diff --git a/FinLib.NET/FinLib.Bench/Benchmarks/HistoricalVAR.cs b/FinLib.NET/FinLib.Bench/Benchmarks/HistoricalVAR.cs
new file mode 100644
index 0000000..186943f
--- /dev/null
+++ b/FinLib.NET/FinLib.Bench/Benchmarks/HistoricalVAR.cs
@@ -0,0 +1,34 @@
+using System.Security.Cryptography;
+using BenchmarkDotNet.Attributes;
+using FinLib.Bench.Comparisons;
+
+namespace FinLib.Bench.Benchmarks;
+
+public class HistoricalVar
+{
+ private const int N = 10000;
+
+ // [Params(0.05d, 0.1d)]
+ public double confidence = 0.05;
+ [Params(10, 1000, 10000)]
+ public int length;
+ private double[] data;
+
+ [GlobalSetup]
+ public void Setup()
+ {
+ data = new double[length];
+ var random = new Random(42);
+
+ for (int i = 0; i < length; i++)
+ {
+ data[i] = random.NextDouble();
+ }
+ }
+
+ [Benchmark]
+ public double FinLibDotnet() => HistoricalVARDotnet.ValueAtRisk(data.ToList(), confidence);
+
+ [Benchmark]
+ public double FinLibRust() => FinLib.Risk.ValueAtRisk.Historical(data, confidence);
+}
\ No newline at end of file
diff --git a/FinLib.NET/FinLib.Bench/Comparisons/HistoricalVARDotnet.cs b/FinLib.NET/FinLib.Bench/Comparisons/HistoricalVARDotnet.cs
new file mode 100644
index 0000000..2abf9a3
--- /dev/null
+++ b/FinLib.NET/FinLib.Bench/Comparisons/HistoricalVARDotnet.cs
@@ -0,0 +1,37 @@
+namespace FinLib.Bench.Comparisons;
+
+public static class HistoricalVARDotnet
+{
+ public static IEnumerable<(T, T)> Pairwise<T>(this IEnumerable<T> enumerable)
+ {
+ var previous = default(T);
+
+ using (var e = enumerable.GetEnumerator())
+ {
+ if (e.MoveNext())
+ previous = e.Current;
+
+ while (e.MoveNext())
+ {
+ previous = e.Current;
+ yield return (previous, e.Current);
+ }
+ }
+ }
+
+ public static IEnumerable<double> RatesOfChange(this IEnumerable<double> values)
+ {
+ foreach (var value in values.Pairwise())
+ {
+ yield return (value.Item2 - value.Item1) / value.Item1;
+ }
+ }
+
+ public static double ValueAtRisk(List<double> values, double confidence)
+ {
+ var roc = values.RatesOfChange().Order().ToArray();
+ var threshold = (int) Math.Floor(confidence * roc.Length);
+
+ return roc[threshold];
+ }
+}
\ No newline at end of file
diff --git a/FinLib.NET/FinLib.Bench/FinLib.Bench.csproj b/FinLib.NET/FinLib.Bench/FinLib.Bench.csproj
new file mode 100644
index 0000000..2c65660
--- /dev/null
+++ b/FinLib.NET/FinLib.Bench/FinLib.Bench.csproj
@@ -0,0 +1,18 @@
+<Project Sdk="Microsoft.NET.Sdk">
+
+ <PropertyGroup>
+ <OutputType>Exe</OutputType>
+ <TargetFramework>net9.0</TargetFramework>
+ <ImplicitUsings>enable</ImplicitUsings>
+ <Nullable>enable</Nullable>
+ </PropertyGroup>
+
+ <ItemGroup>
+ <PackageReference Include="BenchmarkDotNet" Version="0.14.0" />
+ </ItemGroup>
+
+ <ItemGroup>
+ <ProjectReference Include="..\FinLib\FinLib.csproj" />
+ </ItemGroup>
+
+</Project>
diff --git a/FinLib.NET/FinLib.Bench/Program.cs b/FinLib.NET/FinLib.Bench/Program.cs
new file mode 100644
index 0000000..6a48140
--- /dev/null
+++ b/FinLib.NET/FinLib.Bench/Program.cs
@@ -0,0 +1,13 @@
