VelesQuant 0.1.0__tar.gz
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- velesquant-0.1.0/.github/workflows/build_wheels.yml +245 -0
- velesquant-0.1.0/.gitignore +78 -0
- velesquant-0.1.0/CMakeLists.txt +154 -0
- velesquant-0.1.0/CODE_OF_CONDUCT.md +128 -0
- velesquant-0.1.0/LICENSE +21 -0
- velesquant-0.1.0/PKG-INFO +157 -0
- velesquant-0.1.0/README.md +120 -0
- velesquant-0.1.0/benchmarks/bench_calibration.py +139 -0
- velesquant-0.1.0/bindings/bind_common.h +29 -0
- velesquant-0.1.0/bindings/bind_enums.cpp +97 -0
- velesquant-0.1.0/bindings/bind_exceptions.cpp +60 -0
- velesquant-0.1.0/bindings/bind_utility.cpp +32 -0
- velesquant-0.1.0/bindings/models/bind_basket.cpp +22 -0
- velesquant-0.1.0/bindings/models/bind_cms.cpp +112 -0
- velesquant-0.1.0/bindings/models/bind_heston.cpp +80 -0
- velesquant-0.1.0/bindings/models/bind_hull_white.cpp +47 -0
- velesquant-0.1.0/bindings/models/bind_hybrid.cpp +70 -0
- velesquant-0.1.0/bindings/models/bind_local_vol.cpp +39 -0
- velesquant-0.1.0/bindings/models/bind_sabr.cpp +75 -0
- velesquant-0.1.0/bindings/models/bind_swaption.cpp +24 -0
- velesquant-0.1.0/bindings/models/bind_trees.cpp +36 -0
- velesquant-0.1.0/bindings/module.cpp +60 -0
- velesquant-0.1.0/bindings/pde_solvers/bind_pde_solvers.cpp +196 -0
- velesquant-0.1.0/cmake/FindQuantLib.cmake +35 -0
- velesquant-0.1.0/docs/README.md +113 -0
- velesquant-0.1.0/docs/model_documentation_template.md +222 -0
- velesquant-0.1.0/docs/models/README.md +22 -0
- velesquant-0.1.0/docs/models/basket.md +146 -0
- velesquant-0.1.0/docs/models/cms.md +148 -0
- velesquant-0.1.0/docs/models/cms_spread.md +134 -0
- velesquant-0.1.0/docs/models/heston.md +294 -0
- velesquant-0.1.0/docs/models/hullwhite.md +279 -0
- velesquant-0.1.0/docs/models/hybrid_hw.md +125 -0
- velesquant-0.1.0/docs/models/localvol.md +136 -0
- velesquant-0.1.0/docs/models/quantoed.md +97 -0
- velesquant-0.1.0/docs/models/sabr.md +288 -0
- velesquant-0.1.0/docs/models/short_rate.md +244 -0
- velesquant-0.1.0/docs/models/swaption_sabr.md +134 -0
- velesquant-0.1.0/docs/python_api.md +222 -0
- velesquant-0.1.0/docs/research_interface_design.md +116 -0
- velesquant-0.1.0/docs/supported_instruments.md +52 -0
- velesquant-0.1.0/examples/equity_fx.py +133 -0
- velesquant-0.1.0/examples/interest_rates.py +154 -0
- velesquant-0.1.0/examples/pde_benchmark.py +64 -0
- velesquant-0.1.0/examples/portfolio_pricing.py +153 -0
- velesquant-0.1.0/include/velesquant/constants.h +51 -0
- velesquant-0.1.0/include/velesquant/engines/hullwhite_analytic_engine.h +140 -0
- velesquant-0.1.0/include/velesquant/engines/swaption_engine.h +77 -0
- velesquant-0.1.0/include/velesquant/errors.h +31 -0
- velesquant-0.1.0/include/velesquant/instruments/instrument.h +19 -0
- velesquant-0.1.0/include/velesquant/instruments/swaption.h +41 -0
- velesquant-0.1.0/include/velesquant/models/black_formula.h +47 -0
- velesquant-0.1.0/include/velesquant/models/black_scholes.h +29 -0
- velesquant-0.1.0/include/velesquant/models/cms.h +71 -0
- velesquant-0.1.0/include/velesquant/models/cms_spread.h +60 -0
- velesquant-0.1.0/include/velesquant/models/concepts.h +41 -0
- velesquant-0.1.0/include/velesquant/models/hullwhite_calibrator.h +51 -0
- velesquant-0.1.0/include/velesquant/models/hullwhite_model.h +79 -0
- velesquant-0.1.0/include/velesquant/models/log_basket.h +46 -0
- velesquant-0.1.0/include/velesquant/models/model_utils.h +110 -0
- velesquant-0.1.0/include/velesquant/models/quantoed_cms.h +41 -0
- velesquant-0.1.0/include/velesquant/models/quantoed_cms_spread.h +39 -0
- velesquant-0.1.0/include/velesquant/models/short_rate_1f_model.h +77 -0
- velesquant-0.1.0/include/velesquant/models/short_rate_2f_model.h +72 -0
- velesquant-0.1.0/include/velesquant/models/solver.h +41 -0
- velesquant-0.1.0/include/velesquant/models/swaption.h +53 -0
- velesquant-0.1.0/include/velesquant/models/utility.h +75 -0
- velesquant-0.1.0/include/velesquant/numerics/interpolation.h +17 -0
- velesquant-0.1.0/include/velesquant/numerics/tri_diag_matrix.h +19 -0
- velesquant-0.1.0/include/velesquant/pde_solvers/cyclic_reduction.h +133 -0
- velesquant-0.1.0/include/velesquant/pde_solvers/hw_pde.h +755 -0
- velesquant-0.1.0/include/velesquant/pde_solvers/interpolators.h +17 -0
