adding varcovar var, adding notebooks, adding npm publish
This commit is contained in:
parent
335f5dbc82
commit
43450bfbcb
GPG Key ID:
A55BA3536A5E0ED7
.gitea/workflows
Cargo.lockCargo.tomlFinLib.NET/FinLib
finlib-cpp/include
finlib-ffi/src
finlib
notebooks
pyfinlib
@ -29,3 +29,43 @@ jobs:
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uses: actions-rs/cargo@v1
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with:
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command: test
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publishNPM:
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name: Publish NPM
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runs-on: ubuntu-latest
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needs: [ build ] # for ignoring bad builds
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if: github.event_name == 'push' && github.ref == 'refs/heads/master'
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steps:
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- name: Checkout
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uses: actions/checkout@v4
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with:
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github-server-url: https://gitea.sheep-ghoul.ts.net
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- name: Install Rust
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uses: actions-rs/toolchain@v1
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with:
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toolchain: stable
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- name: Cargo Build
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uses: actions-rs/cargo@v1
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with:
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command: build
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- name: Install wasm-pack
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run: curl https://rustwasm.github.io/wasm-pack/installer/init.sh -sSf | sh
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- name: Build Rust for WASM
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working-directory: ./finlib-wasm
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run: wasm-pack build --release
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- name: Install Node
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uses: actions/setup-node@v2
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with:
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node-version: 22
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registry-url: 'https://gitea.sheep-ghoul.ts.net/api/packages/sarsoo/npm/'
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- name: Publish
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working-directory: ./finlib-wasm/pkg
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run: npm publish --provenance --access public
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env:
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NODE_AUTH_TOKEN: ${{ secrets.NPM_TOKEN }}
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348
Cargo.lock
generated
348
Cargo.lock
generated
@ -61,6 +61,21 @@ dependencies = [
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"windows-sys",
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]
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[[package]]
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name = "approx"
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version = "0.5.1"
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source = "registry+https://github.com/rust-lang/crates.io-index"
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checksum = "cab112f0a86d568ea0e627cc1d6be74a1e9cd55214684db5561995f6dad897c6"
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dependencies = [
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"num-traits",
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]
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[[package]]
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name = "arc-swap"
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version = "1.7.1"
