diff --git a/.gitea/workflows/build.yml b/.gitea/workflows/build.yml
index 2891d5e..89bd362 100644
--- a/.gitea/workflows/build.yml
+++ b/.gitea/workflows/build.yml
@@ -97,6 +97,7 @@ jobs:
name: Publish .NET
runs-on: ubuntu-latest
needs: [ buildNET ] # for ignoring bad builds
+ if: github.event_name == 'push' && github.ref == 'refs/heads/master'
steps:
- name: Checkout
uses: actions/checkout@v4
@@ -124,11 +125,11 @@ jobs:
- name: Pack
working-directory: ./FinLib.NET/FinLib
- run: dotnet pack
+ run: dotnet pack -p:PackageVersion=$(pushd ../../finlib > /dev/null && cargo pkgid | awk -F '[,#]' '{print $2}' && popd > /dev/null)
- name: Push
working-directory: ./FinLib.NET/FinLib
- run: dotnet nuget push ./bin/Release/FinLib.NET.0.0.5.nupkg --api-key ${{ secrets.DOCKERHUB_TOKEN }} --source https://gitea.sheep-ghoul.ts.net/api/packages/sarsoo/nuget/index.json
+ run: dotnet nuget push ./bin/Release/FinLib.NET.$(pushd ../../finlib > /dev/null && cargo pkgid | awk -F '[,#]' '{print $2}' && popd > /dev/null).nupkg --api-key ${{ secrets.DOCKERHUB_TOKEN }} --source https://gitea.sheep-ghoul.ts.net/api/packages/sarsoo/nuget/index.json
buildWASM:
name: Build WASM
diff --git a/.github/workflows/build.yml b/.github/workflows/build.yml
index b0e6646..b16e740 100644
--- a/.github/workflows/build.yml
+++ b/.github/workflows/build.yml
@@ -99,6 +99,42 @@ jobs:
working-directory: ./FinLib.NET
run: dotnet test --no-restore
+ publishNET:
+ name: Publish .NET
+ runs-on: ubuntu-latest
+ needs: [ buildNET ] # for ignoring bad builds
+ if: github.event_name == 'push' && github.ref == 'refs/heads/master'
+ steps:
+ - name: Checkout
+ uses: actions/checkout@v4
+
+ - name: Install Rust
+ uses: actions-rs/toolchain@v1
+ with:
+ toolchain: stable
+
+ - name: Cargo Build
+ uses: actions-rs/cargo@v1
+ with:
+ command: build
+
+ - name: Setup .NET Core SDK 9.0.x
+ uses: actions/setup-dotnet@v3.0.3
+ with:
+ dotnet-version: 9.0.x
+
+ - name: Install Dependencies
+ working-directory: ./FinLib.NET
+ run: dotnet restore
+
+ - name: Pack
+ working-directory: ./FinLib.NET/FinLib
+ run: dotnet pack -p:PackageVersion=$(pushd ../../finlib > /dev/null && cargo pkgid | awk -F '[,#]' '{print $2}' && popd > /dev/null) -P:PackageId="Sarsoo.FinLib.NET"
+
+ - name: Push
+ working-directory: ./FinLib.NET/FinLib
+ run: dotnet nuget push ./bin/Release/Sarsoo.FinLib.NET.$(pushd ../../finlib > /dev/null && cargo pkgid | awk -F '[,#]' '{print $2}' && popd > /dev/null).nupkg --api-key ${{ secrets.NUGET_TOKEN }} --source https://api.nuget.org/v3/index.json
+
buildWASM:
name: Build WASM
runs-on: ubuntu-latest
@@ -125,7 +161,7 @@ jobs:
name: github-pages
url: ${{ steps.deployment.outputs.page_url }}
runs-on: ubuntu-latest
- needs: [ build, buildPy, buildWASM ] # for ignoring bad builds
+ needs: [ build, buildPy, buildWASM, buildNET ] # for ignoring bad builds
if: github.event_name == 'push' && github.ref == 'refs/heads/master'
steps:
- name: Checkout
@@ -228,4 +264,33 @@ jobs:
uses: actions-rs/cargo@v1
with:
command: publish
- args: --package finlib
\ No newline at end of file
+ args: --package finlib
+
+ publishPy:
+ runs-on: ubuntu-latest
+ name: Publish Python Library
+ needs: [ buildPy ] # for ignoring bad builds
+ if: github.event_name == 'push' && github.ref == 'refs/heads/master'
+ steps:
+ - name: Checkout
+ uses: actions/checkout@v4
+
+ - name: Install Rust
+ uses: actions-rs/toolchain@v1
+ with:
+ toolchain: stable
+
+ - name: Install Python 3
+ uses: actions/setup-python@v4
+ with:
+ python-version: ${{ env.python-version }}
+
+ - name: Install Maturin
+ working-directory: ./pyfinlib
+ run: python3 -m venv .venv && source .venv/bin/activate && pip3 install -r requirements.txt
+
+ - name: Publish
+ working-directory: ./pyfinlib
+ run: source .venv/bin/activate && maturin publish
+ env:
+ MATURIN_PYPI_TOKEN: ${{ secrets.PYPI_TOKEN }}
\ No newline at end of file
diff --git a/Cargo.lock b/Cargo.lock
index 6cbfbb1..bb049d9 100644
--- a/Cargo.lock
+++ b/Cargo.lock
@@ -11,6 +11,12 @@ dependencies = [
"memchr",
]
+[[package]]
+name = "anes"