- velesquant-0.1.0/include/velesquant/pde_solvers/pde_utility.h +47 -0
- velesquant-0.1.0/include/velesquant/pde_solvers/sabr_pde.h +344 -0
- velesquant-0.1.0/include/velesquant/pde_solvers/short_rate_1f_pde.h +823 -0
- velesquant-0.1.0/include/velesquant/pde_solvers/short_rate_2f_pde.h +1331 -0
- velesquant-0.1.0/include/velesquant/types.h +111 -0
- velesquant-0.1.0/include/velesquant/volatility/c_tree.h +67 -0
- velesquant-0.1.0/include/velesquant/volatility/heston_pde.h +37 -0
- velesquant-0.1.0/include/velesquant/volatility/hhw.h +48 -0
- velesquant-0.1.0/include/velesquant/volatility/hhw_pde.h +117 -0
- velesquant-0.1.0/include/velesquant/volatility/l_vol.h +76 -0
- velesquant-0.1.0/include/velesquant/volatility/lm.h +34 -0
- velesquant-0.1.0/include/velesquant/volatility/s_vol.h +110 -0
- velesquant-0.1.0/include/velesquant/volatility/sabr.h +146 -0
- velesquant-0.1.0/include/velesquant/volatility/schobzhu.h +77 -0
- velesquant-0.1.0/include/velesquant/volatility/skew_mc.h +43 -0
- velesquant-0.1.0/include/velesquant/volatility/svolt.h +160 -0
- velesquant-0.1.0/include/velesquant/volatility/termstructure.h +272 -0
- velesquant-0.1.0/inspect_localvol.py +3 -0
- velesquant-0.1.0/pyproject.toml +95 -0
- velesquant-0.1.0/scripts/ci_install_boost.sh +101 -0
- velesquant-0.1.0/scripts/ci_install_quantlib.sh +47 -0
- velesquant-0.1.0/scripts/clean_all.sh +40 -0
- velesquant-0.1.0/scripts/configure_dev.sh +21 -0
- velesquant-0.1.0/scripts/run_checks.sh +8 -0
- velesquant-0.1.0/src/engines/hullwhite_analytic_engine.cpp +6 -0
- velesquant-0.1.0/src/engines/swaption_engine.cpp +8 -0
- velesquant-0.1.0/src/models/black_scholes.cpp +28 -0
- velesquant-0.1.0/src/models/cms.cpp +165 -0
- velesquant-0.1.0/src/models/cms_spread.cpp +148 -0
- velesquant-0.1.0/src/models/hullwhite_calibrator.cpp +254 -0
- velesquant-0.1.0/src/models/hullwhite_model.cpp +141 -0
- velesquant-0.1.0/src/models/log_basket.cpp +193 -0
- velesquant-0.1.0/src/models/quantoed_cms.cpp +68 -0
- velesquant-0.1.0/src/models/quantoed_cms_spread.cpp +49 -0
- velesquant-0.1.0/src/models/swaption.cpp +100 -0
- velesquant-0.1.0/src/models/utility.cpp +249 -0
- velesquant-0.1.0/src/numerics/interpolation.cpp +45 -0
- velesquant-0.1.0/src/numerics/tri_diag_matrix.cpp +31 -0
- velesquant-0.1.0/src/velesquant/__init__.py +97 -0
- velesquant-0.1.0/src/velesquant/_core.pyi +1300 -0
- velesquant-0.1.0/src/velesquant/instruments/__init__.py +0 -0
- velesquant-0.1.0/src/velesquant/instruments/base.py +12 -0
- velesquant-0.1.0/src/velesquant/instruments/bonds.py +32 -0
- velesquant-0.1.0/src/velesquant/instruments/portfolio.py +33 -0
- velesquant-0.1.0/src/velesquant/instruments/rates.py +16 -0
- velesquant-0.1.0/src/velesquant/market/__init__.py +0 -0
- velesquant-0.1.0/src/velesquant/market/base.py +27 -0
- velesquant-0.1.0/src/velesquant/market/container.py +78 -0
- velesquant-0.1.0/src/velesquant/market/curves.py +41 -0
- velesquant-0.1.0/src/velesquant/market/enums.py +17 -0
- velesquant-0.1.0/src/velesquant/models/__init__.py +19 -0
- velesquant-0.1.0/src/velesquant/models/base.py +282 -0
- velesquant-0.1.0/src/velesquant/models/basket.py +76 -0
- velesquant-0.1.0/src/velesquant/models/cms.py +115 -0
- velesquant-0.1.0/src/velesquant/models/cms_spread.py +138 -0
- velesquant-0.1.0/src/velesquant/models/enums.py +42 -0
- velesquant-0.1.0/src/velesquant/models/heston.py +85 -0
- velesquant-0.1.0/src/velesquant/models/hullwhite.py +294 -0
- velesquant-0.1.0/src/velesquant/models/hybrid_hw.py +72 -0
- velesquant-0.1.0/src/velesquant/models/localvol.py +188 -0
- velesquant-0.1.0/src/velesquant/models/monte_carlo.py +52 -0
- velesquant-0.1.0/src/velesquant/models/pde_solvers.py +460 -0
- velesquant-0.1.0/src/velesquant/models/quantoed_cms.py +111 -0
- velesquant-0.1.0/src/velesquant/models/quantoed_cms_spread.py +146 -0
- velesquant-0.1.0/src/velesquant/models/sabr.py +101 -0
- velesquant-0.1.0/src/velesquant/models/schobel_zhu.py +147 -0
- velesquant-0.1.0/src/velesquant/models/simulation.py +92 -0
- velesquant-0.1.0/src/velesquant/models/swaption_sabr.py +111 -0
- velesquant-0.1.0/src/velesquant/models/trees.py +106 -0
- velesquant-0.1.0/src/velesquant/py.typed +0 -0
- velesquant-0.1.0/src/volatility/c_tree.cpp +190 -0
- velesquant-0.1.0/src/volatility/hhw.cpp +79 -0
