Refactor option greeks #1964
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Refactor option greeks #1964
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cjdsellers
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Sep 28, 2024
| @@ -225,7 +225,7 @@ fn test_imply_vol_and_greeks_accuracy_call() { | |||
| let tolerance = 1e-5; | |||
| assert!( | |||
| (implied_result.vol - sigma).abs() < tolerance, | |||
| "Implied volatility difference exceeds tolerance" | |||
| "Vol difference exceeds tolerance" | |||
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Probably fine, but I always find "vol" vague as it can mean several different things (in this context fairly obvious though).
| Calculate the cost of retrieving data from the Databento API for the given | ||
| parameters. | ||
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| Args: |
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numpydoc spec, but I can refine this once on develop branch.
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Pull Request
Added greeks functions as pyo3
Removed ffi bindings for greeks functions
Made reading of interest rates more generic using messages
Converted greeks.pyx containing GreeksCalculator to greeks.py for easier development
Added InterestRateData and InterestRateCurveData classes
Added quadratic interpolation function without adding a new dependency in math.pyx for interpolating interest rate curves
Added greeks tests using pyo3 functions
Fixed bug in BacktestNode when using BacktestDataConfig with a Bar
Added raise_exception optional argument to BacktestNode.run in order to have access to the call stack when a bug happens
Added possibility to serialise numpy arrays using @customdataclass (see InterestRateCurveData)
Type of change
How has this change been tested?
Tests for greeks values, test notebook already included running
There seems to be a problem for loading custom data unrelated to the pull request, because _run_streaming in BacktestNode only works with backend_session that doesn't support custom_data. When using chunk_size = None in BacktestRunConfig, loading custom data doesn't seem to work as well. It's not due to changes in the current pull request, the option strategy example is more a way to test various aspects of a backtest in terms of saving and loading custom data.