Commit Graph

6 Commits

Author SHA1 Message Date
Pratik Bhadane 1f053c1001 fix: unblock python ci 2026-03-24 11:19:48 +05:30
Pratik Bhadane 13cb0dc95a chore: release v1.0.3 2026-03-24 11:09:48 +05:30
Pratik Bhadane 602d675749 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>
2026-03-24 02:41:50 +05:30
Pratik Bhadane 2d5000262f chore: release v1.0.2 2026-03-24 02:02:10 +05:30
Pratik Bhadane 307beeca02 release: cut v1.0.0
Prepare the first public 1.0.0 release and finish the remaining CI hardening work.

Highlights:
- align Python, Rust, WASM, Conda, API, MCP, and docs version metadata to 1.0.0
- promote package metadata to Production/Stable and update stability/versioning docs for the stable series
- move the accumulated Unreleased notes into a dated 1.0.0 changelog section and keep a fresh top-level Unreleased block
- strengthen the changelog checker so it validates a single top-level Unreleased section
- fix the CI/package support mismatch by declaring Python >=3.10 consistently and gating pandas-ta extras to Python 3.12+
- restore Sphinx autodoc compatibility for documented ferro_ta.<module> imports by registering module aliases
- make the TA-Lib benchmark guardrail less flaky by checking median and tail-percentile speedups instead of failing on a single mild outlier
- switch PyPI publishing to OIDC-only trusted publishing and wire the changelog check into the required CI gate
- apply the Ruff-driven cleanup across the Python and test tree and refresh uv/cargo lockfiles

Validated locally:
- python3 scripts/check_changelog.py
- uv run --with ruff ruff check python tests
- uv run --with ruff ruff format --check python tests
- uv lock --check
- sphinx-build -b html docs docs/_build -W --keep-going
- build/install the ferro_ta 1.0.0 wheel successfully
2026-03-23 23:57:30 +05:30
Pratik Bhadane 7a5a220dfe feat: init the repo 2026-03-23 23:34:28 +05:30