874b4a5a02
- Set ruff/black line length to 120 - Reformatted code with black - Fixed import ordering with ruff - Disabled lint for UI component files with long CSS strings - Updated pyproject.toml with proper tool configuration
63 lines
1.7 KiB
Python
63 lines
1.7 KiB
Python
"""Core options pricing utilities for the Vault dashboard.
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This package provides pricing helpers for:
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- European Black-Scholes valuation
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- American option pricing via binomial trees when QuantLib is installed
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- Implied volatility inversion when QuantLib is installed
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Research defaults are based on the Vault hedging paper:
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- Gold price: 4,600 USD/oz
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- GLD price: 460 USD/share
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- Risk-free rate: 4.5%
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- Volatility: 16% annualized
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- GLD dividend yield: 0%
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"""
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from .black_scholes import (
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DEFAULT_GLD_PRICE,
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DEFAULT_GOLD_PRICE_PER_OUNCE,
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DEFAULT_RISK_FREE_RATE,
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DEFAULT_VOLATILITY,
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BlackScholesInputs,
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HedgingCost,
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PricingResult,
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annual_hedging_cost,
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black_scholes_price_and_greeks,
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margin_call_threshold_price,
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)
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__all__ = [
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"DEFAULT_GLD_PRICE",
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"DEFAULT_GOLD_PRICE_PER_OUNCE",
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"DEFAULT_RISK_FREE_RATE",
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"DEFAULT_VOLATILITY",
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"BlackScholesInputs",
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"HedgingCost",
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"PricingResult",
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"annual_hedging_cost",
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"black_scholes_price_and_greeks",
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"margin_call_threshold_price",
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]
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try: # pragma: no cover - optional QuantLib modules
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from .american_pricing import (
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AmericanOptionInputs,
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AmericanPricingResult,
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american_option_price_and_greeks,
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)
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from .volatility import implied_volatility
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except ImportError: # pragma: no cover - optional dependency
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AmericanOptionInputs = None
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AmericanPricingResult = None
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american_option_price_and_greeks = None
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implied_volatility = None
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else:
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__all__.extend(
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[
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"AmericanOptionInputs",
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"AmericanPricingResult",
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"american_option_price_and_greeks",
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"implied_volatility",
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]
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)
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