- velesquant-0.1.0/src/volatility/hhw_pde.cpp +489 -0
- velesquant-0.1.0/src/volatility/l_vol.cpp +757 -0
- velesquant-0.1.0/src/volatility/lm.cpp +1088 -0
- velesquant-0.1.0/src/volatility/s_vol.cpp +909 -0
- velesquant-0.1.0/src/volatility/sabr.cpp +624 -0
- velesquant-0.1.0/src/volatility/schobzhu.cpp +180 -0
- velesquant-0.1.0/src/volatility/skew_mc.cpp +174 -0
- velesquant-0.1.0/src/volatility/svolt.cpp +613 -0
- velesquant-0.1.0/src/volatility/termstructure.cpp +75 -0
- velesquant-0.1.0/tests/core/test_general.py +38 -0
- velesquant-0.1.0/tests/market/test_container.py +39 -0
- velesquant-0.1.0/tests/market/test_curves.py +31 -0
- velesquant-0.1.0/tests/market/test_serialization.py +28 -0
- velesquant-0.1.0/tests/models/test_base_sensitivities.py +24 -0
- velesquant-0.1.0/tests/models/test_cms.py +54 -0
- velesquant-0.1.0/tests/models/test_cms_spread.py +162 -0
- velesquant-0.1.0/tests/models/test_expansion.py +51 -0
- velesquant-0.1.0/tests/models/test_heston.py +79 -0
- velesquant-0.1.0/tests/models/test_heston_hw.py +13 -0
- velesquant-0.1.0/tests/models/test_hull_white.py +101 -0
- velesquant-0.1.0/tests/models/test_hullwhite_market.py +42 -0
- velesquant-0.1.0/tests/models/test_hullwhite_serialization.py +22 -0
- velesquant-0.1.0/tests/models/test_l_basket.py +53 -0
- velesquant-0.1.0/tests/models/test_local_vol.py +105 -0
- velesquant-0.1.0/tests/models/test_pde_solvers.py +109 -0
- velesquant-0.1.0/tests/models/test_quantoed_cms.py +89 -0
- velesquant-0.1.0/tests/models/test_quantoed_cms_spread.py +105 -0
- velesquant-0.1.0/tests/models/test_sabr.py +87 -0
- velesquant-0.1.0/tests/models/test_schobzhu.py +115 -0
- velesquant-0.1.0/tests/models/test_simulation.py +72 -0
- velesquant-0.1.0/tests/models/test_skew_mc.py +46 -0
- velesquant-0.1.0/tests/models/test_swaption.py +61 -0
- velesquant-0.1.0/tests/models/test_tree.py +91 -0
- velesquant-0.1.0/tests/pde/test_fi_pde.py +87 -0
- velesquant-0.1.0/tests/pde/test_hwpde_advanced.py +169 -0
- velesquant-0.1.0/tests/pde/test_pde_grid_params.py +137 -0
- velesquant-0.1.0/tests/pde/test_sabr_pde.py +83 -0
- velesquant-0.1.0/tests/pde/test_short_rate_1f.py +67 -0
- velesquant-0.1.0/tests/pde/test_short_rate_2f.py +86 -0
- velesquant-0.1.0/tests/termstructure/test_termstructure.py +47 -0
- velesquant-0.1.0/tests/test_interface_bond.py +44 -0
- velesquant-0.1.0/tests/test_interface_heston.py +58 -0
- velesquant-0.1.0/tests/test_interface_portfolio.py +42 -0
- velesquant-0.1.0/tests/test_interface_prototype.py +32 -0
- velesquant-0.1.0/tests/test_interface_sabr.py +40 -0
- velesquant-0.1.0/tests/test_interface_vectorization.py +55 -0
- velesquant-0.1.0/tests/test_model_pricing_validation.py +162 -0
- velesquant-0.1.0/tests_cpp/CMakeLists.txt +16 -0
- velesquant-0.1.0/tests_cpp/test_hw.cpp +151 -0
- velesquant-0.1.0/tests_cpp/test_pde.cpp +88 -0
- velesquant-0.1.0/tests_cpp/test_sabr.cpp +101 -0
- velesquant-0.1.0/tests_cpp/test_tree.cpp +98 -0
- velesquant-0.1.0/tests_cpp/test_utilities.cpp +77 -0
- velesquant-0.1.0/uv.lock +599 -0
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# Runs only on release or manual workflow_dispatch.
|
|
92
|
+
# Builds cp310/cp311/cp312 × linux + macOS-arm64 + macOS-intel.
|
|
93
|
+
build_wheels:
|
|
94
|
+
name: Build wheels on ${{ matrix.os }}
|
|
95
|
+
runs-on: ${{ matrix.os }}
|
|
96
|
+
if: github.event_name == 'release' || github.event_name == 'workflow_dispatch'
|
|
97
|
+
strategy:
|
|
98
|
+
fail-fast: false
|
|
99
|
+
matrix:
|
|
100
|
+
os: [ubuntu-latest, macos-14, macos-15-intel]
|
|
101
|
+
|
|
102
|
+
steps:
|
|
103
|
+
- uses: actions/checkout@v4
|
|
104
|
+
|
|
105
|
+
- name: Cache Boost
|
|
106
|
+
id: cache-boost
|
|
107
|
+
uses: actions/cache@v4
|
|
108
|
+
with:
|
|
109
|
+
path: ci_cache/boost
|
|
110
|
+
key: boost-1.83.0-manylinux2014-v4-${{ hashFiles('scripts/ci_install_boost.sh') }}
|
|
111
|
+
|
|
112
|
+
- name: Cache QuantLib
|
|
113
|
+
id: cache-quantlib
|
|
114
|
+
uses: actions/cache@v4
|
|
115
|
+
with:
|
|
116
|
+
path: ci_cache/quantlib
|
|
117
|
+
key: quantlib-v1.41-manylinux2014-v5-${{ hashFiles('scripts/ci_install_quantlib.sh') }}
|
|
118
|
+
|
|
119
|
+
- name: Cache ccache
|
|
120
|
+
uses: actions/cache@v4
|
|
121
|
+
with:
|
|
122
|
+
path: ci_cache/ccache
|
|
123
|
+
# Key on C++ sources + CMake, NOT the workflow file.
|
|
124
|
+
# This prevents workflow edits (e.g. skip flags) from busting the compiler cache.
|
|
125
|
+
key: ccache-${{ runner.os }}-v4-${{ hashFiles('src/**/*.cpp', 'src/**/*.hpp', 'src/**/*.h', 'CMakeLists.txt', 'cmake/**') }}
|
|
126
|
+
restore-keys: |
|
|
127
|
+
ccache-${{ runner.os }}-v4-
|
|
128
|
+
|
|
129
|
+
- name: Cache Homebrew packages (macOS)
|
|
130
|
+
if: runner.os == 'macOS'
|
|
131
|
+
uses: actions/cache@v4
|
|
132
|
+
with:
|
|
133
|
+
# Cache downloaded bottles; keyed on the install script so a dep upgrade busts it.
|
|
134
|
+
path: ~/Library/Caches/Homebrew
|
|
135
|
+
key: homebrew-${{ runner.os }}-${{ hashFiles('scripts/ci_install_*.sh', '.github/workflows/build_wheels.yml') }}
|
|
136
|
+
restore-keys: |
|
|
137
|
+
homebrew-${{ runner.os }}-
|
|
138
|
+
|
|
139
|
+
- name: Install dependencies (macOS)
|
|
140
|
+
if: runner.os == 'macOS'
|
|
141
|
+
run: |
|
|
142
|
+
# Install everything in one brew call to minimise resolver overhead.
|
|
143
|
+
# libomp is split-keg-only so we export its paths explicitly below.
|
|
144
|
+
brew install boost quantlib eigen ccache libomp
|
|
145
|
+
LIBOMP_DIR=$(brew --prefix libomp)
|
|
146
|
+
echo "LIBOMP_DIR=$LIBOMP_DIR" >> $GITHUB_ENV
|
|
147
|
+
# Make compiler and CMake find the headers and libs
|
|
148
|
+
echo "CPPFLAGS=-I$LIBOMP_DIR/include" >> $GITHUB_ENV
|
|
149
|
+
echo "CFLAGS=-I$LIBOMP_DIR/include" >> $GITHUB_ENV
|
|
150
|
+
echo "CXXFLAGS=-I$LIBOMP_DIR/include" >> $GITHUB_ENV
|
|
151
|
+
echo "LDFLAGS=-L$LIBOMP_DIR/lib" >> $GITHUB_ENV
|
|
152
|
+
# Provide CMake args so FindOpenMP can pick up the flags on macOS
|
|
153
|
+
echo "CMAKE_ARGS=-DOpenMP_C_FLAGS='-Xpreprocessor -fopenmp -I$LIBOMP_DIR/include' -DOpenMP_CXX_FLAGS='-Xpreprocessor -fopenmp -I$LIBOMP_DIR/include' -DOpenMP_C_LIB_NAMES='omp' -DOpenMP_CXX_LIB_NAMES='omp'" >> $GITHUB_ENV
|
|
154
|
+
|
|
155
|
+
- name: Create Cache Directory (Ensure exists)
|
|
156
|
+
run: |
|
|
157
|
+
mkdir -p ci_cache/quantlib
|
|
158
|
+
mkdir -p ci_cache/boost
|
|
159
|
+
|
|
160
|
+
- name: Build wheels
|
|
161
|
+
uses: pypa/cibuildwheel@v2.16.5
|
|
162
|
+
env:
|
|
163
|
+
CCACHE_DIR: "${{ github.workspace }}/ci_cache/ccache"
|
|
164
|
+
CIBW_ENVIRONMENT_LINUX: "SKBUILD_STRIP=false"
|
|
165
|
+
CIBW_CONTAINER_OPTIONS: "-v ${{ github.workspace }}/ci_cache/quantlib:/host/quantlib-cache -v ${{ github.workspace }}/ci_cache/boost:/host/boost-cache -v ${{ github.workspace }}/ci_cache/ccache:/host/ccache -e CCACHE_DIR=/host/ccache"
|
|
166
|
+
CIBW_BUILD: cp310-* cp311-* cp312-*
|
|
167
|
+
# Skip PyPy and musllinux (Alpine-based) builds.
|
|
168
|
+
# musllinux containers don't have yum; our CIBW_BEFORE_ALL_LINUX uses yum.
|
|
169
|
+
# Only manylinux_2_28 (glibc) wheels are targeted by this config.
|
|
170
|
+
CIBW_SKIP: "pp* *-musllinux_*"
|
|
171
|
+
CIBW_ARCHS_LINUX: "x86_64"
|
|
172
|
+
CIBW_ARCHS_MACOS: "auto"
|
|
173
|
+
# Use manylinux_2_28 for C++20 support (modern GCC)
|
|
174
|
+
CIBW_MANYLINUX_X86_64_IMAGE: manylinux_2_28
|
|
175
|
+
CIBW_BEFORE_ALL_LINUX: >
|
|
176
|
+
yum install -y epel-release &&
|
|
177
|
+
yum install -y ccache &&
|
|
178
|
+
yum install -y wget tar gzip gcc-c++ make &&
|
|
179
|
+
if [ -f "{project}/scripts/ci_install_boost.sh" ]; then
|
|
180
|
+
echo "Running Boost install script..." &&
|
|
181
|
+
sh "{project}/scripts/ci_install_boost.sh"
|
|
182
|
+
else
|
|
183
|
+
echo "Boost install script not found at {project}/scripts/ci_install_boost.sh" && exit 1
|
|
184
|
+
fi &&
|
|
185
|
+
yum install -y eigen3-devel &&
|
|
186
|
+
if [ -f "{project}/scripts/ci_install_quantlib.sh" ]; then
|
|
187
|
+
echo "Running QuantLib install script..." &&
|
|
188
|
+
sh "{project}/scripts/ci_install_quantlib.sh"
|
|
189
|
+
else
|
|
190
|
+
echo "QuantLib install script not found at {project}/scripts/ci_install_quantlib.sh" && exit 1
|
|
191
|
+
fi
|
|
192
|
+
CIBW_TEST_COMMAND: >
|
|
193
|
+
export SITE_PKG=$(pip show velesquant | grep Location | awk '{print $2}')/velesquant &&
|
|
194
|
+
echo "Install loc: '${SITE_PKG}'" &&
|
|
195
|
+
ls -R ${SITE_PKG} &&
|
|
196
|
+
echo "Searching for _core.so..." &&
|
|
197
|
+
SO_FILE=$(find ${SITE_PKG} -name "_core*.so" | head -n 1) &&
|
|
198
|
+
echo "Found SO: $SO_FILE" &&
|
|
199
|
+
nm -D $SO_FILE || true &&
|
|
200
|
+
objdump -T $SO_FILE || true &&
|
|
201
|
+
pytest {project}/tests
|
|
202
|
+
CIBW_TEST_REQUIRES: "pytest numpy"
|
|
203
|
+
CMAKE_ARGS: >
|
|
204
|
+
${{ env.CMAKE_ARGS }}
|
|
205
|
+
-DBUILD_TESTING=OFF
|
|
206
|
+
-DBUILD_EXAMPLES=OFF
|
|
207
|
+
-DCMAKE_CXX_COMPILER_LAUNCHER=ccache
|
|
208
|
+
-DCMAKE_PREFIX_PATH="/usr/local"
|
|
209
|
+
|
|
210
|
+
- uses: actions/upload-artifact@v4
|
|
211
|
+
with:
|
|
212
|
+
name: cibw-wheels-${{ matrix.os }}-${{ strategy.job-index }}
|
|
213
|
+
path: ./wheelhouse/*.whl
|
