opengreeks 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.
- opengreeks-0.1.0/.github/workflows/CI.yml +120 -0
- opengreeks-0.1.0/.gitignore +63 -0
- opengreeks-0.1.0/Cargo.lock +282 -0
- opengreeks-0.1.0/Cargo.toml +30 -0
- opengreeks-0.1.0/LICENSE +21 -0
- opengreeks-0.1.0/PKG-INFO +272 -0
- opengreeks-0.1.0/README.md +244 -0
- opengreeks-0.1.0/bench/RESULTS.md +177 -0
- opengreeks-0.1.0/bench/bench_parity.py +368 -0
- opengreeks-0.1.0/black76_rust/.gitignore +2 -0
- opengreeks-0.1.0/black76_rust/Cargo.toml +14 -0
- opengreeks-0.1.0/black76_rust/src/erf.rs +218 -0
- opengreeks-0.1.0/black76_rust/src/greeks.rs +84 -0
- opengreeks-0.1.0/black76_rust/src/iv.rs +173 -0
- opengreeks-0.1.0/black76_rust/src/lib.rs +44 -0
- opengreeks-0.1.0/black76_rust/src/normal.rs +200 -0
- opengreeks-0.1.0/black76_rust/src/pricing.rs +76 -0
- opengreeks-0.1.0/bsm_rust/.gitignore +2 -0
- opengreeks-0.1.0/bsm_rust/Cargo.toml +14 -0
- opengreeks-0.1.0/bsm_rust/src/lib.rs +135 -0
- opengreeks-0.1.0/pyproject.toml +40 -0
- opengreeks-0.1.0/python/opengreeks/__init__.py +20 -0
- opengreeks-0.1.0/python/opengreeks/black76.py +39 -0
- opengreeks-0.1.0/python/opengreeks/black_scholes.py +35 -0
- opengreeks-0.1.0/python/opengreeks/black_scholes_merton.py +35 -0
- opengreeks-0.1.0/src/lib.rs +458 -0
|
@@ -0,0 +1,120 @@
|
|
|
1
|
+
name: CI
|
|
2
|
+
|
|
3
|
+
on:
|
|
4
|
+
push:
|
|
5
|
+
branches: [main, master]
|
|
6
|
+
tags: ['v*']
|
|
7
|
+
pull_request:
|
|
8
|
+
branches: [main, master]
|
|
9
|
+
workflow_dispatch:
|
|
10
|
+
|
|
11
|
+
permissions:
|
|
12
|
+
contents: read
|
|
13
|
+
|
|
14
|
+
jobs:
|
|
15
|
+
# ---------- Fast PR feedback: cargo test on the zero-dep Rust cores ----------
|
|
16
|
+
rust-test:
|
|
17
|
+
name: Rust core tests
|
|
18
|
+
runs-on: ubuntu-latest
|
|
19
|
+
steps:
|
|
20
|
+
- uses: actions/checkout@v4
|
|
21
|
+
- uses: dtolnay/rust-toolchain@stable
|
|
22
|
+
- uses: Swatinem/rust-cache@v2
|
|
23
|
+
- name: cargo test (black76_rust + bsm_rust)
|
|
24
|
+
run: cargo test --release -p black76_rust -p bsm_rust
|
|
25
|
+
|
|
26
|
+
# ---------- Parity test on Linux: install package, run bench against py_vollib ----------
|
|
27
|
+
parity-linux:
|
|
28
|
+
name: Parity vs py_vollib (Linux)
|
|
29
|
+
runs-on: ubuntu-latest
|
|
30
|
+
needs: rust-test
|
|
31
|
+
steps:
|
|
32
|
+
- uses: actions/checkout@v4
|
|
33
|
+
- uses: actions/setup-python@v5
|
|
34
|
+
with: { python-version: '3.12' }
|
|
35
|
+
- uses: dtolnay/rust-toolchain@stable
|
|
36
|
+
- uses: Swatinem/rust-cache@v2
|
|
37
|
+
- name: Install baselines + build & install opengreeks
|
|
38
|
+
run: |
|
|
39
|
+
pip install 'py_vollib==1.0.1' 'py_lets_be_rational==1.0.1' numpy
|
|
40
|
+
pip install .
