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adding comments bit of parralel

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This commit is contained in:
Andy Pack 2025-02-16 22:15:10 +00:00
parent 80ebde1e0b
commit f344cd9d65
Signed by: sarsoo
GPG Key ID: A55BA3536A5E0ED7
8 changed files with 96 additions and 23 deletions
.github/workflows
build.yml
finlib/src
ffi
mod.rs
interest
mod.rs
lib.rs
risk
mod.rsportfolio.rs
var
mod.rs
stats
mod.rs

3
.github/workflows/build.yml vendored

@ -105,7 +105,7 @@ jobs:
toolchain: stable
- name: Build Docs
run: cargo doc --no-deps --document-private-items
run: cargo doc --no-deps --document-private-items -F py,wasm,ffi
- name: Add redirect
run: echo '<meta http-equiv="refresh" content="0;url=finlib/index.html">' > target/doc/index.html
@ -160,6 +160,7 @@ jobs:
uses: actions/setup-node@v2
with:
node-version: 22
registry-url: 'https://registry.npmjs.org' # This is just the default registry URL
- name: Publish
working-directory: ./finlib-wasm/pkg

2
finlib/src/ffi/mod.rs

@ -1,3 +1,5 @@
//! FFI specific functionality to define the struct function interfaces in Python and WASM
#[cfg(feature = "py")]
pub mod py;
#[cfg(feature = "wasm")]

1
finlib/src/interest/mod.rs

@ -1,3 +1,4 @@
//! Compound interest etc
pub fn compound_32(principal: f32, rate: f32, time: f32, n: f32) -> f32 {
principal * f32::powf( 1f32 + (rate / n), time * n)

30
finlib/src/lib.rs

@ -1,5 +1,33 @@
//! # Quant finance functionality for Rust with FFIs to C/C++, C#, Python and WASM
pub mod interest;
pub mod stats;
pub mod util;
pub mod risk;
pub mod ffi;
pub mod ffi;
#[cfg(feature = "parallel")]
use rayon::prelude::*;
#[macro_export]
macro_rules! gated_iter {
($x:expr) => {
{
$x.iter()
}
};
}
#[macro_export]
macro_rules! gated_iter_mut {
($x:expr) => {
{
if cfg!(feature = "parallel") {
$x.par_iter_mut()
}
else {
$x.iter_mut()
}
}
};
}

2
finlib/src/risk/mod.rs

@ -1,3 +1,5 @@
//! Calculating risk for a given asset or portfolio using Value at Risk, [`var`]
pub mod var;
pub mod portfolio;
pub mod forecast;

