71 lines
2.5 KiB
Markdown
71 lines
2.5 KiB
Markdown
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# Derivatives Analytics
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`ferro-ta` now includes a Rust-backed derivatives analytics layer focused on
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research, simulation, and risk analysis.
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## Modules
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- `ferro_ta.analysis.options`
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- Black-Scholes-Merton and Black-76 pricing
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- Delta, gamma, vega, theta, rho
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- Implied volatility inversion with guarded Newton + bisection fallback
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- IV rank / percentile / z-score
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- Smile metrics: ATM IV, 25-delta risk reversal, butterfly, skew slope, convexity
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- Chain helpers: moneyness labels and strike selection by offset or delta
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- `ferro_ta.analysis.futures`
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- Synthetic forwards and parity diagnostics
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- Basis, annualized basis, implied carry, carry spread
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- Continuous contract stitching: weighted, back-adjusted, ratio-adjusted
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- Curve analytics: calendar spreads, slope, contango summary
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- `ferro_ta.analysis.options_strategy`
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- Typed strategy schemas for expiry selectors, strike selectors, multi-leg presets,
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risk controls, cost assumptions, and simulation limits
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- `ferro_ta.analysis.derivatives_payoff`
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- Multi-leg payoff aggregation
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- Portfolio-level Greeks aggregation across option and futures legs
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## Model conventions
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- `model="bsm"` expects the underlying input to be spot and `carry` to represent
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a continuous dividend yield or generic carry term.
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- `model="black76"` expects the underlying input to be the forward price.
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- Volatility and rates use decimal units:
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- `0.20` means 20% annualized volatility
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- `0.05` means 5% annualized rate
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- `time_to_expiry` is expressed in years.
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## Quick examples
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```python
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from ferro_ta.analysis.options import greeks, implied_volatility, option_price
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price = option_price(100.0, 100.0, 0.05, 1.0, 0.20, option_type="call")
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iv = implied_volatility(price, 100.0, 100.0, 0.05, 1.0, option_type="call")
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g = greeks(100.0, 100.0, 0.05, 1.0, 0.20, option_type="call")
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print(price, iv, g.delta)
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```
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```python
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from ferro_ta.analysis.futures import basis, curve_summary
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print(basis(100.0, 103.0))
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print(curve_summary(100.0, [0.1, 0.5, 1.0], [101.0, 102.0, 104.0]))
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```
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```python
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from ferro_ta.analysis.derivatives_payoff import PayoffLeg, strategy_payoff
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legs = [
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PayoffLeg("option", "long", option_type="call", strike=100.0, premium=5.0),
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PayoffLeg("future", "long", entry_price=100.0),
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]
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grid = [90.0, 100.0, 110.0]
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print(strategy_payoff(grid, legs=legs))
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```
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## Notes
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- Existing `iv_rank`, `iv_percentile`, and `iv_zscore` names are preserved.
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- The derivatives layer is analytics-only: there is no broker connectivity,
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order routing, or execution workflow in this API.
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