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1 | { |
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1 | { | |
2 | "metadata": { |
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2 | "metadata": { | |
3 | "name": "cython_extension" |
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3 | "name": "cython_extension" | |
4 | }, |
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4 | }, | |
5 | "nbformat": 3, |
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5 | "nbformat": 3, | |
6 | "worksheets": [ |
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6 | "worksheets": [ | |
7 | { |
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7 | { | |
8 | "cells": [ |
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8 | "cells": [ | |
9 | { |
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9 | { | |
10 | "cell_type": "heading", |
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10 | "cell_type": "heading", | |
11 | "level": 1, |
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11 | "level": 1, | |
12 | "source": [ |
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12 | "source": [ | |
13 | "Cython Magic Functions Extension" |
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13 | "Cython Magic Functions Extension" | |
14 | ] |
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14 | ] | |
15 | }, |
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15 | }, | |
16 | { |
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16 | { | |
17 | "cell_type": "heading", |
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17 | "cell_type": "heading", | |
18 | "level": 2, |
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18 | "level": 2, | |
19 | "source": [ |
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19 | "source": [ | |
20 | "Loading the extension" |
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20 | "Loading the extension" | |
21 | ] |
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21 | ] | |
22 | }, |
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22 | }, | |
23 | { |
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23 | { | |
24 | "cell_type": "markdown", |
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24 | "cell_type": "markdown", | |
25 | "source": [ |
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25 | "source": [ | |
26 | "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:" |
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26 | "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:" | |
27 | ] |
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27 | ] | |
28 | }, |
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28 | }, | |
29 | { |
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29 | { | |
30 | "cell_type": "code", |
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30 | "cell_type": "code", | |
31 | "collapsed": false, |
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32 | "input": [ |
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31 | "input": [ | |
33 | "%load_ext cythonmagic" |
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32 | "%load_ext cythonmagic" | |
34 | ], |
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33 | ], | |
35 | "language": "python", |
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34 | "language": "python", | |
36 | "outputs": [], |
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35 | "outputs": [], | |
37 | "prompt_number": 1 |
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36 | "prompt_number": 1 | |
38 | }, |
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37 | }, | |
39 | { |
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38 | { | |
40 | "cell_type": "heading", |
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39 | "cell_type": "heading", | |
41 | "level": 2, |
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40 | "level": 2, | |
42 | "source": [ |
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41 | "source": [ | |
43 | "The %cython_inline magic" |
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42 | "The %cython_inline magic" | |
44 | ] |
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43 | ] | |
45 | }, |
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44 | }, | |
46 | { |
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45 | { | |
47 | "cell_type": "markdown", |
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46 | "cell_type": "markdown", | |
48 | "source": [ |
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47 | "source": [ | |
49 | "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. " |
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48 | "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. " | |
50 | ] |
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49 | ] | |
51 | }, |
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50 | }, | |
52 | { |
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51 | { | |
53 | "cell_type": "code", |
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52 | "cell_type": "code", | |
54 | "collapsed": true, |
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55 | "input": [ |
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53 | "input": [ | |
56 | "a = 10", |
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54 | "a = 10\n", | |
57 | "b = 20" |
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55 | "b = 20" | |
58 | ], |
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56 | ], | |
59 | "language": "python", |
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57 | "language": "python", | |
60 | "outputs": [], |
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58 | "outputs": [], | |
61 | "prompt_number": 8 |
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59 | "prompt_number": 8 | |
62 | }, |
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60 | }, | |
63 | { |
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61 | { | |
64 | "cell_type": "code", |
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62 | "cell_type": "code", | |
65 | "collapsed": false, |
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66 | "input": [ |
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63 | "input": [ | |
67 | "%%cython_inline", |
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64 | "%%cython_inline\n", | |
68 | "return a+b" |
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65 | "return a+b" | |
69 | ], |
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66 | ], | |
70 | "language": "python", |
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67 | "language": "python", | |
71 | "outputs": [ |
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68 | "outputs": [ | |
72 | { |
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69 | { | |
73 | "output_type": "pyout", |
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70 | "output_type": "pyout", | |
74 | "prompt_number": 9, |
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71 | "prompt_number": 9, | |
75 | "text": [ |
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72 | "text": [ | |
76 | "30" |
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73 | "30" | |
77 | ] |
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74 | ] | |
78 | } |
