00a68bc767
- 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
86 lines
2.7 KiB
Python
86 lines
2.7 KiB
Python
from __future__ import annotations
|
|
|
|
from datetime import datetime
|
|
|
|
import pandas as pd
|
|
import pytest
|
|
|
|
from app.models.portfolio import LombardPortfolio
|
|
from app.strategies.base import StrategyConfig
|
|
|
|
|
|
@pytest.fixture
|
|
def sample_portfolio() -> LombardPortfolio:
|
|
"""Research-paper baseline portfolio: 1M collateral, 600k loan, 460 spot, 75% LTV trigger."""
|
|
gold_ounces = 1_000_000.0 / 460.0
|
|
return LombardPortfolio(
|
|
gold_ounces=gold_ounces,
|
|
gold_price_per_ounce=460.0,
|
|
loan_amount=600_000.0,
|
|
initial_ltv=0.60,
|
|
margin_call_ltv=0.75,
|
|
)
|
|
|
|
|
|
@pytest.fixture
|
|
def sample_strategy_config(sample_portfolio: LombardPortfolio) -> StrategyConfig:
|
|
return StrategyConfig(
|
|
portfolio=sample_portfolio,
|
|
spot_price=sample_portfolio.gold_price_per_ounce,
|
|
volatility=0.16,
|
|
risk_free_rate=0.045,
|
|
)
|
|
|
|
|
|
@pytest.fixture
|
|
def sample_option_chain(sample_portfolio: LombardPortfolio) -> dict[str, object]:
|
|
"""Deterministic mock option chain around a 460 GLD reference price."""
|
|
spot = sample_portfolio.gold_price_per_ounce
|
|
return {
|
|
"symbol": "GLD",
|
|
"updated_at": datetime(2026, 3, 21, 0, 0).isoformat(),
|
|
"source": "mock",
|
|
"calls": [
|
|
{"strike": round(spot * 1.05, 2), "premium": round(spot * 0.03, 2), "expiry": "2026-06-19"},
|
|
{"strike": round(spot * 1.10, 2), "premium": round(spot * 0.02, 2), "expiry": "2026-09-18"},
|
|
],
|
|
"puts": [
|
|
{"strike": round(spot * 0.95, 2), "premium": round(spot * 0.028, 2), "expiry": "2026-06-19"},
|
|
{"strike": round(spot * 0.90, 2), "premium": round(spot * 0.018, 2), "expiry": "2026-09-18"},
|
|
],
|
|
}
|
|
|
|
|
|
@pytest.fixture
|
|
def mock_yfinance_data(monkeypatch):
|
|
"""Patch yfinance in the data layer with deterministic historical close data."""
|
|
# Lazy import here to avoid side effects when the environment lacks Python 3.11's
|
|
# datetime.UTC symbol used in the data_service module.
|
|
from app.services import data_service as data_service_module
|
|
|
|
history = pd.DataFrame({"Close": [458.0, 460.0]}, index=pd.date_range("2026-03-20", periods=2, freq="D"))
|
|
|
|
class FakeTicker:
|
|
def __init__(self, symbol: str) -> None:
|
|
self.symbol = symbol
|
|
|
|
def history(self, period: str, interval: str):
|
|
return history.copy()
|
|
|
|
class FakeYFinance:
|
|
Ticker = FakeTicker
|
|
|
|
monkeypatch.setattr(data_service_module, "yf", FakeYFinance())
|
|
return {
|
|
"symbol": "GLD",
|
|
"history": history,
|
|
"last_price": 460.0,
|
|
"previous_price": 458.0,
|
|
}
|
|
|
|
|
|
@pytest.fixture
|
|
def mock_yfinance(mock_yfinance_data):
|
|
"""Compatibility alias for tests that request a yfinance fixture name."""
|
|
return mock_yfinance_data
|