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source = "registry+https://github.com/rust-lang/crates.io-index"
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checksum = "69f7f8c3906b62b754cd5326047894316021dcfe5a194c8ea52bdd94934a3457"
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[[package]]
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name = "autocfg"
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version = "1.4.0"
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@ -79,6 +94,18 @@ version = "3.17.0"
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source = "registry+https://github.com/rust-lang/crates.io-index"
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checksum = "1628fb46dfa0b37568d12e5edd512553eccf6a22a78e8bde00bb4aed84d5bdbf"
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[[package]]
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name = "bytemuck"
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version = "1.21.0"
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source = "registry+https://github.com/rust-lang/crates.io-index"
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checksum = "ef657dfab802224e671f5818e9a4935f9b1957ed18e58292690cc39e7a4092a3"
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[[package]]
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name = "byteorder"
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version = "1.5.0"
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source = "registry+https://github.com/rust-lang/crates.io-index"
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checksum = "1fd0f2584146f6f2ef48085050886acf353beff7305ebd1ae69500e27c67f64b"
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[[package]]
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name = "cbindgen"
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version = "0.28.0"
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@ -223,8 +250,13 @@ checksum = "37909eebbb50d72f9059c3b6d82c0463f2ff062c9e95845c43a6c9c0355411be"
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name = "finlib"
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version = "0.0.1"
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dependencies = [
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"log",
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"nalgebra",
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"ndarray",
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"ndarray-stats",
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"pyo3",
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"rayon",
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"statrs",
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]
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[[package]]
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@ -246,6 +278,17 @@ dependencies = [
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"wasm-bindgen-test",
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]
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[[package]]
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name = "getrandom"
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version = "0.2.15"
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source = "registry+https://github.com/rust-lang/crates.io-index"
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checksum = "c4567c8db10ae91089c99af84c68c38da3ec2f087c3f82960bcdbf3656b6f4d7"
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dependencies = [
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"cfg-if",
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"libc",
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"wasi 0.11.0+wasi-snapshot-preview1",
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]
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[[package]]
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name = "getrandom"
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version = "0.3.1"
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@ -254,7 +297,7 @@ checksum = "43a49c392881ce6d5c3b8cb70f98717b7c07aabbdff06687b9030dbfbe2725f8"
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dependencies = [
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"cfg-if",