+using BenchmarkDotNet.Running;
+using FinLib.Bench.Benchmarks;
+
+namespace FinLib.Bench
+{
+ public class Program
+ {
+ public static void Main(string[] args)
+ {
+ var summary = BenchmarkRunner.Run<HistoricalVar>();
+ }
+ }
+}
\ No newline at end of file
diff --git a/FinLib.NET/FinLib.Test/Basic.cs b/FinLib.NET/FinLib.Test/Basic.cs
index b1e46a7..4c38a95 100644
--- a/FinLib.NET/FinLib.Test/Basic.cs
+++ b/FinLib.NET/FinLib.Test/Basic.cs
@@ -11,24 +11,24 @@ public class Tests
[Test]
public void TestCompoundInterest()
{
- FinLib.CompoundInterest(100, 0.05, 1, 1).Should().Be(105);
+ Interest.Interest.Compound(100, 0.05, 1, 1).Should().Be(105);
}
[Test]
public void TestCompoundInterestMonthly()
{
- Math.Round(FinLib.CompoundInterest(100, 0.05, 1, 12), 2).Should().Be(105.12);
+ Math.Round(Interest.Interest.Compound(100, 0.05, 1, 12), 2).Should().Be(105.12);
}
[Test]
public void Covariance()
{
- FinLib.Covariance([1d, 2d, 3d, 4], [1d, 2, 3, 4]).Should().Be(1.6666666666666667);
+ Stats.Stats.Covariance([1d, 2d, 3d, 4], [1d, 2, 3, 4]).Should().Be(1.6666666666666667);
}
[Test]
public void CovarianceBreaking()
{
- FinLib.Covariance([1d, 2d, 3d, 4], [1d]).Should().BeNull();
+ Stats.Stats.Covariance([1d, 2d, 3d, 4], [1d]).Should().BeNull();
}
}
\ No newline at end of file
diff --git a/FinLib.NET/FinLib.sln b/FinLib.NET/FinLib.sln
index 524b55e..2c8fb4a 100644
--- a/FinLib.NET/FinLib.sln
+++ b/FinLib.NET/FinLib.sln
@@ -4,6 +4,8 @@ Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "FinLib", "FinLib\FinLib.csp
EndProject
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "FinLib.Test", "FinLib.Test\FinLib.Test.csproj", "{148E024C-07D0-4DC0-A3E2-A146E709897B}"
EndProject
+Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "FinLib.Bench", "FinLib.Bench\FinLib.Bench.csproj", "{F4171146-0A63-4611-972B-BAFB9A090D2B}"
+EndProject
Global
GlobalSection(SolutionConfigurationPlatforms) = preSolution
Debug|Any CPU = Debug|Any CPU
@@ -18,5 +20,9 @@ Global
{148E024C-07D0-4DC0-A3E2-A146E709897B}.Debug|Any CPU.Build.0 = Debug|Any CPU
{148E024C-07D0-4DC0-A3E2-A146E709897B}.Release|Any CPU.ActiveCfg = Release|Any CPU
{148E024C-07D0-4DC0-A3E2-A146E709897B}.Release|Any CPU.Build.0 = Release|Any CPU
+ {F4171146-0A63-4611-972B-BAFB9A090D2B}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
+ {F4171146-0A63-4611-972B-BAFB9A090D2B}.Debug|Any CPU.Build.0 = Debug|Any CPU
+ {F4171146-0A63-4611-972B-BAFB9A090D2B}.Release|Any CPU.ActiveCfg = Release|Any CPU
+ {F4171146-0A63-4611-972B-BAFB9A090D2B}.Release|Any CPU.Build.0 = Release|Any CPU
EndGlobalSection
EndGlobal
diff --git a/FinLib.NET/FinLib/FinLib.Interest.cs b/FinLib.NET/FinLib/FinLib.Interest.cs
new file mode 100644
index 0000000..a6bba3f
--- /dev/null
+++ b/FinLib.NET/FinLib/FinLib.Interest.cs
@@ -0,0 +1,14 @@
+using System;
+using System.Collections;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace FinLib.Interest;
+
+public static class Interest
+{
+ public static double Compound(double principal, double rate, double time, double n)
