mathpf 0.3.0__tar.gz → 0.4.0__tar.gz

{mathpf-0.3.0 → mathpf-0.4.0}/.gitignore

@@ -1,5 +1,5 @@
 # Cython generated C files
-mathpf/*.c
+src/mathpf/*.c
 
 # Compiled extensions
 *.so

{mathpf-0.3.0 → mathpf-0.4.0}/MANIFEST.in

@@ -1,2 +1,3 @@
 include src/mathpf/*.pyx
 include src/mathpf/*.pxd
+include src/mathpf/*.h

{mathpf-0.3.0/src/mathpf.egg-info → mathpf-0.4.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: mathpf
-Version: 0.3.0
+Version: 0.4.0
 Summary: Numerically stable math utility functions for quantitative finance
 Project-URL: Homepage, https://github.com/PyFENG/MathPF
 Requires-Python: >=3.10

{mathpf-0.3.0 → mathpf-0.4.0}/pyproject.toml

@@ -17,6 +17,8 @@ Homepage = "https://github.com/PyFENG/MathPF"
 [tool.cibuildwheel]
 build = "cp310-* cp311-* cp312-* cp313-*"
 skip  = "*-musllinux*"
+test-requires = "pytest"
+test-command = "pytest {project}/tests"
 
 [tool.cibuildwheel.linux]
 archs = ["x86_64"]

{mathpf-0.3.0 → mathpf-0.4.0}/setup.py

@@ -7,7 +7,12 @@ extensions = [
         name="mathpf.avg_funcs",
         sources=["src/mathpf/avg_funcs.pyx"],
         include_dirs=[np.get_include()],
-    )
+    ),
+    Extension(
+        name="mathpf.mills",
+        sources=["src/mathpf/mills.pyx"],
+        include_dirs=[np.get_include(), "src/mathpf"],  # for _mills_coef.h
+    ),
 ]
 
 setup(

mathpf-0.4.0/src/mathpf/__init__.py

@@ -0,0 +1,7 @@
+from .avg_funcs import logrel, powrel
+from .mills import millsratio, millsratio_d1, millsratio_d3, millsratio_rel_below1
+
+__all__ = [
+    "logrel", "powrel",
+    "millsratio", "millsratio_d1", "millsratio_d3", "millsratio_rel_below1",
+]

