cython_extension.ipynb
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r7031 | { | |
"metadata": { | |||
"name": "cython_extension" | |||
}, | |||
"nbformat": 3, | |||
"worksheets": [ | |||
{ | |||
"cells": [ | |||
{ | |||
"cell_type": "heading", | |||
"level": 1, | |||
"source": [ | |||
"Cython Magic Functions Extension" | |||
] | |||
}, | |||
{ | |||
"cell_type": "heading", | |||
"level": 2, | |||
"source": [ | |||
"Loading the extension" | |||
] | |||
}, | |||
{ | |||
"cell_type": "markdown", | |||
"source": [ | |||
"IPtyhon has a `cythonmagic` extension that contains a number of magic functions for working with Cython code. This extension can be loaded using the `%load_ext` magic as follows:" | |||
] | |||
}, | |||
{ | |||
"cell_type": "code", | |||
"input": [ | |||
"%load_ext cythonmagic" | |||
], | |||
"language": "python", | |||
"outputs": [], | |||
"prompt_number": 1 | |||
}, | |||
{ | |||
"cell_type": "heading", | |||
"level": 2, | |||
"source": [ | |||
"The %cython_inline magic" | |||
] | |||
}, | |||
{ | |||
"cell_type": "markdown", | |||
"source": [ | |||
"The `%%cython_inline` magic uses `Cython.inline` to compile a Cython expression. This allows you to enter and run a function body with Cython code. Use a bare `return` statement to return values. " | |||
] | |||
}, | |||
{ | |||
"cell_type": "code", | |||
"input": [ | |||
|
r7421 | "a = 10\n", | |
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r7031 | "b = 20" | |
], | |||
"language": "python", | |||
"outputs": [], | |||
"prompt_number": 8 | |||
}, | |||
{ | |||
"cell_type": "code", | |||
"input": [ | |||
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r7421 | "%%cython_inline\n", | |
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r7031 | "return a+b" | |
], | |||
"language": "python", | |||
"outputs": [ | |||
{ | |||
"output_type": "pyout", | |||
"prompt_number": 9, | |||
"text": [ | |||
"30" | |||
] | |||
} | |||
], | |||
"prompt_number": 9 | |||
}, | |||
{ | |||
"cell_type": "heading", | |||
"level": 2, | |||
"source": [ | |||
"The %cython_pyximport magic" | |||
] | |||
}, | |||
{ | |||
"cell_type": "markdown", | |||
"source": [ | |||
"The `%%cython_pyximport` magic allows you to enter arbitrary Cython code into a cell. That Cython code is written as a `.pyx` file in the current working directory and then imported using `pyximport`. You have the specify the name of the module that the Code will appear in. All symbols from the module are imported automatically by the magic function." | |||
] | |||
}, | |||
{ | |||
"cell_type": "code", | |||
"input": [ | |||
|
r7421 | "%%cython_pyximport foo\n", | |
"def f(x):\n", | |||
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r7031 | " return 4.0*x" | |
], | |||
"language": "python", | |||
"outputs": [], | |||
"prompt_number": 18 | |||
}, | |||
{ | |||
"cell_type": "code", | |||
"input": [ | |||
"f(10)" | |||
], | |||
"language": "python", | |||
"outputs": [ | |||
{ | |||
"output_type": "pyout", | |||
"prompt_number": 19, | |||
"text": [ | |||
"40.0" | |||
] | |||
} | |||
], | |||
"prompt_number": 19 | |||
}, | |||
{ | |||
"cell_type": "heading", | |||
"level": 2, | |||
"source": [ | |||
"The %cython magic" | |||
] | |||
}, | |||
{ | |||
"cell_type": "markdown", | |||
"source": [ | |||
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r7421 | "Probably the most important magic is the `%cython` magic. This is similar to the `%%cython_pyximport` magic, but doesn't require you to specify a module name. Instead, the `%%cython` magic uses manages everything using temporary files in the `~/.cython/magic` directory. All of the symbols in the Cython module are imported automatically by the magic.\n", | |
"\n", | |||
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r7031 | "Here is a simple example of a Black-Scholes options pricing algorithm written in Cython:" | |
] | |||
}, | |||
{ | |||
"cell_type": "code", | |||
"input": [ | |||
