diff --git a/.gitignore b/.gitignore
index a592abc..002cfdd 100644
--- a/.gitignore
+++ b/.gitignore
@@ -1,6 +1,7 @@
/target
bin
obj
+cmake-build-debug
.venv
.idea
/finlib-wasm/pkg
diff --git a/Cargo.lock b/Cargo.lock
index bb049d9..9916d20 100644
--- a/Cargo.lock
+++ b/Cargo.lock
@@ -340,7 +340,7 @@ checksum = "37909eebbb50d72f9059c3b6d82c0463f2ff062c9e95845c43a6c9c0355411be"
[[package]]
name = "finlib"
-version = "0.0.6"
+version = "0.0.7"
dependencies = [
"criterion",
"getrandom 0.2.15",
@@ -357,7 +357,7 @@ dependencies = [
[[package]]
name = "finlib-ffi"
-version = "0.0.6"
+version = "0.0.7"
dependencies = [
"cbindgen",
"csbindgen",
@@ -366,7 +366,7 @@ dependencies = [
[[package]]
name = "finlib-wasm"
-version = "0.0.6"
+version = "0.0.7"
dependencies = [
"console_error_panic_hook",
"console_log",
@@ -759,7 +759,7 @@ dependencies = [
[[package]]
name = "pyfinlib"
-version = "0.0.6"
+version = "0.0.7"
dependencies = [
"finlib",
"log",
diff --git a/Cargo.toml b/Cargo.toml
index 80c86e4..7c66c5c 100644
--- a/Cargo.toml
+++ b/Cargo.toml
@@ -14,7 +14,7 @@ default-members = [
]
[workspace.package]
-version = "0.0.6"
+version = "0.0.7"
authors = ["sarsoo <andy@sarsoo.xyz>"]
description = "Quant finance functions implemented in Rust"
edition = "2021"
diff --git a/FinLib.NET/FinLib.Bench/Benchmarks/HistoricalVAR.cs b/FinLib.NET/FinLib.Bench/Benchmarks/HistoricalVAR.cs
index 186943f..0fe1ac2 100644
--- a/FinLib.NET/FinLib.Bench/Benchmarks/HistoricalVAR.cs
+++ b/FinLib.NET/FinLib.Bench/Benchmarks/HistoricalVAR.cs
@@ -30,5 +30,5 @@ public class HistoricalVar
public double FinLibDotnet() => HistoricalVARDotnet.ValueAtRisk(data.ToList(), confidence);
[Benchmark]
- public double FinLibRust() => FinLib.Risk.ValueAtRisk.Historical(data, confidence);
+ public double FinLibRust() => FinLib.Risk.ValueAtRisk.Historical(data, confidence)!.Value;
}
\ No newline at end of file
diff --git a/FinLib.NET/FinLib.Test/Portfolio.cs b/FinLib.NET/FinLib.Test/Portfolio.cs
new file mode 100644
index 0000000..a2183da
--- /dev/null
+++ b/FinLib.NET/FinLib.Test/Portfolio.cs
@@ -0,0 +1,34 @@
+using FluentAssertions;
+
+namespace FinLib.Test;
+
+public class PortfolioTest
+{
+ [Test]
+ public void TestPortfolioCreation()
+ {
+ using var portfolio = new Portfolio();
+ portfolio.AddAsset(0.5, "first", [0.5, 0.5, 0.5, 0.5]);
+ portfolio.AddAsset(0.5, "second", [0.5, 0.5, 0.5, 0.5]);
+
+ var (mean, std) = portfolio.GetMeanAndStdDev()!.Value;
+ mean.Should().Be(0);
+ std.Should().Be(0);
+ }
+
+ [Test]
+ public void TestPortfolioValid()
+ {
+ var portfolio = new Portfolio();
+ portfolio.AddAsset(0.5, "first", [0.5, 0.5, 0.5, 0.5]);
+ portfolio.AddAsset(0.5, "second", [0.5, 0.5, 0.5]);
+
+ portfolio.IsValid().Should().BeFalse();
+
+ var portfolio2 = new Portfolio();
+ portfolio2.AddAsset(0.5, "first", [0.5, 0.5, 0.5, 0.5]);
+ portfolio2.AddAsset(0.5, "second", [0.5, 0.5, 0.5, 0.5]);
+
+ portfolio2.IsValid().Should().BeTrue();
+ }
+}
\ No newline at end of file
diff --git a/FinLib.NET/FinLib/FinLib.Risk.cs b/FinLib.NET/FinLib/FinLib.Risk.cs
index bba9bee..41b2c1a 100644
--- a/FinLib.NET/FinLib/FinLib.Risk.cs
+++ b/FinLib.NET/FinLib/FinLib.Risk.cs
@@ -7,26 +7,36 @@ namespace FinLib.Risk;
public static class ValueAtRisk
{
- public static double Historical(IEnumerable<double> values, double confidence)
+ public static double? Historical(IEnumerable<double> values, double confidence)
{
unsafe {
var valueArr = values.ToArray();
fixed (double* ptrOne = valueArr) {
var ret = NativeMethods.historical_value_at_risk(ptrOne, (UIntPtr)valueArr.Length, confidence);
- return *ret;
+ if (ret.is_valid)
+ {
+ return ret.val;
+ }
+
+ return null;
}
}
}
- public static double VarCovar(IEnumerable<double> values, double confidence)
