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chenxu0602 / optrush

An option pricing library that leverage on the strengths of both Rust & Python.
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Integration with option chain pandas dataframe for greeks calculations #1

Open buzzvolt opened 6 days ago

buzzvolt commented 6 days ago

Hi,

This caught my attention today and interestingly I was looking for python/rust combination to speed up the option greeks calculations for an option chain using pandas.

As of now, I realize the option greeks calculations on a snapshot option chain of 200 rows (both calls & puts) are taking between 1-2 seconds and sometimes 2+ seconds (also my hardware is little old) and I am curious if this would help in minimizing this to less than a second. I had earlier tried pyvollib and pyvollib_vectorized, but both had issues with calculations errors most of the time, so I ended up defining and calling simple individual functions for greeks. I can share the dataframe snapshot of the option chain of before greeks calculation and after greeks calculation, if it helps to look at the possibility of integrating optrush/rust code.

I would love to adopt/use the project if it can solve greeks calculations. let me know.

thanks

chenxu0602 commented 5 days ago

I have a test in my LinkedIn post recently. Rust is about 30 times faster than py in implied vol backout. 1min can do 1mm rows.

On Tue, Nov 19, 2024 at 23:36 Nikhil @.***> wrote:

Hi,

This caught my attention today and interestingly I was looking for python/rust combination to speed up the option greeks calculations for an option chain using pandas.

As of now, I realize the option greeks calculations on a snapshot option chain of 200 rows (both calls & puts) are taking between 1-2 seconds and sometimes 2+ seconds (also my hardware is little old) and I am curious if this would help in minimizing this to less than a second. I had earlier tried pyvollib and pyvollib_vectorized, but both had issues with calculations errors most of the time, so I ended up defining and calling simple individual functions for greeks. I can share the dataframe snapshot of the option chain of before greeks calculation and after greeks calculation, if it helps to look at the possibility of integrating optrush/rust code.

I would love to adopt/use the project if it can solve greeks calculations. let me know.

thanks

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