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"libc",
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"wasi",
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"wasi 0.13.3+wasi-0.2.2",
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"windows-targets",
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]
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@ -298,6 +341,15 @@ version = "1.70.1"
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source = "registry+https://github.com/rust-lang/crates.io-index"
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checksum = "7943c866cc5cd64cbc25b2e01621d07fa8eb2a1a23160ee81ce38704e97b8ecf"
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[[package]]
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name = "itertools"
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version = "0.13.0"
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source = "registry+https://github.com/rust-lang/crates.io-index"
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checksum = "413ee7dfc52ee1a4949ceeb7dbc8a33f2d6c088194d9f922fb8318faf1f01186"
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dependencies = [
|
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"either",
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]
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[[package]]
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name = "itoa"
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version = "1.0.14"
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@ -320,6 +372,12 @@ version = "0.2.169"
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source = "registry+https://github.com/rust-lang/crates.io-index"
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checksum = "b5aba8db14291edd000dfcc4d620c7ebfb122c613afb886ca8803fa4e128a20a"
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[[package]]
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name = "libm"
|
||||
version = "0.2.11"
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source = "registry+https://github.com/rust-lang/crates.io-index"
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checksum = "8355be11b20d696c8f18f6cc018c4e372165b1fa8126cef092399c9951984ffa"
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[[package]]
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name = "linux-raw-sys"
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version = "0.4.15"
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@ -332,6 +390,16 @@ version = "0.4.25"
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source = "registry+https://github.com/rust-lang/crates.io-index"
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checksum = "04cbf5b083de1c7e0222a7a51dbfdba1cbe1c6ab0b15e29fff3f6c077fd9cd9f"
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[[package]]
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name = "matrixmultiply"
|
||||
version = "0.3.9"
|
||||
source = "registry+https://github.com/rust-lang/crates.io-index"
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checksum = "9380b911e3e96d10c1f415da0876389aaf1b56759054eeb0de7df940c456ba1a"
|
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dependencies = [
|
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"autocfg",
|
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"rawpointer",
|
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]
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[[package]]
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name = "memchr"
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version = "2.7.4"
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@ -357,18 +425,159 @@ dependencies = [
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"walkdir",
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]
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[[package]]
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name = "nalgebra"
|
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version = "0.33.2"
|
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source = "registry+https://github.com/rust-lang/crates.io-index"
