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
+12 -4
View File
@@ -622,9 +622,15 @@ class TestComputeMany:
close=close,
)
np.testing.assert_allclose(results[0], SMA(close, timeperiod=10), equal_nan=True)
np.testing.assert_allclose(results[1], EMA(close, timeperiod=12), equal_nan=True)
np.testing.assert_allclose(results[2], RSI(close, timeperiod=14), equal_nan=True)
np.testing.assert_allclose(
results[0], SMA(close, timeperiod=10), equal_nan=True
)
np.testing.assert_allclose(
results[1], EMA(close, timeperiod=12), equal_nan=True
)
np.testing.assert_allclose(
results[2], RSI(close, timeperiod=14), equal_nan=True
)
def test_hlc_indicators_match_public_api(self):
from ferro_ta import ADX, ATR
@@ -653,7 +659,9 @@ class TestComputeMany:
from ferro_ta.data.batch import compute_many
_, _, _, close, _ = _make_ohlcv(80)
result = compute_many([("STDDEV", {"timeperiod": 10, "nbdev": 2.0})], close=close)
result = compute_many(
[("STDDEV", {"timeperiod": 10, "nbdev": 2.0})], close=close
)
np.testing.assert_allclose(
result[0], STDDEV(close, timeperiod=10, nbdev=2.0), equal_nan=True
)