+ 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;
+ if (ret.is_valid)
+ {
+ return ret.val;
+ }
+
+ return null;
}
}
}
diff --git a/FinLib.NET/FinLib/FinLib.Stats.cs b/FinLib.NET/FinLib/FinLib.Stats.cs
index 1483ee4..b9bd2ce 100644
--- a/FinLib.NET/FinLib/FinLib.Stats.cs
+++ b/FinLib.NET/FinLib/FinLib.Stats.cs
@@ -16,14 +16,12 @@ public static class Stats
fixed (double* ptrTwo = valuesTwoArr) {
var ret = NativeMethods.covariance(ptrOne, (UIntPtr)valuesOneArr.Length, ptrTwo, (UIntPtr) valuesTwoArr.Length);
- if (ret == null)
+ if (ret.is_valid)
{
- return null;
- }
- else
- {
- return *ret;
+ return ret.val;
}
+
+ return null;
}
}
}
diff --git a/FinLib.NET/FinLib/NativeMethods.cs b/FinLib.NET/FinLib/NativeMethods.cs
index 038515a..a0feb89 100644
--- a/FinLib.NET/FinLib/NativeMethods.cs
+++ b/FinLib.NET/FinLib/NativeMethods.cs
@@ -1,9 +1,7 @@
-using GroupedNativeMethodsGenerator;
namespace FinLib;
-[GroupedNativeMethods]
-internal static unsafe partial class NativeMethods
+internal static partial class NativeMethods
{
}
\ No newline at end of file
diff --git a/FinLib.NET/FinLib/NativeMethods.g.cs b/FinLib.NET/FinLib/NativeMethods.g.cs
index fcbb16b..07f8c5b 100644
--- a/FinLib.NET/FinLib/NativeMethods.g.cs
+++ b/FinLib.NET/FinLib/NativeMethods.g.cs
@@ -20,56 +20,90 @@ namespace FinLib
internal static extern double interest_compound(double principal, double rate, double time, double n);
[DllImport(__DllName, EntryPoint = "covariance", CallingConvention = CallingConvention.Cdecl, ExactSpelling = true)]
- internal static extern double* covariance(double* arr, nuint len, double* arr_two, nuint len_two);
+ internal static extern NullableFloat covariance(double* arr, nuint len, double* arr_two, nuint len_two);
[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);
+ internal static extern NullableFloat 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);
+ internal static extern NullableFloat varcovar_value_at_risk(double* arr, nuint len, double confidence);
[DllImport(__DllName, EntryPoint = "scale_value_at_risk", CallingConvention = CallingConvention.Cdecl, ExactSpelling = true)]
internal static extern double scale_value_at_risk(double initial_value, nint time_cycles);
+ [DllImport(__DllName, EntryPoint = "portfolio_asset_new", CallingConvention = CallingConvention.Cdecl, ExactSpelling = true)]
+ internal static extern PortfolioAsset_native* portfolio_asset_new(double portfolio_weight, byte* name, int name_len, double* values, nuint len);
+
+ [DllImport(__DllName, EntryPoint = "portfolio_asset_destroy", CallingConvention = CallingConvention.Cdecl, ExactSpelling = true)]
+ internal static extern void portfolio_asset_destroy(PortfolioAsset_native* asset);
+
+ [DllImport(__DllName, EntryPoint = "portfolio_asset_apply_rates_of_change", CallingConvention = CallingConvention.Cdecl, ExactSpelling = true)]
+ internal static extern void portfolio_asset_apply_rates_of_change(PortfolioAsset_native* asset);
+
+ [DllImport(__DllName, EntryPoint = "portfolio_asset_get_mean_and_std", CallingConvention = CallingConvention.Cdecl, ExactSpelling = true)]
+ internal static extern Tuple portfolio_asset_get_mean_and_std(PortfolioAsset_native* asset);
+
+ [DllImport(__DllName, EntryPoint = "portfolio_new", CallingConvention = CallingConvention.Cdecl, ExactSpelling = true)]
+ internal static extern Portfolio_native* portfolio_new();
+
+ [DllImport(__DllName, EntryPoint = "portfolio_destroy", CallingConvention = CallingConvention.Cdecl, ExactSpelling = true)]
+ internal static extern void portfolio_destroy(Portfolio_native* portfolio);
+
+ [DllImport(__DllName, EntryPoint = "portfolio_add_asset", CallingConvention = CallingConvention.Cdecl, ExactSpelling = true)]