|
|
41
|
+
- name: Run parity + bench
|
|
42
|
+
run: python bench/bench_parity.py
|
|
43
|
+
|
|
44
|
+
# ---------- Build abi3 wheels for all target platforms ----------
|
|
45
|
+
# Both Mac wheels build on Apple Silicon runners (abundant + fast). Maturin
|
|
46
|
+
# cross-compiles the x86_64 wheel cleanly from arm64 hosts — avoids the
|
|
47
|
+
# macos-13 Intel runner pool which routinely queues 15-30 min.
|
|
48
|
+
build-wheels:
|
|
49
|
+
name: Wheel ${{ matrix.target }}
|
|
50
|
+
needs: rust-test
|
|
51
|
+
strategy:
|
|
52
|
+
fail-fast: false
|
|
53
|
+
matrix:
|
|
54
|
+
include:
|
|
55
|
+
- { os: ubuntu-latest, target: x86_64-unknown-linux-gnu, manylinux: '2_28' }
|
|
56
|
+
- { os: ubuntu-latest, target: aarch64-unknown-linux-gnu, manylinux: '2_28' }
|
|
57
|
+
- { os: macos-14, target: x86_64-apple-darwin }
|
|
58
|
+
- { os: macos-14, target: aarch64-apple-darwin }
|
|
59
|
+
- { os: windows-latest, target: x86_64-pc-windows-msvc }
|
|
60
|
+
runs-on: ${{ matrix.os }}
|
|
61
|
+
steps:
|
|
62
|
+
- uses: actions/checkout@v4
|
|
63
|
+
- uses: actions/setup-python@v5
|
|
64
|
+
with: { python-version: '3.12' }
|
|
65
|
+
- name: Build wheel
|
|
66
|
+
uses: PyO3/maturin-action@v1
|
|
67
|
+
with:
|
|
68
|
+
target: ${{ matrix.target }}
|
|
69
|
+
manylinux: ${{ matrix.manylinux || 'auto' }}
|
|
70
|
+
args: --release --out dist --interpreter '3.12'
|
|
71
|
+
sccache: 'true'
|
|
72
|
+
- uses: actions/upload-artifact@v4
|
|
73
|
+
with:
|
|
74
|
+
name: wheels-${{ matrix.target }}
|
|
75
|
+
path: dist/*.whl
|
|
76
|
+
|
|
77
|
+
# ---------- Build sdist ----------
|
|
78
|
+
sdist:
|
|
79
|
+
name: Source distribution
|
|
80
|
+
runs-on: ubuntu-latest
|
|
81
|
+
needs: rust-test
|
|
82
|
+
steps:
|
|
83
|
+
- uses: actions/checkout@v4
|
|
84
|
+
- uses: PyO3/maturin-action@v1
|
|
85
|
+
with:
|
|
86
|
+
command: sdist
|
|
87
|
+
args: --out dist
|
|
88
|
+
- uses: actions/upload-artifact@v4
|
|
89
|
+
with:
|
|
90
|
+
name: sdist
|
|
91
|
+
path: dist/*.tar.gz
|
|
92
|
+
|
|
93
|
+
# ---------- Publish to PyPI on `v*` tag push via OIDC trusted publishing ----------
|
|
94
|
+
publish:
|
|
95
|
+
name: Publish to PyPI
|
|
96
|
+
if: startsWith(github.ref, 'refs/tags/v')
|
|
97
|
+
needs: [parity-linux, build-wheels, sdist]
|
|
98
|
+
runs-on: ubuntu-latest
|
|
99
|
+
environment:
|
|
100
|
+
name: pypi
|
|
101
|
+
url: https://pypi.org/p/opengreeks
|
|
102
|
+
permissions:
|
|
103
|
+
id-token: write
|
|
104
|
+
steps:
|
|
105
|
+
- uses: actions/download-artifact@v4
|
|
106
|
+
with:
|
|
107
|
+
pattern: 'wheels-*'
|
|
108
|
+
path: dist
|
|
109
|
+
merge-multiple: true
|
|
110
|
+
- uses: actions/download-artifact@v4
|
|
111
|
+
with:
|
|
112
|
+
name: sdist
|
|
113
|
+
path: dist
|
|
114
|
+
- name: List artifacts
|
|
115
|
+
run: ls -la dist/
|
|
116
|
+
- name: Publish to PyPI
|
|
117
|
+
uses: pypa/gh-action-pypi-publish@release/v1
|
|
118
|
+
with:
