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>
24 lines
1.2 KiB
Python
24 lines
1.2 KiB
Python
"""
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ferro_ta.analysis — Portfolio analytics, strategy analysis, and financial modelling.
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Sub-modules
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-----------
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* :mod:`ferro_ta.analysis.portfolio` — Portfolio and multi-asset analytics
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* :mod:`ferro_ta.analysis.backtest` — Vectorised back-testing helpers
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* :mod:`ferro_ta.analysis.regime` — Market regime detection
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* :mod:`ferro_ta.analysis.cross_asset` — Cross-asset and relative-strength analysis
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* :mod:`ferro_ta.analysis.attribution` — Return attribution
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* :mod:`ferro_ta.analysis.signals` — Signal composition and screening
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* :mod:`ferro_ta.analysis.features` — Feature matrix and ML readiness helpers
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* :mod:`ferro_ta.analysis.crypto` — Crypto-specific indicators and helpers
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* :mod:`ferro_ta.analysis.options` — Options pricing, Greeks, IV, and smile analytics
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* :mod:`ferro_ta.analysis.futures` — Futures basis, curve, roll, and synthetic analytics
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* :mod:`ferro_ta.analysis.options_strategy` — Typed derivatives strategy schemas
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* :mod:`ferro_ta.analysis.derivatives_payoff` — Multi-leg payoff and Greeks aggregation
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Example usage::
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from ferro_ta.analysis.portfolio import portfolio_returns
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from ferro_ta.analysis.backtest import backtest
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"""
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