+version = "0.1.6"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "4b46cbb362ab8752921c97e041f5e366ee6297bd428a31275b9fcf1e380f7299"
+
[[package]]
name = "anstream"
version = "0.6.18"
@@ -106,6 +112,12 @@ version = "1.5.0"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "1fd0f2584146f6f2ef48085050886acf353beff7305ebd1ae69500e27c67f64b"
+[[package]]
+name = "cast"
+version = "0.3.0"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "37b2a672a2cb129a2e41c10b1224bb368f9f37a2b16b612598138befd7b37eb5"
+
[[package]]
name = "cbindgen"
version = "0.28.0"
@@ -140,6 +152,33 @@ version = "1.0.0"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "baf1de4339761588bc0619e3cbc0120ee582ebb74b53b4efbf79117bd2da40fd"
+[[package]]
+name = "ciborium"
+version = "0.2.2"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "42e69ffd6f0917f5c029256a24d0161db17cea3997d185db0d35926308770f0e"
+dependencies = [
+ "ciborium-io",
+ "ciborium-ll",
+ "serde",
+]
+
+[[package]]
+name = "ciborium-io"
+version = "0.2.2"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "05afea1e0a06c9be33d539b876f1ce3692f4afea2cb41f740e7743225ed1c757"
+
+[[package]]
+name = "ciborium-ll"
+version = "0.2.2"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "57663b653d948a338bfb3eeba9bb2fd5fcfaecb9e199e87e1eda4d9e8b240fd9"
+dependencies = [
+ "ciborium-io",
+ "half",
+]
+
[[package]]
name = "clap"
version = "4.5.29"
@@ -194,6 +233,42 @@ dependencies = [
"web-sys",
]
+[[package]]
+name = "criterion"
+version = "0.5.1"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "f2b12d017a929603d80db1831cd3a24082f8137ce19c69e6447f54f5fc8d692f"
+dependencies = [
+ "anes",
+ "cast",
+ "ciborium",
+ "clap",
+ "criterion-plot",
+ "is-terminal",
+ "itertools 0.10.5",
+ "num-traits",
+ "once_cell",
+ "oorandom",
+ "plotters",
+ "rayon",
+ "regex",
+ "serde",
+ "serde_derive",
+ "serde_json",
+ "tinytemplate",
+ "walkdir",
+]
+
+[[package]]
+name = "criterion-plot"
+version = "0.5.0"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "6b50826342786a51a89e2da3a28f1c32b06e387201bc2d19791f622c673706b1"
+dependencies = [
+ "cast",
+ "itertools 0.10.5",
+]
+
[[package]]
name = "crossbeam-deque"
version = "0.8.6"
@@ -219,6 +294,12 @@ version = "0.8.21"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "d0a5c400df2834b80a4c3327b3aad3a4c4cd4de0629063962b03235697506a28"
+[[package]]
+name = "crunchy"
+version = "0.2.3"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "43da5946c66ffcc7745f48db692ffbb10a83bfe0afd96235c5c2a4fb23994929"
+
[[package]]
name = "csbindgen"
version = "1.9.3"
@@ -259,14 +340,16 @@ checksum = "37909eebbb50d72f9059c3b6d82c0463f2ff062c9e95845c43a6c9c0355411be"
[[package]]
name = "finlib"
-version = "0.0.5"
+version = "0.0.6"
dependencies = [
+ "criterion",
"getrandom 0.2.15",
"log",
"nalgebra",
"ndarray",
"ndarray-stats",
"pyo3",
+ "rand",
"rayon",
"statrs",
"wasm-bindgen",
@@ -274,7 +357,7 @@ dependencies = [
[[package]]
name = "finlib-ffi"
-version = "0.0.5"
+version = "0.0.6"
dependencies = [
"cbindgen",
"csbindgen",
@@ -283,7 +366,7 @@ dependencies = [
[[package]]
name = "finlib-wasm"
-version = "0.0.5"
+version = "0.0.6"
dependencies = [
"console_error_panic_hook",
"console_log",
@@ -318,6 +401,16 @@ dependencies = [
"windows-targets",
]
+[[package]]
+name = "half"
+version = "2.4.1"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "6dd08c532ae367adf81c312a4580bc67f1d0fe8bc9c460520283f4c0ff277888"
+dependencies = [
+ "cfg-if",
+ "crunchy",
+]
+
[[package]]
name = "hashbrown"
version = "0.15.2"
@@ -336,6 +429,12 @@ version = "0.5.0"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "2304e00983f87ffb38b55b444b5e3b60a884b5d30c0fca7d82fe33449bbe55ea"
+[[package]]
+name = "hermit-abi"
+version = "0.4.0"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "fbf6a919d6cf397374f7dfeeea91d974c7c0a7221d0d0f4f20d859d329e53fcc"
+
[[package]]
name = "indexmap"
version = "2.7.1"
@@ -352,12 +451,32 @@ version = "2.0.5"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "b248f5224d1d606005e02c97f5aa4e88eeb230488bcc03bc9ca4d7991399f2b5"