+ internal static extern void portfolio_add_asset(Portfolio_native* portfolio, PortfolioAsset_native* asset);
+
+ [DllImport(__DllName, EntryPoint = "portfolio_apply_rates_of_change", CallingConvention = CallingConvention.Cdecl, ExactSpelling = true)]
+ internal static extern void portfolio_apply_rates_of_change(Portfolio_native* portfolio);
+
+ [DllImport(__DllName, EntryPoint = "portfolio_valid_sizes", CallingConvention = CallingConvention.Cdecl, ExactSpelling = true)]
+ [return: MarshalAs(UnmanagedType.U1)]
+ internal static extern bool portfolio_valid_sizes(Portfolio_native* portfolio);
+
+ [DllImport(__DllName, EntryPoint = "portfolio_valid_weights", CallingConvention = CallingConvention.Cdecl, ExactSpelling = true)]
+ [return: MarshalAs(UnmanagedType.U1)]
+ internal static extern bool portfolio_valid_weights(Portfolio_native* portfolio);
+
+ [DllImport(__DllName, EntryPoint = "portfolio_is_valid", CallingConvention = CallingConvention.Cdecl, ExactSpelling = true)]
+ [return: MarshalAs(UnmanagedType.U1)]
+ internal static extern bool portfolio_is_valid(Portfolio_native* portfolio);
+
+ [DllImport(__DllName, EntryPoint = "portfolio_get_mean_and_std", CallingConvention = CallingConvention.Cdecl, ExactSpelling = true)]
+ internal static extern Tuple portfolio_get_mean_and_std(Portfolio_native* portfolio);
+
+ [DllImport(__DllName, EntryPoint = "portfolio_value_at_risk", CallingConvention = CallingConvention.Cdecl, ExactSpelling = true)]
+ internal static extern NullableFloat portfolio_value_at_risk(Portfolio_native* portfolio, double confidence, double initial_investment);
+
+ [DllImport(__DllName, EntryPoint = "portfolio_value_at_risk_percent", CallingConvention = CallingConvention.Cdecl, ExactSpelling = true)]
+ internal static extern NullableFloat portfolio_value_at_risk_percent(Portfolio_native* portfolio, double confidence);
+
}
[StructLayout(LayoutKind.Sequential)]
- internal unsafe partial struct Portfolio
+ internal unsafe partial struct Tuple
+ {
+ public double one;
+ public double two;
+ [MarshalAs(UnmanagedType.U1)] public bool is_valid;
+ }
+
+ [StructLayout(LayoutKind.Sequential)]
+ internal unsafe partial struct NullableFloat
+ {
+ public double val;
+ [MarshalAs(UnmanagedType.U1)] public bool is_valid;
+ }
+
+ [StructLayout(LayoutKind.Sequential)]
+ internal unsafe partial struct Portfolio_native
{
}
[StructLayout(LayoutKind.Sequential)]
- internal unsafe partial struct PortfolioAsset
+ internal unsafe partial struct PortfolioAsset_native
{
}
- [StructLayout(LayoutKind.Sequential)]
- internal unsafe partial struct OptionVariables
- {
- }
-
- [StructLayout(LayoutKind.Sequential)]
- internal unsafe partial struct CallOption
- {
- }
-
- [StructLayout(LayoutKind.Sequential)]
- internal unsafe partial struct PutOption
- {
- }
-
- [StructLayout(LayoutKind.Sequential)]
- internal unsafe partial struct OptionGreeks
- {
- }
-
-
- internal enum ValueType : byte
- {
- Absolute,
- RateOfChange,
- }
}
diff --git a/FinLib.NET/FinLib/Portfolio.cs b/FinLib.NET/FinLib/Portfolio.cs
new file mode 100644
index 0000000..aa11210
--- /dev/null
+++ b/FinLib.NET/FinLib/Portfolio.cs
@@ -0,0 +1,126 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+
+namespace FinLib;
+
+public class Portfolio: IDisposable
+{
+ private readonly unsafe Portfolio_native* _portfolio;
+ internal unsafe Portfolio_native* GetPtr() => _portfolio;
+
+ public Portfolio()
+ {
+ unsafe
+ {
+ _portfolio = NativeMethods.portfolio_new();
+ }
+ }
+
+ public void AddAsset(double portfolioWeight, string assetName, IEnumerable<double> values)
+ {
+ unsafe
+ {
+ var n = Encoding.UTF8.GetBytes(assetName);
+ var v = values.ToArray();
+ fixed (byte* namePtr = n)
+ fixed (double* valuesPtr = v){
