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python.rs
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333 lines (321 loc) · 10.9 KB
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//! # Python
//!
//! $$
//! \text{Python call} \xrightarrow{\text{PyO3}} \text{Rust engine} \xrightarrow{} \text{numpy-compatible outputs}
//! $$
//!
use ndarray::Array1;
use pyo3::prelude::*;
pub(crate) trait IntoF32 {
type Target;
fn into_f32(self) -> Self::Target;
}
pub(crate) trait IntoF64 {
type Target;
fn into_f64(self) -> Self::Target;
}
impl IntoF32 for f64 {
type Target = f32;
fn into_f32(self) -> f32 {
self as f32
}
}
impl IntoF64 for f64 {
type Target = f64;
fn into_f64(self) -> f64 {
self
}
}
impl IntoF32 for Option<f64> {
type Target = Option<f32>;
fn into_f32(self) -> Option<f32> {
self.map(|v| v as f32)
}
}
impl IntoF64 for Option<f64> {
type Target = Option<f64>;
fn into_f64(self) -> Option<f64> {
self
}
}
impl IntoF32 for usize {
type Target = usize;
fn into_f32(self) -> usize {
self
}
}
impl IntoF64 for usize {
type Target = usize;
fn into_f64(self) -> usize {
self
}
}
impl IntoF32 for Option<usize> {
type Target = Option<usize>;
fn into_f32(self) -> Option<usize> {
self
}
}
impl IntoF64 for Option<usize> {
type Target = Option<usize>;
fn into_f64(self) -> Option<usize> {
self
}
}
impl IntoF32 for Option<bool> {
type Target = Option<bool>;
fn into_f32(self) -> Option<bool> {
self
}
}
impl IntoF64 for Option<bool> {
type Target = Option<bool>;
fn into_f64(self) -> Option<bool> {
self
}
}
impl IntoF32 for Vec<f64> {
type Target = Array1<f32>;
fn into_f32(self) -> Array1<f32> {
Array1::from_vec(self).mapv(|v| v as f32)
}
}
impl IntoF64 for Vec<f64> {
type Target = Array1<f64>;
fn into_f64(self) -> Array1<f64> {
Array1::from_vec(self)
}
}
impl IntoF32 for Option<Vec<f64>> {
type Target = Option<Array1<f32>>;
fn into_f32(self) -> Option<Array1<f32>> {
self.map(|v| Array1::from_vec(v).mapv(|x| x as f32))
}
}
impl IntoF64 for Option<Vec<f64>> {
type Target = Option<Array1<f64>>;
fn into_f64(self) -> Option<Array1<f64>> {
self.map(Array1::from_vec)
}
}
impl IntoF32 for u32 {
type Target = u32;
fn into_f32(self) -> u32 {
self
}
}
impl IntoF64 for u32 {
type Target = u32;
fn into_f64(self) -> u32 {
self
}
}
#[pymodule]
#[pyo3(name = "stochastic_rs")]
fn stochastic_rs_python(m: &Bound<'_, PyModule>) -> PyResult<()> {
use crate::distributions::alpha_stable::PyAlphaStable;
use crate::distributions::beta::PyBeta;
use crate::distributions::binomial::PyBinomial;
use crate::distributions::cauchy::PyCauchy;
use crate::distributions::chi_square::PyChiSquared;
use crate::distributions::exp::PyExp;
use crate::distributions::gamma::PyGamma;
use crate::distributions::geometric::PyGeometric;
use crate::distributions::hypergeometric::PyHypergeometric;
use crate::distributions::inverse_gauss::PyInverseGauss;
use crate::distributions::lognormal::PyLogNormal;
use crate::distributions::normal::PyNormal;
use crate::distributions::normal_inverse_gauss::PyNormalInverseGauss;
use crate::distributions::pareto::PyPareto;
use crate::distributions::poisson::PyPoissonD;
use crate::distributions::studentt::PyStudentT;
use crate::distributions::uniform::PyUniform;
use crate::distributions::weibull::PyWeibull;
use crate::stochastic::autoregressive::agrach::PyAGARCH;
use crate::stochastic::autoregressive::ar::PyARp;
use crate::stochastic::autoregressive::arch::PyARCH;
use crate::stochastic::autoregressive::arima::PyARIMA;
use crate::stochastic::autoregressive::egarch::PyEGARCH;
use crate::stochastic::autoregressive::garch::PyGARCH;
use crate::stochastic::autoregressive::ma::PyMAq;