+[[package]]
+name = "is-terminal"
+version = "0.4.15"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "e19b23d53f35ce9f56aebc7d1bb4e6ac1e9c0db7ac85c8d1760c04379edced37"
+dependencies = [
+ "hermit-abi",
+ "libc",
+ "windows-sys",
+]
+
[[package]]
name = "is_terminal_polyfill"
version = "1.70.1"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "7943c866cc5cd64cbc25b2e01621d07fa8eb2a1a23160ee81ce38704e97b8ecf"
+[[package]]
+name = "itertools"
+version = "0.10.5"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "b0fd2260e829bddf4cb6ea802289de2f86d6a7a690192fbe91b3f46e0f2c8473"
+dependencies = [
+ "either",
+]
+
[[package]]
name = "itertools"
version = "0.13.0"
@@ -493,7 +612,7 @@ source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "17ebbe97acce52d06aebed4cd4a87c0941f4b2519b59b82b4feb5bd0ce003dfd"
dependencies = [
"indexmap",
- "itertools",
+ "itertools 0.13.0",
"ndarray",
"noisy_float",
"num-integer",
@@ -565,12 +684,46 @@ version = "1.20.3"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "945462a4b81e43c4e3ba96bd7b49d834c6f61198356aa858733bc4acf3cbe62e"
+[[package]]
+name = "oorandom"
+version = "11.1.4"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "b410bbe7e14ab526a0e86877eb47c6996a2bd7746f027ba551028c925390e4e9"
+
[[package]]
name = "paste"
version = "1.0.15"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "57c0d7b74b563b49d38dae00a0c37d4d6de9b432382b2892f0574ddcae73fd0a"
+[[package]]
+name = "plotters"
+version = "0.3.7"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "5aeb6f403d7a4911efb1e33402027fc44f29b5bf6def3effcc22d7bb75f2b747"
+dependencies = [
+ "num-traits",
+ "plotters-backend",
+ "plotters-svg",
+ "wasm-bindgen",
+ "web-sys",
+]
+
+[[package]]
+name = "plotters-backend"
+version = "0.3.7"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "df42e13c12958a16b3f7f4386b9ab1f3e7933914ecea48da7139435263a4172a"
+
+[[package]]
+name = "plotters-svg"
+version = "0.3.7"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "51bae2ac328883f7acdfea3d66a7c35751187f870bc81f94563733a154d7a670"
+dependencies = [
+ "plotters-backend",
+]
+
[[package]]
name = "portable-atomic"
version = "1.10.0"
@@ -606,7 +759,7 @@ dependencies = [
[[package]]
name = "pyfinlib"
-version = "0.0.5"
+version = "0.0.6"
dependencies = [
"finlib",
"log",
@@ -944,6 +1097,16 @@ dependencies = [
"windows-sys",
]
+[[package]]
+name = "tinytemplate"
+version = "1.2.1"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "be4d6b5f19ff7664e8c98d03e2139cb510db9b0a60b55f8e8709b689d939b6bc"
+dependencies = [
+ "serde",
+ "serde_json",
+]
+
[[package]]
name = "toml"
version = "0.8.20"
diff --git a/Cargo.toml b/Cargo.toml
index 926e95c..80c86e4 100644
--- a/Cargo.toml
+++ b/Cargo.toml
@@ -14,7 +14,7 @@ default-members = [
]
[workspace.package]
-version = "0.0.5"
+version = "0.0.6"
authors = ["sarsoo <andy@sarsoo.xyz>"]
description = "Quant finance functions implemented in Rust"
edition = "2021"
diff --git a/FinLib.NET/FinLib/FinLib.csproj b/FinLib.NET/FinLib/FinLib.csproj
index ca3c365..e162194 100644
--- a/FinLib.NET/FinLib/FinLib.csproj
+++ b/FinLib.NET/FinLib/FinLib.csproj
@@ -2,7 +2,6 @@
<PropertyGroup>
<PackageId>FinLib.NET</PackageId>
- <Version>0.0.5</Version>
<Authors>sarsoo</Authors>
</PropertyGroup>
diff --git a/README.md b/README.md
index b9eeacd..7d1d4f2 100644
--- a/README.md
+++ b/README.md
@@ -1,18 +1,54 @@
# finlib
+[](https://github.com/Sarsoo/finlib/actions/workflows/build.yml)
+
+Some quantitative finance functionality written in Rust and consumable from many higher-level languages.
+
+## Derivatives Pricing
+- Options
+ - Black-Scholes
+ - Prices
+ - Greeks
+
+## Risk
+- Value-at-Risk
+ - Historical
+ - Variance-Covariance (Parametric)
+ - Single Asset
+ - Portfolio
+
# FFI
-## Python
+- C++
+ - FFI header files for C++ are generated automatically during build by [cbindgen](https://github.com/mozilla/cbindgen).
+- .NET
+ - FFI wrapper code for C# tareting .NET Standard 2.0 is generated automatically using [csbindgen](https://github.com/Cysharp/csbindgen/).
