itofin 0.6.1__tar.gz

itofin-0.6.1/Cargo.lock

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itofin-0.6.1/Cargo.toml

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+[workspace]
+resolver = "3"
+members = ["crates/*"]
+# `crates/worktrees` is a tooling-created directory for git worktrees and
+# `crates/graphify-out` is where a buggy graphify watcher drops its rebuild
+# (the scan root is `crates/`, so `<root>/graphify-out` lands inside the
+# member glob) - neither is a crate; exclude both so `crates/*` does not try
+# to load them as members and break every cargo command.
+exclude = ["crates/worktrees", "crates/graphify-out"]
+
+[workspace.package]
+version = "0.6.1"
+edition = "2024"

itofin-0.6.1/PKG-INFO

@@ -0,0 +1,221 @@
+Metadata-Version: 2.4
+Name: itofin
+Version: 0.6.1
+Classifier: Programming Language :: Rust
+Classifier: Programming Language :: Python :: Implementation :: CPython
+Classifier: Programming Language :: Python :: 3.13
+Classifier: License :: OSI Approved :: BSD License
+Classifier: Topic :: Office/Business :: Financial :: Investment
+Classifier: Intended Audience :: Developers
+Classifier: Intended Audience :: Financial and Insurance Industry
+Classifier: Operating System :: OS Independent
+Summary: Python bindings for libitofin: a Rust port of QuantLib for pricing, risk, and calibration.
+Author-email: benbenbang <bn@bitbrew.dev>
+License-Expression: BSD-3-Clause
+Requires-Python: >=3.13
+Description-Content-Type: text/markdown; charset=UTF-8; variant=GFM
+Project-URL: Homepage, https://github.com/benbenbang/libitofin
+Project-URL: Issues, https://github.com/benbenbang/libitofin/issues
+Project-URL: Repository, https://github.com/benbenbang/libitofin
+
+# itofin
+
+Idiomatic Python bindings over the [`libitofin`](https://github.com/benbenbang/libitofin) Rust core, a ground-up port of [QuantLib](https://github.com/lballabio/QuantLib) for pricing, risk, and calibration. The heavy numerics run in Rust; Python drives them. The pricing snippets below reproduce the cached Rust test oracles exactly; the abbreviated calibration snippets converge to the same targets within the tests' calibration tolerance (the full matrices live in `tests/`).
+
+## Install
+
+```bash
+pip install itofin
+```
+
+Requires Python >= 3.13.
+
+## Price a European option and its greeks
+
+```python
+import itofin
+
+s = itofin.Settings()
+s.set_evaluation_date(itofin.Date(15, 6, 2026))
+dc = itofin.DayCounter.actual360()
+
+process = itofin.BlackScholesProcess(60.0, 0.08, 0.0, 0.30, itofin.Date(15, 6, 2026), dc)
+option = itofin.VanillaOption(itofin.OptionType.Call, 65.0, itofin.Date(15, 6, 2026) + 90, s)
+option.set_engine(process)
+
+print(f"NPV   {option.npv():.10f}")
+print(f"delta {option.delta():.10f}")
+print(f"vega  {option.vega():.10f}")
+print(f"rho   {option.rho():.10f}")
+```
+
+```
+NPV   2.1333684449
+delta 0.3724827980
+vega  11.3515440535
+rho   5.0538998582
+```
+
+## Price under Heston and calibrate to a flat-vol surface
+
+Semi-analytic Heston pricing:
+
+```python
+import itofin
+
+s = itofin.Settings()
+s.set_evaluation_date(itofin.Date(27, 12, 2004))
+dc = itofin.DayCounter.actual_actual_isda()
+
+# HestonProcess(risk_free, dividend, spot, v0, kappa, theta, sigma, rho, reference_date, day_counter)
+process = itofin.HestonProcess(
+    0.0225, 0.02, 1.0, 0.1, 3.16, 0.09, 0.4, -0.2, itofin.Date(27, 12, 2004), dc
+)
+model = itofin.HestonModel(process)
+option = itofin.VanillaOption(itofin.OptionType.Call, 1.05, itofin.Date(28, 3, 2005), s)
+option.set_heston_engine(model, 64)
+
+print(f"Heston NPV {option.npv():.10f}")
+```
+
+```
+Heston NPV 0.0404774515
+```
+
+Calibrating the model to a flat 10% vol surface drives the vol-of-vol `sigma` toward zero and both `v0` and `theta` toward the flat variance (0.10 squared = 0.01). The snippet below fits a 3-maturity by 3-strike grid; the full 21-helper matrix and its tighter tolerances live in `tests/test_heston_calibration.py`.
+
+```python
+import math
+import itofin
+
+s = itofin.Settings()
+s.set_evaluation_date(itofin.Date(15, 1, 2026))