+ {
+ return NativeMethods.interest_compound(principal, rate, time, n);
+ }
+}
\ No newline at end of file
diff --git a/FinLib.NET/FinLib/FinLib.Risk.cs b/FinLib.NET/FinLib/FinLib.Risk.cs
new file mode 100644
index 0000000..347955a
--- /dev/null
+++ b/FinLib.NET/FinLib/FinLib.Risk.cs
@@ -0,0 +1,21 @@
+using System;
+using System.Collections;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace FinLib.Risk;
+
+public static class ValueAtRisk
+{
+ public static double Historical(IEnumerable<double> values, double confidence)
+ {
+ unsafe {
+ var valueArr = values.ToArray();
+ fixed (double* ptrOne = valueArr) {
+ var ret = NativeMethods.value_at_risk(ptrOne, (UIntPtr)valueArr.Length, confidence);
+
+ return *ret;
+ }
+ }
+ }
+}
\ No newline at end of file
diff --git a/FinLib.NET/FinLib/FinLib.cs b/FinLib.NET/FinLib/FinLib.cs
index 00d5183..1483ee4 100644
--- a/FinLib.NET/FinLib/FinLib.cs
+++ b/FinLib.NET/FinLib/FinLib.cs
@@ -3,15 +3,10 @@ using System.Collections;
using System.Collections.Generic;
using System.Linq;
-namespace FinLib;
+namespace FinLib.Stats;
-public static class FinLib
+public static class Stats
{
- public static double CompoundInterest(double principal, double rate, double time, double n)
- {
- return NativeMethods.interest_compound(principal, rate, time, n);
- }
-
public static double? Covariance(IEnumerable<double> valuesOne, IEnumerable<double> valuesTwo)
{
unsafe {
diff --git a/FinLib.NET/FinLib/NativeMethods.g.cs b/FinLib.NET/FinLib/NativeMethods.g.cs
index 8544bd6..195eca3 100644
--- a/FinLib.NET/FinLib/NativeMethods.g.cs
+++ b/FinLib.NET/FinLib/NativeMethods.g.cs
@@ -22,6 +22,9 @@ namespace FinLib
[DllImport(__DllName, EntryPoint = "covariance", CallingConvention = CallingConvention.Cdecl, ExactSpelling = true)]
internal static extern double* covariance(double* arr, nuint len, double* arr_two, nuint len_two);
+ [DllImport(__DllName, EntryPoint = "value_at_risk", CallingConvention = CallingConvention.Cdecl, ExactSpelling = true)]
+ internal static extern double* value_at_risk(double* arr, nuint len, double confidence);
+
}
diff --git a/finlib-cpp/finlib-native.h b/finlib-cpp/include/finlib-native.h
similarity index 86%
rename from finlib-cpp/finlib-native.h
rename to finlib-cpp/include/finlib-native.h
index efcf02a..a0f37af 100644
--- a/finlib-cpp/finlib-native.h
+++ b/finlib-cpp/include/finlib-native.h
@@ -21,6 +21,8 @@ const double *covariance(const double *arr, size_t len, const double *arr_two, s
double interest_compound(double principal, double rate, double time, double n);
+const double *value_at_risk(const double *arr, size_t len, double confidence);
+
} // extern "C"
} // namespace finlib
diff --git a/finlib-ffi/build.rs b/finlib-ffi/build.rs
index 949bf2d..4f30ff9 100644
--- a/finlib-ffi/build.rs
+++ b/finlib-ffi/build.rs
@@ -14,7 +14,7 @@ fn main() {
.with_config(config)
.generate()
.expect("Unable to generate bindings")
- .write_to_file("../finlib-cpp/finlib-native.h");