+ NativeMethods.portfolio_add_asset(_portfolio, NativeMethods.portfolio_asset_new(portfolioWeight, namePtr, assetName.Length, valuesPtr, (UIntPtr)v.Length));
+ }
+ }
+ }
+
+ public bool ValidSize()
+ {
+ unsafe
+ {
+ return NativeMethods.portfolio_valid_sizes(_portfolio);
+ }
+ }
+
+ public bool ValidWeights()
+ {
+ unsafe
+ {
+ return NativeMethods.portfolio_valid_weights(_portfolio);
+ }
+ }
+
+ public bool IsValid()
+ {
+ unsafe
+ {
+ return NativeMethods.portfolio_is_valid(_portfolio);
+ }
+ }
+
+ public void ApplyRatesOfChange()
+ {
+ unsafe
+ {
+ NativeMethods.portfolio_apply_rates_of_change(_portfolio);
+ }
+ }
+
+ public (double, double)? GetMeanAndStdDev()
+ {
+ unsafe
+ {
+ var ret = NativeMethods.portfolio_get_mean_and_std(_portfolio);
+ if (ret.is_valid)
+ {
+ return (ret.one, ret.two);
+ }
+
+ return null;
+ }
+ }
+
+ public double? ValueAtRisk(double confidence, double initialInvestment)
+ {
+ unsafe
+ {
+ var ret = NativeMethods.portfolio_value_at_risk(_portfolio, confidence, initialInvestment);
+ if (ret.is_valid)
+ {
+ return ret.val;
+ }
+
+ return null;
+ }
+ }
+
+ public double? ValueAtRiskPercent(double confidence)
+ {
+ unsafe
+ {
+ var ret = NativeMethods.portfolio_value_at_risk_percent(_portfolio, confidence);
+ if (ret.is_valid)
+ {
+ return ret.val;
+ }
+
+ return null;
+ }
+ }
+
+ private void ReleaseUnmanagedResources()
+ {
+ unsafe
+ {
+ NativeMethods.portfolio_destroy(_portfolio);
+ }
+ }
+
+ public void Dispose()
+ {
+ ReleaseUnmanagedResources();
+ GC.SuppressFinalize(this);
+ }
+
+ ~Portfolio()
+ {
+ ReleaseUnmanagedResources();
+ }
+}
\ No newline at end of file
diff --git a/finlib-cpp/CMakeLists.txt b/finlib-cpp/CMakeLists.txt
new file mode 100644
index 0000000..e013ffc
--- /dev/null
+++ b/finlib-cpp/CMakeLists.txt
@@ -0,0 +1,26 @@
+cmake_minimum_required(VERSION 3.19)
+
+
+if(${CMAKE_VERSION} VERSION_LESS 3.19)
+ cmake_policy(VERSION ${CMAKE_MAJOR_VERSION}.${CMAKE_MINOR_VERSION})
+endif()
+
+include(FetchContent)
+
+project(finlib-cpp)
+
+set(CMAKE_CXX_STANDARD 23)
+
+set(CMAKE_INSTALL_PREFIX ${PROJECT_SOURCE_DIR})
+
+set(FINLIB_INSTALL_INCLUDE_DIR ${PROJECT_SOURCE_DIR}/include)
+set(FINLIB_INSTALL_BIN_DIR ${PROJECT_SOURCE_DIR}/bin)
+set(FINLIB_INSTALL_LIB_DIR ${PROJECT_SOURCE_DIR}/lib)
+
+set(FINLIB_HEADERS_DIR ${PROJECT_SOURCE_DIR}/src/finlib)
+
+include_directories(${FINLIB_INSTALL_INCLUDE_DIR})
+include_directories(${FINLIB_HEADERS_DIR})
+
+add_subdirectory(src)
+add_subdirectory(test)
diff --git a/finlib-cpp/README.md b/finlib-cpp/README.md
new file mode 100644
index 0000000..9191209
--- /dev/null
+++ b/finlib-cpp/README.md
@@ -0,0 +1,3 @@
+# finlib-cpp
+
+[StackOverflow - How can I build Rust code with a C++/Qt/CMake project?](https://stackoverflow.com/questions/31162438/how-can-i-build-rust-code-with-a-c-qt-cmake-project)
\ No newline at end of file
diff --git a/finlib-cpp/include/finlib-native.h b/finlib-cpp/include/finlib-native.h
deleted file mode 100644
index dea90d7..0000000
--- a/finlib-cpp/include/finlib-native.h
+++ /dev/null
@@ -1,32 +0,0 @@
-#pragma once
-
-/* Generated with cbindgen:0.28.0 */
-
-/* Warning, this file is autogenerated by cbindgen. Don't modify this manually. */
-
-#include <cstdarg>
-#include <cstddef>
-#include <cstdint>
-#include <cstdlib>
-#include <ostream>
-#include <new>
-
-
-namespace finlib {
-
-
-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);
-
-double scale_value_at_risk(double initial_value, ptrdiff_t time_cycles);
-
-const double *varcovar_value_at_risk(const double *arr, size_t len, double confidence);
-
-} // extern "C"
-
-} // namespace finlib
diff --git a/finlib-cpp/include/finlib/finlib-native.h b/finlib-cpp/include/finlib/finlib-native.h
new file mode 100644
index 0000000..4358da3
--- /dev/null
+++ b/finlib-cpp/include/finlib/finlib-native.h
@@ -0,0 +1,85 @@