|
214
|
+
|
|
215
|
+
make_sdist:
|
|
216
|
+
name: Make SDist
|
|
217
|
+
runs-on: ubuntu-latest
|
|
218
|
+
steps:
|
|
219
|
+
- uses: actions/checkout@v4
|
|
220
|
+
|
|
221
|
+
- name: Build SDist
|
|
222
|
+
run: pipx run build --sdist
|
|
223
|
+
|
|
224
|
+
- uses: actions/upload-artifact@v4
|
|
225
|
+
with:
|
|
226
|
+
name: cibw-sdist
|
|
227
|
+
path: dist/*.tar.gz
|
|
228
|
+
|
|
229
|
+
publish_to_pypi:
|
|
230
|
+
needs: [build_wheels, make_sdist]
|
|
231
|
+
runs-on: ubuntu-latest
|
|
232
|
+
environment:
|
|
233
|
+
name: pypi
|
|
234
|
+
url: https://pypi.org/p/VelesQuant
|
|
235
|
+
permissions:
|
|
236
|
+
id-token: write
|
|
237
|
+
if: github.event_name == 'release' && github.event.action == 'published'
|
|
238
|
+
steps:
|
|
239
|
+
- uses: actions/download-artifact@v4
|
|
240
|
+
with:
|
|
241
|
+
pattern: cibw-*
|
|
242
|
+
path: dist
|
|
243
|
+
merge-multiple: true
|
|
244
|
+
|
|
245
|
+
- uses: pypa/gh-action-pypi-publish@release/v1
|
|
@@ -0,0 +1,78 @@
|
|
|
1
|
+
# Python
|
|
2
|
+
__pycache__/
|
|
3
|
+
*.py[cod]
|
|
4
|
+
*$py.class
|
|
5
|
+
*.so
|
|
6
|
+
.Python
|
|
7
|
+
build/
|
|
8
|
+
develop-eggs/
|
|
9
|
+
dist/
|
|
10
|
+
downloads/
|
|
11
|
+
eggs/
|
|
12
|
+
.eggs/
|
|
13
|
+
lib/
|
|
14
|
+
lib64/
|
|
15
|
+
parts/
|
|
16
|
+
sdist/
|
|
17
|
+
var/
|
|
18
|
+
wheels/
|
|
19
|
+
share/python-wheels/
|
|
20
|
+
*.egg-info/
|
|
21
|
+
.installed.cfg
|
|
22
|
+
*.egg
|
|
23
|
+
MANIFEST
|
|
24
|
+
.mypy_cache
|
|
25
|
+
.ruff_cache
|
|
26
|
+
# Poetry
|
|
27
|
+
.venv/
|
|
28
|
+
|
|
29
|
+
# CMake
|
|
30
|
+
cmake-build-*/
|
|
31
|
+
CMakeFiles/
|
|
32
|
+
CMakeCache.txt
|
|
33
|
+
cmake_install.cmake
|
|
34
|
+
CTestTestfile.cmake
|
|
35
|
+
_deps/
|
|
36
|
+
Makefile
|
|
37
|
+
|
|
38
|
+
# C++
|
|
39
|
+
*.d
|
|
40
|
+
*.o
|
|
41
|
+
*.obj
|
|
42
|
+
*.ilib
|
|
43
|
+
*.run
|
|
44
|
+
*.gcda
|
|
45
|
+
*.gcno
|
|
46
|
+
*.gcov
|
|
47
|
+
*.a
|
|
48
|
+
*.dylib
|
|
49
|
+
|
|
50
|
+
# Mac
|
|
51
|
+
.DS_Store
|
|
52
|
+
|
|
53
|
+
# IDEs
|
|
54
|
+
.vscode/
|
|
55
|
+
.idea/
|
|
56
|
+
|
|
57
|
+
# Testing
|
|
58
|
+
.pytest_cache/
|
|
59
|
+
htmlcov/
|
|
60
|
+
.coverage
|
|
61
|
+
.coverage.*
|
|
62
|
+
Testing/
|
|
63
|
+
tests_cpp/velesquant_tests
|
|
64
|
+
tests_cpp/*_tests.cmake
|
|
65
|
+
tests_cpp/*_include.cmake
|
|
66
|
+
tests_cpp/cmake_test_discovery_*.json
|
|
67
|
+
|
|
68
|
+
# Custom
|
|
69
|
+
test_output/
|
|
70
|
+
# *.txt <-- Removed to support CMakeLists.txt
|
|
71
|
+
build_tests/
|
|
72
|
+
build_coverage/
|
|
73
|
+
build_debug/
|
|
74
|
+
build_core/
|
|
75
|
+
.cache
|
|
76
|
+
.agent
|
|
77
|
+
*.whlsrc/velesquant/_version.py
|
|
78
|
+
src/velesquant/_version.py
|
|
@@ -0,0 +1,154 @@
|
|
|
1
|
+
cmake_minimum_required(VERSION 3.15)
|
|
2
|
+
project(velesquant LANGUAGES CXX)
|
|
3
|
+
|
|
4
|
+
set(CMAKE_CXX_STANDARD 20)
|
|
5
|
+
set(CMAKE_CXX_STANDARD_REQUIRED ON)
|
|
6
|
+
# Globally disable LTO to prevent symbol stripping/lto-slim artifacts in extensions
|
|
7
|
+
set(CMAKE_INTERPROCEDURAL_OPTIMIZATION OFF)
|
|
8
|
+
|
|
9
|
+
if(MSVC)
|
|
10
|
+
add_compile_options(/W4)
|
|
11
|
+
else()
|
|
12
|
+
add_compile_options(-Wall -Wextra -Wshadow -Wno-unused-variable -Wno-unused-but-set-variable -Wno-sign-compare)
|
|
13
|
+
endif()
|
|
14
|
+
|
|
15
|
+
# Find Dependencies
|
|
16
|
+
list(APPEND CMAKE_MODULE_PATH "${CMAKE_CURRENT_SOURCE_DIR}/cmake")
|
|
17
|
+
|
|
18
|
+
find_package(QuantLib REQUIRED)
|
|
19
|
+
set(Boost_USE_STATIC_LIBS ON)
|
|
20
|
+
find_package(Boost REQUIRED)
|
|
21
|
+
find_package(Python3 COMPONENTS Interpreter Development.Module REQUIRED)
|
|
22
|
+
# Handle pybind11 matching the Python version
|
|
23
|
+
execute_process(
|
|
24
|
+
COMMAND "${Python3_EXECUTABLE}" -c "import pybind11; print(pybind11.get_cmake_dir())"
|
|
25
|
+
OUTPUT_VARIABLE _pybind11_cmake_dir
|
|
26
|
+
OUTPUT_STRIP_TRAILING_WHITESPACE
|
|
27
|
+
)
|
|
28
|
+
list(APPEND CMAKE_PREFIX_PATH "${_pybind11_cmake_dir}")
|
|
29
|
+
find_package(pybind11 CONFIG REQUIRED)
|
|
30
|
+
find_package(Eigen3 QUIET)
|
|
31
|
+
|
|
32
|
+
# If Eigen3 not found via config, try standard include paths or environment variables
|
|
33
|
+
if(NOT EIGEN3_INCLUDE_DIR AND NOT TARGET Eigen3::Eigen)
|
|
34
|
+
find_path(EIGEN3_INCLUDE_DIR NAMES Eigen/Core
|
|
35
|
+
HINTS ${EIGEN3_ROOT} $ENV{EIGEN3_ROOT} /opt/homebrew/include/eigen3 /opt/homebrew/include
|
|
36
|
+
PATH_SUFFIXES include/eigen3 include
|
|
37
|
+
)
|
|
38
|
+
endif()
|
|
39
|
+
|
|
40
|
+
message(STATUS "Eigen3 include dir: ${EIGEN3_INCLUDE_DIR}")
|
|
41
|
+
|
|
42
|
+
# OpenMP Check (set variables here, apply to targets later)
|
|
43
|
+
find_package(OpenMP)
|
|
44
|
+
set(USE_OPENMP_FALLBACK FALSE)
|
|
45
|
+
if(NOT OpenMP_FOUND AND APPLE)
|
|
46
|
+
# Fallback for Homebrew OpenMP on macOS
|
|
47
|
+
set(OMP_HOMEBREW_ROOT "")
|
|
48
|
+
if(EXISTS "/opt/homebrew/opt/libomp")
|
|
49
|
+
set(OMP_HOMEBREW_ROOT "/opt/homebrew/opt/libomp")