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checksum = "26aecdf64b707efd1310e3544d709c5c0ac61c13756046aaaba41be5c4f66a3b"
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dependencies = [
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"approx",
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"matrixmultiply",
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"nalgebra-macros",
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"num-complex",
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"num-rational",
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"num-traits",
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"rand",
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"rand_distr",
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"simba",
|
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"typenum",
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]
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|
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[[package]]
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name = "nalgebra-macros"
|
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version = "0.2.2"
|
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source = "registry+https://github.com/rust-lang/crates.io-index"
|
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checksum = "254a5372af8fc138e36684761d3c0cdb758a4410e938babcff1c860ce14ddbfc"
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dependencies = [
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"proc-macro2",
|
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"quote",
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"syn",
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]
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[[package]]
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name = "ndarray"
|
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version = "0.16.1"
|
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source = "registry+https://github.com/rust-lang/crates.io-index"
|
||||
checksum = "882ed72dce9365842bf196bdeedf5055305f11fc8c03dee7bb0194a6cad34841"
|
||||
dependencies = [
|
||||
"matrixmultiply",
|
||||
"num-complex",
|
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"num-integer",
|
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"num-traits",
|
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"portable-atomic",
|
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"portable-atomic-util",
|
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"rawpointer",
|
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]
|
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|
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[[package]]
|
||||
name = "ndarray-stats"
|
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version = "0.6.0"
|
||||
source = "registry+https://github.com/rust-lang/crates.io-index"
|
||||
checksum = "17ebbe97acce52d06aebed4cd4a87c0941f4b2519b59b82b4feb5bd0ce003dfd"
|
||||
dependencies = [
|
||||
"indexmap",
|
||||
"itertools",
|
||||
"ndarray",
|
||||
"noisy_float",
|
||||
"num-integer",
|
||||
"num-traits",
|
||||
"rand",
|
||||
]
|
||||
|
||||
[[package]]
|
||||
name = "noisy_float"
|
||||
version = "0.2.0"
|
||||
source = "registry+https://github.com/rust-lang/crates.io-index"
|
||||
checksum = "978fe6e6ebc0bf53de533cd456ca2d9de13de13856eda1518a285d7705a213af"
|
||||
dependencies = [
|
||||
"num-traits",
|
||||
]
|
||||
|
||||
[[package]]
|
||||
name = "num-bigint"
|
||||
version = "0.4.6"
|
||||
source = "registry+https://github.com/rust-lang/crates.io-index"
|
||||
checksum = "a5e44f723f1133c9deac646763579fdb3ac745e418f2a7af9cd0c431da1f20b9"
|
||||
dependencies = [
|
||||
"num-integer",
|
||||
"num-traits",
|
||||
]
|
||||
|
||||
[[package]]
|
||||
name = "num-complex"
|
||||
version = "0.4.6"
|
||||
source = "registry+https://github.com/rust-lang/crates.io-index"
|
||||
checksum = "73f88a1307638156682bada9d7604135552957b7818057dcef22705b4d509495"
|
||||
dependencies = [
|
||||
"num-traits",
|
||||
]
|
||||
|
||||
[[package]]
|
||||
name = "num-integer"
|
||||
version = "0.1.46"
|
||||
source = "registry+https://github.com/rust-lang/crates.io-index"
|
||||
checksum = "7969661fd2958a5cb096e56c8e1ad0444ac2bbcd0061bd28660485a44879858f"
|
