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chore: update ferro-ta version to 1.1.3 (#8)

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- 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:
Pratik Bhadane
2026-04-02 16:38:32 +05:30
committed by GitHub
parent 125eb32d9f
commit 3e0f289d51
38 changed files with 5619 additions and 85 deletions
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docs/api_manifest.json
+245 -4
View File
@@ -2,7 +2,7 @@
"surfaces": {
"python": {
"indicator_count": 208,
"method_count": 447,
"method_count": 464,
"categories": [
"aggregation",
"alerts",
@@ -1736,6 +1736,13 @@
"doc": "",
"params": []
},
{
"name": "stock_leg_payoff",
"category": "derivatives_payoff",
"module": "ferro_ta.analysis.derivatives_payoff",
"doc": "",
"params": []
},
{
"name": "strategy_payoff",
"category": "derivatives_payoff",
@@ -1743,6 +1750,13 @@
"doc": "",
"params": []
},
{
"name": "strategy_value",
"category": "derivatives_payoff",
"module": "ferro_ta.analysis.derivatives_payoff",
"doc": "",
"params": []
},
{
"name": "CHANDELIER_EXIT",
"category": "extended",
@@ -2289,6 +2303,13 @@
"doc": "",
"params": []
},
{
"name": "ExtendedGreeks",
"category": "options",
"module": "ferro_ta.analysis.options",
"doc": "",
"params": []
},
{
"name": "OptionGreeks",
"category": "options",
@@ -2303,6 +2324,20 @@
"doc": "",
"params": []
},
{
"name": "VolCone",
"category": "options",
"module": "ferro_ta.analysis.options",
"doc": "",
"params": []
},
{
"name": "american_option_price",
"category": "options",
"module": "ferro_ta.analysis.options",
"doc": "",
"params": []
},
{
"name": "black_76_price",
"category": "options",
@@ -2317,6 +2352,55 @@
"doc": "",
"params": []
},
{
"name": "close_to_close_vol",
"category": "options",
"module": "ferro_ta.analysis.options",
"doc": "",
"params": []
},
{
"name": "digital_option_greeks",
"category": "options",
"module": "ferro_ta.analysis.options",
"doc": "",
"params": []
},
{
"name": "digital_option_price",
"category": "options",
"module": "ferro_ta.analysis.options",
"doc": "",
"params": []
},
{
"name": "early_exercise_premium",
"category": "options",
"module": "ferro_ta.analysis.options",
"doc": "",
"params": []
},
{
"name": "expected_move",
"category": "options",
"module": "ferro_ta.analysis.options",
"doc": "",
"params": []
},
{
"name": "extended_greeks",
"category": "options",
"module": "ferro_ta.analysis.options",
"doc": "",
"params": []
},
{
"name": "garman_klass_vol",
"category": "options",
"module": "ferro_ta.analysis.options",
"doc": "",
"params": []
},
{
"name": "greeks",
"category": "options",
@@ -2366,6 +2450,27 @@
"doc": "",
"params": []
},
{
"name": "parkinson_vol",
"category": "options",
"module": "ferro_ta.analysis.options",
"doc": "",
"params": []
},
{
"name": "put_call_parity_deviation",
"category": "options",
"module": "ferro_ta.analysis.options",
"doc": "",
"params": []
},
{
"name": "rogers_satchell_vol",
"category": "options",
"module": "ferro_ta.analysis.options",
"doc": "",
"params": []
},
{
"name": "select_strike",
"category": "options",
@@ -2387,6 +2492,20 @@
"doc": "",
"params": []
},
{
"name": "vol_cone",
"category": "options",
"module": "ferro_ta.analysis.options",
"doc": "",
"params": []
},
{
"name": "yang_zhang_vol",
"category": "options",
"module": "ferro_ta.analysis.options",
"doc": "",
"params": []
},
{
"name": "DerivativesStrategy",
"category": "options_strategy",
@@ -4616,7 +4735,7 @@
]
},
"rust_core": {
"public_function_count": 331,
"public_function_count": 349,
"functions": [
{
"module": "aggregation",
@@ -5288,6 +5407,16 @@
"function": "willr",
"file": "momentum.rs"
},
{
"module": "options.american",
"function": "american_price_baw",
"file": "options/american.rs"
},
{
"module": "options.american",
"function": "early_exercise_premium",
"file": "options/american.rs"
},
{
"module": "options.chain",
"function": "atm_index",
@@ -5308,16 +5437,36 @@
"function": "select_strike_by_offset",
"file": "options/chain.rs"
},
{
"module": "options.digital",
"function": "digital_greeks",
"file": "options/digital.rs"
},
{
"module": "options.digital",
"function": "digital_price",
"file": "options/digital.rs"
},
{
"module": "options.greeks",
"function": "black_76_greeks",
"file": "options/greeks.rs"
},
{
"module": "options.greeks",
"function": "black_scholes_extended_greeks",
"file": "options/greeks.rs"
},
{
"module": "options.greeks",
"function": "black_scholes_greeks",
"file": "options/greeks.rs"
},
{
"module": "options.greeks",
"function": "model_extended_greeks",
"file": "options/greeks.rs"
},
{
"module": "options.greeks",
"function": "model_greeks",
@@ -5363,6 +5512,26 @@
"function": "pdf",
"file": "options/normal.rs"
},
{
"module": "options.payoff",