+#pragma once
+
+/* Generated with cbindgen:0.28.0 */
+
+/* Warning, this file is autogenerated by cbindgen. Don't modify this manually. */
+
+#include <cstdarg>
+#include <cstddef>
+#include <cstdint>
+#include <cstdlib>
+#include <ostream>
+#include <new>
+
+
+namespace finlib {
+
+/// Describes a Portfolio as a collection of [`PortfolioAsset`]s
+struct Portfolio;
+
+/// Describes a single instrument as a list of previous values with an associated portfolio proportion
+struct PortfolioAsset;
+
+struct NullableFloat
+{
+ double Val;
+ bool IsValid;
+};
+
+struct Tuple
+{
+ double One;
+ double Two;
+ bool IsValid;
+};
+
+
+extern "C" {
+
+NullableFloat covariance(const double *arr, size_t len, const double *arr_two, size_t len_two);
+
+NullableFloat historical_value_at_risk(const double *arr, size_t len, double confidence);
+
+double interest_compound(double principal, double rate, double time, double n);
+
+void portfolio_add_asset(Portfolio *portfolio, PortfolioAsset *asset);
+
+void portfolio_apply_rates_of_change(Portfolio *portfolio);
+
+void portfolio_asset_apply_rates_of_change(PortfolioAsset *asset);
+
+void portfolio_asset_destroy(PortfolioAsset *asset);
+
+Tuple portfolio_asset_get_mean_and_std(PortfolioAsset *asset);
+
+PortfolioAsset *portfolio_asset_new(double portfolio_weight,
+ const uint8_t *name,
+ int32_t name_len,
+ const double *values,
+ size_t len);
+
+void portfolio_destroy(Portfolio *portfolio);
+
+Tuple portfolio_get_mean_and_std(Portfolio *portfolio);
+
+bool portfolio_is_valid(Portfolio *portfolio);
+
+Portfolio *portfolio_new();
+
+bool portfolio_valid_sizes(Portfolio *portfolio);
+
+bool portfolio_valid_weights(Portfolio *portfolio);
+
+NullableFloat portfolio_value_at_risk(Portfolio *portfolio,
+ double confidence,
+ double initial_investment);
+
+NullableFloat portfolio_value_at_risk_percent(Portfolio *portfolio, double confidence);
+
+double scale_value_at_risk(double initial_value, ptrdiff_t time_cycles);
+
+NullableFloat varcovar_value_at_risk(const double *arr, size_t len, double confidence);
+
+} // extern "C"
+
+} // namespace finlib
diff --git a/finlib-cpp/src/CMakeLists.txt b/finlib-cpp/src/CMakeLists.txt
new file mode 100644
index 0000000..cbfe99f
--- /dev/null
+++ b/finlib-cpp/src/CMakeLists.txt
@@ -0,0 +1,10 @@
+cmake_minimum_required(VERSION 3.19)
+project(finexe)
+
+add_subdirectory(finlib)
+set(SOURCE_FILES main.cpp
+)
+
+add_executable(finexe ${SOURCE_FILES})
+target_link_libraries(finexe finlib)
+install(TARGETS finexe DESTINATION ${FINLIB_INSTALL_BIN_DIR})
\ No newline at end of file
diff --git a/finlib-cpp/src/finlib/CMakeLists.txt b/finlib-cpp/src/finlib/CMakeLists.txt
new file mode 100644
index 0000000..cbf731b
--- /dev/null
+++ b/finlib-cpp/src/finlib/CMakeLists.txt
@@ -0,0 +1,28 @@
+include(ExternalProject)
+
+project(finlib C CXX)
+
+set(SOURCE_FILES
+ finlib.cpp
+)
+
+add_library(finlib SHARED STATIC ${SOURCE_FILES})
+
+ExternalProject_Add(
+ finlibrs
+ DOWNLOAD_COMMAND ""
+ CONFIGURE_COMMAND ""
+ BUILD_COMMAND cargo build
+ COMMAND cargo build --release
+ BINARY_DIR "${CMAKE_SOURCE_DIR}/../"
+ INSTALL_COMMAND ""
+ LOG_BUILD ON)
+
+add_dependencies(finlib finlibrs)
+target_link_libraries(finlib
+ debug "${CMAKE_SOURCE_DIR}/../target/debug/libfinlib_ffi.a"
+ optimized "${CMAKE_SOURCE_DIR}/../target/release/libfinlib_ffi.a"
+)
+
+install(TARGETS finlib DESTINATION ${FINLIB_INSTALL_LIB_DIR})
+install(FILES finlib.h DESTINATION ${FINLIB_INSTALL_INCLUDE_DIR})
\ No newline at end of file
diff --git a/finlib-cpp/src/finlib/finlib.cpp b/finlib-cpp/src/finlib/finlib.cpp
new file mode 100644
index 0000000..a92e363
--- /dev/null
+++ b/finlib-cpp/src/finlib/finlib.cpp
@@ -0,0 +1,17 @@
+//
+// Created by Andy Pack on 21/02/2025.
