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OpenFerric Python Bindings

Python interface to the OpenFerric quantitative finance library, built with PyO3 and maturin.

Quick Start

Prerequisites

  • Python 3.9+
  • Rust toolchain (stable)
  • maturin (pip install maturin)

Install (development)

cd python
pip install maturin
maturin develop

This compiles the Rust library and installs openferric as an editable Python package.

Install (release wheel)

cd python
maturin build --release
pip install target/wheels/openferric-*.whl

Usage

import openferric as of

# Black-Scholes pricing
price = of.bs_price(100, 100, 0.25, 0.05, 0.0, 0.2, "call")
greeks = of.bs_greeks(100, 100, 0.25, 0.05, 0.0, 0.2, "call")

# Implied volatility
iv = of.implied_vol(10.45, 100, 100, 0.25, 0.05, 0.0, "call")

# SABR vol
vol = of.sabr_vol(100, 100, 0.25, 0.3, 0.8, -0.4, 0.5)

# Heston pricing (analytic + FFT)
price = of.heston_price(100, 100, 0.25, 0.05, 0.04, 2.0, 0.04, 0.3, -0.7, "call")
prices = of.heston_fft_prices(100, [90, 95, 100, 105, 110], 0.25, 0.05, 0.04, 2.0, 0.04, 0.3, -0.7)

# VaR / Expected Shortfall
var = of.historical_var([-0.02, -0.01, 0.005, 0.01, -0.03], 0.95)
es = of.historical_es([-0.02, -0.01, 0.005, 0.01, -0.03], 0.95)

Modules

Module What's covered
pricing Black-Scholes, barriers, American, Heston, FX, digital, spread, lookback, Asian, autocallable, basket, Bermudan, range accrual, TARF, real options
vol Implied vol, SABR, SVI, vol surfaces, Fengler, Andreasen-Huge, forward variance, ATM skew
rates Yield curves, bonds (dirty/clean price, duration, convexity, YTM), calendars, cap/floor, CMS, FRA, IRS, swaptions, funding rate curves
credit CDS NPV, survival curves, CDO tranches, CDS indices, nth-to-default baskets, Gaussian copula
risk CVA/DVA/FVA/MVA/KVA, SA-CCR EAD, VaR, ES, SIMM, portfolio risk, margin, liquidation simulation, stress testing
instruments Options, barriers, baskets, exotics, structured notes, autocallables, funding swaps
models Heston, Hull-White, CIR, Vasicek, SABR, GBM, Schwartz commodity, LMM/BGM, rBergomi
calibration Heston calibrator, Hull-White calibrator, diagnostics, vol quotes
market Market data, dividends, FX pairs, FX forward curves, FX vol surfaces
engines Analytic, PDE, Monte Carlo pricing engines
math AAD (automatic differentiation), interpolation, copulas, correlation models
mc GBM/Heston path generators, Monte Carlo engine, control variates
fft Heston FFT, Variance Gamma, CGMY, NIG

Examples

Boros Funding Rate Swap

A complete Pendle Boros funding-rate swap walkthrough — builds curves from exchange data, prices swaps, computes risk, and runs liquidation simulations:

# With synthetic data (no dependencies):
python examples/boros_funding_swap.py

# With live Binance/Bybit data:
pip install requests
python examples/boros_funding_swap.py --live

See examples/boros_funding_swap.py for the full source.

Running Tests

cd python
maturin develop
python -m pytest tests/ -v

Architecture

The Python package is a thin PyO3 wrapper around the Rust openferric core library. No finance logic is reimplemented in Python — every calculation calls directly into optimised Rust code.

openferric (Python)
  └── PyO3 FFI layer (python/src/*.rs)
       └── openferric core (Rust library)

DateTime values are passed as ISO 8601 strings ("2026-03-18T00:00:00Z"). Enums are constructed via class methods (e.g. StressScenario.baseline()).