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>
2.5 KiB
2.5 KiB
Derivatives Analytics
ferro-ta now includes a Rust-backed derivatives analytics layer focused on
research, simulation, and risk analysis.
Modules
ferro_ta.analysis.options- Black-Scholes-Merton and Black-76 pricing
- Delta, gamma, vega, theta, rho
- Implied volatility inversion with guarded Newton + bisection fallback
- IV rank / percentile / z-score
- Smile metrics: ATM IV, 25-delta risk reversal, butterfly, skew slope, convexity
- Chain helpers: moneyness labels and strike selection by offset or delta
ferro_ta.analysis.futures- Synthetic forwards and parity diagnostics
- Basis, annualized basis, implied carry, carry spread
- Continuous contract stitching: weighted, back-adjusted, ratio-adjusted
- Curve analytics: calendar spreads, slope, contango summary
ferro_ta.analysis.options_strategy- Typed strategy schemas for expiry selectors, strike selectors, multi-leg presets, risk controls, cost assumptions, and simulation limits
ferro_ta.analysis.derivatives_payoff- Multi-leg payoff aggregation
- Portfolio-level Greeks aggregation across option and futures legs
Model conventions
model="bsm"expects the underlying input to be spot andcarryto represent a continuous dividend yield or generic carry term.model="black76"expects the underlying input to be the forward price.- Volatility and rates use decimal units:
0.20means 20% annualized volatility0.05means 5% annualized rate
time_to_expiryis expressed in years.
Quick examples
from ferro_ta.analysis.options import greeks, implied_volatility, option_price
price = option_price(100.0, 100.0, 0.05, 1.0, 0.20, option_type="call")
iv = implied_volatility(price, 100.0, 100.0, 0.05, 1.0, option_type="call")
g = greeks(100.0, 100.0, 0.05, 1.0, 0.20, option_type="call")
print(price, iv, g.delta)
from ferro_ta.analysis.futures import basis, curve_summary
print(basis(100.0, 103.0))
print(curve_summary(100.0, [0.1, 0.5, 1.0], [101.0, 102.0, 104.0]))
from ferro_ta.analysis.derivatives_payoff import PayoffLeg, strategy_payoff
legs = [
PayoffLeg("option", "long", option_type="call", strike=100.0, premium=5.0),
PayoffLeg("future", "long", entry_price=100.0),
]
grid = [90.0, 100.0, 110.0]
print(strategy_payoff(grid, legs=legs))
Notes
- Existing
iv_rank,iv_percentile, andiv_zscorenames are preserved. - The derivatives layer is analytics-only: there is no broker connectivity, order routing, or execution workflow in this API.