+//
+
+#include "finlib.hpp"
+
+#include <iostream>
+
+namespace finlib {
+ void init() {
+ std::cout << "Initializing..." << std::endl;
+
+ auto ret = interest_compound(100, .05, 1, 1.0);
+
+ std::cout << "Answer: " << ret << std::endl;
+ }
+}
diff --git a/finlib-cpp/src/finlib/finlib.hpp b/finlib-cpp/src/finlib/finlib.hpp
new file mode 100644
index 0000000..71bd78b
--- /dev/null
+++ b/finlib-cpp/src/finlib/finlib.hpp
@@ -0,0 +1,7 @@
+#pragma once
+
+#include <finlib/finlib-native.h>
+
+namespace finlib {
+ void init();
+}
\ No newline at end of file
diff --git a/finlib-cpp/src/main.cpp b/finlib-cpp/src/main.cpp
new file mode 100644
index 0000000..b20cd1b
--- /dev/null
+++ b/finlib-cpp/src/main.cpp
@@ -0,0 +1,11 @@
+#include <iostream>
+#include <finlib.hpp>
+
+using namespace std;
+
+int main(int argc, const char *argv[]) {
+
+ finlib::init();
+
+ return 0;
+}
\ No newline at end of file
diff --git a/finlib-cpp/test/CMakeLists.txt b/finlib-cpp/test/CMakeLists.txt
new file mode 100644
index 0000000..f46d352
--- /dev/null
+++ b/finlib-cpp/test/CMakeLists.txt
@@ -0,0 +1,28 @@
+cmake_minimum_required(VERSION 3.19)
+set(CMAKE_CXX_STANDARD 23)
+set(CMAKE_CXX_STANDARD_REQUIRED ON)
+
+project(finlib_tests)
+
+include_directories(${FINLIB_HEADERS_DIR})
+
+set(SOURCE_FILES
+ src/basic_test.cpp
+)
+
+include(FetchContent)
+FetchContent_Declare(
+ googletest
+ GIT_REPOSITORY https://github.com/google/googletest
+ GIT_TAG v1.16.0
+)
+# For Windows: Prevent overriding the parent project's compiler/linker settings
+set(gtest_force_shared_crt ON CACHE BOOL "" FORCE)
+FetchContent_MakeAvailable(googletest)
+
+add_executable(finlib_tests ${SOURCE_FILES})
+target_link_libraries(finlib_tests finlib GTest::gtest_main)
+install(TARGETS finlib_tests DESTINATION bin)
+
+include(GoogleTest)
+gtest_discover_tests(finlib_tests)
\ No newline at end of file
diff --git a/finlib-cpp/test/src/basic_test.cpp b/finlib-cpp/test/src/basic_test.cpp
new file mode 100644
index 0000000..5e50c4e
--- /dev/null
+++ b/finlib-cpp/test/src/basic_test.cpp
@@ -0,0 +1,28 @@
+#include <gtest/gtest.h>
+
+using namespace std;
+
+
+// Demonstrate some basic assertions.
+TEST(HelloTest, BasicAssertions) {
+ // Expect two strings not to be equal.
+ EXPECT_STRNE("hello", "world");
+ // Expect equality.
+ EXPECT_EQ(7 * 6, 42);
+}
+
+// Demonstrate some basic assertions.
+TEST(HelloTest, BasicAssertions2) {
+ // Expect two strings not to be equal.
+ EXPECT_STRNE("hello", "world");
+ // Expect equality.
+ EXPECT_EQ(7 * 6, 42);
+}
+
+// Demonstrate some basic assertions.
+TEST(HelloTest, BasicAssertions3) {
+ // Expect two strings not to be equal.
+ EXPECT_STRNE("hello", "world");
+ // Expect equality.
+ EXPECT_EQ(7 * 6, 42);
+}
\ No newline at end of file
diff --git a/finlib-ffi/Cargo.toml b/finlib-ffi/Cargo.toml
index 4056b84..cac44b1 100644
--- a/finlib-ffi/Cargo.toml
+++ b/finlib-ffi/Cargo.toml
@@ -11,7 +11,7 @@ readme.workspace = true
license.workspace = true
[lib]
-crate-type = ["cdylib"]
+crate-type = ["cdylib", "staticlib"]
[dependencies]
finlib = { path = "../finlib", features = ["ffi"] }
diff --git a/finlib-ffi/build.rs b/finlib-ffi/build.rs
index 08e65f4..3eff927 100644
--- a/finlib-ffi/build.rs
+++ b/finlib-ffi/build.rs
@@ -14,24 +14,19 @@ fn main() {
.with_config(config)
.generate()
.expect("Unable to generate bindings")
- .write_to_file("../finlib-cpp/include/finlib-native.h");
+ .write_to_file("../finlib-cpp/include/finlib/finlib-native.h");
csbindgen::Builder::default()
.input_extern_file("src/lib.rs")
- .input_extern_file("../finlib/src/lib.rs")
+ .input_extern_file("src/portfolio.rs")
.input_extern_file("../finlib/src/risk/portfolio.rs")
- .input_extern_file("../finlib/src/options/blackscholes/mod.rs")
.csharp_dll_name("libfinlib_ffi")
- .always_included_types([
- "Portfolio",
- "ValueType",
- "PortfolioAsset",
- "OptionVariables",
- "CallOption",
- "PutOption",
- "OptionGreeks",
- ])
.csharp_namespace("FinLib")
+ .csharp_type_rename(|rust_type_name| match rust_type_name.as_str() { // optional, default: `|x| x`