mathpf-0.4.0/src/mathpf/_mills_coef.h

@@ -0,0 +1,30 @@
+/* Auto-generated by cheby_fit.emit_mathpf -- do not edit.
+ * Coefficient data for the Mills-ratio kernels (mathpf.mills).  Data only, so a C/C++
+ * port can #include it too; the kernels live in mills.pyx. */
+#ifndef MATHPF_MILLS_COEF_H
+#define MATHPF_MILLS_COEF_H
+
+static const double M_SQRT2PI   = 2.5066282746310002;
+static const double M_SQRT2PI_2 = 1.2533141373155001;  /* R(0) = sqrt(pi/2) */
+static const double U_MAX       = 1.3407807929942596e+154;  /* sqrt(DBL_MAX); R1/R3 -> 0 beyond */
+
+static const double XCF_R[6] = {11.4, 15.1, 24.1, 59.3, 548.0, 67000000.0};
+static const double XCF_R1[5] = {14.5, 21.2, 41.0, 165.0, 12800.0};
+static const double XCF_R3[4] = {25.4, 50.5, 210.0, 17300.0};
+
+static const double N_FRAC_R1 = 2.5;
+static const int    NSEG_R1   = 32;
+static const int    TMAX_R1   = 26;
+static const double N_FRAC_R3 = 3.5;
+static const int    NSEG_R3   = 50;
+static const int    TMAX_R3   = 45;
+
+/* Rrel_below1: deg-14, single segment on [0,1] */
+static const double C_Rrel[15] = {1.0, -0.6266570686593154, 0.3333333334079696, -0.1566642686167042, 0.06666668208874643, -0.026110812434658907, 0.0095242488364147, -0.0032651464622909286, 0.0010609141093610216, -0.0003302935739398907, 9.998664887097097e-05, -2.9417736033873193e-05, 7.859376331521683e-06, -1.5910288145548496e-06, 1.689407651021219e-07};
+/* R1 = -R': flat 26 x 8 (deg-7); bucket i = C_R1[i*8+k] */
+static const double C_R1[208] = {0.34432045758120156, -0.03405489990411223, 0.001192475013485524, -1.3635915460280841e-05, -1.3251365677088036e-07, 2.4578598186034305e-09, 4.7259798016565235e-11, -2.1299291732726891e-13, 0.3114442667663644, -0.031711375106782305, 0.0011507974681864693, -1.4140453769849712e-05, -1.1952291224066734e-07, 2.7367623481353177e-09, 4.577568410470565e-11, -3.4644867471321874e-13, 0.28086943193327807, -0.029452665667327314, 0.0011076870163868847, -1.4590274431017942e-05, -1.051645883314536e-07, 3.00394263963843e-09, 4.3356088452077136e-11, -4.908348064347212e-13, 0.25250976089012617, -0.02728146783978619, 0.001063315885024093, -1.4980043440399068e-05, -8.9511711273763e-08, 3.2535620231815327e-09, 3.9923965131252817e-11, -6.434215671525449e-13, 0.22627654267305497, -0.025200117744054493, 0.0010178718054031299, -1.5304778731445228e-05, -7.266756081693456e-08, 3.4793782218609222e-09, 3.542133108597344e-11, -8.005004273636312e-13, 0.2020789228021104, -0.023210561535870394, 0.0009715567721355419, -1.555997480906793e-05, -5.476736805112463e-08, 3.6748803621119108e-09, 2.981614382368417e-11, -9.573261822764798e-13, 0.1798243069999376, -0.021314328438901478, 0.0009245854194418766, -1.574173268587291e-05, -3.597923298071676e-08, 3.833466388717661e-09, 2.3109595935902425e-11, -1.108115098551026e-12, 0.15941879012402702, -0.019512507416774686, 0.0008771830040236347, -1.5846891568595946e-05, -1.650404553414359e-08, 3.948664179564567e-09, 1.5343435068724515e-11, -1.2461203413548787e-12, 0.14076760627842333, -0.01780572827295679, 0.0008295829956692178, -1.587315787368715e-05, 3.4258061653874034e-09, 4.014394860143601e-09, 6.6067680330346175e-12, -1.3638064663876794e-12, 0.12377559528870606, -0.01619414794994658, 0.0007820242912950428, -1.5819226312877644e-05, 2.3549140060769075e-08, 4.025273115508551e-09, -2.958346618579145e-12, -1.4531425859246267e-12, 0.10834767997374334, -0.014677442751291432, 0.0007347480850363722, -1.568488705701397e-05, 4.3580259611923756e-08, 3.976934719948031e-09, -1.3153353021684132e-11, -1.5060277702761603e-12, 0.0943893479629662, -0.013254807126140003, 0.0006879944458428944, -1.547111245079173e-05, 6.321490918831119e-08, 3.8663762221956915e-09, -2.3722632943972796e-11, -1.5148512230532907e-12, 0.08180713122626623, -0.011924959533228441, 