+ .write_to_file("../finlib-cpp/include/finlib-native.h");
csbindgen::Builder::default()
.input_extern_file("src/lib.rs")
diff --git a/finlib-ffi/src/lib.rs b/finlib-ffi/src/lib.rs
index 5c79ccb..8865bfe 100644
--- a/finlib-ffi/src/lib.rs
+++ b/finlib-ffi/src/lib.rs
@@ -23,4 +23,14 @@ pub unsafe extern "C" fn covariance(arr: *const f64, len: usize, arr_two: *const
Some(v) => Box::into_raw(Box::new(v))
}
+}
+
+#[no_mangle]
+pub unsafe extern "C" fn value_at_risk(arr: *const f64, len: usize, confidence: f64) -> *const f64 {
+ let input_array = unsafe {
+ assert!(!arr.is_null());
+ slice::from_raw_parts(arr, len)
+ };
+
+ Box::into_raw(Box::new(finlib::risk::var::historical::value_at_risk(input_array, confidence)))
}
\ No newline at end of file
diff --git a/finlib/Cargo.toml b/finlib/Cargo.toml
index f1d735c..f080a0e 100644
--- a/finlib/Cargo.toml
+++ b/finlib/Cargo.toml
@@ -6,7 +6,8 @@ edition.workspace = true
[dependencies]
pyo3 = { workspace = true, optional = true }
-rayon = { workspace = true }
+rayon = { workspace = true, optional = true }
[features]
-py = ["dep:pyo3"]
\ No newline at end of file
+py = ["dep:pyo3"]
+parallel = ["dep::rayon"]
\ No newline at end of file
diff --git a/finlib/src/lib.rs b/finlib/src/lib.rs
index 40ee7ce..71f9f98 100644
--- a/finlib/src/lib.rs
+++ b/finlib/src/lib.rs
@@ -1,2 +1,4 @@
pub mod interest;
-pub mod stats;
\ No newline at end of file
+pub mod stats;
+pub mod util;
+pub mod risk;
\ No newline at end of file
diff --git a/finlib/src/risk/mod.rs b/finlib/src/risk/mod.rs
new file mode 100644
index 0000000..cd03cb3
--- /dev/null
+++ b/finlib/src/risk/mod.rs
@@ -0,0 +1 @@
+pub mod var;
\ No newline at end of file
diff --git a/finlib/src/risk/var/historical.rs b/finlib/src/risk/var/historical.rs
new file mode 100644
index 0000000..62bb273
--- /dev/null
+++ b/finlib/src/risk/var/historical.rs
@@ -0,0 +1,27 @@
+use crate::util::roc::rates_of_change;
+
+#[cfg(feature = "parallel")]
+use rayon::prelude::*;
+
+// https://www.simtrade.fr/blog_simtrade/historical-method-var-calculation/
+
+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;
+
+ roc[threshold]
+}
+
+#[cfg(test)]
+mod tests {
+ use super::*;
+
+ #[test]
+ fn var_test() {
+ let result = value_at_risk(&[1f64, 2f64, 4f64, 5f64], 0.01f64);
+ assert_eq!(result, 0.25f64);
+ }
+}
\ No newline at end of file
diff --git a/finlib/src/risk/var/mod.rs b/finlib/src/risk/var/mod.rs
new file mode 100644
index 0000000..1fd4453
--- /dev/null
+++ b/finlib/src/risk/var/mod.rs
@@ -0,0 +1 @@
+pub mod historical;
\ No newline at end of file
diff --git a/finlib/src/stats/covariance.rs b/finlib/src/stats/covariance.rs
index 70a3735..9f1c86c 100644
--- a/finlib/src/stats/covariance.rs
+++ b/finlib/src/stats/covariance.rs
@@ -1,3 +1,4 @@
+#[cfg(feature = "parallel")]
use rayon::prelude::*;
use super::mean;
@@ -8,7 +9,13 @@ pub fn covariance(slice: &[f64], slice_two: &[f64]) -> Option<f64>
let mean_1 = mean(slice);
let mean_2 = mean(slice_two);
- Some(slice.par_iter().zip(slice_two.par_iter())