+ "Portfolio" => "Portfolio_native".into(),
+ "PortfolioAsset" => "PortfolioAsset_native".into(),
+ _ => rust_type_name,
+ })
.generate_csharp_file("../FinLib.NET/FinLib/NativeMethods.g.cs")
.unwrap();
}
\ No newline at end of file
diff --git a/finlib-ffi/src/lib.rs b/finlib-ffi/src/lib.rs
index a52cbcf..fb4f934 100644
--- a/finlib-ffi/src/lib.rs
+++ b/finlib-ffi/src/lib.rs
@@ -1,13 +1,29 @@
-use std::ptr::null;
+mod portfolio;
+
use std::slice;
+#[repr(C)]
+#[derive(Debug, Copy, Clone)]
+pub struct Tuple {
+ one: f64,
+ two: f64,
+ is_valid: bool
+}
+
+#[repr(C)]
+#[derive(Debug, Copy, Clone)]
+pub struct NullableFloat {
+ val: f64,
+ is_valid: bool
+}
+
#[no_mangle]
pub extern "C" fn interest_compound(principal: f64, rate: f64, time: f64, n: f64) -> f64 {
finlib::interest::compound(principal, rate, time, n)
}
#[no_mangle]
-pub unsafe extern "C" fn covariance(arr: *const f64, len: usize, arr_two: *const f64, len_two: usize) -> *const f64 {
+pub unsafe extern "C" fn covariance(arr: *const f64, len: usize, arr_two: *const f64, len_two: usize) -> NullableFloat {
let input_array = unsafe {
assert!(!arr.is_null());
slice::from_raw_parts(arr, len)
@@ -19,30 +35,36 @@ pub unsafe extern "C" fn covariance(arr: *const f64, len: usize, arr_two: *const
};
match finlib::stats::covariance(input_array, input_array_two) {
- None => null(),
- Some(v) => Box::into_raw(Box::new(v))
+ None => NullableFloat { val: 0.0, is_valid: false },
+ Some(v) => NullableFloat { val: v, is_valid: true }
}
}
#[no_mangle]
-pub unsafe extern "C" fn historical_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) -> NullableFloat {
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)))
+ NullableFloat {
+ val: finlib::risk::var::historical::value_at_risk(input_array, confidence),
+ is_valid: true
+ }
}
#[no_mangle]
-pub unsafe extern "C" fn varcovar_value_at_risk(arr: *const f64, len: usize, confidence: f64) -> *const f64 {
+pub unsafe extern "C" fn varcovar_value_at_risk(arr: *const f64, len: usize, confidence: f64) -> NullableFloat {
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_percent(input_array, confidence)))
+ NullableFloat {
+ val: finlib::risk::var::varcovar::value_at_risk_percent(input_array, confidence),
+ is_valid: true
+ }
}
#[no_mangle]
diff --git a/finlib-ffi/src/portfolio.rs b/finlib-ffi/src/portfolio.rs
new file mode 100644
index 0000000..9aee046
--- /dev/null
+++ b/finlib-ffi/src/portfolio.rs
@@ -0,0 +1,112 @@
+use std::{ptr, slice};
+use finlib::risk::portfolio::{Portfolio, PortfolioAsset};
+use crate::{NullableFloat, Tuple};
+
+#[no_mangle]
+pub unsafe extern "C" fn portfolio_asset_new(portfolio_weight: f64, name: *const u8, name_len: i32, values: *const f64, len: usize) -> *mut PortfolioAsset {
+
+ if name.is_null() {
+ return ptr::null_mut();
+ }
+
+ let slice = slice::from_raw_parts(name, name_len as usize);
+ let name = String::from_utf8_unchecked(slice.to_vec());
+
+ let input_array = unsafe {
+ assert!(!values.is_null());
+ slice::from_raw_parts(values, len)
+ };
+
+
+ Box::into_raw(Box::new(PortfolioAsset::new(portfolio_weight, name, input_array.to_vec())))
+}
+
+#[no_mangle]
+pub unsafe extern "C" fn portfolio_asset_destroy(asset: *mut PortfolioAsset) {
+ if !asset.is_null() {
+ drop(Box::from_raw(asset));
+ }
+}
+
+#[no_mangle]
+pub unsafe extern "C" fn portfolio_asset_apply_rates_of_change(asset: *mut PortfolioAsset) {
+ (&mut *asset).apply_rates_of_change();
+}
+
+#[no_mangle]
+pub unsafe extern "C" fn portfolio_asset_get_mean_and_std(asset: *mut PortfolioAsset) -> Tuple {
+ match (&mut *asset).get_mean_and_std() {
+ None => Tuple { one: 0.0, two: 0.0, is_valid: false },
+ Some((one, two)) => {
+ Tuple {
+ one, two, is_valid: true
+ }
+ }
+ }
+}
+
+
+#[no_mangle]
+pub unsafe extern "C" fn portfolio_new() -> *mut Portfolio {
+ Box::into_raw(Box::new(Portfolio::from(vec![])))
+}
+
+#[no_mangle]
+pub unsafe extern "C" fn portfolio_destroy(portfolio: *mut Portfolio) {
