3e0f289d51
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.
2026-04-02 16:38:32 +05:30
602d675749
feat: add full derivatives analytics layer (options + futures)
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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 >
2026-03-24 02:41:50 +05:30
Pratik Bhadane