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