Pratik Bhadane
602d675749
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>
71 lines
2.5 KiB
Markdown
71 lines
2.5 KiB
Markdown
# Derivatives Analytics
|
|
|
|
`ferro-ta` now includes a Rust-backed derivatives analytics layer focused on
|
|
research, simulation, and risk analysis.
|
|
|
|
## Modules
|
|
|
|
- `ferro_ta.analysis.options`
|
|
- Black-Scholes-Merton and Black-76 pricing
|
|
- Delta, gamma, vega, theta, rho
|
|
- Implied volatility inversion with guarded Newton + bisection fallback
|
|
- IV rank / percentile / z-score
|
|
- Smile metrics: ATM IV, 25-delta risk reversal, butterfly, skew slope, convexity
|
|
- Chain helpers: moneyness labels and strike selection by offset or delta
|
|
- `ferro_ta.analysis.futures`
|
|
- Synthetic forwards and parity diagnostics
|
|
- Basis, annualized basis, implied carry, carry spread
|
|
- Continuous contract stitching: weighted, back-adjusted, ratio-adjusted
|
|
- Curve analytics: calendar spreads, slope, contango summary
|
|
- `ferro_ta.analysis.options_strategy`
|
|
- Typed strategy schemas for expiry selectors, strike selectors, multi-leg presets,
|
|
risk controls, cost assumptions, and simulation limits
|
|
- `ferro_ta.analysis.derivatives_payoff`
|
|
- Multi-leg payoff aggregation
|
|
- Portfolio-level Greeks aggregation across option and futures legs
|
|
|
|
## Model conventions
|
|
|
|
- `model="bsm"` expects the underlying input to be spot and `carry` to represent
|
|
a continuous dividend yield or generic carry term.
|
|
- `model="black76"` expects the underlying input to be the forward price.
|
|
- Volatility and rates use decimal units:
|
|
- `0.20` means 20% annualized volatility
|
|
- `0.05` means 5% annualized rate
|
|
- `time_to_expiry` is expressed in years.
|
|
|
|
## Quick examples
|
|
|
|
```python
|
|
from ferro_ta.analysis.options import greeks, implied_volatility, option_price
|
|
|
|
price = option_price(100.0, 100.0, 0.05, 1.0, 0.20, option_type="call")
|
|
iv = implied_volatility(price, 100.0, 100.0, 0.05, 1.0, option_type="call")
|
|
g = greeks(100.0, 100.0, 0.05, 1.0, 0.20, option_type="call")
|
|
print(price, iv, g.delta)
|
|
```
|
|
|
|
```python
|
|
from ferro_ta.analysis.futures import basis, curve_summary
|
|
|
|
print(basis(100.0, 103.0))
|
|
print(curve_summary(100.0, [0.1, 0.5, 1.0], [101.0, 102.0, 104.0]))
|
|
```
|
|
|
|
```python
|
|
from ferro_ta.analysis.derivatives_payoff import PayoffLeg, strategy_payoff
|
|
|
|
legs = [
|
|
PayoffLeg("option", "long", option_type="call", strike=100.0, premium=5.0),
|
|
PayoffLeg("future", "long", entry_price=100.0),
|
|
]
|
|
grid = [90.0, 100.0, 110.0]
|
|
print(strategy_payoff(grid, legs=legs))
|
|
```
|
|
|
|
## Notes
|
|
|
|
- Existing `iv_rank`, `iv_percentile`, and `iv_zscore` names are preserved.
|
|
- The derivatives layer is analytics-only: there is no broker connectivity,
|
|
order routing, or execution workflow in this API.
|