use crate::stochastic::autoregressive::sarima::PySARIMA;
use crate::stochastic::autoregressive::tgarch::PyTGARCH;
use crate::stochastic::diffusion::cev::PyCEV;
use crate::stochastic::diffusion::cfou::PyCFOU;
use crate::stochastic::diffusion::cir::PyCIR;
use crate::stochastic::diffusion::fcir::PyFCIR;
use crate::stochastic::diffusion::feller::PyFellerLogistic;
use crate::stochastic::diffusion::fgbm::PyFGBM;
use crate::stochastic::diffusion::fjacobi::PyFJacobi;
use crate::stochastic::diffusion::fou::PyFOU;
use crate::stochastic::diffusion::fouque::PyFouqueOU2D;
use crate::stochastic::diffusion::gbm::PyGBM;
use crate::stochastic::diffusion::gbm_ih::PyGBMIH;
use crate::stochastic::diffusion::gbm_log::PyGBMLog;
use crate::stochastic::diffusion::gompertz::PyGompertz;
use crate::stochastic::diffusion::jacobi::PyJacobi;
use crate::stochastic::diffusion::kimura::PyKimura;
use crate::stochastic::diffusion::ou::PyOU;
use crate::stochastic::diffusion::quadratic::PyQuadratic;
use crate::stochastic::diffusion::verhulst::PyVerhulst;
use crate::stochastic::interest::adg::PyADG;
use crate::stochastic::interest::bgm::PyBGM;
use crate::stochastic::interest::duffie_kan::PyDuffieKan;
use crate::stochastic::interest::fvasicek::PyFVasicek;
use crate::stochastic::interest::hjm::PyHJM;
use crate::stochastic::interest::ho_lee::PyHoLee;
use crate::stochastic::interest::hull_white::PyHullWhite;
use crate::stochastic::interest::hull_white_2f::PyHullWhite2F;
use crate::stochastic::interest::mod_duffie_kan::PyDuffieKanJumpExp;
use crate::stochastic::interest::vasicek::PyVasicek;
use crate::stochastic::interest::wu_zhang::PyWuZhangD;
use crate::stochastic::jump::bates::PyBates;
use crate::stochastic::jump::bilateral_gamma::PyBilateralGamma;
use crate::stochastic::jump::bilateral_gamma::PyBilateralGammaMotion;
use crate::stochastic::jump::cgmy::PyCGMY;
use crate::stochastic::jump::cts::PyCTS;
use crate::stochastic::jump::ig::PyIG;
use crate::stochastic::jump::jump_fou::PyJumpFOU;
use crate::stochastic::jump::jump_fou_custom::PyJumpFOUCustom;
use crate::stochastic::jump::kobol::PyKoBoL;
use crate::stochastic::jump::kou::PyKOU;
use crate::stochastic::jump::levy_diffusion::PyLevyDiffusion;
use crate::stochastic::jump::merton::PyMerton;
use crate::stochastic::jump::mjd_log::PyMJDLog;
use crate::stochastic::jump::nig::PyNIG;
use crate::stochastic::jump::rdts::PyRDTS;
use crate::stochastic::jump::vg::PyVG;
use crate::stochastic::noise::cfgns::PyCFGNS;
use crate::stochastic::noise::cgns::PyCGNS;
use crate::stochastic::noise::fgn::PyFGN;
use crate::stochastic::noise::gn::PyGn;
use crate::stochastic::noise::wn::PyWn;
use crate::stochastic::process::bm::PyBM;
use crate::stochastic::process::cbms::PyCBMS;
use crate::stochastic::process::ccustom::PyCompoundCustom;
use crate::stochastic::process::cfbms::PyCFBMS;
use crate::stochastic::process::cpoisson::PyCompoundPoisson;
use crate::stochastic::process::customjt::PyCustomJt;
use crate::stochastic::process::fbm::PyFBM;
use crate::stochastic::process::lfsm::PyLFSM;
use crate::stochastic::process::poisson::PyPoisson;
use crate::stochastic::process::subordinator::alpha_stable::PyAlphaStableSubordinator;
use crate::stochastic::process::subordinator::ctrw::PyCTRW;
use crate::stochastic::process::subordinator::gamma_subordinator::PyGammaSubordinator;
use crate::stochastic::process::subordinator::ig_subordinator::PyIGSubordinator;
use crate::stochastic::process::subordinator::inverse_alpha_stable::PyInverseAlphaStableSubordinator;
use crate::stochastic::process::subordinator::poisson_subordinator::PyPoissonSubordinator;
