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>
127 lines
3.2 KiB
ReStructuredText
127 lines
3.2 KiB
ReStructuredText
Derivatives Analytics
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=====================
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``ferro-ta`` includes a Rust-backed derivatives layer for analytics, research,
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and simulation workflows. The implementation is analytics-only: there is no
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broker connectivity, order routing, or execution engine in this package.
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What Is Included
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----------------
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Options analytics
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~~~~~~~~~~~~~~~~~
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- Rolling IV helpers: ``iv_rank``, ``iv_percentile``, ``iv_zscore``
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- Black-Scholes-Merton pricing
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- Black-76 pricing
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- Greeks: delta, gamma, vega, theta, rho
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- Implied volatility inversion
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- Smile metrics: ATM IV, 25-delta risk reversal, butterfly, skew slope, convexity
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- Chain helpers: moneyness labels and strike selection by offset or delta
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Futures analytics
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~~~~~~~~~~~~~~~~~
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- Synthetic forwards and parity diagnostics
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- Basis, annualized basis, implied carry, carry spread
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- Continuous contract stitching: weighted, back-adjusted, ratio-adjusted
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- Curve analytics: calendar spreads, slope, contango/backwardation summary
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Strategy and payoff helpers
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~~~~~~~~~~~~~~~~~~~~~~~~~~~
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- Typed strategy schemas for expiry selectors, strike selectors, leg presets,
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risk controls, and simulation limits
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- Multi-leg payoff aggregation
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- Greeks aggregation across option and futures legs
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Conventions
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-----------
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- ``model="bsm"`` expects spot as the underlying input.
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- ``model="black76"`` expects forward as the underlying input.
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- Volatility uses decimal annualized units: ``0.20`` means 20%.
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- Rates and carry use decimal annualized units: ``0.05`` means 5%.
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- ``time_to_expiry`` is expressed in years.
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Options Example
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---------------
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.. code-block:: python
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from ferro_ta.analysis.options import greeks, implied_volatility, option_price
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price = option_price(
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100.0,
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100.0,
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0.05,
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1.0,
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0.20,
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option_type="call",
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model="bsm",
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)
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iv = implied_volatility(
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price,
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100.0,
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100.0,
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0.05,
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1.0,
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option_type="call",
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model="bsm",
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)
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g = greeks(
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100.0,
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100.0,
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0.05,
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1.0,
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0.20,
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option_type="call",
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model="bsm",
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)
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Futures Example
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---------------
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.. code-block:: python
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from ferro_ta.analysis.futures import basis, curve_summary, synthetic_forward
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front_basis = basis(100.0, 103.0)
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synthetic = synthetic_forward(8.0, 5.0, 100.0, 0.02, 0.5)
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curve = curve_summary(100.0, [0.1, 0.5, 1.0], [101.0, 102.0, 104.0])
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Strategy and Payoff Example
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---------------------------
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.. code-block:: python
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from ferro_ta.analysis.derivatives_payoff import PayoffLeg, aggregate_greeks, strategy_payoff
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legs = [
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PayoffLeg(
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instrument="option",
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side="long",
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option_type="call",
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strike=100.0,
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premium=5.0,
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volatility=0.20,
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time_to_expiry=0.5,
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),
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PayoffLeg(
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instrument="future",
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side="long",
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entry_price=100.0,
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),
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]
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payoff = strategy_payoff([90.0, 100.0, 110.0], legs=legs)
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portfolio_greeks = aggregate_greeks(100.0, legs=legs)
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Related Modules
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---------------
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- :mod:`ferro_ta.analysis.options`
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- :mod:`ferro_ta.analysis.futures`
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- :mod:`ferro_ta.analysis.options_strategy`
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- :mod:`ferro_ta.analysis.derivatives_payoff`
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