feat: add full derivatives analytics layer (options + futures)
Implements all phases of the derivatives expansion plan: Rust core (crates/ferro_ta_core/src/options/, src/futures/): - BSM and Black-76 pricing (scalar + vectorized batch) - Greeks: delta, gamma, vega, theta, rho - Implied volatility solver (Newton + bisection fallback) - Smile/skew metrics: ATM IV, 25-delta RR/BF, skew slope, convexity - Chain helpers: moneyness labels, strike selection by offset or delta - Synthetic forwards, basis, annualized basis, implied carry, carry spread - Continuous contract stitching: weighted, back-adjusted, ratio-adjusted - Curve analytics: calendar spreads, slope, contango/backwardation summary PyO3 bindings (src/options/, src/futures/): - All Rust functions registered and exposed via _ferro_ta extension Python API (python/ferro_ta/analysis/): - options.py: pricing, greeks, IV, smile, chain, legacy iv_rank/percentile/zscore - futures.py: basis, carry, curve, roll, synthetic, continuous contracts - options_strategy.py: typed strategy schemas (expiry/strike selectors, leg presets, risk controls, simulation limits) - derivatives_payoff.py: multi-leg payoff aggregation and Greeks aggregation Bug fix: wrap _to_f64 calls in iv_rank/iv_percentile/iv_zscore to raise FerroTAInputError (not plain ValueError) for 2D array input. Docs: derivatives.rst, derivatives-analytics.md, options-volatility.md, quickstart.rst, index.rst, api/analysis.rst all updated. Tests: 2053 pass, 12 skipped. All CI checks pass locally. Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
This commit is contained in:
Pratik Bhadane
co-authored by
Claude Sonnet 4.6
Claude Sonnet 4.6
parent
2d5000262f
commit
602d675749
@@ -0,0 +1,217 @@
|
||||
"""
|
||||
ferro_ta.analysis.derivatives_payoff — Multi-leg payoff and Greeks aggregation.
|
||||
"""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
from collections.abc import Mapping, Sequence
|
||||
from dataclasses import dataclass
|
||||
from typing import Any
|
||||
|
||||
import numpy as np
|
||||
from numpy.typing import ArrayLike, NDArray
|
||||
|
||||
from ferro_ta.analysis.options import OptionGreeks
|
||||
from ferro_ta.analysis.options import greeks as option_greeks
|
||||
from ferro_ta.analysis.options_strategy import DerivativesStrategy, StrategyLeg
|
||||
from ferro_ta.core.exceptions import FerroTAInputError, FerroTAValueError
|
||||
|
||||
__all__ = [
|
||||
"PayoffLeg",
|
||||
"option_leg_payoff",
|
||||
"futures_leg_payoff",
|
||||
"strategy_payoff",
|
||||
"aggregate_greeks",
|
||||
]
|
||||
|
||||
|
||||
@dataclass(frozen=True)
|
||||
class PayoffLeg:
|
||||
instrument: str
|
||||
side: str
|
||||
quantity: float = 1.0
|
||||
option_type: str | None = None
|
||||
strike: float | None = None
|
||||
premium: float = 0.0
|
||||
entry_price: float | None = None
|
||||
volatility: float | None = None
|
||||
time_to_expiry: float | None = None
|
||||
rate: float = 0.0
|
||||
carry: float = 0.0
|
||||
multiplier: float = 1.0
|
||||
|
||||
def __post_init__(self) -> None:
|
||||
if self.instrument not in {"option", "future"}:
|
||||
raise FerroTAValueError("instrument must be 'option' or 'future'.")
|
||||
if self.side not in {"long", "short"}:
|
||||
raise FerroTAValueError("side must be 'long' or 'short'.")
|
||||
if self.instrument == "option":
|
||||
if self.option_type not in {"call", "put"}:
|
||||
raise FerroTAValueError(
|
||||
"option legs require option_type='call' or 'put'."
|
||||
)
|
||||
if self.strike is None:
|
||||
raise FerroTAValueError("option legs require strike.")
|
||||
if self.instrument == "future" and self.entry_price is None:
|
||||
raise FerroTAValueError("future legs require entry_price.")
|
||||
|
||||
|
||||
def _side_sign(side: str) -> float:
|
||||
return 1.0 if side == "long" else -1.0
|
||||
|
||||
|
||||
def _coerce_spot_grid(spot_grid: ArrayLike) -> NDArray[np.float64]:
|
||||
grid = np.asarray(spot_grid, dtype=np.float64)
|
||||
if grid.ndim != 1:
|
||||
raise FerroTAInputError("spot_grid must be a 1-D array.")
|
||||
return np.ascontiguousarray(grid)
|
||||
|
||||
|
||||
def option_leg_payoff(
|
||||
spot_grid: ArrayLike,
|
||||
*,
|
||||
strike: float,
|
||||
premium: float = 0.0,
|
||||
option_type: str = "call",
|
||||
side: str = "long",
|
||||
quantity: float = 1.0,
|
||||
multiplier: float = 1.0,
|
||||
) -> NDArray[np.float64]:
|
||||
"""Expiry payoff for a single option leg."""
|
||||
grid = _coerce_spot_grid(spot_grid)
|
||||
sign = _side_sign(side) * float(quantity) * float(multiplier)
|
||||
if option_type == "call":
|
||||
intrinsic = np.maximum(grid - float(strike), 0.0)
|
||||
elif option_type == "put":
|
||||
intrinsic = np.maximum(float(strike) - grid, 0.0)
|
||||
else:
|
||||
raise FerroTAValueError("option_type must be 'call' or 'put'.")
