From e74c266a6eda30eff03ddc8b781c3b8d3cf4ae73 Mon Sep 17 00:00:00 2001
From: Andy Pack <andy@sarsoo.xyz>
Date: Mon, 17 Feb 2025 23:22:35 +0000
Subject: [PATCH] tweaking ffi bindings, bumping version
---
.gitea/workflows/build.yml | 2 +-
Cargo.lock | 8 +++---
Cargo.toml | 2 +-
FinLib.NET/FinLib/FinLib.Interest.cs | 5 +---
FinLib.NET/FinLib/FinLib.Risk.cs | 2 ++
FinLib.NET/FinLib/FinLib.csproj | 12 ++++----
FinLib.NET/FinLib/NativeMethods.g.cs | 39 ++++++++++++++++++++++++++
finlib-cpp/include/finlib-native.h | 2 ++
finlib-ffi/build.rs | 11 ++++++++
finlib-ffi/cbindgen.toml | 8 +++---
finlib-ffi/src/lib.rs | 6 ++++
finlib/src/options/blackscholes/mod.rs | 10 +++----
12 files changed, 82 insertions(+), 25 deletions(-)
diff --git a/.gitea/workflows/build.yml b/.gitea/workflows/build.yml
index 0aa4d26..6913d7c 100644
--- a/.gitea/workflows/build.yml
+++ b/.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
diff --git a/Cargo.lock b/Cargo.lock
index 08b4261..265f179 100644
--- a/Cargo.lock
+++ b/Cargo.lock
@@ -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",
diff --git a/Cargo.toml b/Cargo.toml
index 5c81626..2383a13 100644
--- a/Cargo.toml
+++ b/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"
diff --git a/FinLib.NET/FinLib/FinLib.Interest.cs b/FinLib.NET/FinLib/FinLib.Interest.cs
index a6bba3f..efa04ef 100644
--- a/FinLib.NET/FinLib/FinLib.Interest.cs
+++ b/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);
}
\ No newline at end of file
diff --git a/FinLib.NET/FinLib/FinLib.Risk.cs b/FinLib.NET/FinLib/FinLib.Risk.cs
index 7813bdb..bba9bee 100644
--- a/FinLib.NET/FinLib/FinLib.Risk.cs
+++ b/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);
}
\ No newline at end of file
diff --git a/FinLib.NET/FinLib/FinLib.csproj b/FinLib.NET/FinLib/FinLib.csproj
index 28d7541..f2b69d9 100644
--- a/FinLib.NET/FinLib/FinLib.csproj
+++ b/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>
diff --git a/FinLib.NET/FinLib/NativeMethods.g.cs b/FinLib.NET/FinLib/NativeMethods.g.cs
index 1d1065f..fcbb16b 100644
--- a/FinLib.NET/FinLib/NativeMethods.g.cs
+++ b/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,
+ }
}
diff --git a/finlib-cpp/include/finlib-native.h b/finlib-cpp/include/finlib-native.h
index 1dd2773..dea90d7 100644
--- a/finlib-cpp/include/finlib-native.h
+++ b/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"
diff --git a/finlib-ffi/build.rs b/finlib-ffi/build.rs
index 4f30ff9..08e65f4 100644
--- a/finlib-ffi/build.rs
+++ b/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();
diff --git a/finlib-ffi/cbindgen.toml b/finlib-ffi/cbindgen.toml
index cd8eb52..dc8e222 100644
--- a/finlib-ffi/cbindgen.toml
+++ b/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"]
diff --git a/finlib-ffi/src/lib.rs b/finlib-ffi/src/lib.rs
index ddf2a73..a52cbcf 100644
--- a/finlib-ffi/src/lib.rs
+++ b/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)
+}
diff --git a/finlib/src/options/blackscholes/mod.rs b/finlib/src/options/blackscholes/mod.rs
index 7235352..b162007 100644
--- a/finlib/src/options/blackscholes/mod.rs
+++ b/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 {