#271: temp fix for Polars/hashbrown issue

avhz · Oct 16, 2024 · 287946a · 287946a
1 parent 1c66875
commit 287946a
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Showing 26 changed files with 99 additions and 243 deletions.
diff --git a/Cargo.toml b/Cargo.toml
@@ -62,8 +62,8 @@ 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/
-ndrustfft = "0.4.0"         # https://docs.rs/ndrustfft/latest/ndrustfft/
-ndarray-rand = "0.14.0"     # https://docs.rs/ndarray-rand/latest/ndarray_rand/
+ndrustfft = "0.5.0"         # https://docs.rs/ndrustfft/latest/ndrustfft/
+ndarray-rand = "0.15.0"     # https://docs.rs/ndarray-rand/latest/ndarray_rand/
 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/
@@ -72,7 +72,7 @@ rayon = "1.9.0"             # https://docs.rs/rayon/latest/rayon/
 rust_decimal = "1.34.3"     # https://docs.rs/rust_decimal/latest/rust_decimal/
 statrs = "0.17.1"           # https://docs.rs/statrs/latest/statrs/
 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/
+yahoo_finance_api = "2.3.0" # 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/
@@ -90,6 +90,9 @@ polars = { version = "0.43.1", features = ["docs-selection"] }
 # https://docs.rs/uuid/latest/uuid/
 uuid = { version = "1.10.0", features = ["v4", "fast-rng"] }
 
+# https://docs.rs/serde/latest/hashbrown/
+# Remove when Polars is updated, since we don't use it directly.
+hashbrown = { version = "=0.14.5", features = ["raw"] }
 
 [dev-dependencies]
 finitediff = "0.1.4" # https://docs.rs/finitediff/latest/finitediff/

diff --git a/examples/market_data.rs b/examples/market_data.rs
@@ -1,5 +1,4 @@
-use RustQuant::pricer::MarketData;
-use RustQuant::pricer::MarketDataBuilder;
+use RustQuant::data::{MarketData, MarketDataBuilder};
 use RustQuant::time::oceania::australia::AustraliaCalendar;
 
 fn main() {

diff --git a/examples/monte_carlo_pricing.rs b/examples/monte_carlo_pricing.rs
@@ -15,7 +15,7 @@ use RustQuant::instruments::options::AsianOption;
 use RustQuant::instruments::options::OptionContractBuilder;
 use RustQuant::instruments::BarrierOption;
 use RustQuant::models::geometric_brownian_motion::GeometricBrownianMotion;
-use RustQuant::pricer::MonteCarloPricer;
+use RustQuant::pricing::MonteCarloPricer;
 use RustQuant::stochastics::StochasticProcessConfig;
 
 fn main() {

diff --git a/src/pricer/context_data.rs → src/data/context_data.rs b/src/pricer/context_data.rs → src/data/context_data.rs
diff --git a/src/pricer/market_data.rs → src/data/market_data.rs b/src/pricer/market_data.rs → src/data/market_data.rs
diff --git a/src/data/mod.rs b/src/data/mod.rs
@@ -120,6 +120,14 @@ pub use yahoo::*;
 pub mod curves;
 pub use curves::*;
 
+/// Market data structures and implementations.
+pub mod market_data;
+pub use market_data::*;
+
+/// Context data structures and implementations.
+pub mod context_data;
+pub use context_data::*;
+
 // /// Base surface data structure and implementations.
 // /// Surfaces are simply [Curve]s with an additional dimension.
 // /// For example, a volatility surface is a function of time and strike/moneyness.

diff --git a/src/data/yahoo.rs b/src/data/yahoo.rs
@@ -52,8 +52,10 @@ pub enum ReturnsType {
 pub trait YahooFinanceReader {
     /// Retrieves the price history from Yahoo! Finance.
     fn get_price_history(&mut self) -> Result<(), RustQuantError>;
-    /// Retrieves the options chain from Yahoo! Finance.
-    fn get_options_chain(&mut self) -> Result<(), RustQuantError>;
+
+    // /// Retrieves the options chain from Yahoo! Finance.
+    // fn get_options_chain(&mut self) -> Result<(), RustQuantError>;
+
     /// Retrieves the latest quote from Yahoo! Finance.
     fn get_latest_quote(&mut self) -> Result<(), RustQuantError>;
 }
@@ -222,69 +224,75 @@ impl YahooFinanceReader for YahooFinanceData {
         Ok(())
     }
 