73
finlib/src/risk/portfolio.rs

@ -5,12 +5,15 @@ use ndarray_stats::CorrelationExt;
use wasm_bindgen::prelude::*;
#[cfg(feature = "py")]
use pyo3::prelude::*;
#[cfg(feature = "parallel")]
use rayon::prelude::*;
use statrs::distribution::{ContinuousCDF, Normal};
use crate::risk::forecast::{mean_investment, std_dev_investment};
use crate::risk::var::varcovar::{investment_value_at_risk};
use crate::stats;
use crate::{stats};
use crate::util::roc::rates_of_change;
/// Describes a Portfolio as a collection of [`PortfolioAsset`]s
#[cfg_attr(feature = "wasm", wasm_bindgen)]
#[cfg_attr(feature = "py", pyclass)]
#[cfg_attr(feature = "ffi", repr(C))]
@ -28,6 +31,7 @@ pub enum ValueType {
RateOfChange
}
/// Describes a single instrument as a list of previous values with an associated portfolio proportion
#[cfg_attr(feature = "wasm", wasm_bindgen)]
#[cfg_attr(feature = "py", pyclass)]
#[cfg_attr(feature = "ffi", repr(C))]
@ -46,6 +50,7 @@ impl PortfolioAsset {
}
}
/// If the asset's values have been given as absolute values, convert those to a percentage change between each
pub fn apply_rates_of_change(&mut self) {
match self.value_type {
ValueType::Absolute => {
@ -56,6 +61,9 @@ impl PortfolioAsset {
}
}
/// Get the mean and standard deviation of the rates of change of an asset
///
/// returns (mean, std_dev)
pub fn get_mean_and_std(&self) -> Option<(f64, f64)> {
match self.value_type {
ValueType::Absolute => {
@ -77,18 +85,32 @@ impl Portfolio {
}
}
/// Return the proportions of a portfolio's assets
///
/// In a properly formed Portfolio these will add up to 1.0
pub fn get_asset_weight(&self) -> impl Iterator<Item=f64> + use<'_> {
self.assets
.iter()
.map(|x| x.portfolio_weight)
}
/// Convert a portfolio of assets with absolute values to the percentage change in values
pub fn apply_rates_of_change(&mut self) {
for asset in self.assets.iter_mut() {
asset.apply_rates_of_change();
#[cfg(feature = "parallel")]
{
self.assets.par_iter_mut().for_each(|asset| {
asset.apply_rates_of_change();
});
}
#[cfg(not(feature = "parallel"))]
{
self.assets.iter_mut().for_each(|asset| {
asset.apply_rates_of_change();
});
}
}
/// Do all the assets in the portfolio have the same number of values (required to perform matrix operations)
pub fn valid_sizes(&self) -> bool {
let mut last_value_length: Option<usize> = None;
@ -109,6 +131,7 @@ impl Portfolio {
true
}
/// Do the proportions of the assets in the portfolio add up to 100%?
pub fn valid_weights(&self) -> bool {
let mut weight = 1f64;
@ -123,6 +146,7 @@ impl Portfolio {
self.valid_sizes() && self.valid_weights()
}
/// Format the asset values in the portfolio as a matrix such that statistical operations can be applied to it
pub fn get_matrix(&self) -> Option<Array2<f64>> {
if self.assets.is_empty() || !self.valid_sizes() {
return None;
@ -131,17 +155,34 @@ impl Portfolio {
let column_count = self.assets.len();
let row_count = self.assets[0].values.len();
let matrix = Array2::from_shape_vec((column_count, row_count),
self.assets
.iter()
.map(|a| a.values.clone())
.flatten()
.collect::<Vec<f64>>()
).unwrap();
#[cfg(feature = "parallel")]
{
let matrix = Array2::from_shape_vec((column_count, row_count),
self.assets
.par_iter()
.map(|a| a.values.clone())
.flatten()
.collect::<Vec<f64>>()
).unwrap();
Some(matrix.into_owned())
}
#[cfg(not(feature = "parallel"))]
{
let matrix = Array2::from_shape_vec((column_count, row_count),
self.assets
.iter()
.map(|a| a.values.clone())
.flatten()
.collect::<Vec<f64>>()
).unwrap();
Some(matrix.into_owned())
}
Some(matrix.into_owned())
}
/// Calculate the mean and the standard deviation of a portfolio, taking into account the relative weights and covariance of the portfolio's assets
///
/// returns (mean, std_dev)
pub fn get_mean_and_std(&mut self) -> Option<(f64, f64)> {
if !self.valid_sizes() {
error!("Can't get portfolio mean and std dev because asset value counts arent't the same");
@ -178,8 +219,9 @@ impl Portfolio {
Some((porfolio_mean_return, portfolio_stddev))
}
// https://www.interviewqs.com/blog/value-at-risk
/// For a given confidence rate (0.01, 0.05, 0.10) and initial investment value, calculate the parametric value at risk
///
/// https://www.interviewqs.com/blog/value-at-risk
pub fn value_at_risk(&mut self, confidence: f64, initial_investment: f64) -> Option<f64> {
match self.get_mean_and_std() {
None => None,
@ -198,8 +240,9 @@ impl Portfolio {
}
}
// https://www.interviewqs.com/blog/value-at-risk
/// For a given confidence rate (0.01, 0.05, 0.10) calculate the percentage change in an investment
///
/// https://www.interviewqs.com/blog/value-at-risk
pub fn value_at_risk_percent(&mut self, confidence: f64) -> Option<f64> {
match self.get_mean_and_std() {
None => None,

2
finlib/src/risk/var/mod.rs

@ -1,2 +1,4 @@
//! Calculate Value at Risk using either the [`historical`] or parametric [`varcovar`] methods for an asset or portfolio
pub mod historical;
pub mod varcovar;

6
finlib/src/stats/mod.rs

@ -1,13 +1,9 @@
mod covariance;
pub use covariance::*;
#[cfg(feature = "parallel")]
use rayon::prelude::*;
pub fn mean(slice: &[f64]) -> f64
{
slice
// .par_iter()
.iter()
.sum::<f64>() / slice.len() as f64
}
@ -16,7 +12,6 @@ pub fn population_variance(slice: &[f64]) -> f64
{
let mean = mean(slice);
slice
// .par_iter()
.iter()
.map(|x| f64::powi(x - mean, 2))
.sum::<f64>()
@ -27,7 +22,6 @@ pub fn sample_variance(slice: &[f64]) -> f64
{
let mean = mean(slice);
slice
// .par_iter()
.iter()
.map(|x| f64::powi(x - mean, 2))
.sum::<f64>()