use crate::stochastic::process::subordinator::tempered_stable::PyTemperedStableSubordinator;
use crate::stochastic::sheet::fbs::PyFBS;
use crate::stochastic::volatility::bates_svj::PyBatesSVJ;
use crate::stochastic::volatility::bergomi::PyBergomi;
use crate::stochastic::volatility::fheston::PyRoughHeston;
use crate::stochastic::volatility::heston::PyHeston;
use crate::stochastic::volatility::heston_log::PyHestonLog;
use crate::stochastic::volatility::rbergomi::PyRoughBergomi;
use crate::stochastic::volatility::sabr::PySABR;
use crate::stochastic::volatility::svcgmy::PySVCGMY;
m.add_class::<PyFBM>()?;
m.add_class::<PyLFSM>()?;
m.add_class::<PyBM>()?;
m.add_class::<PyCBMS>()?;
m.add_class::<PyCFBMS>()?;
m.add_class::<PyPoisson>()?;
m.add_class::<PyCustomJt>()?;
m.add_class::<PyCompoundPoisson>()?;
m.add_class::<PyCompoundCustom>()?;
m.add_class::<PyAlphaStableSubordinator>()?;
m.add_class::<PyInverseAlphaStableSubordinator>()?;
m.add_class::<PyPoissonSubordinator>()?;
m.add_class::<PyGammaSubordinator>()?;
m.add_class::<PyIGSubordinator>()?;
m.add_class::<PyTemperedStableSubordinator>()?;
m.add_class::<PyCTRW>()?;
m.add_class::<PyFGN>()?;
m.add_class::<PyGn>()?;
m.add_class::<PyWn>()?;
m.add_class::<PyCGNS>()?;
m.add_class::<PyCFGNS>()?;
m.add_class::<PyCEV>()?;
m.add_class::<PyCFOU>()?;
m.add_class::<PyCIR>()?;
m.add_class::<PyFCIR>()?;
m.add_class::<PyFellerLogistic>()?;
m.add_class::<PyFGBM>()?;
m.add_class::<PyFJacobi>()?;
m.add_class::<PyFOU>()?;
m.add_class::<PyFouqueOU2D>()?;
m.add_class::<PyGBM>()?;
m.add_class::<PyGBMIH>()?;
m.add_class::<PyGBMLog>()?;
m.add_class::<PyGompertz>()?;
m.add_class::<PyJacobi>()?;
m.add_class::<PyKimura>()?;
m.add_class::<PyOU>()?;
m.add_class::<PyQuadratic>()?;
m.add_class::<PyVerhulst>()?;
m.add_class::<PyCGMY>()?;
m.add_class::<PyCTS>()?;
m.add_class::<PyIG>()?;
m.add_class::<PyNIG>()?;
m.add_class::<PyRDTS>()?;
m.add_class::<PyVG>()?;
m.add_class::<PyMerton>()?;
m.add_class::<PyMJDLog>()?;
m.add_class::<PyKoBoL>()?;
m.add_class::<PyKOU>()?;
m.add_class::<PyLevyDiffusion>()?;
m.add_class::<PyBates>()?;
m.add_class::<PyBilateralGamma>()?;
m.add_class::<PyBilateralGammaMotion>()?;
m.add_class::<PyJumpFOU>()?;
m.add_class::<PyJumpFOUCustom>()?;
m.add_class::<PyBatesSVJ>()?;
m.add_class::<PyBergomi>()?;
m.add_class::<PyHeston>()?;
m.add_class::<PyHestonLog>()?;
m.add_class::<PyRoughBergomi>()?;
m.add_class::<PySABR>()?;
m.add_class::<PyRoughHeston>()?;
m.add_class::<PySVCGMY>()?;
m.add_class::<PyDuffieKan>()?;
m.add_class::<PyDuffieKanJumpExp>()?;
m.add_class::<PyFVasicek>()?;
m.add_class::<PyVasicek>()?;
m.add_class::<PyBGM>()?;
m.add_class::<PyWuZhangD>()?;
m.add_class::<PyADG>()?;
m.add_class::<PyHJM>()?;
m.add_class::<PyHoLee>()?;
m.add_class::<PyHullWhite>()?;
m.add_class::<PyHullWhite2F>()?;
m.add_class::<PyAGARCH>()?;
m.add_class::<PyARp>()?;
m.add_class::<PyARCH>()?;
m.add_class::<PyARIMA>()?;
m.add_class::<PyEGARCH>()?;
m.add_class::<PyGARCH>()?;
m.add_class::<PyMAq>()?;
m.add_class::<PySARIMA>()?;
m.add_class::<PyTGARCH>()?;
m.add_class::<PyFBS>()?;
m.add_class::<PyBeta>()?;
m.add_class::<PyAlphaStable>()?;
m.add_class::<PyCauchy>()?;
m.add_class::<PyChiSquared>()?;
m.add_class::<PyExp>()?;
m.add_class::<PyGamma>()?;
m.add_class::<PyInverseGauss>()?;
m.add_class::<PyLogNormal>()?;
m.add_class::<PyNormal>()?;
m.add_class::<PyNormalInverseGauss>()?;
m.add_class::<PyPareto>()?;
m.add_class::<PyStudentT>()?;
m.add_class::<PyUniform>()?;
m.add_class::<PyWeibull>()?;
m.add_class::<PyBinomial>()?;
m.add_class::<PyGeometric>()?;
m.add_class::<PyHypergeometric>()?;
m.add_class::<PyPoissonD>()?;
Ok(())
}