Merge branch 'options' into dev

finlib/src/ffi/py/mod.rs

@@ -1 +1,2 @@
-pub mod portfolio;
+pub mod portfolio;
+pub mod options;

finlib/src/ffi/py/options.rs

@@ -0,0 +1,21 @@
+use pyo3::prelude::*;
+use crate::options::blackscholes::{OptionVariables, OptionGreeks};
+use crate::risk::portfolio::{Portfolio, PortfolioAsset};
+
+#[pymethods]
+impl OptionVariables {
+    #[new]
+    pub fn init(underlying_price: f64,
+                strike_price: f64,
+                volatility: f64,
+                risk_free_interest_rate: f64,
+                dividend: f64,
+                time_to_expiration: f64) -> Self {
+        OptionVariables::from(underlying_price,
+                              strike_price,
+                              volatility,
+                              risk_free_interest_rate,
+                              dividend,
+                              time_to_expiration)
+    }
+}

finlib/src/lib.rs

@@ -5,6 +5,7 @@ pub mod stats;
 pub mod util;
 pub mod risk;
 pub mod ffi;
+pub mod options;
 
 #[cfg(feature = "parallel")]
 use rayon::prelude::*;

finlib/src/options/blackscholes/OptionSurface.rs

@@ -0,0 +1,174 @@
+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
+            .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)>>();
+
+        let a1 = a.first();
+    }
+}