+- Python
+ - An adapter library for Python is generated usign [PyO3](https://github.com/PyO3/pyo3)
+- WASM (Js)
+ - A Javascript library is generated using [wasm-bindgen](https://github.com/rustwasm/wasm-bindgen)
+## [.NET](./finlib-ffi)
+
+```bash
+cargo build
+cd FinLib.NET
+dotnet build
```
+
+## [Python](./pyfinlib)
+
+```bash
cd pyfinlib
+python -m venv .venv
source .venv/bin/activate
+pip install -r requirements.txt
maturin develop
```
-## WASM
+## [WASM](finlib-wasm)
-```
+```bash
cd finlib-wasm
wasm-pack build
```
\ No newline at end of file
diff --git a/finlib/Cargo.toml b/finlib/Cargo.toml
index a318566..c08b782 100644
--- a/finlib/Cargo.toml
+++ b/finlib/Cargo.toml
@@ -13,16 +13,27 @@ license.workspace = true
[dependencies]
wasm-bindgen = { workspace = true, optional = true }
pyo3 = { workspace = true, optional = true }
-rayon = { workspace = true, optional = true }
+rayon = { workspace = true }
ndarray = { workspace = true }
ndarray-stats = { workspace = true }
nalgebra = { workspace = true }
statrs = { workspace = true }
log = { workspace = true }
getrandom = "~0"
+rand = "0.8.5"
+
+[dev-dependencies]
+criterion = "0.5.1"
+
+[[bench]]
+name = "rayon_roc"
+harness = false
+
+[[bench]]
+name = "rayon_options"
+harness = false
[features]
py = ["dep:pyo3"]
wasm = ["getrandom/js", "dep:wasm-bindgen"]
-parallel = ["dep:rayon"]
ffi = []
\ No newline at end of file
diff --git a/finlib/benches/rayon_options.rs b/finlib/benches/rayon_options.rs
new file mode 100644
index 0000000..d841a1d
--- /dev/null
+++ b/finlib/benches/rayon_options.rs
@@ -0,0 +1,43 @@
+use criterion::{criterion_group, criterion_main, AxisScale, BatchSize, BenchmarkId, Criterion, PlotConfiguration, Throughput};
+use finlib::options::blackscholes::option_surface::OptionSurface;
+use finlib::options::blackscholes::{generate_options, par_generate_options};
+
+pub fn bench_generate_options(c: &mut Criterion) {
+ let mut group = c.benchmark_group("Options::generate_options");
+
+ let plot_config = PlotConfiguration::default()
+ .summary_scale(AxisScale::Logarithmic);
+ group.plot_config(plot_config);
+
+ for i in [1, 10, 100, 1000].into_iter() {
+
+ let surface = OptionSurface::from(
+ 0 .. 10,
+ (100., 200.),
+ 0 .. i,
+ (100., 200.),
+ 0 .. 5,
+ (0.25, 0.50),
+ 0 .. 10,
+ (0.05, 0.08),
+ 0 .. 1,
+ (0.01, 0.02),
+ 0 .. 10,
+ (30./365.25, 30./365.25),
+ );
+
+ let variables = surface.walk();
+
+ group.throughput(Throughput::Elements(variables.len() as u64));
+ group.bench_function(BenchmarkId::new("Sequential", variables.len()), |b| {
+ b.iter_batched(|| variables.clone(), |p| { generate_options(&p); }, BatchSize::SmallInput)
+ });
+ group.bench_function(BenchmarkId::new("Parallel", variables.len()), |b| {
+ b.iter_batched(|| variables.clone(), |p| { par_generate_options(&p); }, BatchSize::SmallInput)
+ });
+ }
+ group.finish();
+}
+
+criterion_group!(benches, bench_generate_options);
+criterion_main!(benches);
\ No newline at end of file
diff --git a/finlib/benches/rayon_roc.rs b/finlib/benches/rayon_roc.rs
new file mode 100644
index 0000000..9f75743
--- /dev/null
+++ b/finlib/benches/rayon_roc.rs
@@ -0,0 +1,65 @@
+use criterion::{criterion_group, criterion_main, AxisScale, BatchSize, BenchmarkId, Criterion, PlotConfiguration, Throughput};
+use finlib::risk::portfolio::{Portfolio, PortfolioAsset};
+use rand::Rng;
+
+pub fn bench_apply_rates_of_change_values(c: &mut Criterion) {
+ let mut group = c.benchmark_group("Portfolio::apply_rates_of_change/values");
+ let mut rng = rand::thread_rng();
+
+ let plot_config = PlotConfiguration::default()
+ .summary_scale(AxisScale::Logarithmic);
+ group.plot_config(plot_config);
+
+ for i in [10, 100, 1000, 10_000, 100_000, 1_000_000].into_iter() {
+
+ let portfolio = Portfolio::from(vec![
+ PortfolioAsset::new(0.1, "a".to_string(), (0 .. i).map(|_| rng.gen::<f64>()).collect()),
+ PortfolioAsset::new(0.1, "a".to_string(), (0 .. i).map(|_| rng.gen::<f64>()).collect()),
+ PortfolioAsset::new(0.1, "a".to_string(), (0 .. i).map(|_| rng.gen::<f64>()).collect()),
+ PortfolioAsset::new(0.1, "a".to_string(), (0 .. i).map(|_| rng.gen::<f64>()).collect()),
+ PortfolioAsset::new(0.1, "a".to_string(), (0 .. i).map(|_| rng.gen::<f64>()).collect()),
+ PortfolioAsset::new(0.1, "a".to_string(), (0 .. i).map(|_| rng.gen::<f64>()).collect()),
+ PortfolioAsset::new(0.1, "a".to_string(), (0 .. i).map(|_| rng.gen::<f64>()).collect()),
