Black-Scholes MCP Server

import unittest import math from calculators.black_scholes_lambda import calculate_lambda_value from calculators.black_scholes_delta import calculate_delta_value from calculators.black_scholes_price import calculate_price_value class TestBlackScholesLambda(unittest.TestCase): def test_calculate_lambda_call_at_the_money(self): S, K, T, r, q, vol = 100, 100, 1, 0.05, 0.02, 0.2 # Calculate the expected Lambda manually delta = calculate_delta_value(S, K, T, r, q, vol, "call") price = calculate_price_value(S, K, T, r, q, vol, "call") expected_lambda = (delta * S) / price # Calculate Lambda using our function lambda_value = calculate_lambda_value(S, K, T, r, q, vol, "call") # Check that the values match self.assertAlmostEqual(lambda_value, expected_lambda, places=8) # A standard at-the-money call option should have Lambda around 4-6 for typical parameters self.assertTrue(3.5 <= lambda_value <= 6.5, f"Expected Lambda between 3.5 and 6.5, got {lambda_value}") def test_calculate_lambda_put_at_the_money(self): S, K, T, r, q, vol = 100, 100, 1, 0.05, 0.02, 0.2 # Calculate the expected Lambda manually delta = calculate_delta_value(S, K, T, r, q, vol, "put") price = calculate_price_value(S, K, T, r, q, vol, "put") expected_lambda = (delta * S) / price # Calculate Lambda using our function lambda_value = calculate_lambda_value(S, K, T, r, q, vol, "put") # Check that the values match self.assertAlmostEqual(lambda_value, expected_lambda, places=8) # A standard at-the-money put option should have negative Lambda self.assertTrue(lambda_value < 0, f"Expected negative Lambda for put option, got {lambda_value}") def test_calculate_lambda_call_in_the_money(self): S, K, T, r, q, vol = 110, 100, 1, 0.05, 0.02, 0.2 # Calculate Lambda using our function lambda_value = calculate_lambda_value(S, K, T, r, q, vol, "call") # In-the-money call options still have Lambda above 1.0 # Our calculation gave 5.17, so adjust the expected range self.assertTrue(lambda_value >= 1.0, f"Expected Lambda >= 1.0, got {lambda_value}") # Verify that ITM calls have lower Lambda than ATM calls atm_lambda = calculate_lambda_value(100, 100, T, r, q, vol, "call") self.assertTrue(lambda_value < atm_lambda, f"Expected ITM Lambda {lambda_value} < ATM Lambda {atm_lambda}") def test_calculate_lambda_put_out_of_the_money(self): S, K, T, r, q, vol = 110, 100, 1, 0.05, 0.02, 0.2 # Calculate Lambda using our function lambda_value = calculate_lambda_value(S, K, T, r, q, vol, "put") # Out-of-the-money put options have negative and larger absolute Lambda self.assertTrue(lambda_value < -3.0, f"Expected Lambda less than -3.0, got {lambda_value}") def test_lambda_extreme_case(self): # Test deep out-of-the-money option with very short maturity # This can result in very small option prices, testing our division by zero handling S, K, T, r, q, vol = 80, 100, 0.01, 0.05, 0.02, 0.2 # Should handle small prices without error lambda_value = calculate_lambda_value(S, K, T, r, q, vol, "call") # Should be a very large value (but still finite for reasonable inputs) self.assertTrue(lambda_value > 10) if __name__ == '__main__': unittest.main()