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tweaking ffi bindings, bumping version

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This commit is contained in:
Andy Pack 2025-02-17 23:22:35 +00:00
parent 8ff7e0ca3c
commit e74c266a6e
Signed by: sarsoo
GPG Key ID: A55BA3536A5E0ED7
12 changed files with 82 additions and 25 deletions
.gitea/workflows
build.yml
Cargo.lockCargo.toml
FinLib.NET/FinLib
FinLib.Interest.csFinLib.Risk.csFinLib.csprojNativeMethods.g.cs
finlib-cpp/include
finlib-native.h
finlib-ffi
build.rscbindgen.toml
src
lib.rs
finlib/src/options/blackscholes
mod.rs

2
.gitea/workflows/build.yml

@ -131,7 +131,7 @@ jobs:
- name: Push
working-directory: ./FinLib.NET/FinLib
run: dotnet nuget push --source gitea ./bin/Release/FinLib.NET.0.0.3.nupkg
run: dotnet nuget push --source gitea ./bin/Release/FinLib.NET.0.0.4.nupkg
buildWASM:
name: Build WASM

8
Cargo.lock generated

@ -259,7 +259,7 @@ checksum = "37909eebbb50d72f9059c3b6d82c0463f2ff062c9e95845c43a6c9c0355411be"
[[package]]
name = "finlib"
version = "0.0.3"
version = "0.0.4"
dependencies = [
"getrandom 0.2.15",
"log",
@ -274,7 +274,7 @@ dependencies = [
[[package]]
name = "finlib-ffi"
version = "0.0.3"
version = "0.0.4"
dependencies = [
"cbindgen",
"csbindgen",
@ -283,7 +283,7 @@ dependencies = [
[[package]]
name = "finlib-wasm"
version = "0.0.3"
version = "0.0.4"
dependencies = [
"console_error_panic_hook",
"console_log",
@ -606,7 +606,7 @@ dependencies = [
[[package]]
name = "pyfinlib"
version = "0.0.3"
version = "0.0.4"
dependencies = [
"finlib",
"log",

2
Cargo.toml

@ -14,7 +14,7 @@ default-members = [
]
[workspace.package]
version = "0.0.3"
version = "0.0.4"
authors = ["sarsoo <andy@sarsoo.xyz>"]
description = "Quant finance functions implemented in Rust"
edition = "2021"

5
FinLib.NET/FinLib/FinLib.Interest.cs

@ -7,8 +7,5 @@ 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);
}
public static double Compound(double principal, double rate, double time, double n) => NativeMethods.interest_compound(principal, rate, time, n);
}

2
FinLib.NET/FinLib/FinLib.Risk.cs

@ -30,4 +30,6 @@ public static class ValueAtRisk
}
}
}
public static double ScaleValueAtRisk(double initialValue, nint timeCycles) => NativeMethods.scale_value_at_risk(initialValue, timeCycles);
}

12
FinLib.NET/FinLib/FinLib.csproj

@ -1,17 +1,17 @@
<Project Sdk="Microsoft.NET.Sdk">
<PropertyGroup>
<PackageId>FinLib.NET</PackageId>
<Version>0.0.4</Version>
<Authors>sarsoo</Authors>
</PropertyGroup>
<PropertyGroup>
<TargetFrameworks>netstandard2.0</TargetFrameworks>
<LangVersion>latest</LangVersion>
<AllowUnsafeBlocks>true</AllowUnsafeBlocks>
</PropertyGroup>
<PropertyGroup>
<PackageId>FinLib.NET</PackageId>
<Version>0.0.1</Version>
<Authors>sarsoo</Authors>
</PropertyGroup>
<ItemGroup Condition=" '$(Configuration)' == 'Debug' ">
<Content Include="..\..\target\debug\libfinlib_ffi.*">
<CopyToOutputDirectory>Always</CopyToOutputDirectory>

39
FinLib.NET/FinLib/NativeMethods.g.cs

@ -28,9 +28,48 @@ namespace FinLib
[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);
[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);
}
[StructLayout(LayoutKind.Sequential)]
internal unsafe partial struct Portfolio
{
}
[StructLayout(LayoutKind.Sequential)]
internal unsafe partial struct PortfolioAsset
{
}
[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,
}
}

2
finlib-cpp/include/finlib-native.h

@ -23,6 +23,8 @@ const double *historical_value_at_risk(const double *arr, size_t len, double con
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"

11
finlib-ffi/build.rs

@ -19,7 +19,18 @@ fn main() {
csbindgen::Builder::default()
.input_extern_file("src/lib.rs")
.input_extern_file("../finlib/src/lib.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")
.generate_csharp_file("../FinLib.NET/FinLib/NativeMethods.g.cs")
.unwrap();

8
finlib-ffi/cbindgen.toml

@ -144,11 +144,11 @@ bitflags = false
############## Options for How Your Rust library Should Be Parsed ##############
[parse]
parse_deps = false
# include = []
exclude = []
parse_deps = true
include = ["finlib"]
#exclude = []
clean = false
extra_bindings = []
extra_bindings = ["finlib"]

6
finlib-ffi/src/lib.rs

@ -44,3 +44,9 @@ pub unsafe extern "C" fn varcovar_value_at_risk(arr: *const f64, len: usize, con
Box::into_raw(Box::new(finlib::risk::var::varcovar::value_at_risk_percent(input_array, confidence)))
}
#[no_mangle]
pub unsafe extern "C" fn scale_value_at_risk(initial_value: f64, time_cycles: isize) -> f64 {
finlib::risk::var::varcovar::scale_value_at_risk(initial_value, time_cycles)
}

10
finlib/src/options/blackscholes/mod.rs

@ -255,11 +255,11 @@ pub fn vega(v: &OptionVariables) -> f64 {
#[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
pub delta: f64,
pub gamma: f64,
pub vega: f64,
pub theta: f64,
pub rho: f64
}
impl OptionGreeks {