+ PortfolioAsset::new(0.1, "a".to_string(), (0 .. i).map(|_| rng.gen::<f64>()).collect()),
+ PortfolioAsset::new(0.1, "a".to_string(), (0 .. i).map(|_| rng.gen::<f64>()).collect()),
+ PortfolioAsset::new(0.1, "a".to_string(), (0 .. i).map(|_| rng.gen::<f64>()).collect())
+ ]);
+
+ group.throughput(Throughput::Elements((i * 10) as u64));
+ group.bench_function(BenchmarkId::new("Sequential", i), |b| {
+ b.iter_batched(|| portfolio.clone(), |mut p| { p.apply_rates_of_change(); }, BatchSize::SmallInput)
+ });
+ group.bench_function(BenchmarkId::new("Parallel", i), |b| {
+ b.iter_batched(|| portfolio.clone(), |mut p| { p.par_apply_rates_of_change(); }, BatchSize::SmallInput)
+ });
+ }
+ group.finish();
+}
+
+pub fn bench_apply_rates_of_change_assets(c: &mut Criterion) {
+ let mut group = c.benchmark_group("Portfolio::apply_rates_of_change/assets");
+ let mut rng = rand::thread_rng();
+
+ let plot_config = PlotConfiguration::default()
+ .summary_scale(AxisScale::Logarithmic);
+ group.plot_config(plot_config);
+
+ for i in [10, 100, 1000, 10_000].into_iter() {
+
+ let portfolio = Portfolio::from((0 .. i).map(|_| {
+ PortfolioAsset::new(0.1, "a".to_string(), (0 .. 10000).map(|_| rng.gen::<f64>()).collect())
+ }).collect());
+
+ group.throughput(Throughput::Elements(i as u64));
+ group.bench_function(BenchmarkId::new("Sequential", i), |b| {
+ b.iter_batched(|| portfolio.clone(), |mut p| { p.apply_rates_of_change(); }, BatchSize::SmallInput)
+ });
+ group.bench_function(BenchmarkId::new("Parallel", i), |b| {
+ b.iter_batched(|| portfolio.clone(), |mut p| { p.par_apply_rates_of_change(); }, BatchSize::SmallInput)
+ });
+ }
+ group.finish();
+}
+
+criterion_group!(benches, bench_apply_rates_of_change_values, bench_apply_rates_of_change_assets);
+criterion_main!(benches);
\ No newline at end of file
diff --git a/finlib/src/lib.rs b/finlib/src/lib.rs
index 5024e04..1e01328 100644
--- a/finlib/src/lib.rs
+++ b/finlib/src/lib.rs
@@ -5,30 +5,4 @@ pub mod stats;
pub mod util;
pub mod risk;
pub mod ffi;
-pub mod options;
-
-#[cfg(feature = "parallel")]
-use rayon::prelude::*;
-
-#[macro_export]
-macro_rules! gated_iter {
- ($x:expr) => {
- {
- $x.iter()
- }
- };
-}
-
-#[macro_export]
-macro_rules! gated_iter_mut {
- ($x:expr) => {
- {
- if cfg!(feature = "parallel") {
- $x.par_iter_mut()
- }
- else {
- $x.iter_mut()
- }
- }
- };
-}
\ No newline at end of file
+pub mod options;
\ No newline at end of file
diff --git a/finlib/src/options/blackscholes/OptionSurface.rs b/finlib/src/options/blackscholes/OptionSurface.rs
deleted file mode 100644
index faf761f..0000000
--- a/finlib/src/options/blackscholes/OptionSurface.rs
+++ /dev/null
@@ -1,174 +0,0 @@
-use core::ops::Range;
-use std::sync::{Arc, Mutex};
-#[cfg(feature = "parallel")]
-use rayon::prelude::*;
-use crate::options::blackscholes::OptionVariables;
-
-pub struct OptionSurface {
- underlying_price: Range<isize>,
- underlying_price_bounds: (f64, f64),
- strike_price: Range<isize>,
- strike_price_bounds: (f64, f64),
- volatility: Range<isize>,
- volatility_bounds: (f64, f64),
- risk_free_interest_rate: Range<isize>,
- risk_free_interest_rate_bounds: (f64, f64),
- dividend: Range<isize>,
- dividend_bounds: (f64, f64),
- time_to_expiration: Range<isize>,
- time_to_expiration_bounds: (f64, f64)
-}
-
-impl OptionSurface {
- pub fn from(underlying_price: Range<isize>,
- underlying_price_bounds: (f64, f64),
- strike_price: Range<isize>,
- strike_price_bounds: (f64, f64),
- volatility: Range<isize>,
- volatility_bounds: (f64, f64),
- risk_free_interest_rate: Range<isize>,
- risk_free_interest_rate_bounds: (f64, f64),
- dividend: Range<isize>,
- dividend_bounds: (f64, f64),
- time_to_expiration: Range<isize>,
- time_to_expiration_bounds: (f64, f64)) -> Self {
- Self {
- underlying_price,
- underlying_price_bounds,
- strike_price,
- strike_price_bounds,
- volatility,
- volatility_bounds,
- risk_free_interest_rate,
- risk_free_interest_rate_bounds,
- dividend,
- dividend_bounds,
- time_to_expiration,
- time_to_expiration_bounds,
- }
- }
-
- pub fn walk(self) -> Vec<OptionVariables> {
-
- // #[cfg(feature = "parallel")]
- // {
- // let vec: Arc<Mutex<Vec<OptionVariables>>> = Arc::new(Mutex::new(vec![]));
- // self.underlying_price
- // .into_par_iter()
- // .for_each(|p| {
- // self.strike_price
- // .clone()
- // .into_par_iter()
- // .for_each(|s| {
- // self.volatility
- // .clone()
- // .into_par_iter()
- // .for_each(|v| {
- // self.risk_free_interest_rate