|
|
119
|
+
packages-dir: dist/
|
|
120
|
+
skip-existing: true
|
|
@@ -0,0 +1,63 @@
|
|
|
1
|
+
# ──────────────────────────────────────────────────────────────────────────
|
|
2
|
+
# Rust
|
|
3
|
+
# ──────────────────────────────────────────────────────────────────────────
|
|
4
|
+
target/
|
|
5
|
+
**/target/
|
|
6
|
+
|
|
7
|
+
# Per-crate lockfiles are ignored — the workspace root Cargo.lock is authoritative.
|
|
8
|
+
# (Root Cargo.lock IS committed because we ship cdylib wheels.)
|
|
9
|
+
/black76_rust/Cargo.lock
|
|
10
|
+
/bsm_rust/Cargo.lock
|
|
11
|
+
|
|
12
|
+
# ──────────────────────────────────────────────────────────────────────────
|
|
13
|
+
# Python / maturin
|
|
14
|
+
# ──────────────────────────────────────────────────────────────────────────
|
|
15
|
+
__pycache__/
|
|
16
|
+
*.py[cod]
|
|
17
|
+
*$py.class
|
|
18
|
+
*.so
|
|
19
|
+
*.pyd
|
|
20
|
+
*.egg-info/
|
|
21
|
+
*.egg
|
|
22
|
+
.eggs/
|
|
23
|
+
|
|
24
|
+
# Maturin / build artifacts
|
|
25
|
+
build/
|
|
26
|
+
dist/
|
|
27
|
+
wheels/
|
|
28
|
+
*.whl
|
|
29
|
+
|
|
30
|
+
# Virtual environments
|
|
31
|
+
.venv/
|
|
32
|
+
venv/
|
|
33
|
+
env/
|
|
34
|
+
.env
|
|
35
|
+
|
|
36
|
+
# Testing / type-checking caches
|
|
37
|
+
.pytest_cache/
|
|
38
|
+
.mypy_cache/
|
|
39
|
+
.ruff_cache/
|
|
40
|
+
.tox/
|
|
41
|
+
.coverage
|
|
42
|
+
htmlcov/
|
|
43
|
+
|
|
44
|
+
# ──────────────────────────────────────────────────────────────────────────
|
|
45
|
+
# OS / editor noise
|
|
46
|
+
# ──────────────────────────────────────────────────────────────────────────
|
|
47
|
+
.DS_Store
|
|
48
|
+
Thumbs.db
|
|
49
|
+
*.swp
|
|
50
|
+
*.swo
|
|
51
|
+
*~
|
|
52
|
+
|
|
53
|
+
# VS Code (keep .vscode/ if the team wants shared settings; right now we don't)
|
|
54
|
+
.vscode/
|
|
55
|
+
.VSCodeCounter/
|
|
56
|
+
|
|
57
|
+
# JetBrains
|
|
58
|
+
.idea/
|
|
59
|
+
|
|
60
|
+
# ──────────────────────────────────────────────────────────────────────────
|
|
61
|
+
# Local tooling
|
|
62
|
+
# ──────────────────────────────────────────────────────────────────────────
|
|
63
|
+
.claude/
|
|
@@ -0,0 +1,282 @@
|
|
|
1
|
+
# This file is automatically @generated by Cargo.
|
|
2
|
+
# It is not intended for manual editing.
|
|
3
|
+
version = 3
|
|
4
|
+
|
|
5
|
+
[[package]]
|
|
6
|
+
name = "autocfg"
|
|
7
|
+
version = "1.5.0"
|
|
8
|
+
source = "registry+https://github.com/rust-lang/crates.io-index"
|
|
9
|
+
checksum = "c08606f8c3cbf4ce6ec8e28fb0014a2c086708fe954eaa885384a6165172e7e8"
|
|
10
|
+
|
|
11
|
+
[[package]]
|
|
12
|
+
name = "black76_rust"
|
|
13
|
+
version = "0.1.0"
|
|
14
|
+
|
|
15
|
+
[[package]]
|
|
16
|
+
name = "bsm_rust"
|
|
17
|
+
version = "0.1.0"
|
|
18
|
+
dependencies = [