||||
dependencies = [
|
||||
"num-traits",
|
||||
]
|
||||
|
||||
[[package]]
|
||||
name = "num-rational"
|
||||
version = "0.4.2"
|
||||
source = "registry+https://github.com/rust-lang/crates.io-index"
|
||||
checksum = "f83d14da390562dca69fc84082e73e548e1ad308d24accdedd2720017cb37824"
|
||||
dependencies = [
|
||||
"num-bigint",
|
||||
"num-integer",
|
||||
"num-traits",
|
||||
]
|
||||
|
||||
[[package]]
|
||||
name = "num-traits"
|
||||
version = "0.2.19"
|
||||
source = "registry+https://github.com/rust-lang/crates.io-index"
|
||||
checksum = "071dfc062690e90b734c0b2273ce72ad0ffa95f0c74596bc250dcfd960262841"
|
||||
dependencies = [
|
||||
"autocfg",
|
||||
"libm",
|
||||
]
|
||||
|
||||
[[package]]
|
||||
name = "once_cell"
|
||||
version = "1.20.3"
|
||||
source = "registry+https://github.com/rust-lang/crates.io-index"
|
||||
checksum = "945462a4b81e43c4e3ba96bd7b49d834c6f61198356aa858733bc4acf3cbe62e"
|
||||
|
||||
[[package]]
|
||||
name = "paste"
|
||||
version = "1.0.15"
|
||||
source = "registry+https://github.com/rust-lang/crates.io-index"
|
||||
checksum = "57c0d7b74b563b49d38dae00a0c37d4d6de9b432382b2892f0574ddcae73fd0a"
|
||||
|
||||
[[package]]
|
||||
name = "portable-atomic"
|
||||
version = "1.10.0"
|
||||
source = "registry+https://github.com/rust-lang/crates.io-index"
|
||||
checksum = "280dc24453071f1b63954171985a0b0d30058d287960968b9b2aca264c8d4ee6"
|
||||
|
||||
[[package]]
|
||||
name = "portable-atomic-util"
|
||||
version = "0.2.4"
|
||||
source = "registry+https://github.com/rust-lang/crates.io-index"
|
||||
checksum = "d8a2f0d8d040d7848a709caf78912debcc3f33ee4b3cac47d73d1e1069e83507"
|
||||
dependencies = [
|
||||
"portable-atomic",
|
||||
]
|
||||
|
||||
[[package]]
|
||||
name = "ppv-lite86"
|
||||
version = "0.2.20"
|
||||
source = "registry+https://github.com/rust-lang/crates.io-index"
|
||||
checksum = "77957b295656769bb8ad2b6a6b09d897d94f05c41b069aede1fcdaa675eaea04"
|
||||
dependencies = [
|
||||
"zerocopy",
|
||||
]
|
||||
|
||||
[[package]]
|
||||
name = "proc-macro2"
|
||||
version = "1.0.93"
|
||||
@ -384,6 +593,7 @@ version = "0.0.1"
|
||||
dependencies = [
|
||||
"finlib",
|
||||
"pyo3",
|
||||
"pyo3-log",
|
||||
]
|
||||
|
||||
[[package]]
|
||||
@ -424,6 +634,17 @@ dependencies = [
|
||||
"pyo3-build-config",
|
||||
]
|
||||
|
||||
[[package]]
|
||||
name = "pyo3-log"
|
||||
version = "0.12.1"
|
||||
source = "registry+https://github.com/rust-lang/crates.io-index"
|
||||
checksum = "be5bb22b77965a7b5394e9aae9897a0607b51df5167561ffc3b02643b4200bc7"
|
||||
dependencies = [
|
||||
"arc-swap",
|
||||
"log",
|
||||
"pyo3",
|
||||
]
|
||||
|
||||
[[package]]
|
||||
name = "pyo3-macros"
|
||||
version = "0.23.4"
|
||||
@ -458,6 +679,52 @@ dependencies = [
|
||||
"proc-macro2",
|
||||
]
|
||||
|
||||
[[package]]
|
||||
name = "rand"
|
||||
version = "0.8.5"
|
||||
source = "registry+https://github.com/rust-lang/crates.io-index"
|
||||
checksum = "34af8d1a0e25924bc5b7c43c079c942339d8f0a8b57c39049bef581b46327404"
|
||||
dependencies = [
|
||||
"libc",
|
||||
"rand_chacha",
|
||||
"rand_core",
|
||||
]
|
||||
|
||||
[[package]]
|
||||
name = "rand_chacha"
|
||||
version = "0.3.1"
|
||||
source = "registry+https://github.com/rust-lang/crates.io-index"
|
||||
checksum = "e6c10a63a0fa32252be49d21e7709d4d4baf8d231c2dbce1eaa8141b9b127d88"
|
||||
dependencies = [
|
||||
"ppv-lite86",
|
||||
"rand_core",
|
||||
]
|
||||
|
||||
[[package]]
|
||||
name = "rand_core"
|
||||
version = "0.6.4"
|
||||
source = "registry+https://github.com/rust-lang/crates.io-index"
|
||||
checksum = "ec0be4795e2f6a28069bec0b5ff3e2ac9bafc99e6a9a7dc3547996c5c816922c"
|
||||
dependencies = [
|
||||
"getrandom 0.2.15",
|
||||
]
|
||||
|
||||
[[package]]
|
||||
name = "rand_distr"
|
||||
version = "0.4.3"
|
||||
source = "registry+https://github.com/rust-lang/crates.io-index"
|
||||
checksum = "32cb0b9bc82b0a0876c2dd994a7e7a2683d3e7390ca40e6886785ef0c7e3ee31"
|
||||
dependencies = [
|
||||
"num-traits",
|
||||
"rand",
|
||||
]
|
||||
|
||||
[[package]]
|
||||
name = "rawpointer"
|
||||
version = "0.2.1"
|
||||
source = "registry+https://github.com/rust-lang/crates.io-index"
|
||||
checksum = "60a357793950651c4ed0f3f52338f53b2f809f32d83a07f72909fa13e4c6c1e3"
|
||||
|
||||
[[package]]
|
||||
name = "rayon"
|
||||
