fix: fix discount factor for Bachelier backend

avhz · Oct 1, 2024 · 1c66875 · 1c66875
1 parent c6e7d7f
commit 1c66875
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Showing 8 changed files with 45 additions and 122 deletions.
diff --git a/Cargo.toml b/Cargo.toml
@@ -62,10 +62,9 @@ argmin-math = "0.4.0"       # https://docs.rs/argmin-math/latest/argmin_math/
 derive_builder = "0.20.0"   # https://docs.rs/derive_builder/latest/derive_builder/
 errorfunctions = "0.2.0"    # https://docs.rs/errorfunctions/latest/errorfunctions/
 nalgebra = "0.33.0"         # https://docs.rs/nalgebra/latest/nalgebra/
-ndarray = "0.16.1"          # https://docs.rs/ndarray/latest/ndarray/
 ndrustfft = "0.4.0"         # https://docs.rs/ndrustfft/latest/ndrustfft/
 ndarray-rand = "0.14.0"     # https://docs.rs/ndarray-rand/latest/ndarray_rand/
-plotly = "0.10.0"            # https://docs.rs/plotly/latest/plotly/
+plotly = "0.10.0"           # https://docs.rs/plotly/latest/plotly/
 plotters = "0.3.5"          # https://docs.rs/plotters/latest/plotters/
 rand = "0.8.5"              # https://docs.rs/rand/latest/rand/
 rand_distr = "0.4.3"        # https://docs.rs/rand_distr/latest/rand_distr/
@@ -76,6 +75,8 @@ thiserror = "1.0.57"        # https://docs.rs/thiserror/latest/thiserror/
 yahoo_finance_api = "2.1.0" # https://docs.rs/yahoo-finance-api/latest/yahoo_finance_api/
 tokio-test = "0.4.3"        # https://docs.rs/tokio-test/latest/tokio_test/
 
+# https://docs.rs/ndarray/latest/ndarray/
+ndarray = { version = "0.16.1", features = ["rayon"] }
 
