Merge pull request #258 from avhz/market-data

Market data

Cargo.toml

@@ -75,6 +75,7 @@ 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/num/latest/num/
 num = { version = "0.4.1", features = ["rand"] }
 
@@ -84,6 +85,9 @@ time = { version = "0.3.34", features = ["macros"] }
 # https://docs.rs/polars/latest/polars/
 polars = { version = "0.41.1", features = ["docs-selection"] }
 
+# https://docs.rs/uuid/latest/uuid/
+uuid = { version = "1.10.0", features = ["v4", "fast-rng"] }
+
 
 [dev-dependencies]
 finitediff = "0.1.4" # https://docs.rs/finitediff/latest/finitediff/

book/book.toml

@@ -15,3 +15,4 @@ title = "The RustQuant Book"
 ## and you will be able to use the usual $...$ and $$...$$ delimiters.
 [output.html]
 mathjax-support = true
+fold = { enable = true }

book/src/Introduction.md

@@ -1,8 +1,27 @@
-# Introduction to RustQuant
+![](./assets/logo.png)
 
 RustQuant is a Rust library (crate) for quantitative finance. 
 
-You can download the library from [Crates.io](https://crates.io/crates/RustQuant), and API documentation can be found at [Docs.rs](https://docs.rs/crate/RustQuant/latest).
+# Code 
 
-> Note: this book is a very early work-in-progress and has almost no content. 
+The crate is available for download from [Crates.io](https://crates.io/crates/RustQuant), and the source is available on [GitHub](https://github.com/avhz/RustQuant).
+
+# Installation 
+
+RustQuant of course requires [Rust](https://www.rust-lang.org/) to be installed first. 
+
+You can easily add RustQuant to your Rust project by running:
+
+```bash
+cargo add RustQuant
+```
 
+# Documentation
+
+API documentation can be found at [Docs.rs](https://docs.rs/crate/RustQuant/latest).
+
+The documentation contained in this book is more *"cookbook"* style. 
+
+Contributions to documentation in any form are highly welcome. 
+
+> Note: this book is a very early work-in-progress and has almost no content. 

book/src/Modules/data/curves.md

@@ -0,0 +1,39 @@
+# Curves
+
+Curves can be fit to market data. Here we include an example of a spot curve being fitted.
+
+![`Spot curve`](../../assets/spotcurve.png)
+
+```rust
+{{#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>

book/src/Modules/data/data.md

@@ -0,0 +1,8 @@
+# `data`
+
+The `data` module encompasses everything data related. 
+
+That is, anything that can be observed, either in markets or derived from market observable data, and also facilities to manage that data. 
+
+Another form of data is contextual (or reference) data. These are things such as calendars and date conventions. While there are facilities to handle these data inside the `data` module, the underlying implementations are in other modules, such as the `time` module.
+

book/src/Modules/error.md

@@ -1 +1 @@
-# `error`
+# error

book/src/Modules/macros.md

@@ -1 +1 @@
-# `macros`
+# macros

book/src/SUMMARY.md

@@ -1,21 +1,35 @@
 # Summary
 
-- [Introduction to RustQuant](./Introduction.md)
-- [Modules](./Modules.md)
-    - [`autodiff`](./Modules/autodiff.md)
-    - [`cashflows`](./Modules/cashflows.md)
-    - [`data`](./Modules/data.md)
-    - [`error`](./Modules/error.md)
-    - [`instruments`](./Modules/instruments.md)
-    - [`iso`](./Modules/iso.md)
-    - [`macros`](./Modules/macros.md)
-    - [`math`](./Modules/math.md)
-    - [`ml`](./Modules/ml.md)
-    - [`models`](./Modules/models.md)
-    - [`portfolio`](./Modules/portfolio.md)
-    - [`stochastics`](./Modules/stochastics.md)
-    - [`time`](./Modules/time.md)
-    - [`trading`](./Modules/trading.md)
+# Introduction
+
+- [RustQuant](./Introduction.md)
+
+---
+
+# Modules
+
+<!-- - [`autodiff`](./Modules/autodiff/autodiff.md)
+- [`cashflows`](./Modules/cashflows/cashflows.md) -->
+
+- [`data`](./Modules/data/data.md)
+    - [Curves](./Modules/data/curves.md)
+
+<!-- - [`error`](./Modules/error.md)
+- [`instruments`](./Modules/instruments/instruments.md)
+- [`iso`](./Modules/iso/iso.md)
+- [`macros`](./Modules/macros.md)
+- [`math`](./Modules/math/math.md)
+- [`ml`](./Modules/ml/ml.md)
+- [`models`](./Modules/models/models.md)
+- [`portfolio`](./Modules/portfolio/portfolio.md)
+- [`stochastics`](./Modules/stochastics/stochastics.md)
+- [`time`](./Modules/time/time.md)
+- [`trading`](./Modules/trading/trading.md) -->
+
+---
+
+# Development
+
 - [Contributing](./Contributing.md)
 - [File Template](./Template.md)
 - [References](./References.md)