0.0006419986740560224, -1.5180116517391639e-05, 8.213791675062653e-08, 3.6922860926877568e-09, -3.4356875881364274e-11, -1.4731730171396532e-12, 0.07050907604494921, -0.010686155738024478, 0.0005969875285749982, -1.48153806721575e-05, 1.0003241787830908e-07, 3.4553412408264596e-09, -4.4701242481255216e-11, -1.3764887281773427e-12, 0.06040519589650897, -0.009536209694355962, 0.0005531754350527934, -1.438163976502519e-05, 1.1659041314902527e-07, 3.158438467770723e-09, -5.436892460793421e-11, -1.2230145032238319e-12, 0.051407899690700455, -0.008472521924474962, 0.0005107608014036381, -1.3884823877572707e-05, 1.3152425187566604e-07, 2.806828171228694e-09, -6.296026047136019e-11, -1.014401164890225e-12, 0.04343238801085694, -0.007492115047014164, 0.0004699225778571462, -1.3331953255339888e-05, 1.4457847261351243e-07, 2.408118619722417e-09, -7.008691905435431e-11, -7.562622998141824e-13, 0.03639701050419264, -0.006591675822397399, 0.00043081720292740893, -1.273098633749718e-05, 1.5554128375514165e-07, 1.972124460314804e-09, -7.539985358319632e-11, -4.583894179026021e-13, 0.03022357833593512, -0.0057676028054052825, 0.00039357607223790807, -1.2090623945587052e-05, 1.6425485980300317e-07, 1.510543578358e-09, -7.861882135731254e-11, -1.3453580375042955e-13, 0.024837626665472186, -0.005016058433263478, 0.0003583036528881787, -1.1420076101325395e-05, 1.706235866941693e-07, 1.036462079424263e-09, -7.95604210426085e-11, 1.9831276835300475e-13, 0.020168623389682224, -0.004333024155107946, 0.00032507634148359177, -1.072880134841987e-05, 1.746194370082991e-07, 5.637070820781498e-10, -7.816100808861748e-11, 5.211942931994726e-13, 0.016150121880213728, -0.0037143570452199816, 0.0002939421296615079, -1.002623145989574e-05, 1.7628380941330315e-07, 1.0608900697596745e-10, -7.449073982704427e-11, 8.148726397980141e-13, 0.01271985704941791, -0.003155846255834055, 0.0002649210987800892, -9.321496586034821e-06, 1.7572542851795311e-07, -3.234043106873131e-10, -6.875556935207283e-11, 1.061797613056228e-12, 0.009819785730108346, -0.002653267668440114, 0.00023800671851479017, -8.62316683305915e-06, 1.7311425406524061e-07, -7.133843445508475e-10, -6.12853392609736e-11, 1.2480422998988533e-12, 0.007396073954182386, -0.0022024352007907985, 0.00021316787662600472, -7.93902566639996e-06, 1.6867175299844368e-07, -1.0547269597103247e-09, -5.250812569094551e-11, 1.364889655169418e-12, 0.005399035170233996, -0.0017992474166552762, 0.00019035152391663708, -7.275888307985233e-06, 1.626582865548259e-07, -1.3410511347824749e-09, -4.2913325720609484e-11, 1.409765189350702e-12};
+/* R3 = -R''': flat 45 x 9 (deg-8); bucket i = C_R3[i*9+k] */
+static const double C_R3[405] = {2.0, -0.26319596883625507, 0.014336080623274922, -0.0003959952602827748, 4.9514198856184626e-06, 4.228710181162853e-09, -6.27381397100515e-10, -1.2478958407475078e-12, 8.792260397509944e-14, 1.7507490715467915, -0.23569197031978043, 0.013177836214377224, -0.00037615988001909177, 4.963115195995371e-06, 4.431400465953996e-10, -6.336440458132301e-10, -5.439584037100775e-13, 9.36208303348316e-14, 1.5278637404856108, -0.21044492665952205, 0.012079130183433992, -0.0003563156745113036, 4.955813752288073e-06, -3.3649041026852945e-09, -6.348213803077887e-10, 2.0569272924368177e-13, 9.83707161780522e-14, 1.3291465801493423, -0.18733581069240082, 0.011039874878126032, -0.0003365387522627375, 4.929480997655878e-06, -7.164003500143366e-09, -6.306203305566403e-10, 9.934717983717796e-13, 1.0197568335800886e-13, 1.152519027270274, -0.1662459988649157, 0.010059754431702038, -0.00031690504023152783, 4.8842435858796655e-06, -1.0921151271075616e-08, -6.208064284408278e-10, 1.810216658922281e-12, 1.0424048656437762e-13, 0.9960207505003715, -0.1470577264649522, 0.009138226289846884, -0.00029748962433418484, 4.820396387796325e-06, -1.4602137073967163e-08, -6.052147932916016e-10, 