == "ATM"
+    assert cost["strike"] == 460.0
+    assert cost["premium_per_share"] == pytest.approx(19.6894, abs=1e-4)
+    assert cost["total_cost"] == pytest.approx(42803.14, abs=1e-2)
+    assert cost["cost_pct_of_portfolio"] == pytest.approx(0.042803, abs=1e-6)
+    assert cost["annualized_cost"] == pytest.approx(42803.14, abs=1e-2)
+    assert cost["annualized_cost_pct"] == pytest.approx(0.042803, abs=1e-6)
+
+
+def test_laddered_strategy(sample_strategy_config: StrategyConfig, monkeypatch: pytest.MonkeyPatch) -> None:
+    _force_analytic_pricing(monkeypatch)
+    strategy = LadderedPutStrategy(
+        sample_strategy_config,
+        LadderSpec(label="50_50_ATM_OTM95", weights=(0.5, 0.5), strike_pcts=(1.0, 0.95), months=12),
+    )
+    cost = strategy.calculate_cost()
+    protection = strategy.calculate_protection()
+
+    assert cost["strategy"] == "laddered_put_50_50_atm_otm95"
+    assert len(cost["legs"]) == 2
+    assert cost["legs"][0]["weight"] == 0.5
+    assert cost["legs"][0]["strike"] == 460.0
+    assert cost["legs"][1]["strike"] == 437.0
+    assert cost["blended_cost"] == pytest.approx(34200.72, abs=1e-2)
+    assert cost["cost_pct_of_portfolio"] == pytest.approx(0.034201, abs=1e-6)
+
+    assert protection["portfolio_floor_value"] == pytest.approx(975000.0, rel=1e-12)
+    assert protection["payoff_at_threshold"] == pytest.approx(175000.0, abs=1e-2)
+    assert protection["hedged_ltv_at_threshold"] == pytest.approx(0.615385, rel=1e-6)
+    assert protection["maintains_margin_call_buffer"] is True
+
+
+def test_scenario_analysis(
+    monkeypatch: pytest.MonkeyPatch,
+    sample_strategy_config: StrategyConfig,
+) -> None:
+    _force_analytic_pricing(monkeypatch)
+    protective = ProtectivePutStrategy(
+        sample_strategy_config,
+        ProtectivePutSpec(label="ATM", strike_pct=1.0, months=12),
+    )
+    ladder = LadderedPutStrategy(
+        sample_strategy_config,
+        LadderSpec(label="50_50_ATM_OTM95", weights=(0.5, 0.5), strike_pcts=(1.0, 0.95), months=12),
+    )
+
+    protective_scenarios = protective.get_scenarios()
+    ladder_scenarios = ladder.get_scenarios()
+
+    assert len(protective_scenarios) == 12
+    assert len(ladder_scenarios) == 12
+
+    first_protective = protective_scenarios[0]
+    assert first_protective["price_change_pct"] == -0.6
+    assert first_protective["gld_price"] == 184.0
+    assert first_protective["option_payoff"] == pytest.approx(600000.0, abs=1e-2)
+    assert first_protective["hedge_cost"] == pytest.approx(42803.14, abs=1e-2)
+    assert first_protective["hedged_ltv"] == pytest.approx(0.6, rel=1e-12)
+    assert first_protective["margin_call_with_hedge"] is False
+
+    first_ladder = ladder_scenarios[0]
+    assert first_ladder["gld_price"] == 184.0
+    assert first_ladder["option_payoff"] == pytest.approx(575000.0, abs=1e-2)
+    assert first_ladder["hedge_cost"] == pytest.approx(34200.72, abs=1e-2)
+    assert first_ladder["hedged_ltv"] == pytest.approx(0.615385, rel=1e-6)
+
+    worst_ladder = ladder_scenarios[-1]
+    assert worst_ladder["gld_price"] == 690.0
+    assert worst_ladder["hedged_ltv"] == pytest.approx(0.4, rel=1e-12)
+    assert worst_ladder["margin_call_with_hedge"] is False