finlib/src/options/blackscholes/mod.rs

@@ -0,0 +1,372 @@
+mod OptionSurface;
+
+use statrs::distribution::{Continuous, ContinuousCDF, Normal};
+#[cfg(feature = "wasm")]
+use wasm_bindgen::prelude::*;
+#[cfg(feature = "py")]
+use pyo3::prelude::*;
+
+#[cfg_attr(feature = "wasm", wasm_bindgen)]
+#[cfg_attr(feature = "py", pyclass)]
+#[cfg_attr(feature = "ffi", repr(C))]
+#[derive(Debug, Copy, Clone, Default, PartialEq, PartialOrd)]
+pub struct OptionVariables {
+    underlying_price: f64,
+    strike_price: f64,
+    volatility: f64,
+    risk_free_interest_rate: f64,
+    dividend: f64,
+    time_to_expiration: f64,
+    d1: std::option::Option<f64>,
+    d2: std::option::Option<f64>
+}
+
+impl OptionVariables {
+
+    pub fn from(underlying_price: f64,
+                strike_price: f64,
+                volatility: f64,
+                risk_free_interest_rate: f64,
+                dividend: f64,
+                time_to_expiration: f64) -> Self {
+        Self {
+            underlying_price,
+            strike_price,
+            volatility,
+            risk_free_interest_rate,
+            dividend,
+            time_to_expiration,
+            d1: None,
+            d2: None
+        }
+    }
+
+    pub fn call(mut self) -> CallOption {
+        let n = Normal::new(0., 1.0).unwrap();
+        let (d1, d2) = self.d1_d2();
+        self.d1 = Some(d1);
+        self.d2 = Some(d2);
+
+        let first = self.underlying_price * (-self.dividend * self.time_to_expiration).exp() * n.cdf(d1);
+
+        let second = self.strike_price * (-self.risk_free_interest_rate * self.time_to_expiration).exp() * n.cdf(d2);
+
+        CallOption::from(first - second, self)
+    }
+
+
+    pub fn put(mut self) -> PutOption {
+        let n = Normal::new(0., 1.0).unwrap();
+        let (d1, d2) = self.d1_d2();
+        self.d1 = Some(d1);
+        self.d2 = Some(d2);
+
+        let first = self.strike_price * (-self.risk_free_interest_rate * self.time_to_expiration).exp() * n.cdf(-d2);
+
+        let second = self.underlying_price * (-self.dividend * self.time_to_expiration).exp() * n.cdf(-d1);
+
+        PutOption::from(first - second, self)
+    }
+
+    pub fn d1_d2(&self) -> (f64, f64) {
+        let d1 = self.d1();
+
+        (d1, self.d2(d1))
+    }
+
+    pub fn d1(&self) -> f64 {
+
+        let first = (self.underlying_price / self.strike_price).log(std::f64::consts::E);
+
+        let second = self.time_to_expiration * (self.risk_free_interest_rate - self.dividend + (f64::powi(self.volatility, 2) / 2.));
+
+        let denominator = self.volatility * f64::sqrt(self.time_to_expiration);
+
+        (first + second) / denominator
+    }
+
+    pub fn d2(&self, d1: f64) -> f64 {
+        d1 - (self.volatility * f64::sqrt(self.time_to_expiration))
+    }
+}
+
+pub trait Option {
+    fn delta(&self) -> f64;
+    fn gamma(&self) -> f64;
+    fn vega(&self) -> f64;
+    fn theta(&self) -> f64;
+    fn rho(&self) -> f64;
+    fn calc_greeks(&mut self);
+    fn has_greeks(&self) -> bool;
+}
+
+// #[cfg_attr(feature = "wasm", wasm_bindgen)]
+#[cfg_attr(feature = "py", pyclass)]
+#[cfg_attr(feature = "ffi", repr(C))]
+#[derive(Debug, Copy, Clone, Default, PartialEq, PartialOrd)]
+pub struct CallOption {
+    pub price: f64,
+    pub variables: OptionVariables,
+    pub greeks: std::option::Option<OptionGreeks>
+}
+
+impl CallOption {
+    pub fn from(price: f64, variables: OptionVariables) -> Self {
+        Self { price, variables, greeks: None }
+    }
+}
+
+impl Option for CallOption {
+    fn delta(&self) -> f64 {
+        let n = Normal::new(0., 1.0).unwrap();
+
+        (-self.variables.dividend * self.variables.time_to_expiration).exp() * n.cdf(self.variables.d1.unwrap())
+    }
+
+    fn gamma(&self) -> f64 {
+        gamma(&self.variables)
+    }
+
+    fn vega(&self) -> f64 {
+        vega(&self.variables)
+    }
+
+    fn theta(&self) -> f64 {
+        let n = Normal::new(0., 1.0).unwrap();
+        let first = theta_first(&self.variables, &n);
+
+        let second = self.variables.risk_free_interest_rate
+            * self.variables.strike_price
+            * (-self.variables.risk_free_interest_rate * self.variables.time_to_expiration).exp()
+            * n.cdf(self.variables.d2.unwrap());
+
+        let third = self.variables.dividend
+            * self.variables.underlying_price
+            * (-self.variables.dividend * self.variables.time_to_expiration).exp()
+            * n.cdf(self.variables.d1.unwrap());
+
+        first - second + third
+    }
+
+    fn rho(&self) -> f64 {
+        let n = Normal::new(0., 1.0).unwrap();
+
+        self.variables.strike_price * self.variables.time_to_expiration * (-self.variables.risk_free_interest_rate * self.variables.time_to_expiration).exp() * n.cdf(self.variables.d2.unwrap())
+    }
+
+    fn calc_greeks(&mut self) {
+        self.greeks = Some(OptionGreeks::from(self));
+    }
+
+    fn has_greeks(&self) -> bool {
+        self.greeks.is_some()
+    }
+}
+
+// #[cfg_attr(feature = "wasm", wasm_bindgen)]
+#[cfg_attr(feature = "py", pyclass)]
+#[cfg_attr(feature = "ffi", repr(C))]
+#[derive(Debug, Copy, Clone, Default, PartialEq, PartialOrd)]
+pub struct PutOption {
+    pub price: f64,
+    pub variables: OptionVariables,
+    pub greeks: std::option::Option<OptionGreeks>
+}
+
+impl PutOption {
+    pub fn from(price: f64, variables: OptionVariables) -> Self {
+        Self { price, variables, greeks: None }
+    }
+}
+
+impl Option for PutOption {
+    fn delta(&self) -> f64 {
+        let n = Normal::new(0., 1.0).unwrap();