- // .clone()
- // .into_par_iter()
- // .for_each(|i| {
- // self.dividend
- // .clone()
- // .into_par_iter()
- // .for_each(|d| {
- // self.time_to_expiration
- // .clone()
- // .into_par_iter()
- // .for_each(|t| {
- // let mut m = vec.clone();
- // let mut guard = m.lock().unwrap();
- // guard.push(OptionVariables::from(
- // self.underlying_price_bounds.0 + (self.underlying_price_bounds.1 - self.underlying_price_bounds.0) * p as f64,
- // self.strike_price_bounds.0 + (self.strike_price_bounds.1 - self.strike_price_bounds.0) * s as f64,
- // self.volatility_bounds.0 + (self.volatility_bounds.1 - self.volatility_bounds.0) * v as f64,
- // self.risk_free_interest_rate_bounds.0 + (self.risk_free_interest_rate_bounds.1 - self.risk_free_interest_rate_bounds.0) * i as f64,
- // self.dividend_bounds.0 + (self.dividend_bounds.1 - self.dividend_bounds.0) * d as f64,
- // self.time_to_expiration_bounds.0 + (self.time_to_expiration_bounds.1 - self.time_to_expiration_bounds.0) * t as f64
- // ));
- // })
- // })
- // })
- // })
- // })
- // });
- //
- // Arc::try_unwrap(vec).unwrap().into_inner().unwrap()
- // }
- // #[cfg(not(feature = "parallel"))]
- {
- let mut vec: Vec<OptionVariables> = Vec::with_capacity(
- self.underlying_price.len()
- * self.strike_price.len()
- * self.volatility.len()
- * self.risk_free_interest_rate.len()
- * self.dividend.len()
- * self.time_to_expiration.len()
- );
- for p in self.underlying_price {
- for s in self.strike_price.clone() {
- for v in self.volatility.clone() {
- for i in self.risk_free_interest_rate.clone() {
- for d in self.dividend.clone() {
- for t in self.time_to_expiration.clone() {
- let v = OptionVariables::from(
- self.underlying_price_bounds.0 + (self.underlying_price_bounds.1 - self.underlying_price_bounds.0) * p as f64,
- self.strike_price_bounds.0 + (self.strike_price_bounds.1 - self.strike_price_bounds.0) * s as f64,
- self.volatility_bounds.0 + (self.volatility_bounds.1 - self.volatility_bounds.0) * v as f64,
- self.risk_free_interest_rate_bounds.0 + (self.risk_free_interest_rate_bounds.1 - self.risk_free_interest_rate_bounds.0) * i as f64,
- self.dividend_bounds.0 + (self.dividend_bounds.1 - self.dividend_bounds.0) * d as f64,
- self.time_to_expiration_bounds.0 + (self.time_to_expiration_bounds.1 - self.time_to_expiration_bounds.0) * t as f64
- );
- vec.push(v);
- }
- }
- }
- }
- }
- }
-
- vec
- }
- }
-}
-
-#[cfg(test)]
-mod tests {
- use crate::options::blackscholes::{CallOption, Option, PutOption};
- use super::*;
-
- #[test]
- fn walk_test() {
- let w = OptionSurface::from(
- (0 .. 50),
- (100., 200.),
- (0 .. 50),
- (100., 200.),
- (0 .. 5),
- (0.25, 0.50),
- (0 .. 10),
- (0.05, 0.08),
- (0 .. 1),
- (0.01, 0.02),
- (0 .. 10),
- (30./365.25, 30./365.25),
- );
-
- let a = w.walk();
-
- let options = a
- .iter()
- .map(|v| {
- let mut call = v.call();
- let mut put = v.put();
-
- call.calc_greeks();
- put.calc_greeks();
-
- (call, put)
- })
- .collect::<Vec<(CallOption, PutOption)>>();
-
- let a1 = a.first();
- }
-}
\ No newline at end of file
diff --git a/finlib/src/options/blackscholes/generate.rs b/finlib/src/options/blackscholes/generate.rs
new file mode 100644
index 0000000..d36104d
--- /dev/null
+++ b/finlib/src/options/blackscholes/generate.rs
@@ -0,0 +1,32 @@
+use rayon::prelude::*;
+use crate::options::blackscholes::{CallOption, Option, OptionVariables, PutOption};
+
+pub fn generate_options(option_variables: &Vec<OptionVariables>) -> Vec<(CallOption, PutOption)> {
+ option_variables
+ .iter()
+ .map(|v| {
+ let mut call = v.call();
+ let mut put = v.put();
+
+ call.calc_greeks();
+ put.calc_greeks();
+
+ (call, put)
+ })
+ .collect::<Vec<(CallOption, PutOption)>>()
+}
+
+pub fn par_generate_options(option_variables: &Vec<OptionVariables>) -> Vec<(CallOption, PutOption)> {
+ option_variables
+ .par_iter()
+ .map(|v| {
+ let mut call = v.call();
+ let mut put = v.put();
+
+ call.calc_greeks();
+ put.calc_greeks();
+
+ (call, put)
+ })
+ .collect::<Vec<(CallOption, PutOption)>>()
+}
\ No newline at end of file
diff --git a/finlib/src/options/blackscholes/mod.rs b/finlib/src/options/blackscholes/mod.rs
index b162007..ba5cad4 100644
--- a/finlib/src/options/blackscholes/mod.rs
+++ b/finlib/src/options/blackscholes/mod.rs
@@ -1,4 +1,6 @@
-mod OptionSurface;
+pub mod option_surface;
+pub mod generate;
+pub use generate::*;
use statrs::distribution::{Continuous, ContinuousCDF, Normal};