|
|
19
|
+
"black76_rust",
|
|
20
|
+
]
|
|
21
|
+
|
|
22
|
+
[[package]]
|
|
23
|
+
name = "cfg-if"
|
|
24
|
+
version = "1.0.4"
|
|
25
|
+
source = "registry+https://github.com/rust-lang/crates.io-index"
|
|
26
|
+
checksum = "9330f8b2ff13f34540b44e946ef35111825727b38d33286ef986142615121801"
|
|
27
|
+
|
|
28
|
+
[[package]]
|
|
29
|
+
name = "heck"
|
|
30
|
+
version = "0.5.0"
|
|
31
|
+
source = "registry+https://github.com/rust-lang/crates.io-index"
|
|
32
|
+
checksum = "2304e00983f87ffb38b55b444b5e3b60a884b5d30c0fca7d82fe33449bbe55ea"
|
|
33
|
+
|
|
34
|
+
[[package]]
|
|
35
|
+
name = "indoc"
|
|
36
|
+
version = "2.0.7"
|
|
37
|
+
source = "registry+https://github.com/rust-lang/crates.io-index"
|
|
38
|
+
checksum = "79cf5c93f93228cf8efb3ba362535fb11199ac548a09ce117c9b1adc3030d706"
|
|
39
|
+
dependencies = [
|
|
40
|
+
"rustversion",
|
|
41
|
+
]
|
|
42
|
+
|
|
43
|
+
[[package]]
|
|
44
|
+
name = "libc"
|
|
45
|
+
version = "0.2.186"
|
|
46
|
+
source = "registry+https://github.com/rust-lang/crates.io-index"
|
|
47
|
+
checksum = "68ab91017fe16c622486840e4c83c9a37afeff978bd239b5293d61ece587de66"
|
|
48
|
+
|
|
49
|
+
[[package]]
|
|
50
|
+
name = "matrixmultiply"
|
|
51
|
+
version = "0.3.10"
|
|
52
|
+
source = "registry+https://github.com/rust-lang/crates.io-index"
|
|
53
|
+
checksum = "a06de3016e9fae57a36fd14dba131fccf49f74b40b7fbdb472f96e361ec71a08"
|
|
54
|
+
dependencies = [
|
|
55
|
+
"autocfg",
|
|
56
|
+
"rawpointer",
|
|
57
|
+
]
|
|
58
|
+
|
|
59
|
+
[[package]]
|
|
60
|
+
name = "memoffset"
|
|
61
|
+
version = "0.9.1"
|
|
62
|
+
source = "registry+https://github.com/rust-lang/crates.io-index"
|
|
63
|
+
checksum = "488016bfae457b036d996092f6cb448677611ce4449e970ceaf42695203f218a"
|
|
64
|
+
dependencies = [
|
|
65
|
+
"autocfg",
|
|
66
|
+
]
|
|
67
|
+
|
|
68
|
+
[[package]]
|
|
69
|
+
name = "ndarray"
|
|
70
|
+
version = "0.16.1"
|
|
71
|
+
source = "registry+https://github.com/rust-lang/crates.io-index"
|
|
72
|
+
checksum = "882ed72dce9365842bf196bdeedf5055305f11fc8c03dee7bb0194a6cad34841"
|
|
73
|
+
dependencies = [
|
|
74
|
+
"matrixmultiply",
|
|
75
|
+
"num-complex",
|
|
76
|
+
"num-integer",
|
|
77
|
+
"num-traits",
|
|
78
|
+
"portable-atomic",
|
|
79
|
+
"portable-atomic-util",
|
|
80
|
+
"rawpointer",
|
|
81
|
+
]
|
|
82
|
+
|
|
83
|
+
[[package]]
|
|
84
|
+
name = "num-complex"
|
|
85
|
+
version = "0.4.6"
|
|
86
|
+
source = "registry+https://github.com/rust-lang/crates.io-index"
|
|
87
|
+
checksum = "73f88a1307638156682bada9d7604135552957b7818057dcef22705b4d509495"
|
|
88
|
+
dependencies = [
|
|
89
|
+
"num-traits",
|
|
90
|
+
]
|
|
91
|
+
|
|
92
|
+
[[package]]
|
|
93
|
+
name = "num-integer"
|
|
94
|
+
version = "0.1.46"
|
|
95
|
+
