chore: update ferro-ta version to 1.1.3
- Bumped version numbers across Cargo.toml, Cargo.lock, pyproject.toml, and conda/meta.yaml to 1.1.3. - Added new features including American option pricing, digital options, extended Greeks, and historical volatility estimators. - Enhanced documentation and tests for new functionalities. - Updated CHANGELOG.md to reflect changes for version 1.1.3.
This commit is contained in:
@@ -89,6 +89,29 @@ pub fn bsm_price_batch<'py>(
|
||||
Ok(out.into_pyarray(py))
|
||||
}
|
||||
|
||||
#[pyfunction]
|
||||
#[pyo3(signature = (call_price, put_price, spot, strike, rate, time_to_expiry, carry = 0.0))]
|
||||
#[allow(clippy::too_many_arguments)]
|
||||
pub fn put_call_parity_deviation(
|
||||
call_price: f64,
|
||||
put_price: f64,
|
||||
spot: f64,
|
||||
strike: f64,
|
||||
rate: f64,
|
||||
time_to_expiry: f64,
|
||||
carry: f64,
|
||||
) -> PyResult<f64> {
|
||||
Ok(ferro_ta_core::options::pricing::put_call_parity_deviation(
|
||||
call_price,
|
||||
put_price,
|
||||
spot,
|
||||
strike,
|
||||
rate,
|
||||
carry,
|
||||
time_to_expiry,
|
||||
))
|
||||
}
|
||||
|
||||
#[pyfunction]
|
||||
#[pyo3(signature = (forward, strike, rate, time_to_expiry, volatility, option_type = "call"))]
|
||||
pub fn black76_price_batch<'py>(
|
||||
|
||||
Reference in New Issue
Block a user