nautilus_model/python/data/
greeks.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2026 Nautech Systems Pty Ltd. All rights reserved.
3//  https://nautechsystems.io
4//
5//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
6//  You may not use this file except in compliance with the License.
7//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
8//
9//  Unless required by applicable law or agreed to in writing, software
10//  distributed under the License is distributed on an "AS IS" BASIS,
11//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12//  See the License for the specific language governing permissions and
13//  limitations under the License.
14// -------------------------------------------------------------------------------------------------
15
16use pyo3::prelude::*;
17
18use crate::data::greeks::{
19    BlackScholesGreeksResult, black_scholes_greeks, imply_vol, imply_vol_and_greeks,
20    refine_vol_and_greeks,
21};
22
23#[cfg(feature = "python")]
24#[pymethods]
25impl BlackScholesGreeksResult {
26    #[getter]
27    fn price(&self) -> f64 {
28        self.price
29    }
30
31    #[getter]
32    fn vol(&self) -> f64 {
33        self.vol
34    }
35
36    #[getter]
37    fn delta(&self) -> f64 {
38        self.delta
39    }
40
41    #[getter]
42    fn gamma(&self) -> f64 {
43        self.gamma
44    }
45
46    #[getter]
47    fn vega(&self) -> f64 {
48        self.vega
49    }
50
51    #[getter]
52    fn theta(&self) -> f64 {
53        self.theta
54    }
55
56    #[getter]
57    fn itm_prob(&self) -> f64 {
58        self.itm_prob
59    }
60}
61
62/// Computes Black-Scholes greeks for given parameters using the fast compute_greeks implementation.
63///
64/// # Errors
65///
66/// Returns a `PyErr` if the greeks calculation fails.
67#[pyfunction]
68#[pyo3(name = "black_scholes_greeks")]
69#[allow(clippy::too_many_arguments)]
70pub fn py_black_scholes_greeks(
71    s: f64,
72    r: f64,
73    b: f64,
74    vol: f64,
75    is_call: bool,
76    k: f64,
77    t: f64,
78) -> PyResult<BlackScholesGreeksResult> {
79    Ok(black_scholes_greeks(s, r, b, vol, is_call, k, t))
80}
81
82/// Computes the implied volatility for an option given its parameters and market price.
83///
84/// # Errors
85///
86/// Returns a `PyErr` if implied volatility calculation fails.
87#[pyfunction]
88#[pyo3(name = "imply_vol")]
89pub fn py_imply_vol(
90    s: f64,
91    r: f64,
92    b: f64,
93    is_call: bool,
94    k: f64,
95    t: f64,
96    price: f64,
97) -> PyResult<f64> {
98    let vol = imply_vol(s, r, b, is_call, k, t, price);
99    Ok(vol)
100}
101
102/// Computes implied volatility and option greeks for given parameters and market price.
103/// This function uses compute_greeks after implying volatility.
104///
105/// # Errors
106///
107/// Returns a `PyErr` if calculation fails.
108#[pyfunction]
109#[pyo3(name = "imply_vol_and_greeks")]
110#[allow(clippy::too_many_arguments)]
111pub fn py_imply_vol_and_greeks(
112    s: f64,
113    r: f64,
114    b: f64,
115    is_call: bool,
116    k: f64,
117    t: f64,
118    price: f64,
119) -> PyResult<BlackScholesGreeksResult> {
120    Ok(imply_vol_and_greeks(s, r, b, is_call, k, t, price))
121}
122
123/// Refines implied volatility using an initial guess and computes greeks.
124/// This function uses compute_iv_and_greeks which performs a Halley iteration
125/// to refine the volatility estimate from an initial guess.
126///
127/// # Errors
128///
129/// Returns a `PyErr` if calculation fails.
130#[pyfunction]
131#[pyo3(name = "refine_vol_and_greeks")]
132#[allow(clippy::too_many_arguments)]
133pub fn py_refine_vol_and_greeks(
134    s: f64,
135    r: f64,
136    b: f64,
137    is_call: bool,
138    k: f64,
139    t: f64,
140    target_price: f64,
141    initial_vol: f64,
142) -> PyResult<BlackScholesGreeksResult> {
143    Ok(refine_vol_and_greeks(
144        s,
145        r,
146        b,
147        is_call,
148        k,
149        t,
150        target_price,
151        initial_vol,
152    ))
153}
nautilus_model/python/data/greeks.rs

nautilus_model/python/data/
greeks.rs
