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| #include "pymatrix.h"
#include <iostream>
#include <omp.h>
py::array_t<double> calc_iv_array(
const py::array_t<bool> &is_call,
const py::array_t<double> &premium,
const py::array_t<double> &S,
const py::array_t<double> &X,
const py::array_t<double> &T,
const py::array_t<double> &b,
const py::array_t<double> &r,
const double &iv_lower_limit,
const double &iv_upper_limit,
const double &ttm_clip,
const double &vega_clip,
const int &num_steps,
const double &precision,
const bool &use_newton
) {
py::buffer_info buf_is_call = is_call.request();
py::buffer_info buf_premium = premium.request();
py::buffer_info buf_spot = S.request();
py::buffer_info buf_strike = X.request();
py::buffer_info buf_time = T.request();
py::buffer_info buf_carry_cost = b.request();
py::buffer_info buf_risk_free = r.request();
std::vector<ssize_t> shape = {buf_spot.size, 3};
auto result = py::array_t<double>(buf_spot.size * 3);
result.resize({shape[0], shape[1]});
py::buffer_info buffer_result = result.request();
bool *ptr_is_call = static_cast<bool *>(buf_is_call.ptr);
auto *ptr_premium = static_cast<double *>(buf_premium.ptr);
auto *ptr_spot = static_cast<double *>(buf_spot.ptr);
auto *ptr_strike = static_cast<double *>(buf_strike.ptr);
auto *ptr_time = static_cast<double *>(buf_time.ptr);
auto *ptr_carry_cost = static_cast<double *>(buf_carry_cost.ptr);
auto *ptr_risk_free = static_cast<double *>(buf_risk_free.ptr);
auto *ptr_result = static_cast<double *>(buffer_result.ptr);
#pragma omp parallel for
for (int idx = 0; idx < buf_spot.shape[0]; idx++) {
const double sigma = flow::model::bjerk02::calc_iv(ptr_is_call[idx],
ptr_premium[idx],
ptr_spot[idx],
ptr_strike[idx],
ptr_time[idx],
ptr_carry_cost[idx],
ptr_risk_free[idx],
iv_lower_limit,
iv_upper_limit,
ttm_clip,
vega_clip,
num_steps,
precision,
use_newton);
ptr_result[idx * shape[1] + 0] = sigma;
ptr_result[idx * shape[1] + 1] = flow::model::bjerk02::calc_delta(ptr_is_call[idx],
ptr_spot[idx],
ptr_strike[idx],
ptr_time[idx],
ptr_carry_cost[idx],
ptr_risk_free[idx],
sigma);
ptr_result[idx * shape[1] + 2] = flow::model::bjerk02::calc_vega(ptr_is_call[idx],
ptr_spot[idx],
ptr_strike[idx],
ptr_time[idx],
ptr_carry_cost[idx],
ptr_risk_free[idx],
sigma);
};
return result;
}
|