source = "registry+https://github.com/rust-lang/crates.io-index"
|
|
96
|
+
checksum = "7969661fd2958a5cb096e56c8e1ad0444ac2bbcd0061bd28660485a44879858f"
|
|
97
|
+
dependencies = [
|
|
98
|
+
"num-traits",
|
|
99
|
+
]
|
|
100
|
+
|
|
101
|
+
[[package]]
|
|
102
|
+
name = "num-traits"
|
|
103
|
+
version = "0.2.19"
|
|
104
|
+
source = "registry+https://github.com/rust-lang/crates.io-index"
|
|
105
|
+
checksum = "071dfc062690e90b734c0b2273ce72ad0ffa95f0c74596bc250dcfd960262841"
|
|
106
|
+
dependencies = [
|
|
107
|
+
"autocfg",
|
|
108
|
+
]
|
|
109
|
+
|
|
110
|
+
[[package]]
|
|
111
|
+
name = "numpy"
|
|
112
|
+
version = "0.22.1"
|
|
113
|
+
source = "registry+https://github.com/rust-lang/crates.io-index"
|
|
114
|
+
checksum = "edb929bc0da91a4d85ed6c0a84deaa53d411abfb387fc271124f91bf6b89f14e"
|
|
115
|
+
dependencies = [
|
|
116
|
+
"libc",
|
|
117
|
+
"ndarray",
|
|
118
|
+
"num-complex",
|
|
119
|
+
"num-integer",
|
|
120
|
+
"num-traits",
|
|
121
|
+
"pyo3",
|
|
122
|
+
"rustc-hash",
|
|
123
|
+
]
|
|
124
|
+
|
|
125
|
+
[[package]]
|
|
126
|
+
name = "once_cell"
|
|
127
|
+
version = "1.21.4"
|
|
128
|
+
source = "registry+https://github.com/rust-lang/crates.io-index"
|
|
129
|
+
checksum = "9f7c3e4beb33f85d45ae3e3a1792185706c8e16d043238c593331cc7cd313b50"
|
|
130
|
+
|
|
131
|
+
[[package]]
|
|
132
|
+
name = "opengreeks-py"
|
|
133
|
+
version = "0.1.0"
|
|
134
|
+
dependencies = [
|
|
135
|
+
"black76_rust",
|
|
136
|
+
"bsm_rust",
|
|
137
|
+
"numpy",
|
|
138
|
+
"pyo3",
|
|
139
|
+
]
|
|
140
|
+
|
|
141
|
+
[[package]]
|
|
142
|
+
name = "portable-atomic"
|
|
143
|
+
version = "1.13.1"
|
|
144
|
+
source = "registry+https://github.com/rust-lang/crates.io-index"
|
|
145
|
+
checksum = "c33a9471896f1c69cecef8d20cbe2f7accd12527ce60845ff44c153bb2a21b49"
|
|
146
|
+
|
|
147
|
+
[[package]]
|
|
148
|
+
name = "portable-atomic-util"
|
|
149
|
+
version = "0.2.7"
|
|
150
|
+
source = "registry+https://github.com/rust-lang/crates.io-index"
|
|
151
|
+
checksum = "c2a106d1259c23fac8e543272398ae0e3c0b8d33c88ed73d0cc71b0f1d902618"
|
|
152
|
+
dependencies = [
|
|
153
|
+
"portable-atomic",
|
|
154
|
+
]
|
|
155
|
+
|
|
156
|
+
[[package]]
|
|
157
|
+
name = "proc-macro2"
|
|
158
|
+
version = "1.0.106"
|
|
159
|
+
source = "registry+https://github.com/rust-lang/crates.io-index"
|
|
160
|
+
checksum = "8fd00f0bb2e90d81d1044c2b32617f68fcb9fa3bb7640c23e9c748e53fb30934"
|
|
161
|
+
dependencies = [
|
|
162
|
+
"unicode-ident",
|
|
163
|
+
]
|
|
164
|
+
|
|
165
|
+
[[package]]
|
|
166
|
+
name = "pyo3"
|
|
167
|
+
version = "0.22.6"
|
|
168
|
+
source = "registry+https://github.com/rust-lang/crates.io-index"
|
|
169
|
+
checksum = "f402062616ab18202ae8319da13fa4279883a2b8a9d9f83f20dbade813ce1884"