#[cfg(feature = "wasm")]
diff --git a/finlib/src/options/blackscholes/option_surface.rs b/finlib/src/options/blackscholes/option_surface.rs
new file mode 100644
index 0000000..cca2100
--- /dev/null
+++ b/finlib/src/options/blackscholes/option_surface.rs
@@ -0,0 +1,113 @@
+use core::ops::Range;
+use std::sync::{Arc, Mutex};
+use crate::options::blackscholes::{CallOption, Option, OptionVariables, PutOption};
+
+pub struct OptionSurface {
+ underlying_price: Range<isize>,
+ underlying_price_bounds: (f64, f64),
+ strike_price: Range<isize>,
+ strike_price_bounds: (f64, f64),
+ volatility: Range<isize>,
+ volatility_bounds: (f64, f64),
+ risk_free_interest_rate: Range<isize>,
+ risk_free_interest_rate_bounds: (f64, f64),
+ dividend: Range<isize>,
+ dividend_bounds: (f64, f64),
+ time_to_expiration: Range<isize>,
+ time_to_expiration_bounds: (f64, f64)
+}
+
+impl OptionSurface {
+ pub fn from(underlying_price: Range<isize>,
+ underlying_price_bounds: (f64, f64),
+ strike_price: Range<isize>,
+ strike_price_bounds: (f64, f64),
+ volatility: Range<isize>,
+ volatility_bounds: (f64, f64),
+ risk_free_interest_rate: Range<isize>,
+ risk_free_interest_rate_bounds: (f64, f64),
+ dividend: Range<isize>,
+ dividend_bounds: (f64, f64),
+ time_to_expiration: Range<isize>,
+ time_to_expiration_bounds: (f64, f64)) -> Self {
+ Self {
+ underlying_price,
+ underlying_price_bounds,
+ strike_price,
+ strike_price_bounds,
+ volatility,
+ volatility_bounds,
+ risk_free_interest_rate,
+ risk_free_interest_rate_bounds,
+ dividend,
+ dividend_bounds,
+ time_to_expiration,
+ time_to_expiration_bounds,
+ }
+ }
+
+ pub fn walk(self) -> Vec<OptionVariables> {
+
+ let mut vec: Vec<OptionVariables> = Vec::with_capacity(
+ self.underlying_price.len()
+ * self.strike_price.len()
+ * self.volatility.len()
+ * self.risk_free_interest_rate.len()
+ * self.dividend.len()
+ * self.time_to_expiration.len()
+ );
+ for p in self.underlying_price {
+ for s in self.strike_price.clone() {
+ for v in self.volatility.clone() {
+ for i in self.risk_free_interest_rate.clone() {
+ for d in self.dividend.clone() {
+ for t in self.time_to_expiration.clone() {
+ let v = OptionVariables::from(
+ self.underlying_price_bounds.0 + (self.underlying_price_bounds.1 - self.underlying_price_bounds.0) * p as f64,
+ self.strike_price_bounds.0 + (self.strike_price_bounds.1 - self.strike_price_bounds.0) * s as f64,
+ self.volatility_bounds.0 + (self.volatility_bounds.1 - self.volatility_bounds.0) * v as f64,
+ self.risk_free_interest_rate_bounds.0 + (self.risk_free_interest_rate_bounds.1 - self.risk_free_interest_rate_bounds.0) * i as f64,
+ self.dividend_bounds.0 + (self.dividend_bounds.1 - self.dividend_bounds.0) * d as f64,
+ self.time_to_expiration_bounds.0 + (self.time_to_expiration_bounds.1 - self.time_to_expiration_bounds.0) * t as f64
+ );
+ vec.push(v);
+ }
+ }
+ }
+ }
+ }
+ }
+
+ vec
+ }
+}
+
+#[cfg(test)]
+mod tests {
+ use crate::options::blackscholes::{generate_options, CallOption, Option, PutOption};
+ use super::*;
+
+ #[test]
+ fn walk_test() {
+ let w = OptionSurface::from(
+ (0 .. 50),
+ (100., 200.),
+ (0 .. 50),
+ (100., 200.),
+ (0 .. 5),
+ (0.25, 0.50),
+ (0 .. 10),
+ (0.05, 0.08),
+ (0 .. 1),
+ (0.01, 0.02),
+ (0 .. 10),
+ (30./365.25, 30./365.25),
+ );
+
+ let a = w.walk();
+
+ let options = generate_options(&a);
+
+ let a1 = a.first();
+ }
+}
\ No newline at end of file
diff --git a/finlib/src/risk/portfolio.rs b/finlib/src/risk/portfolio.rs
index 5bb44f6..64231ed 100644
--- a/finlib/src/risk/portfolio.rs
+++ b/finlib/src/risk/portfolio.rs
@@ -5,7 +5,6 @@ use ndarray_stats::CorrelationExt;
use wasm_bindgen::prelude::*;
#[cfg(feature = "py")]
use pyo3::prelude::*;
-#[cfg(feature = "parallel")]
use rayon::prelude::*;
use statrs::distribution::{ContinuousCDF, Normal};
use crate::risk::forecast::{mean_investment, std_dev_investment};
@@ -96,18 +95,16 @@ impl Portfolio {
/// Convert a portfolio of assets with absolute values to the percentage change in values
pub fn apply_rates_of_change(&mut self) {
- #[cfg(feature = "parallel")]
- {
- self.assets.par_iter_mut().for_each(|asset| {
- asset.apply_rates_of_change();
- });
- }
- #[cfg(not(feature = "parallel"))]
- {
- self.assets.iter_mut().for_each(|asset| {
- asset.apply_rates_of_change();
- });
- }
+ self.assets.iter_mut().for_each(|asset| {
+ asset.apply_rates_of_change();
+ });
+ }
+
+ #[deprecated(note = "a lot slower than the sequential method, sans par prefix")]