|
|
50
|
+
elseif(EXISTS "/usr/local/opt/libomp")
|
|
51
|
+
set(OMP_HOMEBREW_ROOT "/usr/local/opt/libomp")
|
|
52
|
+
endif()
|
|
53
|
+
|
|
54
|
+
if(OMP_HOMEBREW_ROOT)
|
|
55
|
+
message(STATUS "Found Homebrew OpenMP at ${OMP_HOMEBREW_ROOT}")
|
|
56
|
+
set(USE_OPENMP_FALLBACK TRUE)
|
|
57
|
+
set(OMP_FALLBACK_INCLUDE "${OMP_HOMEBREW_ROOT}/include")
|
|
58
|
+
set(OMP_FALLBACK_LIB "${OMP_HOMEBREW_ROOT}/lib/libomp.dylib")
|
|
59
|
+
else()
|
|
60
|
+
message(WARNING "OpenMP not found. Compilation may fail if code relies on <omp.h>")
|
|
61
|
+
endif()
|
|
62
|
+
endif()
|
|
63
|
+
|
|
64
|
+
include(FetchContent)
|
|
65
|
+
FetchContent_Declare(
|
|
66
|
+
googletest
|
|
67
|
+
URL https://github.com/google/googletest/archive/refs/tags/v1.14.0.zip
|
|
68
|
+
)
|
|
69
|
+
# For Windows: Prevent overriding the parent project's compiler/linker settings
|
|
70
|
+
set(gtest_force_shared_crt ON CACHE BOOL "" FORCE)
|
|
71
|
+
FetchContent_MakeAvailable(googletest)
|
|
72
|
+
|
|
73
|
+
enable_testing()
|
|
74
|
+
|
|
75
|
+
# Collect Source Files
|
|
76
|
+
file(GLOB_RECURSE SOURCES
|
|
77
|
+
"src/volatility/*.cpp"
|
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+
"src/pde_solvers/*.cpp"
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"src/models/*.cpp"
|
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+
"src/engines/*.cpp"
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"src/instruments/*.cpp"
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"src/numerics/*.cpp"
|
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)
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+
list(FILTER SOURCES EXCLUDE REGEX "test_simplex.cpp")
|
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+
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# Create the Core C++ Library
|
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add_library(velesquant_core STATIC ${SOURCES})
|
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+
set_target_properties(velesquant_core PROPERTIES
|
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+
POSITION_INDEPENDENT_CODE ON
|
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+
INTERPROCEDURAL_OPTIMIZATION FALSE
|
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+
)
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target_compile_options(velesquant_core PRIVATE -fno-lto)
|
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+
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|
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|
+
target_link_libraries(velesquant_core
|
|
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|
+
PRIVATE
|
|
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|
+
${QuantLib_LIBRARIES}
|
|
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+
${Boost_LIBRARIES}
|
|
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|
+
)
|
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+
target_include_directories(velesquant_core PUBLIC include)
|
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+
target_include_directories(velesquant_core SYSTEM PUBLIC
|
|
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+
${QuantLib_INCLUDE_DIRS}
|
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|
+
${Boost_INCLUDE_DIRS}
|
|
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+
${EIGEN3_INCLUDE_DIR}
|
|
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+
)
|
|
105
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+
|
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+
if(TARGET Eigen3::Eigen)
|
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+
target_link_libraries(velesquant_core PUBLIC Eigen3::Eigen)
|
|
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|
+
endif()
|
|
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|
+
|
|
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|
+
# Apply OpenMP settings
|
|
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|
+
if(OpenMP_FOUND)
|
|
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|
+
target_link_libraries(velesquant_core PRIVATE OpenMP::OpenMP_CXX)
|
|
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|
+
elseif(USE_OPENMP_FALLBACK)
|
|
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|
+
target_compile_options(velesquant_core PUBLIC -Xpreprocessor -fopenmp)
|
|
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|
+
target_include_directories(velesquant_core PUBLIC "${OMP_FALLBACK_INCLUDE}")
|
|
116
|
+
target_link_libraries(velesquant_core PUBLIC "${OMP_FALLBACK_LIB}")
|
|
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|
+
endif()
|
|
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|
+
|
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+
# Create the Python Extension Module (modular bindings)
|
|
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|
+
pybind11_add_module(_core
|
|
