Pratik BhadaneandClaude Sonnet 4.6
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>
37 lines
1007 B
Rust
37 lines
1007 B
Rust
/*!
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ferro_ta_core — Pure Rust indicator library.
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This crate contains all indicator implementations as pure functions operating
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on `&[f64]` slices and returning `Vec<f64>`. It has **no dependency on PyO3
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or numpy** so it can be used from any Rust project, or compiled to WASM /
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Node.js via napi-rs without dragging in Python bindings.
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The Python wheel (`ferro_ta` PyPI package) is built from a thin binding crate
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that calls into this core and converts NumPy arrays to/from Rust slices.
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# Two-layer architecture
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The root crate (`ferro_ta`) contains PyO3 `#[pyfunction]` wrappers that convert
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numpy arrays to `&[f64]` and delegate to this core crate.
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# Usage (Rust)
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```rust
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use ferro_ta_core::overlap;
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let close = vec![1.0, 2.0, 3.0, 4.0, 5.0, 6.0, 7.0];
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let sma = overlap::sma(&close, 3);
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assert!(sma[0].is_nan());
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assert!((sma[2] - 2.0).abs() < 1e-10);
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```
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*/
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pub mod futures;
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pub mod math;
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pub mod momentum;
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pub mod options;
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pub mod overlap;
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pub mod statistic;
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pub mod volatility;
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pub mod volume;
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