version = "1.10.0"
|
||||
@ -532,6 +799,15 @@ version = "1.0.19"
|
||||
source = "registry+https://github.com/rust-lang/crates.io-index"
|
||||
checksum = "6ea1a2d0a644769cc99faa24c3ad26b379b786fe7c36fd3c546254801650e6dd"
|
||||
|
||||
[[package]]
|
||||
name = "safe_arch"
|
||||
version = "0.7.4"
|
||||
source = "registry+https://github.com/rust-lang/crates.io-index"
|
||||
checksum = "96b02de82ddbe1b636e6170c21be622223aea188ef2e139be0a5b219ec215323"
|
||||
dependencies = [
|
||||
"bytemuck",
|
||||
]
|
||||
|
||||
[[package]]
|
||||
name = "same-file"
|
||||
version = "1.0.6"
|
||||
@ -588,6 +864,31 @@ version = "1.3.0"
|
||||
source = "registry+https://github.com/rust-lang/crates.io-index"
|
||||
checksum = "0fda2ff0d084019ba4d7c6f371c95d8fd75ce3524c3cb8fb653a3023f6323e64"
|
||||
|
||||
[[package]]
|
||||
name = "simba"
|
||||
version = "0.9.0"
|
||||
source = "registry+https://github.com/rust-lang/crates.io-index"
|
||||
checksum = "b3a386a501cd104797982c15ae17aafe8b9261315b5d07e3ec803f2ea26be0fa"
|
||||
dependencies = [
|
||||
"approx",
|
||||
"num-complex",
|
||||
"num-traits",
|
||||
"paste",
|
||||
"wide",
|
||||
]
|
||||
|
||||
[[package]]
|
||||
name = "statrs"
|
||||
version = "0.18.0"
|
||||
source = "registry+https://github.com/rust-lang/crates.io-index"
|
||||
checksum = "2a3fe7c28c6512e766b0874335db33c94ad7b8f9054228ae1c2abd47ce7d335e"
|
||||
dependencies = [
|
||||
"approx",
|
||||
"nalgebra",
|
||||
"num-traits",
|
||||
"rand",
|
||||
]
|
||||
|
||||
[[package]]
|
||||
name = "strsim"
|
||||
version = "0.11.1"
|
||||
@ -619,7 +920,7 @@ checksum = "38c246215d7d24f48ae091a2902398798e05d978b24315d6efbc00ede9a8bb91"
|
||||
dependencies = [
|
||||
"cfg-if",
|
||||
"fastrand",
|
||||
"getrandom",
|
||||
"getrandom 0.3.1",
|
||||
"once_cell",
|
||||
"rustix",
|
||||
"windows-sys",
|
||||
@ -659,6 +960,12 @@ dependencies = [
|
||||
"winnow",
|
||||
]
|
||||
|
||||
[[package]]
|
||||
name = "typenum"
|
||||
version = "1.17.0"
|
||||
source = "registry+https://github.com/rust-lang/crates.io-index"
|
||||
checksum = "42ff0bf0c66b8238c6f3b578df37d0b7848e55df8577b3f74f92a69acceeb825"
|
||||
|
||||
[[package]]
|
||||
name = "unicode-ident"
|
||||
version = "1.0.16"
|
||||
@ -687,6 +994,12 @@ dependencies = [
|
||||
"winapi-util",
|
||||
]
|
||||
|
||||
[[package]]
|
||||
name = "wasi"
|
||||
version = "0.11.0+wasi-snapshot-preview1"
|
||||
source = "registry+https://github.com/rust-lang/crates.io-index"
|
||||
checksum = "9c8d87e72b64a3b4db28d11ce29237c246188f4f51057d65a7eab63b7987e423"
|
||||
|
||||
[[package]]
|
||||
name = "wasi"
|
||||
version = "0.13.3+wasi-0.2.2"
|
||||
@ -801,6 +1114,16 @@ dependencies = [
|
||||
"wasm-bindgen",
|
||||
]
|
||||
|
||||
[[package]]
|
||||
name = "wide"
|
||||
version = "0.7.32"
|
||||
source = "registry+https://github.com/rust-lang/crates.io-index"
|
||||
checksum = "41b5576b9a81633f3e8df296ce0063042a73507636cbe956c61133dd7034ab22"
|
||||
dependencies = [
|
||||
"bytemuck",
|
||||
"safe_arch",
|
||||
]
|
||||
|
||||
[[package]]
|
||||
name = "winapi-util"
|
||||
version = "0.1.9"
|
||||
@ -900,3 +1223,24 @@ checksum = "3268f3d866458b787f390cf61f4bbb563b922d091359f9608842999eaee3943c"
|
||||
dependencies = [
|
||||
"bitflags",
|
||||
]
|
||||
|
||||
[[package]]
|
||||
name = "zerocopy"
|
||||
version = "0.7.35"
|
||||
source = "registry+https://github.com/rust-lang/crates.io-index"
|
||||
checksum = "1b9b4fd18abc82b8136838da5d50bae7bdea537c574d8dc1a34ed098d6c166f0"
|
||||
dependencies = [
|
||||
"byteorder",
|
||||
"zerocopy-derive",
|
||||
]
|
||||
|
||||
[[package]]
|
||||
name = "zerocopy-derive"
|
||||
version = "0.7.35"
|
||||
source = "registry+https://github.com/rust-lang/crates.io-index"
|
||||
checksum = "fa4f8080344d4671fb4e831a13ad1e68092748387dfc4f55e356242fae12ce3e"
|
||||
dependencies = [
|
||||
"proc-macro2",
|
||||
"quote",
|
||||
"syn",
|
||||
]
|
||||
|
||||
12
Cargo.toml
12
Cargo.toml
@ -20,11 +20,13 @@ edition = "2021"
|
||||
|
||||
[workspace.dependencies]
|
||||
rayon = "1.10.0"
|
||||
|
||||
[workspace.dependencies.pyo3]
|
||||
version = "0.23.4"
|
||||
# "abi3-py38" tells pyo3 (and maturin) to build using the stable ABI with minimum Python version 3.8
|
||||
features = ["extension-module", "abi3-py38"]
|
||||
ndarray = "0.16.1"
|
||||
ndarray-stats = "0.6.0"