|
||||
return sign * (intrinsic - float(premium))
|
||||
|
||||
|
||||
def futures_leg_payoff(
|
||||
spot_grid: ArrayLike,
|
||||
*,
|
||||
entry_price: float,
|
||||
side: str = "long",
|
||||
quantity: float = 1.0,
|
||||
multiplier: float = 1.0,
|
||||
) -> NDArray[np.float64]:
|
||||
"""P/L profile for a futures leg."""
|
||||
grid = _coerce_spot_grid(spot_grid)
|
||||
sign = _side_sign(side) * float(quantity) * float(multiplier)
|
||||
return sign * (grid - float(entry_price))
|
||||
|
||||
|
||||
def _mapping_to_leg(mapping: Mapping[str, Any]) -> PayoffLeg:
|
||||
return PayoffLeg(**mapping)
|
||||
|
||||
|
||||
def _strategy_leg_to_payoff_leg(leg: StrategyLeg) -> PayoffLeg:
|
||||
return PayoffLeg(
|
||||
instrument=leg.instrument,
|
||||
side=leg.side,
|
||||
quantity=float(leg.quantity),
|
||||
option_type=leg.option_type,
|
||||
strike=leg.strike_selector.explicit_strike,
|
||||
)
|
||||
|
||||
|
||||
def _normalize_legs(
|
||||
legs: Sequence[PayoffLeg | Mapping[str, Any]] | None = None,
|
||||
*,
|
||||
strategy: DerivativesStrategy | None = None,
|
||||
) -> tuple[PayoffLeg, ...]:
|
||||
if strategy is not None:
|
||||
return tuple(_strategy_leg_to_payoff_leg(leg) for leg in strategy.legs)
|
||||
if legs is None:
|
||||
raise FerroTAInputError("Provide either legs or strategy.")
|
||||
normalized: list[PayoffLeg] = []
|
||||
for leg in legs:
|
||||
normalized.append(leg if isinstance(leg, PayoffLeg) else _mapping_to_leg(leg))
|
||||
return tuple(normalized)
|
||||
|
||||
|
||||
def strategy_payoff(
|
||||
spot_grid: ArrayLike,
|
||||
*,
|
||||
legs: Sequence[PayoffLeg | Mapping[str, Any]] | None = None,
|
||||
strategy: DerivativesStrategy | None = None,
|
||||
) -> NDArray[np.float64]:
|
||||
"""Aggregate expiry payoff across option and futures legs."""
|
||||
grid = _coerce_spot_grid(spot_grid)
|
||||
normalized = _normalize_legs(legs, strategy=strategy)
|
||||
total = np.zeros_like(grid)
|
||||
for leg in normalized:
|
||||
if leg.instrument == "option":
|
||||
if leg.strike is None:
|
||||
raise FerroTAValueError("Option payoff legs require strike.")
|
||||
total += option_leg_payoff(
|
||||
grid,
|
||||
strike=float(leg.strike),
|
||||
premium=float(leg.premium),
|
||||
option_type=str(leg.option_type),
|
||||
side=str(leg.side),
|
||||
quantity=float(leg.quantity),
|
||||
multiplier=float(leg.multiplier),
|
||||
)
|
||||
else:
|
||||
if leg.entry_price is None:
|
||||
raise FerroTAValueError("Futures payoff legs require entry_price.")
|
||||
total += futures_leg_payoff(
|
||||
grid,
|
||||
entry_price=float(leg.entry_price),
|
||||
side=str(leg.side),
|
||||
quantity=float(leg.quantity),
|
||||
multiplier=float(leg.multiplier),
|
||||
)
|
||||
return total
|
||||
|
||||
|
||||
def aggregate_greeks(
|
||||
spot: float,
|
||||
*,
|
||||
legs: Sequence[PayoffLeg | Mapping[str, Any]] | None = None,
|
||||
strategy: DerivativesStrategy | None = None,
|
||||
) -> OptionGreeks:
|
||||
"""Aggregate Greeks across option and futures legs."""
|
||||
normalized = _normalize_legs(legs, strategy=strategy)
|
||||
totals = {
|
||||
"delta": 0.0,
|
||||
"gamma": 0.0,
|
||||
"vega": 0.0,
|
||||
"theta": 0.0,
|
||||
"rho": 0.0,
|
||||
}
|
||||
for leg in normalized:
|
||||
leg_sign = _side_sign(leg.side) * float(leg.quantity) * float(leg.multiplier)
|
||||
if leg.instrument == "future":
|
||||
totals["delta"] += leg_sign
|
||||
continue
|
||||
if leg.strike is None or leg.volatility is None or leg.time_to_expiry is None:
|
||||
raise FerroTAValueError(
|
||||
"Option legs require strike, volatility, and time_to_expiry for Greeks aggregation."
|
||||
)
|
||||
leg_greeks = option_greeks(
|
||||
float(spot),
|
||||
float(leg.strike),
|
||||
float(leg.rate),
|
||||
float(leg.time_to_expiry),
|
||||
float(leg.volatility),
|
||||
option_type=str(leg.option_type),
|
||||
model="bsm",
|
||||
carry=float(leg.carry),
|
||||
)
|
||||
totals["delta"] += leg_sign * float(leg_greeks.delta)
|
||||
totals["gamma"] += leg_sign * float(leg_greeks.gamma)
|
||||
totals["vega"] += leg_sign * float(leg_greeks.vega)
|
||||
totals["theta"] += leg_sign * float(leg_greeks.theta)
|
||||
totals["rho"] += leg_sign * float(leg_greeks.rho)
|
||||
|
||||
return OptionGreeks(
|
||||
totals["delta"],
|
||||
totals["gamma"],
|
||||
totals["vega"],
|
||||
totals["theta"],
|
||||
totals["rho"],
|
||||
)
|
||||
Reference in New Issue
Block a user