+dc = itofin.DayCounter.actual360()
+ref = itofin.Date(15, 1, 2026)
+risk_free = itofin.FlatForward(ref, 0.04, dc)
+dividend = itofin.FlatForward(ref, 0.50, dc)
+VOL = 0.10
+
+helpers = []
+for n in (1, 2, 3):
+    tau = float(n)
+    forward = dividend.discount(tau) / risk_free.discount(tau)  # spot = 1.0
+    for moneyness in (-1.0, 0.0, 1.0):
+        strike = forward * math.exp(-moneyness * VOL * math.sqrt(tau))
+        helpers.append(itofin.HestonModelHelper(
+            itofin.Period(n, "Years"),
+            itofin.Calendar.null_calendar(),
+            1.0,        # spot
+            strike,
+            VOL,        # 10% flat vol
+            0.04,       # risk-free
+            0.50,       # dividend yield
+            itofin.CalibrationErrorType.RelativePriceError,
+            ref,
+            dc,
+            s,
+        ))
+
+process = itofin.HestonProcess(0.04, 0.50, 1.0, 0.01, 0.2, 0.02, 0.5, -0.75, ref, dc)
+model = itofin.HestonModel(process)
+method = itofin.LevenbergMarquardt(1e-8, 1e-8, 1e-8, False)
+end_criteria = itofin.EndCriteria(400, 40, 1e-8, 1e-8, 1e-8)
+model.calibrate(helpers, method, end_criteria, 96)
+
+print(f"sigma {model.sigma():.6f}")
+print(f"v0    {model.v0():.6f}")
+print(f"theta {model.theta():.6f}")
+```
+
+```
+sigma 0.000216
+v0    0.010000
+theta 0.010000
+```
+
+## Calibrate Hull-White to a swaption matrix
+
+```python
+import itofin
+
+s = itofin.Settings()
+s.set_evaluation_date(itofin.Date(15, 2, 2002))
+curve = itofin.FlatForward(itofin.Date(19, 2, 2002), 0.04875825, itofin.DayCounter.actual365_fixed())
+
+model = itofin.HullWhite(curve, 0.1, 0.01)
+index = itofin.Euribor.six_months(curve, s)
+
+# (option tenor, swap tenor, Black vol); the full co-terminal matrix is in the tests.
+swaptions = [(1, 5, 0.1148), (2, 4, 0.1108), (3, 3, 0.1070), (4, 2, 0.1021), (5, 1, 0.1000)]
+helpers = [
+    itofin.SwaptionHelper(
+        itofin.Period(maturity, "Years"),
+        itofin.Period(length, "Years"),
+        vol,
+        index,
+        itofin.Period(1, "Years"),
+        itofin.DayCounter.thirty360_bond_basis(),
+        itofin.DayCounter.actual360(),
+        curve,
+        itofin.CalibrationErrorType.RelativePriceError,
+        1.0,
+    )
+    for maturity, length, vol in swaptions
+]
+
+method = itofin.LevenbergMarquardt(1e-8, 1e-8, 1e-8, False)
+end_criteria = itofin.EndCriteria(10000, 100, 1e-6, 1e-8, 1e-8)
+model.calibrate(helpers, method, end_criteria, False)  # fix_reversion=False, fit a and sigma
+
+print(f"a     {model.a():.7f}")
+print(f"sigma {model.sigma():.7f}")
+```
+
+```
+a     0.0464113
+sigma 0.0057992
+```
+
+## Price a European swaption with the Jamshidian engine
+
+```python
+import itofin
+
+s = itofin.Settings()
+s.set_evaluation_date(itofin.Date(15, 1, 2026))
+curve = itofin.FlatForward(itofin.Date(15, 1, 2026), 0.03, itofin.DayCounter.actual365_fixed())
+
+fixed = itofin.Schedule(
+    itofin.Date(15, 1, 2028), itofin.Date(15, 1, 2033),
+    itofin.Frequency.Annual, itofin.Calendar.target(),
+    itofin.BusinessDayConvention.Unadjusted,
+)
+floating = itofin.Schedule(
+    itofin.Date(15, 1, 2028), itofin.Date(15, 1, 2033),
+    itofin.Frequency.Semiannual, itofin.Calendar.target(),
+    itofin.BusinessDayConvention.Unadjusted,
+)
+index = itofin.Euribor.six_months(curve, s)
+
+swap = itofin.VanillaSwap(
+    itofin.SwapType.Payer, 100.0,
+    fixed, 0.03, itofin.DayCounter.thirty360_bond_basis(),
+    floating, index, 0.0, itofin.DayCounter.actual360(), s,
+)
+swaption = itofin.Swaption(
+    swap, itofin.EuropeanExercise(itofin.Date(15, 1, 2027)),
+    itofin.SettlementType.Physical, itofin.SettlementMethod.PhysicalOTC, s,
+)
+swaption.set_jamshidian_engine(itofin.HullWhite(curve, 0.05, 0.01))
+
+print(f"payer swaption NPV {swaption.npv():.10f}")
+```
+
+```
+payer swaption NPV 1.5666103956
+```
+
+## License
+
+BSD-3-Clause, matching the `libitofin` core. See the [repository](https://github.com/benbenbang/libitofin) for the layer status table, the divergences-from-QuantLib catalogue, and the Rust test oracles behind the numbers above.
+

