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>
39 lines
1.4 KiB
Rust
39 lines
1.4 KiB
Rust
//! PyO3 wrappers for futures analytics.
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mod basis;
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mod curve;
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mod roll;
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mod synthetic;
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use pyo3::prelude::*;
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pub fn register(m: &Bound<'_, PyModule>) -> PyResult<()> {
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m.add_function(pyo3::wrap_pyfunction!(
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self::synthetic::synthetic_forward,
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m
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)?)?;
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m.add_function(pyo3::wrap_pyfunction!(self::synthetic::synthetic_spot, m)?)?;
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m.add_function(pyo3::wrap_pyfunction!(self::synthetic::parity_gap, m)?)?;
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m.add_function(pyo3::wrap_pyfunction!(self::basis::futures_basis, m)?)?;
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m.add_function(pyo3::wrap_pyfunction!(self::basis::annualized_basis, m)?)?;
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m.add_function(pyo3::wrap_pyfunction!(self::basis::implied_carry_rate, m)?)?;
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m.add_function(pyo3::wrap_pyfunction!(self::basis::carry_spread, m)?)?;
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m.add_function(pyo3::wrap_pyfunction!(
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self::roll::weighted_continuous_contract,
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m
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)?)?;
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m.add_function(pyo3::wrap_pyfunction!(
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self::roll::back_adjusted_continuous_contract,
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m
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)?)?;
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m.add_function(pyo3::wrap_pyfunction!(
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self::roll::ratio_adjusted_continuous_contract,
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m
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)?)?;
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m.add_function(pyo3::wrap_pyfunction!(self::roll::roll_yield, m)?)?;
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m.add_function(pyo3::wrap_pyfunction!(self::curve::calendar_spreads, m)?)?;
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m.add_function(pyo3::wrap_pyfunction!(self::curve::curve_slope, m)?)?;
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m.add_function(pyo3::wrap_pyfunction!(self::curve::curve_summary, m)?)?;
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Ok(())
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}
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