Pratik BhadaneandGitHub
3e0f289d51
- 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.
128 lines
3.8 KiB
Rust
128 lines
3.8 KiB
Rust
use numpy::{IntoPyArray, PyArray1, PyReadonlyArray1};
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use pyo3::prelude::*;
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use ferro_ta_core::options::american::{
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american_price_baw as core_american_price,
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early_exercise_premium as core_early_exercise_premium,
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};
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#[pyfunction]
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#[pyo3(signature = (underlying, strike, rate, time_to_expiry, volatility, option_type = "call", carry = 0.0))]
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#[allow(clippy::too_many_arguments)]
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pub fn american_price(
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underlying: f64,
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strike: f64,
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rate: f64,
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time_to_expiry: f64,
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volatility: f64,
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option_type: &str,
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carry: f64,
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) -> PyResult<f64> {
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let kind = super::parse_option_kind(option_type)?;
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Ok(core_american_price(
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underlying,
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strike,
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rate,
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carry,
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time_to_expiry,
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volatility,
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kind,
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))
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}
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#[pyfunction]
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#[pyo3(signature = (underlying, strike, rate, time_to_expiry, volatility, option_type = "call", carry = None))]
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#[allow(clippy::too_many_arguments)]
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pub fn american_price_batch<'py>(
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py: Python<'py>,
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underlying: PyReadonlyArray1<'py, f64>,
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strike: PyReadonlyArray1<'py, f64>,
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rate: PyReadonlyArray1<'py, f64>,
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time_to_expiry: PyReadonlyArray1<'py, f64>,
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volatility: PyReadonlyArray1<'py, f64>,
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option_type: &str,
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carry: Option<PyReadonlyArray1<'py, f64>>,
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) -> PyResult<Bound<'py, PyArray1<f64>>> {
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let kind = super::parse_option_kind(option_type)?;
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let underlying = underlying.as_slice()?;
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let strike = strike.as_slice()?;
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let rate = rate.as_slice()?;
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let tte = time_to_expiry.as_slice()?;
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let vol = volatility.as_slice()?;
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let n = underlying.len();
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let carry_vec = match carry {
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Some(arr) => arr.as_slice()?.to_vec(),
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None => vec![0.0; n],
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};
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let out: Vec<f64> = underlying
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.iter()
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.zip(strike.iter())
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.zip(rate.iter())
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.zip(tte.iter())
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.zip(vol.iter())
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.zip(carry_vec.iter())
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.map(|(((((&u, &k), &r), &t), &v), &c)| core_american_price(u, k, r, c, t, v, kind))
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.collect();
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Ok(out.into_pyarray(py))
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}
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#[pyfunction]
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#[pyo3(signature = (underlying, strike, rate, time_to_expiry, volatility, option_type = "call", carry = 0.0))]
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#[allow(clippy::too_many_arguments)]
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pub fn early_exercise_premium(
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underlying: f64,
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strike: f64,
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rate: f64,
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time_to_expiry: f64,
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volatility: f64,
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option_type: &str,
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carry: f64,
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) -> PyResult<f64> {
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let kind = super::parse_option_kind(option_type)?;
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Ok(core_early_exercise_premium(
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underlying,
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strike,
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rate,
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carry,
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time_to_expiry,
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volatility,
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kind,
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))
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}
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#[pyfunction]
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#[pyo3(signature = (underlying, strike, rate, time_to_expiry, volatility, option_type = "call", carry = None))]
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#[allow(clippy::too_many_arguments)]
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pub fn early_exercise_premium_batch<'py>(
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py: Python<'py>,
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underlying: PyReadonlyArray1<'py, f64>,
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strike: PyReadonlyArray1<'py, f64>,
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rate: PyReadonlyArray1<'py, f64>,
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time_to_expiry: PyReadonlyArray1<'py, f64>,
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volatility: PyReadonlyArray1<'py, f64>,
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option_type: &str,
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carry: Option<PyReadonlyArray1<'py, f64>>,
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) -> PyResult<Bound<'py, PyArray1<f64>>> {
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let kind = super::parse_option_kind(option_type)?;
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let underlying = underlying.as_slice()?;
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let strike = strike.as_slice()?;
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let rate = rate.as_slice()?;
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let tte = time_to_expiry.as_slice()?;
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let vol = volatility.as_slice()?;
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let n = underlying.len();
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let carry_vec = match carry {
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Some(arr) => arr.as_slice()?.to_vec(),
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None => vec![0.0; n],
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};
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let out: Vec<f64> = underlying
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.iter()
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.zip(strike.iter())
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.zip(rate.iter())
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.zip(tte.iter())
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.zip(vol.iter())
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.zip(carry_vec.iter())
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.map(|(((((&u, &k), &r), &t), &v), &c)| core_early_exercise_premium(u, k, r, c, t, v, kind))
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.collect();
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Ok(out.into_pyarray(py))
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}
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