2.6451987983874185e-12, 1.0497745709892041e-13, 0.8578085658927181, -0.1296545377953277, 0.008274524754067005, -0.00027836606598885056, 4.738407410531333e-06, -1.8171997095048295e-08, -5.837608706823912e-10, 3.486183352866031e-12, 1.0401370010157766e-13, 0.7361549064407115, -0.11392172719283343, 0.007467666600301844, -0.00025960570369384136, 4.63892030828138e-06, -2.15955268121481e-08, -5.564505479872741e-10, 4.319546795315125e-12, 1.0119913675367347e-13, 0.6294458569172376, -0.09974676670736907, 0.0067164588025876906, -0.00024127694988844084, 4.522754182226627e-06, -2.483785152997803e-08, -5.233892196919055e-10, 5.130459108297794e-12, 9.64152080118687e-14, 0.5361787694607362, -0.08701971622803853, 0.006019508359101349, -0.00022344459449383895, 4.39090039877236e-06, -2.7865046994098186e-08, -4.847893330532977e-10, 5.9031357924903384e-12, 8.958397077789475e-14, 0.45495947955386035, -0.07563361188365461, 0.005375234182176667, -0.00020616912752882788, 4.244516200992943e-06, -3.06447994770875e-08, -4.409759149574041e-10, 6.621162913221474e-12, 8.067722400068926e-14, 0.384499146161981, -0.0654848286599431, 0.00478188097546595, -0.00018950609397923313, 4.08491494875735e-06, -3.314709168858526e-08, -3.92389568740058e-10, 7.26789548733387e-12, 6.972520574651942e-14, 0.32361074376632976, -0.056473413369516653, 0.004237534981038394, -0.00017350549461144863, 3.913552898904126e-06, -3.534489781282212e-08, -3.395864406469845e-10, 7.826925835852295e-12, 5.6824309521358745e-14, 0.2712052377595384, -0.04850338438644323, 0.003740141437779151, -0.00015821124659815236, 3.7320125276636565e-06, -3.721486807708242e-08, -2.8323469482930284e-10, 8.282614102545675e-12, 4.214318804617961e-14, 0.22628747808702585, -0.04148299491600184, 0.003287523551064269, -0.00014366071761060708, 3.541982502107715e-06, -3.873798068711074e-08, -2.2410710816657618e-10, 8.620668064507003e-12, 2.5926556359297735e-14, 0.1879518490335386, -0.03532495701069069, 0.002877402733591446, -0.00012988434637590718, 3.345234523558059e-06, -3.9900136942134786e-08, -1.6306950563050814e-10, 8.828753827441233e-12, 8.495986407282116e-15, 0.1553777155902178, -0.029946624061773786, 0.0025074198398346514, -0.00011690536155902991, 3.1435973903179837e-06, -4.069267409267429e-08, -1.0106490551373402e-10, 8.897113298046688e-12, -9.752983950949705e-15, 0.1278247088192583, -0.02527013008477843, 0.00217515708335112, -0.00010473960918399315, 2.9389287553439248e-06, -4.11127702644611e-08, -3.909343137890076e-11, 8.819158863183576e-12, -2.835800974513347e-14, 0.10462789399432945, -0.021222484767511457, 0.0018781602986352656, -9.339549665139236e-05, 2.7330851809290653e-06, -4.11637167665449e-08, 2.1811729446360766e-11, 8.592010995221779e-12, -4.680177717944349e-14, 0.08519286598062296, -0.017735623947415177, 0.0016139611888965908, -8.287405876130048e-05, 2.52789121045464e-06, -4.085503552359838e-08, 8.061178999224285e-11, 8.216941154193744e-12, -6.452867961780699e-14, 0.06899081628828221, -0.014746415915568599, 0.001380099189445872, -7.316914805963587e-05, 2.3251082792740127e-06, -4.0202423356568145e-08, 1.3629245235280943e-10, 7.699681039118555e-12, -8.096615290884678e-14, 0.05555361546386694, -0.012196624688850697, 0.0011741425745219712, -6.426774837239704e-05, 2.1264043648528536e-06, -3.922751043196667e-08, 1.8789555607700993e-10, 7.050560625392738e-12, -9.555008175036233e-14, 0.044468952972870804, -0.010032832129053836, 0.0009937084443092004, -5.615040668745335e-05, 1.9333253224404228e-06, -3.795742734538737e-08, 2.3455097574855977e-10, 6.284442108272514e-12, -1.0775322774142926e-13, 0.03537557449006147, -0.008206321495909837, 0.0008364812491287907, -4.879177473043826e-05, 1.7472688594844662e-06, -3.6424183799513404e-08, 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+
+#endif
+