|
||||
nalgebra = "0.33.2"
|
||||
statrs = "0.18.0"
|
||||
log = "0.4.25"
|
||||
pyo3 = { version = "0.23.4", features = ["extension-module", "abi3-py38"] }
|
||||
pyo3-log = "0.12.1"
|
||||
|
||||
[profile.release]
|
||||
# Tell `rustc` to optimize for small code size.
|
||||
|
||||
@ -12,7 +12,19 @@ public static class ValueAtRisk
|
||||
unsafe {
|
||||
var valueArr = values.ToArray();
|
||||
fixed (double* ptrOne = valueArr) {
|
||||
var ret = NativeMethods.value_at_risk(ptrOne, (UIntPtr)valueArr.Length, confidence);
|
||||
var ret = NativeMethods.historical_value_at_risk(ptrOne, (UIntPtr)valueArr.Length, confidence);
|
||||
|
||||
return *ret;
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
public static double VarCovar(IEnumerable<double> values, double confidence)
|
||||
{
|
||||
unsafe {
|
||||
var valueArr = values.ToArray();
|
||||
fixed (double* ptrOne = valueArr) {
|
||||
var ret = NativeMethods.varcovar_value_at_risk(ptrOne, (UIntPtr)valueArr.Length, confidence);
|
||||
|
||||
return *ret;
|
||||
}
|
||||
|
||||
@ -22,8 +22,11 @@ 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);
|
||||
[DllImport(__DllName, EntryPoint = "historical_value_at_risk", CallingConvention = CallingConvention.Cdecl, ExactSpelling = true)]
|
||||
internal static extern double* historical_value_at_risk(double* arr, nuint len, double confidence);
|
||||
|
||||
[DllImport(__DllName, EntryPoint = "varcovar_value_at_risk", CallingConvention = CallingConvention.Cdecl, ExactSpelling = true)]
|
||||
internal static extern double* varcovar_value_at_risk(double* arr, nuint len, double confidence);
|
||||
|
||||
|
||||
}
|
||||
|
||||
@ -19,9 +19,11 @@ extern "C" {
|
||||
|
||||
const double *covariance(const double *arr, size_t len, const double *arr_two, size_t len_two);
|
||||
|
||||
const double *historical_value_at_risk(const double *arr, size_t len, double confidence);
|
||||
|
||||
double interest_compound(double principal, double rate, double time, double n);
|
||||
|
||||
const double *value_at_risk(const double *arr, size_t len, double confidence);
|
||||
const double *varcovar_value_at_risk(const double *arr, size_t len, double confidence);
|
||||
|
||||
} // extern "C"
|
||||
|
||||
|
||||
@ -26,11 +26,21 @@ pub unsafe extern "C" fn covariance(arr: *const f64, len: usize, arr_two: *const
|
||||
}
|
||||
|
||||
#[no_mangle]
|
||||
pub unsafe extern "C" fn value_at_risk(arr: *const f64, len: usize, confidence: f64) -> *const f64 {
|
||||
pub unsafe extern "C" fn historical_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_mangle]
|
||||
pub unsafe extern "C" fn varcovar_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::varcovar::value_at_risk(input_array, confidence)))
|
||||
}
|
||||
|
||||
@ -7,7 +7,12 @@ edition.workspace = true
|
||||
[dependencies]
|
||||
pyo3 = { workspace = true, optional = true }
|
||||
rayon = { workspace = true, optional = true }
|
||||
ndarray = { workspace = true }
|
||||
ndarray-stats = { workspace = true }
|
||||
nalgebra = { workspace = true }
|
||||
statrs = { workspace = true }
|
||||
log = { workspace = true }
|
||||
|
||||
[features]
|
||||
py = ["dep:pyo3"]
|
||||
parallel = ["dep::rayon"]
|
||||
parallel = ["dep:rayon"]
|
||||
@ -7,6 +7,7 @@ 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());
|
||||
|
||||
|
||||
@ -1 +1,2 @@
|
||||
pub mod historical;
|
||||
pub mod historical;
|
||||
pub mod varcovar;
|
||||
19
finlib/src/risk/var/varcovar.rs
Normal file
19
finlib/src/risk/var/varcovar.rs
Normal file
@ -0,0 +1,19 @@
|
||||
use crate::util::roc::rates_of_change;
|
||||
use crate::stats;
|
||||
|
||||
#[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
|
||||
|
||||
pub fn value_at_risk(values: &[f64], confidence: f64) -> f64 {
|
||||
let roc = rates_of_change(values).collect::<Vec<_>>();
|
||||
|
||||
let mean = stats::mean(&roc);
|
||||
let std_dev = stats::sample_std_dev(&roc);
|
||||
|
||||
let n = Normal::new(0.0, 1.0).unwrap();
|
||||
|
||||
mean + std_dev * n.inverse_cdf(confidence)
|
||||
}
|
||||
@ -18,7 +18,8 @@ pub fn covariance(slice: &[f64], slice_two: &[f64]) -> Option<f64>
|
||||
)
|
||||
.map(|(x, y)| (x - mean_1) * (y - mean_2))
|
||||
.sum::<f64>()
|
||||
/ ((slice.len() - 1) as f64))
|
||||
/ ((slice.len() - 1) as f64)
|
||||
)
|
||||