 # https://docs.rs/num/latest/num/
 num = { version = "0.4.1", features = ["rand"] }

diff --git a/book/src/Modules/data/curves.md b/book/src/Modules/data/curves.md
@@ -8,32 +8,3 @@ Curves can be fit to market data. Here we include an example of a spot curve bei
 {{#include ../../../../examples/curves_spot.rs}}
 ```
 
-
-<table>
-<tr>
-<th> Good </th>
-<th> Bad </th>
-</tr>
-<tr>
-<td>
-
-```rust
-int foo() {
-    int result = 4;
-    return result;
-}
-```
-
-</td>
-<td>
-
-```rust
-int foo() { 
-    int x = 4;
-    return x;
-}
-```
-
-</td>
-</tr>
-</table>
diff --git a/pyproject.toml b/pyproject.toml
@@ -1,10 +1,3 @@
-[build-system]
-requires = ["maturin>=1.6,<2.0"]
-build-backend = "maturin"
-
-[tool.maturin]
-features = ["pyo3/extension-module"]
-
 [project]
 name = "RustQuant"
 requires-python = ">=3.8"
@@ -14,3 +7,10 @@ classifiers = [
     "Programming Language :: Python :: Implementation :: CPython",
     "Programming Language :: Python :: Implementation :: PyPy",
 ]
+
+[build-system]
+requires = ["maturin>=1.7,<2.0"]
+build-backend = "maturin"
+
+[tool.maturin]
+features = ["pyo3/extension-module"]
diff --git a/src/data/yahoo.rs b/src/data/yahoo.rs
@@ -10,13 +10,12 @@
 //! Module to fetch data from Yahoo! Finance,
 //! and store it in a Polars DataFrame object.
 
+use crate::error::RustQuantError;
 use polars::prelude::*;
 use time::OffsetDateTime;
 use yahoo::YahooError;
 use yahoo_finance_api as yahoo;
 
-use crate::error::RustQuantError;
-
 // ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
 // STRUCTS, TRAITS, AND ENUMS
 // ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
@@ -209,7 +208,7 @@ impl YahooFinanceReader for YahooFinanceData {
         let adjclose = quotes.iter().map(|q| q.adjclose).collect::<Vec<_>>();
 
         let df = df!(
-            "date" => Series::new("date", date).cast(&DataType::Date)?,
+            "date" => Series::new("date".into(), date).cast(&DataType::Date)?,
             "open" => open,
             "high" => high,
             "low" => low,
@@ -266,7 +265,7 @@ impl YahooFinanceReader for YahooFinanceData {
         let df = df!(
             "contract" => contract,
             "strike" => strike,
-            "last_trade_date" => Series::new("last_trade_date", last_trade_date)
+            "last_trade_date" => Series::new("last_trade_date".into(), last_trade_date)
                 .cast(&DataType::Date)
                 ?,
             "last_price" => last_price,

diff --git a/src/pricer/backends/bachelier.rs b/src/pricer/backends/bachelier.rs
@@ -153,12 +153,13 @@ impl ModifiedBachelier {
         );
 
         let d1 = (S - K) / (v * T.sqrt());
+        let df = (-r * T).exp();
 
         let n = Gaussian::default();
 
         match self.option_type {
-            TypeFlag::Call => ((S - K) * (-r * T).exp()) * n.cdf(d1) + v * T.sqrt() * n.pdf(d1),
-            TypeFlag::Put => ((K - S) * (-r * T).exp()) * n.cdf(-d1) + v * T.sqrt() * n.pdf(-d1),
+            TypeFlag::Call => df * ((S - K) * n.cdf(d1) + v * T.sqrt() * n.pdf(d1)),
+            TypeFlag::Put => df * ((K - S) * n.cdf(-d1) + v * T.sqrt() * n.pdf(-d1)),
         }
     }
 }

diff --git a/src/stochastics/fractional_brownian_motion.rs b/src/stochastics/fractional_brownian_motion.rs
@@ -121,16 +121,21 @@ impl FractionalBrownianMotion {
         }
         let r_fft = FftHandler::new(r.len());
         let mut sqrt_eigenvalues = Array1::<Complex<f64>>::zeros(r.len());
+
         ndfft_par(&data, &mut sqrt_eigenvalues, &r_fft, 0);
+
         sqrt_eigenvalues.par_mapv_inplace(|x| Complex::new((x.re / (2.0 * n as f64)).sqrt(), x.im));
+
         let rnd = Array1::<Complex<f64>>::random(
             2 * n,
             ComplexDistribution::new(StandardNormal, StandardNormal),
         );
         let fgn = &sqrt_eigenvalues * &rnd;
         let fft_handler = FftHandler::new(2 * n);
         let mut fgn_fft = Array1::<Complex<f64>>::zeros(2 * n);
+
         ndfft_par(&fgn, &mut fgn_fft, &fft_handler, 0);
+
         let fgn = fgn_fft
             .slice(s![1..n + 1])
             .mapv(|x: Complex<f64>| (x.re * (n as f64).powf(-self.hurst)) * t_n.powf(self.hurst));

diff --git a/src/time/countries/custom_calendar.rs b/src/time/countries/custom_calendar.rs
diff --git a/src/time/countries/mod.rs b/src/time/countries/mod.rs
@@ -7,77 +7,74 @@
 //      - LICENSE-MIT.md
 // ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
 
-//! This module defines calendars and holidays for different countries.
-
-/// This module defines a custom calendar type.
-pub mod custom_calendar;
+//! calendars and holidays for different countries.
 
 /// Calendars implemented for African countries.
 pub mod africa {
-    /// This module defines Botswana holidays and calendars.
+    /// Botswana holidays and calendars.
     pub mod botswana;
 }
 
 /// Calendars implemented for Asian countries.
 pub mod asia {
-    /// This module defines China holidays and calendars.
+    /// China holidays and calendars.
     pub mod china;
-    /// This module defines Hong Kong holidays and calendars.
+    /// Hong Kong holidays and calendars.
     pub mod hong_kong;
-    /// This module defines India holidays and calendars.
+    /// India holidays and calendars.
     pub mod india;
-    /// This module defines Indonesia holidays and calendars.
+    /// Indonesia holidays and calendars.
     pub mod indonesia;
-    /// This module defines Singapore holidays and calendars.
+    /// Singapore holidays and calendars.
     pub mod singapore;
 }
 
 /// Calendars implemented for European countries.
 pub mod europe {
-    /// This module defines Austria holidays and calendars.
+    /// Austria holidays and calendars.
     pub mod austria;
-    /// This module defines Czech Republic holidays and calendars.
+    /// Czech Republic holidays and calendars.
     pub mod czech_republic;
-    /// This module defines Denmark holidays and calendars.
+    /// Denmark holidays and calendars.
     pub mod denmark;
-    /// This module defines Finland holidays and calendars.
+    /// Finland holidays and calendars.
     pub mod finland;
-    /// This module defines France holidays and calendars.
+    /// France holidays and calendars.
     pub mod france;
-    /// This module defines Germany holidays and calendars.
+    /// Germany holidays and calendars.
     pub mod germany;
-    /// This module defines Hungary holidays and calendars.
+    /// Hungary holidays and calendars.
     pub mod hungary;
-    /// This module defines Iceland holidays and calendars.
+    /// Iceland holidays and calendars.
     pub mod iceland;
-    /// This module defines Netherlands holidays and calendars.
+    /// Netherlands holidays and calendars.
     pub mod netherlands;
-    /// This module defines United Kingdom holidays and calendars.
+    /// United Kingdom holidays and calendars.
     pub mod united_kingdom;
 }
 
 /// Calendars implemented for North American countries.
 pub mod north_america {
-    /// This module defines Canada holidays and calendars.
+    /// Canada holidays and calendars.
     pub mod canada;
-    /// This module defines United States holidays and calendars.
+    /// United States holidays and calendars.
     pub mod united_states;
 }
 
 /// Calendars implemented for Oceanian countries.
 pub mod oceania {
-    /// This module defines Australia holidays and calendars.
+    /// Australia holidays and calendars.
     pub mod australia;
-    /// This module defines New Zealand holidays and calendars.
+    /// New Zealand holidays and calendars.
     pub mod new_zealand;
 }
 
 /// Calendars implemented for South American countries.
 pub mod south_america {
-    /// This module defines Argentina holidays and calendars.
+    /// Argentina holidays and calendars.
     pub mod argentina;
-    /// This module defines Brazil holidays and calendars.
+    /// Brazil holidays and calendars.
     pub mod brazil;
-    /// This module defines Chile holidays and calendars.
+    /// Chile holidays and calendars.
     pub mod chile;
 }