Polar plugin Option Pricing

Overview

Polars plugin exposing rust crate option-pricing.

Install

Commands:

# ------- install from pypi/artifactory
pip install polars_plugin_option_pricing

Use

Black-Scholes

Calculate Call & Put Option price and greeks with BlackScholes formula:

• run-bs.py
• run-bs.ipynbpy

In short:

import polars_plugin_option_pricing as m

# black scholes
df = df.with_columns(
    output_bs=m.black_scholes(
        "is_call", 
        "spot", 
        "strike", 
        "mat", 
        "vol", 
        "rate", 
        "div"
    ),
).drop(["is_call"]).unnest("output_bs")

Implied Vol

Calculate implied volatility for call options:

• run-iv.py
• run-iv.ipynbpy

In short:

import polars_plugin_option_pricing as m

# implied vol
df = df.with_columns(
    iv_output=m.implied_vol(
        "price",
        "spot",
        "strike",
        "mat",
        "rate",
        "div",
        iter=10,
        prec=1e-7,
        # method="Newton",
        method="Halley",
    )
).unnest("iv_output")

Install dev mode

Commands:

# ------- install from repo
# clone
git clone https://github.com/oscar6echo/polars-plugin-option-pricing.git
cd polars-plugin-option-pricing

# fast compile, slow exec
maturin develop
# slow compile, fast exec
maturin develop --release


# alternative
pip install -v -e .

# watch 
cargo watch --watch ./src -- maturin develop

Build

Commands:

# ------- build native wheel
maturin build --sdist --release --out dist

# ------- build manylinux wheel
# install zig
pip install maturin[zig]

maturin build --release --target x86_64-unknown-linux-gnu --zig --out dist


#######################################################
# NOTE
# build wheel win specific
# edit src/lib.rs and comment PolarsAllocator 
# ref https://github.com/PyO3/maturin/discussions/2297
#######################################################

# ------- build windows wheel - 1st method
# debian & co
sudo apt-get install mingw-w64

# check compilation
maturin build --profile dev --target x86_64-pc-windows-gnu --out dist

maturin build --release --target x86_64-pc-windows-gnu --out dist

# ------- build windows wheel - 2nd method
# docker
docker build -t builder-win:local -f ./win.Dockerfile .
docker run --rm -v "$(pwd)":/io builder-win:local

This produces wheels for linux and windows:

❯ ls dist
polars_plugin_option_pricing-0.1.0-cp38-abi3-manylinux_2_17_x86_64.manylinux2014_x86_64.whl
polars_plugin_option_pricing-0.1.0-cp38-abi3-manylinux_2_34_x86_64.whl
polars_plugin_option_pricing-0.1.0-cp38-abi3-win_amd64.whl
polars_plugin_option_pricing-0.1.0.tar.gz

Publish

Commands:

# prerequisite
pip install -U twine

twine check dist/*

# assuming .pypirc configured
# for linux only manylinux: the others will be refused
twine upload dist/*.tar.gz
twine upload dist/*manylinux*
twine upload dist/*win_amd64*

Ref

• Polars plugins tutorial by Marco Gorelli -> Very useful !
• Github issue Suggestion: Plugin full example with input of n cols and output of m cols
• repo oscar6echo/pyo3-option-pricing using the same underlying crate, but vastly less efficient for batch pricing.