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r7421 | "%%cython\n", | |
"cimport cython\n", | |||
"from libc.math cimport exp, sqrt, pow, log, erf\n", | |||
"\n", | |||
"@cython.cdivision(True)\n", | |||
"cdef double std_norm_cdf(double x) nogil:\n", | |||
" return 0.5*(1+erf(x/sqrt(2.0)))\n", | |||
"\n", | |||
"@cython.cdivision(True)\n", | |||
"def black_scholes(double s, double k, double t, double v,\n", | |||
" double rf, double div, double cp):\n", | |||
" \"\"\"Price an option using the Black-Scholes model.\n", | |||
" \n", | |||
" s : initial stock price\n", | |||
" k : strike price\n", | |||
" t : expiration time\n", | |||
" v : volatility\n", | |||
" rf : risk-free rate\n", | |||
" div : dividend\n", | |||
" cp : +1/-1 for call/put\n", | |||
" \"\"\"\n", | |||
" cdef double d1, d2, optprice\n", | |||
" with nogil:\n", | |||
" d1 = (log(s/k)+(rf-div+0.5*pow(v,2))*t)/(v*sqrt(t))\n", | |||
" d2 = d1 - v*sqrt(t)\n", | |||
" optprice = cp*s*exp(-div*t)*std_norm_cdf(cp*d1) - \\\n", | |||
" cp*k*exp(-rf*t)*std_norm_cdf(cp*d2)\n", | |||
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r7031 | " return optprice" | |
], | |||
"language": "python", | |||
"outputs": [], | |||
"prompt_number": 6 | |||
}, | |||
{ | |||
"cell_type": "code", | |||
"input": [ | |||
"black_scholes(100.0, 100.0, 1.0, 0.3, 0.03, 0.0, -1)" | |||
], | |||
"language": "python", | |||
"outputs": [ | |||
{ | |||
"output_type": "pyout", | |||
"prompt_number": 7, | |||
"text": [ | |||
"10.327861752731728" | |||
] | |||
} | |||
], | |||
"prompt_number": 7 | |||
}, | |||
{ | |||
"cell_type": "code", | |||
"input": [ | |||
"%timeit black_scholes(100.0, 100.0, 1.0, 0.3, 0.03, 0.0, -1)" | |||
], | |||
"language": "python", | |||
"outputs": [ | |||
{ | |||
"output_type": "stream", | |||
"stream": "stdout", | |||
"text": [ | |||
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r7421 | "1000000 loops, best of 3: 621 ns per loop\n" | |
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r7031 | ] | |
} | |||
], | |||
"prompt_number": 14 | |||
}, | |||
{ | |||
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r7421 | "cell_type": "markdown", | |
"source": [ | |||
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r7422 | "Cython allows you to specify additional libraries to be linked with your extension, you can do so with the `-l` flag (also spelled `--lib`). Note that this flag can be passed more than once to specify multiple libraries, such as `-lm -llib2 --lib lib3`. Here's a simple example of how to access the system math library:" | |
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r7421 | ] | |
}, | |||
{ | |||
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r7031 | "cell_type": "code", | |
"input": [ | |||
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r7422 | "%%cython -lm\n", | |
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r7421 | "from libc.math cimport sin\n", | |
"print 'sin(1)=', sin(1)" | |||
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r7031 | ], | |
"language": "python", | |||
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r7421 | "outputs": [ | |
{ | |||
"output_type": "stream", | |||
"stream": "stdout", | |||
"text": [ | |||
"sin(1)= 0.841470984808\n" | |||
] | |||
} | |||
], | |||
"prompt_number": 2 | |||
}, | |||
{ | |||
"cell_type": "markdown", | |||
"source": [ | |||
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r7422 | "You can similarly use the `-I/--include` flag to add include directories to the search path, and `-c/--compile-args` to add extra flags that are passed to Cython via the `extra_compile_args` of the distutils `Extension` class. Please see [the Cython docs on C library usage](http://docs.cython.org/src/tutorial/clibraries.html) for more details on the use of these flags." | |
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r7421 | ] | |
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r7031 | } | |
] | |||
} | |||
] | |||
} |