Pratik Bhadane
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.
66 lines
1.8 KiB
Rust
66 lines
1.8 KiB
Rust
use crate::validation;
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use numpy::PyReadonlyArray1;
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use pyo3::prelude::*;
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#[pyfunction]
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#[pyo3(signature = (strikes, vols, reference_price, time_to_expiry, model = "bsm", rate = 0.0, carry = 0.0))]
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pub fn smile_metrics<'py>(
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strikes: PyReadonlyArray1<'py, f64>,
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vols: PyReadonlyArray1<'py, f64>,
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reference_price: f64,
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time_to_expiry: f64,
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model: &str,
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rate: f64,
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carry: f64,
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) -> PyResult<(f64, f64, f64, f64, f64)> {
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let strikes = strikes.as_slice()?;
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let vols = vols.as_slice()?;
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validation::validate_equal_length(&[(strikes.len(), "strikes"), (vols.len(), "vols")])?;
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let model = super::parse_pricing_model(model)?;
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let metrics = ferro_ta_core::options::surface::smile_metrics(
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strikes,
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vols,
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reference_price,
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rate,
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carry,
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time_to_expiry,
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model,
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);
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Ok((
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metrics.atm_iv,
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metrics.risk_reversal_25d,
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metrics.butterfly_25d,
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metrics.skew_slope,
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metrics.convexity,
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))
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}
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#[pyfunction]
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pub fn term_structure_slope<'py>(
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tenors: PyReadonlyArray1<'py, f64>,
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atm_ivs: PyReadonlyArray1<'py, f64>,
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) -> PyResult<f64> {
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let tenors = tenors.as_slice()?;
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let atm_ivs = atm_ivs.as_slice()?;
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validation::validate_equal_length(&[(tenors.len(), "tenors"), (atm_ivs.len(), "atm_ivs")])?;
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Ok(ferro_ta_core::options::surface::term_structure_slope(
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tenors, atm_ivs,
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))
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}
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#[pyfunction]
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#[pyo3(signature = (spot, iv, days_to_expiry, trading_days_per_year = 252.0))]
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pub fn expected_move(
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spot: f64,
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iv: f64,
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days_to_expiry: f64,
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trading_days_per_year: f64,
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) -> PyResult<(f64, f64)> {
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Ok(ferro_ta_core::options::surface::expected_move(
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spot,
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iv,
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days_to_expiry,
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trading_days_per_year,
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))
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}
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