+ Some(slice
+ // .par_iter()
+ .iter()
+ .zip(slice_two
+ // .par_iter()
+ .iter()
+ )
.map(|(x, y)| (x - mean_1) * (y - mean_2))
.sum::<f64>()
/ ((slice.len() - 1) as f64))
diff --git a/finlib/src/stats/mod.rs b/finlib/src/stats/mod.rs
index 090f32e..c2bb3ac 100644
--- a/finlib/src/stats/mod.rs
+++ b/finlib/src/stats/mod.rs
@@ -1,29 +1,37 @@
mod covariance;
pub use covariance::*;
+#[cfg(feature = "parallel")]
use rayon::prelude::*;
pub fn mean(slice: &[f64]) -> f64
{
- slice.par_iter().sum::<f64>() / slice.len() as f64
+ slice
+ // .par_iter()
+ .iter()
+ .sum::<f64>() / slice.len() as f64
}
pub fn population_variance(slice: &[f64]) -> f64
{
let mean = mean(slice);
- slice.par_iter()
+ slice
+ // .par_iter()
+ .iter()
.map(|x| f64::powi(x - mean, 2))
.sum::<f64>()
- / slice.len() as f64
+ / slice.len() as f64
}
pub fn sample_variance(slice: &[f64]) -> f64
{
let mean = mean(slice);
- slice.par_iter()
+ slice
+ // .par_iter()
+ .iter()
.map(|x| f64::powi(x - mean, 2))
.sum::<f64>()
- / ((slice.len() - 1) as f64)
+ / ((slice.len() - 1) as f64)
}
pub fn population_std_dev(slice: &[f64]) -> f64
diff --git a/finlib/src/util/mod.rs b/finlib/src/util/mod.rs
new file mode 100644
index 0000000..e313a5b
--- /dev/null
+++ b/finlib/src/util/mod.rs
@@ -0,0 +1 @@
+pub mod roc;
\ No newline at end of file
diff --git a/finlib/src/util/roc.rs b/finlib/src/util/roc.rs
new file mode 100644
index 0000000..f9920c4
--- /dev/null
+++ b/finlib/src/util/roc.rs
@@ -0,0 +1,33 @@
+#[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])
+}
+
+#[cfg(test)]
+mod tests {
+ use super::*;
+
+ #[test]
+ fn change_test() {
+ let result = changes(&[1f64, 2f64, 4f64, 5f64]).collect::<Vec<_>>();
+ assert_eq!(result, vec![1f64, 2f64, 1f64]);
+ }
+
+ #[test]
+ fn roc_test() {
+ let result = rates_of_change(&[1f64, 2f64, 4f64, 5f64]).collect::<Vec<_>>();
+ assert_eq!(result, vec![1f64, 1f64, 0.25f64]);
+ }
+}
\ No newline at end of file
diff --git a/pyfinlib/src/lib.rs b/pyfinlib/src/lib.rs
index e0c923b..312bb5a 100644
--- a/pyfinlib/src/lib.rs
+++ b/pyfinlib/src/lib.rs
@@ -12,7 +12,19 @@ pub fn covariance(slice: Vec<f64>, slice_two: Vec<f64>) -> PyResult<Option<f64>>
#[pymodule]
fn pyfinlib(m: &Bound<'_, PyModule>) -> PyResult<()> {
- m.add_function(wrap_pyfunction!(compound, m)?)?;
- m.add_function(wrap_pyfunction!(covariance, m)?)?;
+ register_interest_module(m);
+ register_stats_module(m);
Ok(())
+}
+
+fn register_interest_module(parent_module: &Bound<'_, PyModule>) -> PyResult<()> {
+ let child_module = PyModule::new(parent_module.py(), "interest")?;
+ child_module.add_function(wrap_pyfunction!(compound, &child_module)?)?;
+ parent_module.add_submodule(&child_module)
+}
+
+fn register_stats_module(parent_module: &Bound<'_, PyModule>) -> PyResult<()> {
+ let child_module = PyModule::new(parent_module.py(), "stats")?;
+ child_module.add_function(wrap_pyfunction!(covariance, &child_module)?)?;
+ parent_module.add_submodule(&child_module)
}
\ No newline at end of file