-    fn get_options_chain(&mut self) -> Result<(), RustQuantError> {
-        let provider = yahoo::YahooConnector::new()?;
-        let response = tokio_test::block_on(provider.search_options(self.ticker.as_ref().ok_or(
-            RustQuantError::MissingInput("No ticker provided.".to_string()),
-        )?))?;
-
-        let options = response.options;
-
-        // YOptionResult { name: "AAPL230526C00250000", strike: 250.0, last_trade_date: "2023-05-25 3:12PM EDT",
-        //                 last_price: 250.0, bid: 250.0, ask: 250.0, change: 250.0, change_pct: 250.0,
-        //                 volume: 0, open_interest: 0, impl_volatility: 250.0 }
-
-        // CANNOT IMPLEMENT THIS YET, BECAUSE THE YAHOO FINANCE API
-        // DOES NOT RETURN THE CORRECT OPTIONS CHAIN.
-        // Issue opened: https://github.com/xemwebe/yahoo_finance_api/issues/28
-        // Pull request opened: https://github.com/xemwebe/yahoo_finance_api/pull/29
-        // Pull request was merged.
-        // Now we need to wait for the next release of the yahoo_finance_api crate.
-
-        let contract = options.iter().map(|o| o.name.clone()).collect::<Vec<_>>();
-        let strike = options.iter().map(|o| o.strike).collect::<Vec<_>>();
-        let last_trade_date = options
-            .iter()
-            .map(|o| o.last_trade_date.clone()) //(o.last_trade_date / (24 * 60 * 60)) as i32)
-            .collect::<Vec<_>>();
-        let last_price = options.iter().map(|o| o.last_price).collect::<Vec<_>>();
-        let bid = options.iter().map(|o| o.bid).collect::<Vec<_>>();
-        let ask = options.iter().map(|o| o.ask).collect::<Vec<_>>();
-        let change = options.iter().map(|o| o.change).collect::<Vec<_>>();
-        let change_pct = options.iter().map(|o| o.change_pct).collect::<Vec<_>>();
-        let volume = options.iter().map(|o| o.volume as u64).collect::<Vec<_>>();
-        let open_interest = options
-            .iter()
-            .map(|o| o.open_interest as u64)
-            .collect::<Vec<_>>();
-        let impl_volatility = options
-            .iter()
-            .map(|o| o.impl_volatility)
-            .collect::<Vec<_>>();
-
-        let df = df!(
-            "contract" => contract,
-            "strike" => strike,
-            "last_trade_date" => Series::new("last_trade_date".into(), last_trade_date)
-                .cast(&DataType::Date)
-                ?,
-            "last_price" => last_price,
-            "bid" => bid,
-            "ask" => ask,
-            "change" => change,
-            "change_pct" => change_pct,
-            "volume" => volume,
-            "open_interest" => open_interest,
-            "impl_volatility" => impl_volatility
-            // "contract" => Series::new("date", date).cast(&DataType::Date)?,
-        );
-
-        self.options_chain = Some(df?);
-
-        println!("{:?}", self.options_chain);
-
-        Ok(())
-    }
+    // fn get_options_chain(&mut self) -> Result<(), RustQuantError> {
+    //     let provider = yahoo::YahooConnector::new()?;
+    //     let response = tokio_test::block_on(provider.search_options(self.ticker.as_ref().ok_or(
+    //         RustQuantError::MissingInput("No ticker provided.".to_string()),
+    //     )?))?;
+
+    //     let options = response.option_chain.result;
+
+    //     // YOptionResult { name: "AAPL230526C00250000", strike: 250.0, last_trade_date: "2023-05-25 3:12PM EDT",
+    //     //                 last_price: 250.0, bid: 250.0, ask: 250.0, change: 250.0, change_pct: 250.0,
+    //     //                 volume: 0, open_interest: 0, impl_volatility: 250.0 }
+
+    //     // CANNOT IMPLEMENT THIS YET, BECAUSE THE YAHOO FINANCE API
+    //     // DOES NOT RETURN THE CORRECT OPTIONS CHAIN.
+    //     // Issue opened: https://github.com/xemwebe/yahoo_finance_api/issues/28
+    //     // Pull request opened: https://github.com/xemwebe/yahoo_finance_api/pull/29
+    //     // Pull request was merged.
+    //     // Now we need to wait for the next release of the yahoo_finance_api crate.
+
+    //     let contract = options
+    //         .iter()
+    //         .map(|o| o.underlying_symbol)
+    //         .collect::<Vec<_>>();
+    //     let strike = options.iter().map(|o| o.strikes).collect::<Vec<_>>();
+    //     let last_trade_date = options
+    //         .iter()
+    //         .map(|o| o.options.last_trade_date.clone()) //(o.last_trade_date / (24 * 60 * 60)) as i32)
+    //         .collect::<Vec<_>>();
+    //     let last_price = options
+    //         .iter()
+    //         .map(|o| o.options..last_price)
+    //         .collect::<Vec<_>>();
+    //     let bid = options.iter().map(|o| o.bid).collect::<Vec<_>>();
+    //     let ask = options.iter().map(|o| o.ask).collect::<Vec<_>>();
+    //     let change = options.iter().map(|o| o.change).collect::<Vec<_>>();
+    //     let change_pct = options.iter().map(|o| o.change_pct).collect::<Vec<_>>();
+    //     let volume = options.iter().map(|o| o.volume as u64).collect::<Vec<_>>();
+    //     let open_interest = options
+    //         .iter()
+    //         .map(|o| o.open_interest as u64)
+    //         .collect::<Vec<_>>();
+    //     let impl_volatility = options
+    //         .iter()
+    //         .map(|o| o.impl_volatility)
+    //         .collect::<Vec<_>>();
+
+    //     let df = df!(
+    //         "contract" => contract,
+    //         "strike" => strike,
+    //         "last_trade_date" => Series::new("last_trade_date".into(), last_trade_date)
+    //             .cast(&DataType::Date)
+    //             ?,
+    //         "last_price" => last_price,
+    //         "bid" => bid,
+    //         "ask" => ask,
+    //         "change" => change,
+    //         "change_pct" => change_pct,
+    //         "volume" => volume,
+    //         "open_interest" => open_interest,
+    //         "impl_volatility" => impl_volatility
+    //         // "contract" => Series::new("date", date).cast(&DataType::Date)?,
+    //     );
+
+    //     self.options_chain = Some(df?);
+
+    //     println!("{:?}", self.options_chain);
+
+    //     Ok(())
+    // }
 