itofin-0.6.1/README.md

@@ -0,0 +1,200 @@
+# itofin
+
+Idiomatic Python bindings over the [`libitofin`](https://github.com/benbenbang/libitofin) Rust core, a ground-up port of [QuantLib](https://github.com/lballabio/QuantLib) for pricing, risk, and calibration. The heavy numerics run in Rust; Python drives them. The pricing snippets below reproduce the cached Rust test oracles exactly; the abbreviated calibration snippets converge to the same targets within the tests' calibration tolerance (the full matrices live in `tests/`).
+
+## Install
+
+```bash
+pip install itofin
+```
+
+Requires Python >= 3.13.
+
+## Price a European option and its greeks
+
+```python
+import itofin
+
+s = itofin.Settings()
+s.set_evaluation_date(itofin.Date(15, 6, 2026))
+dc = itofin.DayCounter.actual360()
+
+process = itofin.BlackScholesProcess(60.0, 0.08, 0.0, 0.30, itofin.Date(15, 6, 2026), dc)
+option = itofin.VanillaOption(itofin.OptionType.Call, 65.0, itofin.Date(15, 6, 2026) + 90, s)
+option.set_engine(process)
+
+print(f"NPV   {option.npv():.10f}")
+print(f"delta {option.delta():.10f}")
+print(f"vega  {option.vega():.10f}")
+print(f"rho   {option.rho():.10f}")
+```
+
+```
+NPV   2.1333684449
+delta 0.3724827980
+vega  11.3515440535
+rho   5.0538998582
+```
+
+## Price under Heston and calibrate to a flat-vol surface
+
+Semi-analytic Heston pricing:
+
+```python
+import itofin
+
+s = itofin.Settings()
+s.set_evaluation_date(itofin.Date(27, 12, 2004))
+dc = itofin.DayCounter.actual_actual_isda()
+
+# HestonProcess(risk_free, dividend, spot, v0, kappa, theta, sigma, rho, reference_date, day_counter)
+process = itofin.HestonProcess(
+    0.0225, 0.02, 1.0, 0.1, 3.16, 0.09, 0.4, -0.2, itofin.Date(27, 12, 2004), dc
+)
+model = itofin.HestonModel(process)
+option = itofin.VanillaOption(itofin.OptionType.Call, 1.05, itofin.Date(28, 3, 2005), s)
+option.set_heston_engine(model, 64)
+
+print(f"Heston NPV {option.npv():.10f}")
+```
+
+```
+Heston NPV 0.0404774515
+```
+
+Calibrating the model to a flat 10% vol surface drives the vol-of-vol `sigma` toward zero and both `v0` and `theta` toward the flat variance (0.10 squared = 0.01). The snippet below fits a 3-maturity by 3-strike grid; the full 21-helper matrix and its tighter tolerances live in `tests/test_heston_calibration.py`.
+
+```python
+import math
+import itofin
+
+s = itofin.Settings()
+s.set_evaluation_date(itofin.Date(15, 1, 2026))
+dc = itofin.DayCounter.actual360()
+ref = itofin.Date(15, 1, 2026)
+risk_free = itofin.FlatForward(ref, 0.04, dc)
+dividend = itofin.FlatForward(ref, 0.50, dc)
+VOL = 0.10
+
+helpers = []
+for n in (1, 2, 3):
+    tau = float(n)
+    forward = dividend.discount(tau) / risk_free.discount(tau)  # spot = 1.0
+    for moneyness in (-1.0, 0.0, 1.0):
+        strike = forward * math.exp(-moneyness * VOL * math.sqrt(tau))
+        helpers.append(itofin.HestonModelHelper(
+            itofin.Period(n, "Years"),
+            itofin.Calendar.null_calendar(),
+            1.0,        # spot
+            strike,
+            VOL,        # 10% flat vol
+            0.04,       # risk-free
+            0.50,       # dividend yield
+            itofin.CalibrationErrorType.RelativePriceError,
+            ref,
+            dc,
+            s,
+        ))
+
+process = itofin.HestonProcess(0.04, 0.50, 1.0, 0.01, 0.2, 0.02, 0.5, -0.75, ref, dc)
+model = itofin.HestonModel(process)
+method = itofin.LevenbergMarquardt(1e-8, 1e-8, 1e-8, False)