+ if !portfolio.is_null() {
+ drop(Box::from_raw(portfolio));
+ }
+}
+
+#[no_mangle]
+pub unsafe extern "C" fn portfolio_add_asset(portfolio: *mut Portfolio, asset: *mut PortfolioAsset) {
+ (&mut *portfolio).add_asset((*asset).clone());
+}
+
+#[no_mangle]
+pub unsafe extern "C" fn portfolio_apply_rates_of_change(portfolio: *mut Portfolio) {
+ (&mut *portfolio).apply_rates_of_change()
+}
+
+#[no_mangle]
+pub unsafe extern "C" fn portfolio_valid_sizes(portfolio: *mut Portfolio) -> bool {
+ (&mut *portfolio).valid_sizes()
+}
+
+#[no_mangle]
+pub unsafe extern "C" fn portfolio_valid_weights(portfolio: *mut Portfolio) -> bool {
+ (&mut *portfolio).valid_weights()
+}
+
+#[no_mangle]
+pub unsafe extern "C" fn portfolio_is_valid(portfolio: *mut Portfolio) -> bool {
+ (&mut *portfolio).is_valid()
+}
+
+#[no_mangle]
+pub unsafe extern "C" fn portfolio_get_mean_and_std(portfolio: *mut Portfolio) -> Tuple {
+ match (&mut *portfolio).get_mean_and_std() {
+ None => Tuple { one: 0.0, two: 0.0, is_valid: false },
+ Some((one, two)) => {
+ Tuple {
+ one, two, is_valid: true
+ }
+ }
+ }
+}
+
+#[no_mangle]
+pub unsafe extern "C" fn portfolio_value_at_risk(portfolio: *mut Portfolio, confidence: f64, initial_investment: f64) -> NullableFloat {
+ match (&mut *portfolio).value_at_risk(confidence, initial_investment) {
+ None => NullableFloat { val: 0.0, is_valid: false },
+ Some(v) => NullableFloat { val: v, is_valid: true }
+ }
+}
+
+#[no_mangle]
+pub unsafe extern "C" fn portfolio_value_at_risk_percent(portfolio: *mut Portfolio, confidence: f64) -> NullableFloat {
+ match (&mut *portfolio).value_at_risk_percent(confidence) {
+ None => NullableFloat { val: 0.0, is_valid: false },
+ Some(v) => NullableFloat { val: v, is_valid: true }
+ }
+}
diff --git a/finlib/src/options/blackscholes/option_surface.rs b/finlib/src/options/blackscholes/option_surface.rs
index cca2100..a77b071 100644
--- a/finlib/src/options/blackscholes/option_surface.rs
+++ b/finlib/src/options/blackscholes/option_surface.rs
@@ -1,6 +1,5 @@
+use crate::options::blackscholes::{OptionVariables};
use core::ops::Range;
-use std::sync::{Arc, Mutex};
-use crate::options::blackscholes::{CallOption, Option, OptionVariables, PutOption};
pub struct OptionSurface {
underlying_price: Range<isize>,
@@ -84,30 +83,30 @@ impl OptionSurface {
#[cfg(test)]
mod tests {
- use crate::options::blackscholes::{generate_options, CallOption, Option, PutOption};
use super::*;
+ use crate::options::blackscholes::generate_options;
#[test]
fn walk_test() {
let w = OptionSurface::from(
- (0 .. 50),
+ 0 .. 50,
(100., 200.),
- (0 .. 50),
+ 0 .. 50,
(100., 200.),
- (0 .. 5),
+ 0 .. 5,
(0.25, 0.50),
- (0 .. 10),
+ 0 .. 10,
(0.05, 0.08),
- (0 .. 1),
+ 0 .. 1,
(0.01, 0.02),
- (0 .. 10),
+ 0 .. 10,
(30./365.25, 30./365.25),
);
let a = w.walk();
- let options = generate_options(&a);
+ let _ = generate_options(&a);
- let a1 = a.first();
+ let _ = a.first();
}
}
\ No newline at end of file
diff --git a/finlib/src/risk/portfolio.rs b/finlib/src/risk/portfolio.rs
index 64231ed..fa7e5d6 100644
--- a/finlib/src/risk/portfolio.rs
+++ b/finlib/src/risk/portfolio.rs
@@ -36,10 +36,10 @@ pub enum ValueType {
#[cfg_attr(feature = "ffi", repr(C))]
#[derive(Clone, Debug, PartialEq, PartialOrd)]
pub struct PortfolioAsset {
- portfolio_weight: f64,
+ pub portfolio_weight: f64,
name: String,
values: Vec<f64>,
- value_type: ValueType
+ pub value_type: ValueType
}
impl PortfolioAsset {
@@ -84,6 +84,10 @@ impl Portfolio {
}
}
+ pub fn add_asset(&mut self, asset: PortfolioAsset) {
+ self.assets.push(asset);
+ }
+
/// Return the proportions of a portfolio's assets
///
/// In a properly formed Portfolio these will add up to 1.0
diff --git a/finlib/src/risk/var/varcovar.rs b/finlib/src/risk/var/varcovar.rs
index 0be44ad..8b7c1c0 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;
-use rayon::prelude::*;
use statrs::distribution::{ContinuousCDF, Normal};
// https://medium.com/@serdarilarslan/value-at-risk-var-and-its-implementation-in-python-5c9150f73b0e