     fn get_latest_quote(&mut self) -> Result<(), RustQuantError> {
         let provider = yahoo::YahooConnector::new()?;
@@ -369,12 +377,12 @@ mod test_yahoo {
         println!("Apple's latest quote: {:?}", yfd.latest_quote)
     }
 
-    #[test]
-    fn test_get_options_chain() {
-        let mut yfd = YahooFinanceData::new("AAPL".to_string());
+    // #[test]
+    // fn test_get_options_chain() {
+    //     let mut yfd = YahooFinanceData::new("AAPL".to_string());
 
-        let _ = yfd.get_options_chain();
+    //     let _ = yfd.get_options_chain();
 
-        // println!("Apple's options chain: {:?}", yfd.options_chain)
-    }
+    //     // println!("Apple's options chain: {:?}", yfd.options_chain)
+    // }
 }
diff --git a/src/instruments/options/vanilla.rs b/src/instruments/options/vanilla.rs
@@ -44,7 +44,7 @@ mod test_vanilla_option_monte_carlo {
     use crate::instruments::AsianOption;
     use crate::instruments::AveragingMethod;
     use crate::instruments::StrikeFlag;
-    use crate::pricer::monte_carlo_pricer::MonteCarloPricer;
+    use crate::pricing::monte_carlo_pricer::MonteCarloPricer;
     use crate::stochastics::StochasticProcessConfig;
     use crate::{
         instruments::{ExerciseFlag, OptionContractBuilder},

diff --git a/src/lib.rs b/src/lib.rs
@@ -71,7 +71,7 @@ pub mod math;
 pub mod ml;
 pub mod models;
 pub mod portfolio;
-pub mod pricer;
+pub mod pricing;
 pub mod stochastics;
 pub mod time;
 pub mod trading;

diff --git a/src/pricer/analytic_pricer.rs b/src/pricer/analytic_pricer.rs
diff --git a/src/pricer/finite_difference_pricer.rs b/src/pricer/finite_difference_pricer.rs
diff --git a/src/pricer/lattice_pricer.rs b/src/pricer/lattice_pricer.rs