Black-Scholes MCP Server

import unittest import math from calculators.black_scholes_veta import calculate_veta_value from calculators.black_scholes_common import calculate_d1_d2, norm_pdf class TestBlackScholesVeta(unittest.TestCase): def test_calculate_veta_at_the_money(self): # Test veta with at-the-money option S, K, T, r, q, vol = 100, 100, 1, 0.05, 0.02, 0.2 d1, d2 = calculate_d1_d2(S, K, T, r, q, vol) # Calculate expected value term1 = q term2 = (r - q) * d1 / (vol * math.sqrt(T)) term3 = (1 + d1 * d2) / (2 * T) expected_veta = -S * math.exp(-q * T) * norm_pdf(d1) * math.sqrt(T) * (term1 + term2 + term3) veta = calculate_veta_value(S, K, T, r, q, vol) self.assertAlmostEqual(veta, expected_veta, places=8) def test_calculate_veta_in_the_money(self): # Test veta with in-the-money option S, K, T, r, q, vol = 110, 100, 1, 0.05, 0.02, 0.2 d1, d2 = calculate_d1_d2(S, K, T, r, q, vol) # Calculate expected value term1 = q term2 = (r - q) * d1 / (vol * math.sqrt(T)) term3 = (1 + d1 * d2) / (2 * T) expected_veta = -S * math.exp(-q * T) * norm_pdf(d1) * math.sqrt(T) * (term1 + term2 + term3) veta = calculate_veta_value(S, K, T, r, q, vol) self.assertAlmostEqual(veta, expected_veta, places=8) def test_calculate_veta_out_of_the_money(self): # Test veta with out-of-the-money option S, K, T, r, q, vol = 90, 100, 1, 0.05, 0.02, 0.2 d1, d2 = calculate_d1_d2(S, K, T, r, q, vol) # Calculate expected value term1 = q term2 = (r - q) * d1 / (vol * math.sqrt(T)) term3 = (1 + d1 * d2) / (2 * T) expected_veta = -S * math.exp(-q * T) * norm_pdf(d1) * math.sqrt(T) * (term1 + term2 + term3) veta = calculate_veta_value(S, K, T, r, q, vol) self.assertAlmostEqual(veta, expected_veta, places=8) def test_veta_short_maturity(self): # Test with very short time to maturity (excluding extreme cases that might cause numerical issues) S, K, T, r, q, vol = 100, 100, 0.01, 0.05, 0.02, 0.2 veta = calculate_veta_value(S, K, T, r, q, vol) # For short maturity, we just check that the result is finite and not extremely large self.assertTrue(math.isfinite(veta)) # Additionally, Veta should be negative for short maturities (especially at-the-money options) self.assertLess(veta, 0) def test_veta_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, d2 = calculate_d1_d2(S, K, T, r, q, vol) # Calculate expected value term1 = q term2 = (r - q) * d1 / (vol * math.sqrt(T)) term3 = (1 + d1 * d2) / (2 * T) expected_veta = -S * math.exp(-q * T) * norm_pdf(d1) * math.sqrt(T) * (term1 + term2 + term3) veta = calculate_veta_value(S, K, T, r, q, vol) self.assertAlmostEqual(veta, expected_veta, places=8) def test_veta_high_volatility(self): # Test with high volatility S, K, T, r, q, vol = 100, 100, 1, 0.05, 0.02, 0.5 d1, d2 = calculate_d1_d2(S, K, T, r, q, vol) # Calculate expected value term1 = q term2 = (r - q) * d1 / (vol * math.sqrt(T)) term3 = (1 + d1 * d2) / (2 * T) expected_veta = -S * math.exp(-q * T) * norm_pdf(d1) * math.sqrt(T) * (term1 + term2 + term3) veta = calculate_veta_value(S, K, T, r, q, vol) self.assertAlmostEqual(veta, expected_veta, places=8) if __name__ == '__main__': unittest.main()