|
|
170
|
+
dependencies = [
|
|
171
|
+
"cfg-if",
|
|
172
|
+
"indoc",
|
|
173
|
+
"libc",
|
|
174
|
+
"memoffset",
|
|
175
|
+
"once_cell",
|
|
176
|
+
"portable-atomic",
|
|
177
|
+
"pyo3-build-config",
|
|
178
|
+
"pyo3-ffi",
|
|
179
|
+
"pyo3-macros",
|
|
180
|
+
"unindent",
|
|
181
|
+
]
|
|
182
|
+
|
|
183
|
+
[[package]]
|
|
184
|
+
name = "pyo3-build-config"
|
|
185
|
+
version = "0.22.6"
|
|
186
|
+
source = "registry+https://github.com/rust-lang/crates.io-index"
|
|
187
|
+
checksum = "b14b5775b5ff446dd1056212d778012cbe8a0fbffd368029fd9e25b514479c38"
|
|
188
|
+
dependencies = [
|
|
189
|
+
"once_cell",
|
|
190
|
+
"target-lexicon",
|
|
191
|
+
]
|
|
192
|
+
|
|
193
|
+
[[package]]
|
|
194
|
+
name = "pyo3-ffi"
|
|
195
|
+
version = "0.22.6"
|
|
196
|
+
source = "registry+https://github.com/rust-lang/crates.io-index"
|
|
197
|
+
checksum = "9ab5bcf04a2cdcbb50c7d6105de943f543f9ed92af55818fd17b660390fc8636"
|
|
198
|
+
dependencies = [
|
|
199
|
+
"libc",
|
|
200
|
+
"pyo3-build-config",
|
|
201
|
+
]
|
|
202
|
+
|
|
203
|
+
[[package]]
|
|
204
|
+
name = "pyo3-macros"
|
|
205
|
+
version = "0.22.6"
|
|
206
|
+
source = "registry+https://github.com/rust-lang/crates.io-index"
|
|
207
|
+
checksum = "0fd24d897903a9e6d80b968368a34e1525aeb719d568dba8b3d4bfa5dc67d453"
|
|
208
|
+
dependencies = [
|
|
209
|
+
"proc-macro2",
|
|
210
|
+
"pyo3-macros-backend",
|
|
211
|
+
"quote",
|
|
212
|
+
"syn",
|
|
213
|
+
]
|
|
214
|
+
|
|
215
|
+
[[package]]
|
|
216
|
+
name = "pyo3-macros-backend"
|
|
217
|
+
version = "0.22.6"
|
|
218
|
+
source = "registry+https://github.com/rust-lang/crates.io-index"
|
|
219
|
+
checksum = "36c011a03ba1e50152b4b394b479826cad97e7a21eb52df179cd91ac411cbfbe"
|
|
220
|
+
dependencies = [
|
|
221
|
+
"heck",
|
|
222
|
+
"proc-macro2",
|
|
223
|
+
"pyo3-build-config",
|
|
224
|
+
"quote",
|
|
225
|
+
"syn",
|
|
226
|
+
]
|
|
227
|
+
|
|
228
|
+
[[package]]
|
|
229
|
+
name = "quote"
|
|
230
|
+
version = "1.0.45"
|
|
231
|
+
source = "registry+https://github.com/rust-lang/crates.io-index"
|
|
232
|
+
checksum = "41f2619966050689382d2b44f664f4bc593e129785a36d6ee376ddf37259b924"
|
|
233
|
+
dependencies = [
|
|
234
|
+
"proc-macro2",
|
|
235
|
+
]
|
|
236
|
+
|
|
237
|
+
[[package]]
|
|
238
|
+
name = "rawpointer"
|
|
239
|
+
version = "0.2.1"
|
|
240
|
+
source = "registry+https://github.com/rust-lang/crates.io-index"
|
|
241
|
+
checksum = "60a357793950651c4ed0f3f52338f53b2f809f32d83a07f72909fa13e4c6c1e3"
|
|
242
|
+
|
|
243
|
+
[[package]]
|
|
244
|
+
name = "rustc-hash"
|
|
245
|
+
version = "1.1.0"
|
|
246
|
+
source = "registry+https://github.com/rust-lang/crates.io-index"
|
|
247
|
+
checksum = "08d43f7aa6b08d49f382cde6a7982047c3426db949b1424bc4b7ec9ae12c6ce2"