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|
+
bindings/module.cpp
|
|
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|
+
bindings/bind_enums.cpp
|
|
123
|
+
bindings/bind_exceptions.cpp
|
|
124
|
+
bindings/bind_utility.cpp
|
|
125
|
+
bindings/models/bind_heston.cpp
|
|
126
|
+
bindings/models/bind_hull_white.cpp
|
|
127
|
+
bindings/models/bind_sabr.cpp
|
|
128
|
+
bindings/models/bind_local_vol.cpp
|
|
129
|
+
bindings/models/bind_swaption.cpp
|
|
130
|
+
bindings/models/bind_cms.cpp
|
|
131
|
+
bindings/models/bind_basket.cpp
|
|
132
|
+
bindings/models/bind_hybrid.cpp
|
|
133
|
+
bindings/models/bind_trees.cpp
|
|
134
|
+
bindings/pde_solvers/bind_pde_solvers.cpp
|
|
135
|
+
)
|
|
136
|
+
|
|
137
|
+
|
|
138
|
+
|
|
139
|
+
target_link_libraries(_core PRIVATE velesquant_core)
|
|
140
|
+
set_target_properties(_core PROPERTIES
|
|
141
|
+
INTERPROCEDURAL_OPTIMIZATION FALSE
|
|
142
|
+
CXX_VISIBILITY_PRESET default
|
|
143
|
+
)
|
|
144
|
+
target_compile_options(_core PRIVATE -fno-lto -fvisibility=default)
|
|
145
|
+
target_link_options(_core PRIVATE -fno-lto -fvisibility=default)
|
|
146
|
+
if(UNIX AND NOT APPLE)
|
|
147
|
+
target_link_options(_core PRIVATE -Wl,--export-dynamic)
|
|
148
|
+
endif()
|
|
149
|
+
|
|
150
|
+
# Install the module to the python package
|
|
151
|
+
install(TARGETS _core DESTINATION velesquant)
|
|
152
|
+
|
|
153
|
+
# Tests
|
|
154
|
+
add_subdirectory(tests_cpp)
|
|
@@ -0,0 +1,128 @@
|
|
|
1
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+
# Contributor Covenant Code of Conduct
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+
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## Our Pledge
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We as members, contributors, and leaders pledge to make participation in our
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community a harassment-free experience for everyone, regardless of age, body
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size, visible or invisible disability, ethnicity, sex characteristics, gender
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identity and expression, level of experience, education, socio-economic status,
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nationality, personal appearance, race, religion, or sexual identity
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+
and orientation.
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+
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We pledge to act and interact in ways that contribute to an open, welcoming,
|
|
13
|
+
diverse, inclusive, and healthy community.
|
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14
|
+
|
|
15
|
+
## Our Standards
|
|
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+
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|
+
Examples of behavior that contributes to a positive environment for our
|
|
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+
community include:
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+
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+
* Demonstrating empathy and kindness toward other people
|
|
21
|
+
* Being respectful of differing opinions, viewpoints, and experiences
|
|
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|
+
* Giving and gracefully accepting constructive feedback
|
|
23
|
+
* Accepting responsibility and apologizing to those affected by our mistakes,
|
|
24
|
+
and learning from the experience
|
|
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|
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* Focusing on what is best not just for us as individuals, but for the
|
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|
+
overall community
|
|
27
|
+
|
|
28
|
+
Examples of unacceptable behavior include:
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29
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+
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|
+
* The use of sexualized language or imagery, and sexual attention or
|
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31
|
+
advances of any kind
|
|
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|
+
* Trolling, insulting or derogatory comments, and personal or political attacks
|
|
33
|
+
* Public or private harassment
|
|
34
|
+
* Publishing others' private information, such as a physical or email
|
|
35
|
+
address, without their explicit permission
|
|
36
|
+
* Other conduct which could reasonably be considered inappropriate in a
|
|
37
|
+
professional setting
|
|
38
|
+
|
|
39
|
+
## Enforcement Responsibilities
|
|
40
|
+
|
|
41
|
+
Community leaders are responsible for clarifying and enforcing our standards of
|
|
42
|
+
acceptable behavior and will take appropriate and fair corrective action in
|
|
43
|
+
response to any behavior that they deem inappropriate, threatening, offensive,
|
|
44
|
+
or harmful.
