From f344cd9d65dc63f6d896879d6c99d626393a3255 Mon Sep 17 00:00:00 2001
From: Andy Pack <andy@sarsoo.xyz>
Date: Sun, 16 Feb 2025 22:15:10 +0000
Subject: [PATCH] adding comments bit of parralel
---
.github/workflows/build.yml | 3 +-
finlib/src/ffi/mod.rs | 2 +
finlib/src/interest/mod.rs | 1 +
finlib/src/lib.rs | 30 ++++++++++++++-
finlib/src/risk/mod.rs | 2 +
finlib/src/risk/portfolio.rs | 73 ++++++++++++++++++++++++++++--------
finlib/src/risk/var/mod.rs | 2 +
finlib/src/stats/mod.rs | 6 ---
8 files changed, 96 insertions(+), 23 deletions(-)
diff --git a/.github/workflows/build.yml b/.github/workflows/build.yml
index d967f42..da953ff 100644
--- a/.github/workflows/build.yml
+++ b/.github/workflows/build.yml
@@ -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
diff --git a/finlib/src/ffi/mod.rs b/finlib/src/ffi/mod.rs
index a4a5a25..b988d0c 100644
--- a/finlib/src/ffi/mod.rs
+++ b/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")]
diff --git a/finlib/src/interest/mod.rs b/finlib/src/interest/mod.rs
index 56151fc..c42e2e6 100644
--- a/finlib/src/interest/mod.rs
+++ b/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)
diff --git a/finlib/src/lib.rs b/finlib/src/lib.rs
index ec12a32..7dc8d0d 100644
--- a/finlib/src/lib.rs
+++ b/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;
\ No newline at end of file
+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()
+ }
+ }
+ };
+}
\ No newline at end of file
diff --git a/finlib/src/risk/mod.rs b/finlib/src/risk/mod.rs
index 1411c4b..9b7b8fc 100644
--- a/finlib/src/risk/mod.rs
+++ b/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;
diff --git a/finlib/src/risk/portfolio.rs b/finlib/src/risk/portfolio.rs
index cd79a01..5bb44f6 100644
--- a/finlib/src/risk/portfolio.rs
+++ b/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,
diff --git a/finlib/src/risk/var/mod.rs b/finlib/src/risk/var/mod.rs
index 36a75d8..8863494 100644
--- a/finlib/src/risk/var/mod.rs
+++ b/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;
diff --git a/finlib/src/stats/mod.rs b/finlib/src/stats/mod.rs
index c2bb3ac..b19353a 100644
--- a/finlib/src/stats/mod.rs
+++ b/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>()