|
|
248
|
+
|
|
249
|
+
[[package]]
|
|
250
|
+
name = "rustversion"
|
|
251
|
+
version = "1.0.22"
|
|
252
|
+
source = "registry+https://github.com/rust-lang/crates.io-index"
|
|
253
|
+
checksum = "b39cdef0fa800fc44525c84ccb54a029961a8215f9619753635a9c0d2538d46d"
|
|
254
|
+
|
|
255
|
+
[[package]]
|
|
256
|
+
name = "syn"
|
|
257
|
+
version = "2.0.117"
|
|
258
|
+
source = "registry+https://github.com/rust-lang/crates.io-index"
|
|
259
|
+
checksum = "e665b8803e7b1d2a727f4023456bbbbe74da67099c585258af0ad9c5013b9b99"
|
|
260
|
+
dependencies = [
|
|
261
|
+
"proc-macro2",
|
|
262
|
+
"quote",
|
|
263
|
+
"unicode-ident",
|
|
264
|
+
]
|
|
265
|
+
|
|
266
|
+
[[package]]
|
|
267
|
+
name = "target-lexicon"
|
|
268
|
+
version = "0.12.16"
|
|
269
|
+
source = "registry+https://github.com/rust-lang/crates.io-index"
|
|
270
|
+
checksum = "61c41af27dd6d1e27b1b16b489db798443478cef1f06a660c96db617ba5de3b1"
|
|
271
|
+
|
|
272
|
+
[[package]]
|
|
273
|
+
name = "unicode-ident"
|
|
274
|
+
version = "1.0.24"
|
|
275
|
+
source = "registry+https://github.com/rust-lang/crates.io-index"
|
|
276
|
+
checksum = "e6e4313cd5fcd3dad5cafa179702e2b244f760991f45397d14d4ebf38247da75"
|
|
277
|
+
|
|
278
|
+
[[package]]
|
|
279
|
+
name = "unindent"
|
|
280
|
+
version = "0.2.4"
|
|
281
|
+
source = "registry+https://github.com/rust-lang/crates.io-index"
|
|
282
|
+
checksum = "7264e107f553ccae879d21fbea1d6724ac785e8c3bfc762137959b5802826ef3"
|
|
@@ -0,0 +1,30 @@
|
|
|
1
|
+
[workspace]
|
|
2
|
+
resolver = "2"
|
|
3
|
+
members = ["black76_rust", "bsm_rust"]
|
|
4
|
+
# Future pure-Rust pricing model crates slot in here:
|
|
5
|
+
# "heston_rust", "sabr_rust", ...
|
|
6
|
+
|
|
7
|
+
[package]
|
|
8
|
+
name = "opengreeks-py"
|
|
9
|
+
version = "0.1.0"
|
|
10
|
+
edition = "2021"
|
|
11
|
+
rust-version = "1.75"
|
|
12
|
+
description = "PyO3 bindings — Rust option pricing models exposed as the `opengreeks` Python package"
|
|
13
|
+
license = "MIT"
|
|
14
|
+
publish = false
|
|
15
|
+
readme = "README.md"
|
|
16
|
+
|
|
17
|
+
[lib]
|
|
18
|
+
name = "_opengreeks"
|
|
19
|
+
crate-type = ["cdylib"]
|
|
20
|
+
|
|
21
|
+
[dependencies]
|
|
22
|
+
black76_rust = { path = "black76_rust" }
|
|
23
|
+
bsm_rust = { path = "bsm_rust" }
|
|
24
|
+
pyo3 = { version = "0.22", features = ["extension-module", "abi3-py39"] }
|
|
25
|
+
numpy = "0.22"
|
|
26
|
+
|
|
27
|
+
[profile.release]
|
|
28
|
+
lto = "fat"
|
|
29
|
+
codegen-units = 1
|
|
30
|
+
opt-level = 3
|
opengreeks-0.1.0/LICENSE
ADDED
|
@@ -0,0 +1,21 @@
|
|
|
1
|
+
MIT License
|
|
2
|
+
|
|
3
|
+
Copyright (c) 2026 Marketcalls / Rajandran R
|
|
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.
|