examples/curve.rs

@@ -1,4 +1,3 @@
-use plotly::{Plot, Scatter};
 use time::macros::date;
 use time::{Date, Duration};
 use RustQuant::data::Curve;

examples/curves_discount.rs

@@ -1,10 +1,9 @@
-use plotly::{Plot, Scatter};
 use polars::prelude::*;
 use time::macros::date;
-use time::{Date, Duration};
-use RustQuant::data::{discount_curve, Curve, DiscountCurve};
+use time::Date;
+use RustQuant::data::Curves;
+use RustQuant::data::{Curve, DiscountCurve};
 use RustQuant::time::oceania::australia::AustraliaCalendar;
-use RustQuant::time::Calendar;
 
 fn main() {
     let cal = AustraliaCalendar;

examples/curves_spot.rs

@@ -1,46 +1,13 @@
-use plotly::{Plot, Scatter};
-// use polars::prelude::*;
-use time::macros::date;
-use time::{Date, Duration};
-use RustQuant::data::CurveModel;
-use RustQuant::data::Curves;
-use RustQuant::data::{Curve, DiscountCurve, SpotCurve};
-use RustQuant::models::NelsonSiegelSvensson;
+use time::{macros::date, Date};
+use RustQuant::data::{Curves, SpotCurve};
 use RustQuant::time::oceania::australia::AustraliaCalendar;
-// use RustQuant::time::Calendar;
 
 fn main() {
-    // let cal = AustraliaCalendar;
-    // let curve = Curve::<Date>::new_from_slice(&DATES, &RATES);
+    let mut spot_curve = SpotCurve::<Date, AustraliaCalendar>::new(&DATES, &RATES);
 
-    let mut discount_curve = SpotCurve::<Date, AustraliaCalendar>::new(&DATES, &RATES);
+    spot_curve.get_rates(&NEW_DATES);
 
-    let new_dates = [
-        date!(2025 - 01 - 01),
-        date!(2026 - 01 - 01),
-        date!(2027 - 01 - 01),
-        date!(2028 - 01 - 01),
-        date!(2029 - 01 - 01),
-        date!(2030 - 01 - 01),
-        date!(2033 - 01 - 01),
-        date!(2036 - 01 - 01),
-        date!(2040 - 01 - 01),
-        date!(2044 - 01 - 01),
-        date!(2046 - 01 - 01),
-        date!(2048 - 01 - 01),
-        date!(2050 - 01 - 01),
-        date!(2053 - 01 - 01),
-    ];
-
-    discount_curve.get_rates(&new_dates);
-
-    discount_curve.plot();
-
-    // let nss = NelsonSiegelSvensson::new(0.0806, -0.0031, -0.0625, -0.0198, 1.58, 0.15);
-
-    // let date = date!(2027 - 01 - 01);
-    // println!("Forward rate: {:?}", nss.forward_rate(date));
-    // println!("Spot rate: {:?}", nss.spot_rate(date));
+    spot_curve.plot();
 }
 
 const DATES: [Date; 33] = [
@@ -79,10 +46,56 @@ const DATES: [Date; 33] = [
     date!(2054 - 07 - 28),
 ];
 