+
+        (-self.variables.dividend * self.variables.time_to_expiration).exp() * (n.cdf(self.variables.d1.unwrap()) - 1.)
+    }
+
+    fn gamma(&self) -> f64 {
+        gamma(&self.variables)
+    }
+
+    fn vega(&self) -> f64 {
+        vega(&self.variables)
+    }
+
+    fn theta(&self) -> f64 {
+        let n = Normal::new(0., 1.0).unwrap();
+        let first = theta_first(&self.variables, &n);
+
+        let second = self.variables.risk_free_interest_rate
+            * self.variables.strike_price
+            * (-self.variables.risk_free_interest_rate * self.variables.time_to_expiration).exp()
+            * n.cdf(-self.variables.d2.unwrap());
+
+        let third = self.variables.dividend
+            * self.variables.underlying_price
+            * (-self.variables.dividend * self.variables.time_to_expiration).exp()
+            * n.cdf(-self.variables.d1.unwrap());
+
+        first + second - third
+    }
+
+    fn rho(&self) -> f64 {
+        let n = Normal::new(0., 1.0).unwrap();
+
+        - self.variables.strike_price * self.variables.time_to_expiration * (-self.variables.risk_free_interest_rate * self.variables.time_to_expiration).exp() * n.cdf(-self.variables.d2.unwrap())
+    }
+
+    fn calc_greeks(&mut self) {
+        self.greeks = Some(OptionGreeks::from(self));
+    }
+
+    fn has_greeks(&self) -> bool {
+        self.greeks.is_some()
+    }
+}
+
+fn theta_first(v: &OptionVariables, n: &Normal) -> f64 {
+    let numerator = v.underlying_price * v.volatility * (-v.dividend * v.time_to_expiration).exp();
+    let denominator = 2. * f64::sqrt(v.time_to_expiration);
+
+    -(numerator / denominator) * n.pdf(v.d1.unwrap())
+}
+
+pub fn gamma(v: &OptionVariables) -> f64 {
+    let n = Normal::new(0., 1.0).unwrap();
+
+    let numerator = (-v.dividend * v.time_to_expiration).exp();
+    let denominator = v.underlying_price * v.volatility * f64::sqrt(v.time_to_expiration);
+
+    (numerator / denominator) * n.pdf(v.d1.unwrap())
+}
+
+pub fn vega(v: &OptionVariables) -> f64 {
+    let n = Normal::new(0., 1.0).unwrap();
+
+    let numerator = (-v.dividend * v.time_to_expiration).exp();
+
+    v.underlying_price * numerator * f64::sqrt(v.time_to_expiration) * n.pdf(v.d1.unwrap())
+}
+
+#[cfg_attr(feature = "wasm", wasm_bindgen)]
+#[cfg_attr(feature = "py", pyclass)]
+#[cfg_attr(feature = "ffi", repr(C))]
+#[derive(Debug, Copy, Clone, Default, PartialEq, PartialOrd)]
+pub struct OptionGreeks {
+    delta: f64,
+    gamma: f64,
+    vega: f64,
+    theta: f64,
+    rho: f64
+}
+
+impl OptionGreeks {
+    pub fn from(option: &impl Option) -> Self {
+        Self {
+            delta: option.delta(),
+            gamma: option.gamma(),
+            vega: option.vega(),
+            theta: option.theta(),
+            rho: option.rho()
+        }
+    }
+}
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+
+    // https://goodcalculators.com/black-scholes-calculator/
+
+    fn get_example_option() -> OptionVariables {
+        OptionVariables::from(100., 100., 0.25, 0.05, 0.01, 30./365.25)
+    }
+
+    #[test]
+    fn call_test() {
+        let v = get_example_option();
+
+        let diff = (v.call().price - 3.019).abs();
+
+        assert!(diff < 0.01);
+    }
+
+    #[test]
+    fn put_test() {
+        let v = get_example_option();
+
+        let diff = (v.put().price - 2.691).abs();
+        assert!(diff < 0.01);
+    }
+
+    #[test]
+    fn call_delta_test() {
+        let v = get_example_option();
+
+        let diff = (v.call().delta() - 0.532).abs();
+        assert!(diff < 0.01);
+    }
+
+    #[test]
+    fn put_delta_test() {
+        let v = get_example_option();
+
+        let delta = v.put().delta();
+        let diff = (delta - -0.467).abs();
+        assert!(diff < 0.01);
+    }
+
+    #[test]
+    fn gamma_test() {
+        let v = get_example_option();
+
+        let gamma = v.put().gamma();
+        let diff = (gamma - 0.055).abs();
+        assert!(diff < 0.01);
+    }
+
+    #[test]
+    fn vega_test() {
+        let v = get_example_option();
+
+        let vega = v.put().vega();
+        let diff = (vega - 11.390).abs();
+        assert!(diff < 0.01);
+    }
+
+    #[test]
+    fn call_rho_test() {
+        let v = get_example_option();
+
+        let diff = (v.call().rho() - 4.126).abs();
+        assert!(diff < 0.01);
+    }
+
+    #[test]
+    fn put_rho_test() {
+        let v = get_example_option();
+
+        let rho = v.put().rho();
+        let diff = (rho - -4.060).abs();
+        assert!(diff < 0.01);
+    }
+
+    #[test]
+    fn call_theta_test() {
+        let v = get_example_option();
+
+        let diff = (v.call().theta() - -19.300).abs();
+        assert!(diff < 0.01);
+    }
+
+    #[test]
+    fn put_theta_test() {
+        let v = get_example_option();
+
+        let theta = v.put().theta();
+        let diff = (theta - -15.319).abs();
+        assert!(diff < 0.01);
+    }
+}

finlib/src/options/mod.rs

@@ -0,0 +1 @@
+pub mod blackscholes;

pyfinlib/src/lib.rs

@@ -25,6 +25,20 @@ mod pyfinlib {
         }
     }
 
+    #[pymodule]
+    mod options {
+        use super::*;
+
+        #[pymodule_export]
+        use finlib::options::blackscholes::OptionVariables;
+        #[pymodule_export]
+        use finlib::options::blackscholes::CallOption;
+        #[pymodule_export]
+        use finlib::options::blackscholes::PutOption;
+        #[pymodule_export]
+        use finlib::options::blackscholes::OptionGreeks;
+    }
+
     #[pymodule]
     mod risk {
         use super::*;