+ pub fn par_apply_rates_of_change(&mut self) {
+ self.assets.par_iter_mut().for_each(|asset| {
+ asset.apply_rates_of_change();
+ });
}
/// Do all the assets in the portfolio have the same number of values (required to perform matrix operations)
@@ -155,29 +152,33 @@ impl Portfolio {
let column_count = self.assets.len();
let row_count = self.assets[0].values.len();
- #[cfg(feature = "parallel")]
- {
- let matrix = Array2::from_shape_vec((column_count, row_count),
- self.assets
- .par_iter()
- .map(|a| a.values.clone())
- .flatten()
- .collect::<Vec<f64>>()
- ).unwrap();
- Some(matrix.into_owned())
- }
- #[cfg(not(feature = "parallel"))]
- {
- let matrix = Array2::from_shape_vec((column_count, row_count),
- self.assets
- .iter()
- .map(|a| a.values.clone())
- .flatten()
- .collect::<Vec<f64>>()
- ).unwrap();
- Some(matrix.into_owned())
+ let matrix = Array2::from_shape_vec((column_count, row_count),
+ self.assets
+ .iter()
+ .map(|a| a.values.clone())
+ .flatten()
+ .collect::<Vec<f64>>()
+ ).unwrap();
+ Some(matrix.into_owned())
+ }
+
+ /// Format the asset values in the portfolio as a matrix such that statistical operations can be applied to it
+ pub fn par_get_matrix(&self) -> Option<Array2<f64>> {
+ if self.assets.is_empty() || !self.valid_sizes() {
+ return None;
}
+ let column_count = self.assets.len();
+ let row_count = self.assets[0].values.len();
+
+ let matrix = Array2::from_shape_vec((column_count, row_count),
+ self.assets
+ .par_iter()
+ .map(|a| a.values.clone())
+ .flatten()
+ .collect::<Vec<f64>>()
+ ).unwrap();
+ Some(matrix.into_owned())
}
/// Calculate the mean and the standard deviation of a portfolio, taking into account the relative weights and covariance of the portfolio's assets
diff --git a/finlib/src/risk/var/historical.rs b/finlib/src/risk/var/historical.rs
index 13a203d..f8d9b7e 100644
--- a/finlib/src/risk/var/historical.rs
+++ b/finlib/src/risk/var/historical.rs
@@ -1,6 +1,4 @@
use crate::util::roc::rates_of_change;
-
-#[cfg(feature = "parallel")]
use rayon::prelude::*;
// https://www.simtrade.fr/blog_simtrade/historical-method-var-calculation/
@@ -8,7 +6,6 @@ use rayon::prelude::*;
pub fn value_at_risk(values: &[f64], confidence: f64) -> f64 {
let mut roc = rates_of_change(values).collect::<Vec<_>>();
- // roc.par_sort_by(|x, y| x.partial_cmp(y).unwrap());
roc.sort_by(|x, y| x.partial_cmp(y).unwrap());
let threshold = (confidence * roc.len() as f64).floor() as usize;
@@ -16,6 +13,16 @@ pub fn value_at_risk(values: &[f64], confidence: f64) -> f64 {
roc[threshold]
}
+pub fn par_value_at_risk(values: &[f64], confidence: f64) -> f64 {
+ let mut roc = rates_of_change(values).collect::<Vec<_>>();
+
+ roc.par_sort_by(|x, y| x.partial_cmp(y).unwrap());
+
+ let threshold = (confidence * roc.len() as f64).floor() as usize;
+
+ roc[threshold]
+}
+
#[cfg(test)]
mod tests {
use super::*;
diff --git a/finlib/src/risk/var/varcovar.rs b/finlib/src/risk/var/varcovar.rs
index c121692..0be44ad 100644
--- a/finlib/src/risk/var/varcovar.rs
+++ b/finlib/src/risk/var/varcovar.rs
@@ -1,7 +1,6 @@
use crate::stats;
use crate::util::roc::rates_of_change;
-#[cfg(feature = "parallel")]
use rayon::prelude::*;
use statrs::distribution::{ContinuousCDF, Normal};
// https://medium.com/@serdarilarslan/value-at-risk-var-and-its-implementation-in-python-5c9150f73b0e
diff --git a/finlib/src/stats/covariance.rs b/finlib/src/stats/covariance.rs
index c4a4729..db2f6fe 100644
--- a/finlib/src/stats/covariance.rs
+++ b/finlib/src/stats/covariance.rs
@@ -1,5 +1,3 @@
-#[cfg(feature = "parallel")]
-use rayon::prelude::*;
use super::mean;
pub fn covariance(slice: &[f64], slice_two: &[f64]) -> Option<f64>
@@ -10,10 +8,8 @@ pub fn covariance(slice: &[f64], slice_two: &[f64]) -> Option<f64>
let mean_2 = mean(slice_two);
Some(slice
- // .par_iter()
.iter()
.zip(slice_two
- // .par_iter()
.iter()
)
.map(|(x, y)| (x - mean_1) * (y - mean_2))
diff --git a/finlib/src/util/roc.rs b/finlib/src/util/roc.rs
index f9920c4..29deb74 100644
--- a/finlib/src/util/roc.rs
+++ b/finlib/src/util/roc.rs
@@ -1,17 +1,13 @@
-#[cfg(feature = "parallel")]
-use rayon::prelude::*;
pub fn changes(values: &[f64]) -> impl Iterator<Item = f64> + use<'_> {
values
.windows(2)
- // .par_windows(2)
.map(|x| x[1] - x[0])
}
pub fn rates_of_change(values: &[f64]) -> impl Iterator<Item = f64> + use<'_> {
values
.windows(2)
- // .par_windows(2)
.map(|x| (x[1] - x[0])/x[0])
}