+#[rustfmt::skip]
 const RATES: [f64; 33] = [
-    0.03400521, 0.03259227, 0.0313705, 0.03031886, 0.02746567, 0.02614014, 0.02574612, 0.02590431,
-    0.02637474, 0.02700684, 0.02770726, 0.02841916, 0.02910886, 0.02975736, 0.03035484, 0.03089715,
-    0.0313836, 0.03181554, 0.03219547, 0.03252652, 0.03281203, 0.03305541, 0.03326001, 0.033429,
-    0.03356541, 0.03367205, 0.03375153, 0.03380629, 0.03383858, 0.03385046, 0.03384384, 0.03382048,
+    0.03400521, 
+    0.03259227, 
+    0.0313705, 
+    0.03031886, 
+    0.02746567, 
+    0.02614014, 
+    0.02574612, 
+    0.02590431,
+    0.02637474, 
+    0.02700684, 
+    0.02770726, 
+    0.02841916, 
+    0.02910886, 
+    0.02975736, 
+    0.03035484, 
+    0.03089715,
+    0.0313836, 
+    0.03181554, 
+    0.03219547, 
+    0.03252652, 
+    0.03281203, 
+    0.03305541, 
+    0.03326001, 
+    0.033429,
+    0.03356541, 
+    0.03367205, 
+    0.03375153, 
+    0.03380629, 
+    0.03383858, 
+    0.03385046, 
+    0.03384384, 
+    0.03382048,
     0.033782,
 ];
+
+const NEW_DATES: [Date; 14] = [
+    date!(2025 - 01 - 01),
+    date!(2026 - 01 - 01),
+    date!(2027 - 01 - 01),
+    date!(2028 - 01 - 01),
+    date!(2029 - 01 - 01),
+    date!(2030 - 01 - 01),
+    date!(2033 - 01 - 01),
+    date!(2036 - 01 - 01),
+    date!(2040 - 01 - 01),
+    date!(2044 - 01 - 01),
+    date!(2046 - 01 - 01),
+    date!(2048 - 01 - 01),
+    date!(2050 - 01 - 01),
+    date!(2053 - 01 - 01),
+];

examples/custom_payoffs.rs

@@ -63,7 +63,8 @@ fn main() {
 
     // Generate path using Euler-Maruyama scheme.
     // Parameters: x_0, t_0, t_n, n, sims, parallel.
-    let gbm_out = gbm.euler_maruyama(INITIAL_VALUE, START_TIME, END_TIME, NUM_STEPS, NUM_SIMS, PARALLEL);
+    let config = StochasticProcessConfig::new(INITIAL_VALUE, START_TIME, END_TIME, NUM_STEPS, NUM_SIMS, PARALLEL);
+    let gbm_out = gbm.euler_maruyama(&config);
 
     // Price the options. 
     println!("Up-and-out call: {}", barrier_option_payoff(&gbm_out.paths[0], 10.0, 12.0, OptionType::Call, BarrierType::UpAndOut));

examples/custom_process.rs

@@ -21,7 +21,11 @@
 // """
 
 use std::f64::consts::PI;
-use RustQuant::{math::Sequence, plot_vector, stochastics::process::StochasticProcess};
+use RustQuant::{
+    math::Sequence,
+    plot_vector,
+    stochastics::{process::StochasticProcess, StochasticProcessConfig},
+};
 
 fn main() {
     // Create an x-axis.
@@ -40,7 +44,8 @@ fn main() {
     };
 
     // Generate a path and plot it.
-    let output = custom_process.euler_maruyama(0.01, 0.0, 10.0, 500, 1, false);
+    let config = StochasticProcessConfig::new(0.01, 0.0, 10.0, 500, 1, false);
+    let output = custom_process.euler_maruyama(&config);
     plot_vector!(output.paths[0], "./images/ricker_wavelet_process.png");
 }
 

examples/market_data.rs

@@ -0,0 +1,14 @@
+use RustQuant::pricer::MarketData;
+use RustQuant::pricer::MarketDataBuilder;
+use RustQuant::time::oceania::australia::AustraliaCalendar;
+
+fn main() {
+    let market_data: MarketData<AustraliaCalendar> = MarketDataBuilder::default()
+        .underlying_price(Some(100.0))
+        .volatility(Some(0.2))
+        .dividend_yield(Some(0.0))
+        .build()
+        .unwrap();
+
+    println!("{:?}", market_data);
+}