087a2f0d74
Move the pricing engine sources out of src/ into cpp/, add the closed-form engine and pybind wiring, and align tests/build targets with the new project layout. Made-with: Cursor
66 lines
2.1 KiB
Python
66 lines
2.1 KiB
Python
#!/usr/bin/env python3
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"""Smoke test: use an installed `qengine` package (pip install .) or a dev build (cmake -> qengine/*.so)."""
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from __future__ import annotations
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import math
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import sys
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from pathlib import Path
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# Running `python scripts/this.py` puts `scripts/` on sys.path, not the repo root
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_REPO_ROOT = Path(__file__).resolve().parents[1]
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if str(_REPO_ROOT) not in sys.path:
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sys.path.insert(0, str(_REPO_ROOT))
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def main() -> int:
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try:
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import qengine
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except ImportError as e:
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print(
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f"Import failed ({e}). Install the package (pip install .) or build with CMake so "
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"qengine/qengine.*.so exists next to qengine/__init__.py.",
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file=sys.stderr,
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)
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return 1
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call = qengine.bs_price(100.0, 100.0, 1.0, 0.05, 0.2, True)
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put = qengine.bs_price(100.0, 100.0, 1.0, 0.05, 0.2, False)
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batch_list = qengine.bs_price(
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[100.0, 100.0],
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[100.0, 110.0],
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[1.0, 1.0],
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[0.05, 0.05],
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[0.2, 0.2],
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[True, False],
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)
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assert math.isfinite(call) and math.isfinite(put)
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assert len(batch_list) == 2 and all(math.isfinite(x) for x in batch_list)
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print("qengine.bs_price (call):", call)
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print("qengine.bs_price (put):", put)
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print("qengine.bs_price (list batch):", list(batch_list))
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try:
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import numpy as np
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except ImportError:
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print("ok: overloads callable (NumPy not installed; skipped ndarray batch test).")
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return 0
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s = np.array([100.0, 100.0], dtype=np.float64)
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k = np.array([100.0, 110.0], dtype=np.float64)
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t = np.array([1.0, 1.0], dtype=np.float64)
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r = np.array([0.05, 0.05], dtype=np.float64)
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sig = np.array([0.2, 0.2], dtype=np.float64)
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opt = np.array([True, False], dtype=bool)
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batch_np = qengine.bs_price(s, k, t, r, sig, opt)
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assert len(batch_np) == 2 and all(math.isfinite(float(x)) for x in batch_np)
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print("qengine.bs_price (ndarray batch):", [float(x) for x in batch_np])
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print("ok: overloads callable.")
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return 0
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if __name__ == "__main__":
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raise SystemExit(main())
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