Black-Scholes MCP Server

import unittest import math from calculators.black_scholes_epsilon import calculate_epsilon_value from calculators.black_scholes_common import calculate_d1_d2 class TestBlackScholesEpsilon(unittest.TestCase): def test_calculate_epsilon_at_the_money(self): # Test epsilon with at-the-money option S, K, T, r, q, vol = 100, 100, 1, 0.05, 0.02, 0.2 d1, _ = calculate_d1_d2(S, K, T, r, q, vol) # For an ATM option, the formula simplifies somewhat # Epsilon = (d1 * d1 - 1 - d1 / (vol * sqrt(T))) / vol expected_epsilon = (d1 * d1 - 1 - d1 / (vol * math.sqrt(T))) / vol # Expected value calculated manually: -0.0625 epsilon = calculate_epsilon_value(S, K, T, r, q, vol) self.assertAlmostEqual(epsilon, expected_epsilon, places=8) def test_calculate_epsilon_in_the_money(self): # Test epsilon with in-the-money option S, K, T, r, q, vol = 110, 100, 1, 0.05, 0.02, 0.2 d1, _ = calculate_d1_d2(S, K, T, r, q, vol) # Epsilon = (d1 * d1 - 1 - d1 / (vol * sqrt(T))) / vol expected_epsilon = (d1 * d1 - 1 - d1 / (vol * math.sqrt(T))) / vol epsilon = calculate_epsilon_value(S, K, T, r, q, vol) self.assertAlmostEqual(epsilon, expected_epsilon, places=8) def test_calculate_epsilon_out_of_the_money(self): # Test epsilon with out-of-the-money option S, K, T, r, q, vol = 90, 100, 1, 0.05, 0.02, 0.2 d1, _ = calculate_d1_d2(S, K, T, r, q, vol) # Epsilon = (d1 * d1 - 1 - d1 / (vol * sqrt(T))) / vol expected_epsilon = (d1 * d1 - 1 - d1 / (vol * math.sqrt(T))) / vol epsilon = calculate_epsilon_value(S, K, T, r, q, vol) self.assertAlmostEqual(epsilon, expected_epsilon, places=8) def test_epsilon_short_maturity(self): # Test with very short time to maturity S, K, T, r, q, vol = 100, 100, 0.01, 0.05, 0.02, 0.2 d1, _ = calculate_d1_d2(S, K, T, r, q, vol) # Epsilon = (d1 * d1 - 1 - d1 / (vol * sqrt(T))) / vol expected_epsilon = (d1 * d1 - 1 - d1 / (vol * math.sqrt(T))) / vol epsilon = calculate_epsilon_value(S, K, T, r, q, vol) self.assertAlmostEqual(epsilon, expected_epsilon, places=8) def test_epsilon_long_maturity(self): # Test with long time to maturity S, K, T, r, q, vol = 100, 100, 5, 0.05, 0.02, 0.2 d1, _ = calculate_d1_d2(S, K, T, r, q, vol) # Epsilon = (d1 * d1 - 1 - d1 / (vol * sqrt(T))) / vol expected_epsilon = (d1 * d1 - 1 - d1 / (vol * math.sqrt(T))) / vol epsilon = calculate_epsilon_value(S, K, T, r, q, vol) self.assertAlmostEqual(epsilon, expected_epsilon, places=8) def test_epsilon_high_volatility(self): # Test with high volatility S, K, T, r, q, vol = 100, 100, 1, 0.05, 0.02, 0.5 d1, _ = calculate_d1_d2(S, K, T, r, q, vol) # Epsilon = (d1 * d1 - 1 - d1 / (vol * sqrt(T))) / vol expected_epsilon = (d1 * d1 - 1 - d1 / (vol * math.sqrt(T))) / vol epsilon = calculate_epsilon_value(S, K, T, r, q, vol) self.assertAlmostEqual(epsilon, expected_epsilon, places=8) if __name__ == '__main__': unittest.main()