|
|
45
|
+
|
|
46
|
+
Community leaders have the right and responsibility to remove, edit, or reject
|
|
47
|
+
comments, commits, code, wiki edits, issues, and other contributions that are
|
|
48
|
+
not aligned to this Code of Conduct, and will communicate reasons for moderation
|
|
49
|
+
decisions when appropriate.
|
|
50
|
+
|
|
51
|
+
## Scope
|
|
52
|
+
|
|
53
|
+
This Code of Conduct applies within all community spaces, and also applies when
|
|
54
|
+
an individual is officially representing the community in public spaces.
|
|
55
|
+
Examples of representing our community include using an official e-mail address,
|
|
56
|
+
posting via an official social media account, or acting as an appointed
|
|
57
|
+
representative at an online or offline event.
|
|
58
|
+
|
|
59
|
+
## Enforcement
|
|
60
|
+
|
|
61
|
+
Instances of abusive, harassing, or otherwise unacceptable behavior may be
|
|
62
|
+
reported to the community leaders responsible for enforcement at
|
|
63
|
+
.
|
|
64
|
+
All complaints will be reviewed and investigated promptly and fairly.
|
|
65
|
+
|
|
66
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+
All community leaders are obligated to respect the privacy and security of the
|
|
67
|
+
reporter of any incident.
|
|
68
|
+
|
|
69
|
+
## Enforcement Guidelines
|
|
70
|
+
|
|
71
|
+
Community leaders will follow these Community Impact Guidelines in determining
|
|
72
|
+
the consequences for any action they deem in violation of this Code of Conduct:
|
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73
|
+
|
|
74
|
+
### 1. Correction
|
|
75
|
+
|
|
76
|
+
**Community Impact**: Use of inappropriate language or other behavior deemed
|
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|
+
unprofessional or unwelcome in the community.
|
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78
|
+
|
|
79
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+
**Consequence**: A private, written warning from community leaders, providing
|
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80
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+
clarity around the nature of the violation and an explanation of why the
|
|
81
|
+
behavior was inappropriate. A public apology may be requested.
|
|
82
|
+
|
|
83
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+
### 2. Warning
|
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+
|
|
85
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+
**Community Impact**: A violation through a single incident or series
|
|
86
|
+
of actions.
|
|
87
|
+
|
|
88
|
+
**Consequence**: A warning with consequences for continued behavior. No
|
|
89
|
+
interaction with the people involved, including unsolicited interaction with
|
|
90
|
+
those enforcing the Code of Conduct, for a specified period of time. This
|
|
91
|
+
includes avoiding interactions in community spaces as well as external channels
|
|
92
|
+
like social media. Violating these terms may lead to a temporary or
|
|
93
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+
permanent ban.
|
|
94
|
+
|
|
95
|
+
### 3. Temporary Ban
|
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96
|
+
|
|
97
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**Community Impact**: A serious violation of community standards, including
|
|
98
|
+
sustained inappropriate behavior.
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99
|
+
|
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100
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+
**Consequence**: A temporary ban from any sort of interaction or public
|
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101
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+
communication with the community for a specified period of time. No public or
|
|
102
|
+
private interaction with the people involved, including unsolicited interaction
|
|
103
|
+
with those enforcing the Code of Conduct, is allowed during this period.
|
|
104
|
+
Violating these terms may lead to a permanent ban.
|
|
105
|
+
|
|
106
|
+
### 4. Permanent Ban
|
|
107
|
+
|
|
108
|
+
**Community Impact**: Demonstrating a pattern of violation of community
|
|
109
|
+
standards, including sustained inappropriate behavior, harassment of an
|
|
110
|
+
individual, or aggression toward or disparagement of classes of individuals.
|
|
111
|
+
|
|
112
|
+
**Consequence**: A permanent ban from any sort of public interaction within
|
|
113
|
+
the community.
|
|
114
|
+
|
|
115
|
+
## Attribution
|
|
116
|
+
|
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117
|
+
This Code of Conduct is adapted from the [Contributor Covenant][homepage],
|
|
118
|
+
version 2.0, available at
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+
https://www.contributor-covenant.org/version/2/0/code_of_conduct.html.
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|
+
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121
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+
Community Impact Guidelines were inspired by [Mozilla's code of conduct
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+
enforcement ladder](https://github.com/mozilla/diversity).
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[homepage]: https://www.contributor-covenant.org
|
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|
+
For answers to common questions about this code of conduct, see the FAQ at
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https://www.contributor-covenant.org/faq. Translations are available at
|
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|
+
https://www.contributor-covenant.org/translations.
|
velesquant-0.1.0/LICENSE
ADDED
|
@@ -0,0 +1,21 @@
|
|
|
1
|
+
MIT License
|
|
2
|
+
|
|
3
|
+
Copyright (c) 2026 Suren Islyaev
|
|
4
|
+
|
|
5
|
+
Permission is hereby granted, free of charge, to any person obtaining a copy
|
|
6
|
+
of this software and associated documentation files (the "Software"), to deal
|
|
7
|
+
in the Software without restriction, including without limitation the rights
|
|
8
|
+
to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
|
|
9
|
+
copies of the Software, and to permit persons to whom the Software is
|
|
10
|
+
furnished to do so, subject to the following conditions:
|
|
11
|
+
|
|
12
|
+
The above copyright notice and this permission notice shall be included in all
|
|
13
|
+
copies or substantial portions of the Software.
|
|
14
|
+
|
|
15
|
+
THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
|
|
16
|
+
IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
|
|
17
|
+
FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
|
|
18
|
+
AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
|
|
19
|
+
LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
|
|
20
|
+
OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
|
|
21
|
+
SOFTWARE.
|