feat(DATA-003): calculate live option greeks

tests/test_option_greeks.py

@@ -0,0 +1,97 @@
+from __future__ import annotations
+
+from datetime import datetime
+
+import pandas as pd
+import pytest
+
+from app.core.calculations import option_row_greeks
+from app.core.pricing.black_scholes import (
+    DEFAULT_RISK_FREE_RATE,
+    DEFAULT_VOLATILITY,
+    BlackScholesInputs,
+    black_scholes_price_and_greeks,
+)
+from app.services.cache import CacheService
+from app.services.data_service import DataService
+
+
+@pytest.mark.parametrize(
+    "row, expected_volatility",
+    [
+        (
+            {
+                "strike": 460.0,
+                "expiry": "2026-06-19",
+                "type": "put",
+                "impliedVolatility": 0.24,
+            },
+            0.24,
+        ),
+        (
+            {
+                "strike": 460.0,
+                "expiry": "2026-06-19",
+                "type": "put",
+                "impliedVolatility": 0.0,
+            },
+            DEFAULT_VOLATILITY,
+        ),
+    ],
+)
+def test_option_row_greeks_uses_live_iv_or_falls_back(row: dict[str, object], expected_volatility: float) -> None:
+    valuation_date = datetime(2026, 3, 23).date()
+
+    greeks = option_row_greeks(row, underlying_price=460.0, valuation_date=valuation_date)
+    expected = black_scholes_price_and_greeks(
+        BlackScholesInputs(
+            spot=460.0,
+            strike=460.0,
+            time_to_expiry=(datetime(2026, 6, 19).date() - valuation_date).days / 365.0,
+            risk_free_rate=DEFAULT_RISK_FREE_RATE,
+            volatility=expected_volatility,
+            option_type="put",
+            valuation_date=valuation_date,
+        )
+    )
+
+    assert greeks["delta"] == pytest.approx(expected.delta, rel=1e-9)
+    assert greeks["gamma"] == pytest.approx(expected.gamma, rel=1e-9)
+    assert greeks["theta"] == pytest.approx(expected.theta, rel=1e-9)
+    assert greeks["vega"] == pytest.approx(expected.vega, rel=1e-9)
+
+
+def test_option_row_greeks_handles_invalid_input_gracefully() -> None:
+    greeks = option_row_greeks(
+        {"strike": 0.0, "expiry": "not-a-date", "type": "call", "impliedVolatility": -1.0},
+        underlying_price=0.0,
+    )
+
+    assert greeks == {"delta": 0.0, "gamma": 0.0, "theta": 0.0, "vega": 0.0, "rho": 0.0}
+
+
+def test_normalize_option_rows_populates_greeks() -> None:
+    frame = pd.DataFrame(
+        [
+            {
+                "contractSymbol": "GLD260619P00460000",
+                "strike": 460.0,
+                "bid": 18.5,
+                "ask": 19.5,
+                "lastPrice": 19.0,
+                "impliedVolatility": 0.22,
+                "openInterest": 100,
+                "volume": 50,
+            }
+        ]
+    )
+    service = DataService(CacheService(None))
+
+    rows = service._normalize_option_rows(frame, "GLD", "2026-06-19", "put", 460.0)
+
+    assert len(rows) == 1
+    assert rows[0]["symbol"] == "GLD260619P00460000"
+    assert rows[0]["delta"] < 0.0
+    assert rows[0]["gamma"] > 0.0
+    assert rows[0]["theta"] < 0.0
+    assert rows[0]["vega"] > 0.0