+end_criteria = itofin.EndCriteria(400, 40, 1e-8, 1e-8, 1e-8)
+model.calibrate(helpers, method, end_criteria, 96)
+
+print(f"sigma {model.sigma():.6f}")
+print(f"v0    {model.v0():.6f}")
+print(f"theta {model.theta():.6f}")
+```
+
+```
+sigma 0.000216
+v0    0.010000
+theta 0.010000
+```
+
+## Calibrate Hull-White to a swaption matrix
+
+```python
+import itofin
+
+s = itofin.Settings()
+s.set_evaluation_date(itofin.Date(15, 2, 2002))
+curve = itofin.FlatForward(itofin.Date(19, 2, 2002), 0.04875825, itofin.DayCounter.actual365_fixed())
+
+model = itofin.HullWhite(curve, 0.1, 0.01)
+index = itofin.Euribor.six_months(curve, s)
+
+# (option tenor, swap tenor, Black vol); the full co-terminal matrix is in the tests.
+swaptions = [(1, 5, 0.1148), (2, 4, 0.1108), (3, 3, 0.1070), (4, 2, 0.1021), (5, 1, 0.1000)]
+helpers = [
+    itofin.SwaptionHelper(
+        itofin.Period(maturity, "Years"),
+        itofin.Period(length, "Years"),
+        vol,
+        index,
+        itofin.Period(1, "Years"),
+        itofin.DayCounter.thirty360_bond_basis(),
+        itofin.DayCounter.actual360(),
+        curve,
+        itofin.CalibrationErrorType.RelativePriceError,
+        1.0,
+    )
+    for maturity, length, vol in swaptions
+]
+
+method = itofin.LevenbergMarquardt(1e-8, 1e-8, 1e-8, False)
+end_criteria = itofin.EndCriteria(10000, 100, 1e-6, 1e-8, 1e-8)
+model.calibrate(helpers, method, end_criteria, False)  # fix_reversion=False, fit a and sigma
+
+print(f"a     {model.a():.7f}")
+print(f"sigma {model.sigma():.7f}")
+```
+
+```
+a     0.0464113
+sigma 0.0057992
+```
+
+## Price a European swaption with the Jamshidian engine
+
+```python
+import itofin
+
+s = itofin.Settings()
+s.set_evaluation_date(itofin.Date(15, 1, 2026))
+curve = itofin.FlatForward(itofin.Date(15, 1, 2026), 0.03, itofin.DayCounter.actual365_fixed())
+
+fixed = itofin.Schedule(
+    itofin.Date(15, 1, 2028), itofin.Date(15, 1, 2033),
+    itofin.Frequency.Annual, itofin.Calendar.target(),
+    itofin.BusinessDayConvention.Unadjusted,
+)
+floating = itofin.Schedule(
+    itofin.Date(15, 1, 2028), itofin.Date(15, 1, 2033),
+    itofin.Frequency.Semiannual, itofin.Calendar.target(),
+    itofin.BusinessDayConvention.Unadjusted,
+)
+index = itofin.Euribor.six_months(curve, s)
+
+swap = itofin.VanillaSwap(
+    itofin.SwapType.Payer, 100.0,
+    fixed, 0.03, itofin.DayCounter.thirty360_bond_basis(),
+    floating, index, 0.0, itofin.DayCounter.actual360(), s,
+)
+swaption = itofin.Swaption(
+    swap, itofin.EuropeanExercise(itofin.Date(15, 1, 2027)),
+    itofin.SettlementType.Physical, itofin.SettlementMethod.PhysicalOTC, s,
+)
+swaption.set_jamshidian_engine(itofin.HullWhite(curve, 0.05, 0.01))
+
+print(f"payer swaption NPV {swaption.npv():.10f}")
+```
+
+```
+payer swaption NPV 1.5666103956
+```
+
+## License
+
+BSD-3-Clause, matching the `libitofin` core. See the [repository](https://github.com/benbenbang/libitofin) for the layer status table, the divergences-from-QuantLib catalogue, and the Rust test oracles behind the numbers above.

itofin-0.6.1/crates/itofin-py/Cargo.toml

@@ -0,0 +1,16 @@
+[package]
+name = "itofin-py"
+version.workspace = true
+edition.workspace = true
+readme = "README.md"
+
+[lib]
+name = "itofin"
+crate-type = ["cdylib"]
+
+[features]
+extension-module = ["pyo3/extension-module"]
+
+[dependencies]
+libitofin = { path = "../libitofin" }
+pyo3 = { version = "0.29", features = ["abi3-py313"] }