"function": "aggregate_greeks_dense",
"file": "options/payoff.rs"
},
{
"module": "options.payoff",
"function": "strategy_payoff_dense",
"file": "options/payoff.rs"
},
{
"module": "options.payoff",
"function": "strategy_value_dense",
"file": "options/payoff.rs"
},
{
"module": "options.payoff",
"function": "strategy_value_grid",
"file": "options/payoff.rs"
},
{
"module": "options.pricing",
"function": "black_76_price",
@@ -5388,11 +5557,51 @@
"function": "price_upper_bound",
"file": "options/pricing.rs"
},
{
"module": "options.pricing",
"function": "put_call_parity_deviation",
"file": "options/pricing.rs"
},
{
"module": "options.realized_vol",
"function": "close_to_close_vol",
"file": "options/realized_vol.rs"
},
{
"module": "options.realized_vol",
"function": "garman_klass_vol",
"file": "options/realized_vol.rs"
},
{
"module": "options.realized_vol",
"function": "parkinson_vol",
"file": "options/realized_vol.rs"
},
{
"module": "options.realized_vol",
"function": "rogers_satchell_vol",
"file": "options/realized_vol.rs"
},
{
"module": "options.realized_vol",
"function": "vol_cone",
"file": "options/realized_vol.rs"
},
{
"module": "options.realized_vol",
"function": "yang_zhang_vol",
"file": "options/realized_vol.rs"
},
{
"module": "options.surface",
"function": "atm_iv",
"file": "options/surface.rs"
},
{
"module": "options.surface",
"function": "expected_move",
"file": "options/surface.rs"
},
{
"module": "options.surface",
"function": "linear_interpolate",
@@ -6276,16 +6485,18 @@
]
},
"wasm_node": {
"export_count": 205,
"export_count": 221,
"exports": [
"ad",
"adosc",
"adx",
"adx_all",
"adxr",
"aggregate_greeks_dense",
"aggregate_tick_bars",
"aggregate_time_bars",
"aggregate_volume_bars_ticks",
"american_price",
"annualized_basis",
"apo",
"aroon",
@@ -6318,6 +6529,7 @@
"check_cross",
"check_threshold",
"choppiness_index",
"close_to_close_vol",
"cmo",
"collect_alert_bars",
"compose_rank",
@@ -6330,17 +6542,23 @@
"curve_summary",
"dema",
"detect_breaks_cusum",
"digital_greeks",
"digital_price",
"donchian",
"drawdown_series",
"dx",
"early_exercise_premium",
"ema",
"exchange_charges_rate",
"expected_move",
"extended_greeks",
"extract_trades",
"fast_period",
"flat_per_order",
"forward_fill_nan",
"funding_cumulative_pnl",
"futures_basis",
"garman_klass_vol",
"gst_rate",
"half_kelly_fraction",
"ht_dcperiod",
@@ -6396,6 +6614,7 @@
"obv",
"ohlcv_agg",
"parity_gap",
"parkinson_vol",
"per_lot",
"period",
"pivot_points",
@@ -6405,6 +6624,7 @@
"ppo",
"price_lower_bound",
"price_upper_bound",
"put_call_parity_deviation",
"rank_series",
"rank_values",
"rate_of_value",
@@ -6418,6 +6638,7 @@
"rocp",
"rocr",
"rocr100",
"rogers_satchell_vol",
"roll_yield",
"rolling_beta",
"rolling_max",
@@ -6455,6 +6676,8 @@
"stoch",
"stochf",
"stochrsi",
"strategy_payoff_dense",
"strategy_value_grid",
"stt_on_buy",
"stt_on_sell",
"stt_rate",
@@ -6474,6 +6697,7 @@
"typprice",
"ultosc",
"var",
"vol_cone",
"volume_bars",
"vwap",
"vwma",
@@ -6482,13 +6706,14 @@
"weighted_continuous",
"willr",
"wma",
"yang_zhang_vol",
"zscore_series"
]
}
},
"parity_summary": {
"python_indicator_count": 207,
"wasm_export_count": 205,
"wasm_export_count": 221,
"common_python_wasm_count": 91,
"common_python_wasm": [
"ad",
@@ -6703,9 +6928,11 @@
],
"wasm_only_vs_python": [
"adx_all",
"aggregate_greeks_dense",
"aggregate_tick_bars",
"aggregate_time_bars",
"aggregate_volume_bars_ticks",
"american_price",
"annualized_basis",
"atm_index",
"atm_iv",
@@ -6723,19 +6950,26 @@
"bottom_n_indices",
"calendar_spreads",
"carry_spread",
"close_to_close_vol",
"compose_rank",
"compose_weighted",
"compute_performance_metrics",
"curve_slope",
"curve_summary",
"digital_greeks",
"digital_price",
"drawdown_series",
"early_exercise_premium",
"exchange_charges_rate",
"expected_move",
"extended_greeks",
"extract_trades",
"fast_period",
"flat_per_order",
"forward_fill_nan",
"funding_cumulative_pnl",
"futures_basis",
"garman_klass_vol",
"gst_rate",
"half_kelly_fraction",
"implied_carry_rate",
@@ -6763,10 +6997,12 @@
"new",
"ohlcv_agg",
"parity_gap",
"parkinson_vol",
"per_lot",
"period",
"price_lower_bound",
"price_upper_bound",
"put_call_parity_deviation",
"rank_series",
"rank_values",
"rate_of_value",
@@ -6774,6 +7010,7 @@
"ratio_adjusted_continuous",
"regulatory_charges_rate",
"relative_strength",
"rogers_satchell_vol",
"roll_yield",
"rolling_beta",
"rolling_max",
@@ -6803,6 +7040,8 @@
"spread",
"stamp_duty_rate",
"stitch_chunks",
"strategy_payoff_dense",
"strategy_value_grid",
"stt_on_buy",
"stt_on_sell",
"stt_rate",
@@ -6813,8 +7052,10 @@
"trade_stats",
"trim_overlap",
"trix_indicator",
"vol_cone",
"walk_forward_indices",
"weighted_continuous",
"yang_zhang_vol",
"zscore_series"
]
}