}
|
||||
_ => None
|
||||
}
|
||||
|
||||
@ -1 +1,2 @@
|
||||
pub mod roc;
|
||||
pub mod roc;
|
||||
pub mod vector;
|
||||
17
finlib/src/util/vector.rs
Normal file
17
finlib/src/util/vector.rs
Normal file
@ -0,0 +1,17 @@
|
||||
|
||||
pub fn dot_product(a: &[f64], b: &[f64]) -> f64 {
|
||||
assert_eq!(a.len(), b.len());
|
||||
|
||||
a.iter()
|
||||
.zip(b.iter())
|
||||
.map(|(x, y)| x * y)
|
||||
.sum()
|
||||
}
|
||||
|
||||
pub fn mag(a: &[f64]) -> f64 {
|
||||
f64::sqrt(
|
||||
a.iter()
|
||||
.map(|x| f64::powi(*x, 2))
|
||||
.sum()
|
||||
)
|
||||
}
|
||||
428
notebooks/historical_var.ipynb
Normal file
428
notebooks/historical_var.ipynb
Normal file
File diff suppressed because one or more lines are too long
5102
notebooks/poetry.lock
generated
Normal file
5102
notebooks/poetry.lock
generated
Normal file
File diff suppressed because it is too large
Load Diff
22
notebooks/pyproject.toml
Normal file
22
notebooks/pyproject.toml
Normal file
@ -0,0 +1,22 @@
|
||||
[project]
|
||||
name = "notebooks"
|
||||
version = "0.1.0"
|
||||
requires-python = ">=3.12,<3.13"
|
||||
|
||||
dependencies = [
|
||||
"jupyterlab (>=4.3.5,<5.0.0)",
|
||||
"matplotlib (>=3.10.0,<4.0.0)",
|
||||
"seaborn (>=0.13.2,<0.14.0)",
|
||||
"openbb (>=4.4.0,<5.0.0)",
|
||||
"yfinance (>=0.2.52,<0.3.0)",
|
||||
"pandas (>=2.2.3,<3.0.0)",
|
||||
"numpy (>=2.2.3,<3.0.0)",
|
||||
"maturin (>=1.8.2,<2.0.0)"
|
||||
]
|
||||
|
||||
[tool.poetry]
|
||||
package-mode = false
|
||||
|
||||
[build-system]
|
||||
requires = ["poetry-core>=2.0.0,<3.0.0"]
|
||||
build-backend = "poetry.core.masonry.api"
|
||||
428
notebooks/varcovar_var.ipynb
Normal file
428
notebooks/varcovar_var.ipynb
Normal file
File diff suppressed because one or more lines are too long
@ -18,4 +18,5 @@ crate-type = ["cdylib"]
|
||||
|
||||
[dependencies]
|
||||
finlib = { path = "../finlib", features = ["py"] }
|
||||
pyo3 = { workspace = true }
|
||||
pyo3 = { workspace = true }
|
||||
pyo3-log = { workspace = true }
|
||||
@ -1,30 +1,63 @@
|
||||
use pyo3::prelude::*;
|
||||
|
||||
#[pyfunction]
|
||||
pub fn compound(principal: f64, rate: f64, time: f64, n: f64) -> PyResult<f64> {
|
||||
Ok(finlib::interest::compound(principal, rate, time, n))
|
||||
}
|
||||
|
||||
#[pyfunction]
|
||||
pub fn covariance(slice: Vec<f64>, slice_two: Vec<f64>) -> PyResult<Option<f64>> {
|
||||
Ok(finlib::stats::covariance(&slice, &slice_two))
|
||||
}
|
||||
|
||||
#[pymodule]
|
||||
fn pyfinlib(m: &Bound<'_, PyModule>) -> PyResult<()> {
|
||||
register_interest_module(m);
|
||||
register_stats_module(m);
|
||||
Ok(())
|
||||
}
|
||||
mod pyfinlib {
|
||||
use super::*;
|
||||
|
||||
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)
|
||||
}
|
||||
#[pymodule_init]
|
||||
fn init(m: &Bound<'_, PyModule>) -> PyResult<()> {
|
||||
pyo3_log::init();
|
||||
|
||||
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)
|
||||
Ok(())
|
||||
}
|
||||
|
||||
#[pymodule]
|
||||
mod interest {
|
||||
use super::*;
|
||||
|
||||
#[pyfunction]
|
||||
pub fn compound(principal: f64, rate: f64, time: f64, n: f64) -> PyResult<f64> {
|
||||
Ok(finlib::interest::compound(principal, rate, time, n))
|
||||
}
|
||||
}
|
||||
|
||||
#[pymodule]
|
||||
mod risk {
|
||||
use super::*;
|
||||
|
||||
#[pymodule]
|
||||
mod var {
|
||||
use super::*;
|
||||
|
||||
#[pyfunction]
|
||||
fn historical(values: Vec<f64>, confidence: f64) -> PyResult<f64> {
|
||||
Ok(finlib::risk::var::historical::value_at_risk(&values, confidence))
|
||||
}
|
||||
|
||||
#[pyfunction]
|
||||
fn varcovar(values: Vec<f64>, confidence: f64) -> PyResult<f64> {
|
||||
Ok(finlib::risk::var::varcovar::value_at_risk(&values, confidence))
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
#[pymodule]
|
||||
mod stats {
|
||||
use super::*;
|
||||
|
||||
#[pyfunction]
|
||||
pub fn covariance(slice: Vec<f64>, slice_two: Vec<f64>) -> PyResult<Option<f64>> {
|
||||
Ok(finlib::stats::covariance(&slice, &slice_two))
|
||||
}
|
||||
}
|
||||
|
||||
#[pymodule]
|
||||
mod util {
|
||||
use super::*;
|
||||
|
||||
#[pyfunction]
|
||||
pub fn rates_of_change(slice: Vec<f64>) -> PyResult<Vec<f64>> {
|
||||
Ok(finlib::util::roc::rates_of_change(&slice).collect::<Vec<_>>())
|
||||
}
|
||||
}
|
||||
}
|
||||
Loading…
x
Reference in New Issue
Block a user