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
2026-03-24 02:41:50 +05:30
co-authored by Claude Sonnet 4.6
parent 2d5000262f
commit 602d675749
47 changed files with 4538 additions and 280 deletions
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//! PyO3 wrappers for options analytics.
mod chain;
mod greeks;
mod iv;
mod pricing;
mod surface;
use pyo3::exceptions::PyValueError;
use pyo3::prelude::*;
pub(crate) fn parse_option_kind(option_type: &str) -> PyResult<ferro_ta_core::options::OptionKind> {
match option_type.to_ascii_lowercase().as_str() {
"call" | "c" => Ok(ferro_ta_core::options::OptionKind::Call),
"put" | "p" => Ok(ferro_ta_core::options::OptionKind::Put),
_ => Err(PyValueError::new_err(format!(
"option_type must be 'call' or 'put', got {option_type}"
))),
}
}
pub(crate) fn parse_pricing_model(model: &str) -> PyResult<ferro_ta_core::options::PricingModel> {
match model.to_ascii_lowercase().as_str() {
"bsm" | "black_scholes" | "black-scholes" | "blackscholes" => {
Ok(ferro_ta_core::options::PricingModel::BlackScholes)
}
"black76" | "black_76" | "black-76" => Ok(ferro_ta_core::options::PricingModel::Black76),
_ => Err(PyValueError::new_err(format!(
"model must be one of 'bsm'/'black_scholes' or 'black76', got {model}"
))),
}
}
pub fn register(m: &Bound<'_, PyModule>) -> PyResult<()> {
m.add_function(pyo3::wrap_pyfunction!(self::pricing::bsm_price, m)?)?;
m.add_function(pyo3::wrap_pyfunction!(self::pricing::black76_price, m)?)?;
m.add_function(pyo3::wrap_pyfunction!(self::pricing::bsm_price_batch, m)?)?;
m.add_function(pyo3::wrap_pyfunction!(
self::pricing::black76_price_batch,
m
)?)?;
m.add_function(pyo3::wrap_pyfunction!(self::greeks::option_greeks, m)?)?;
m.add_function(pyo3::wrap_pyfunction!(
self::greeks::option_greeks_batch,
m
)?)?;
m.add_function(pyo3::wrap_pyfunction!(self::iv::implied_volatility, m)?)?;
m.add_function(pyo3::wrap_pyfunction!(
self::iv::implied_volatility_batch,
m
)?)?;
m.add_function(pyo3::wrap_pyfunction!(self::iv::iv_rank, m)?)?;
m.add_function(pyo3::wrap_pyfunction!(self::iv::iv_percentile, m)?)?;
m.add_function(pyo3::wrap_pyfunction!(self::iv::iv_zscore, m)?)?;
m.add_function(pyo3::wrap_pyfunction!(self::surface::smile_metrics, m)?)?;
m.add_function(pyo3::wrap_pyfunction!(
self::surface::term_structure_slope,
m
)?)?;
m.add_function(pyo3::wrap_pyfunction!(self::chain::moneyness_labels, m)?)?;
m.add_function(pyo3::wrap_pyfunction!(
self::chain::select_strike_offset,
m
)?)?;
m.add_function(pyo3::wrap_pyfunction!(self::chain::select_strike_delta, m)?)?;
Ok(())
}