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75 | } | |
79 | ], |
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76 | ], | |
80 | "prompt_number": 9 |
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77 | "prompt_number": 9 | |
81 | }, |
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78 | }, | |
82 | { |
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79 | { | |
83 | "cell_type": "heading", |
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80 | "cell_type": "heading", | |
84 | "level": 2, |
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81 | "level": 2, | |
85 | "source": [ |
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82 | "source": [ | |
86 | "The %cython_pyximport magic" |
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83 | "The %cython_pyximport magic" | |
87 | ] |
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84 | ] | |
88 | }, |
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85 | }, | |
89 | { |
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86 | { | |
90 | "cell_type": "markdown", |
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87 | "cell_type": "markdown", | |
91 | "source": [ |
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88 | "source": [ | |
92 | "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." |
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89 | "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." | |
93 | ] |
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90 | ] | |
94 | }, |
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91 | }, | |
95 | { |
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92 | { | |
96 | "cell_type": "code", |
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93 | "cell_type": "code", | |
97 | "collapsed": false, |
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98 | "input": [ |
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94 | "input": [ | |
99 | "%%cython_pyximport foo", |
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95 | "%%cython_pyximport foo\n", | |
100 | "def f(x):", |
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96 | "def f(x):\n", | |
101 | " return 4.0*x" |
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97 | " return 4.0*x" | |
102 | ], |
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98 | ], | |
103 | "language": "python", |
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99 | "language": "python", | |
104 | "outputs": [], |
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100 | "outputs": [], | |
105 | "prompt_number": 18 |
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101 | "prompt_number": 18 | |
106 | }, |
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102 | }, | |
107 | { |
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103 | { | |
108 | "cell_type": "code", |
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104 | "cell_type": "code", | |
109 | "collapsed": false, |
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110 | "input": [ |
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105 | "input": [ | |
111 | "f(10)" |
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106 | "f(10)" | |
112 | ], |
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107 | ], | |
113 | "language": "python", |
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108 | "language": "python", | |
114 | "outputs": [ |
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109 | "outputs": [ | |
115 | { |
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110 | { | |
116 | "output_type": "pyout", |
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111 | "output_type": "pyout", | |
117 | "prompt_number": 19, |
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112 | "prompt_number": 19, | |
118 | "text": [ |
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113 | "text": [ | |
119 | "40.0" |
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114 | "40.0" | |
120 | ] |
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115 | ] | |
121 | } |
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116 | } | |
122 | ], |
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117 | ], | |
123 | "prompt_number": 19 |
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118 | "prompt_number": 19 | |
124 | }, |
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119 | }, | |
125 | { |
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120 | { | |
126 | "cell_type": "heading", |
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121 | "cell_type": "heading", | |
127 | "level": 2, |
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122 | "level": 2, | |
128 | "source": [ |
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123 | "source": [ | |
129 | "The %cython magic" |
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124 | "The %cython magic" | |
130 | ] |
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125 | ] | |
131 | }, |
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126 | }, | |
132 | { |
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127 | { | |
133 | "cell_type": "markdown", |
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128 | "cell_type": "markdown", | |
134 | "source": [ |
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129 | "source": [ | |
135 | "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.", |
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130 | "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", | |
136 | "", |
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131 | "\n", | |
137 | "Here is a simple example of a Black-Scholes options pricing algorithm written in Cython:" |
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132 | "Here is a simple example of a Black-Scholes options pricing algorithm written in Cython:" | |
138 | ] |
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133 | ] | |
139 | }, |
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134 | }, | |
140 | { |
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135 | { | |
141 | "cell_type": "code", |
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136 | "cell_type": "code", | |
142 | "collapsed": false, |
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143 | "input": [ |
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137 | "input": [ | |
144 | "%%cython", |
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138 | "%%cython\n", | |
145 | "cimport cython", |
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139 | "cimport cython\n", | |
146 | "from libc.math cimport exp, sqrt, pow, log, erf", |
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140 | "from libc.math cimport exp, sqrt, pow, log, erf\n", | |
147 | "", |
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141 | "\n", | |
148 | "@cython.cdivision(True)", |
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142 | "@cython.cdivision(True)\n", | |
149 | "cdef double std_norm_cdf(double x) nogil:", |
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143 | "cdef double std_norm_cdf(double x) nogil:\n", | |
150 | " return 0.5*(1+erf(x/sqrt(2.0)))", |
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144 | " return 0.5*(1+erf(x/sqrt(2.0)))\n", | |
151 | "", |
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145 | "\n", | |
152 | "@cython.cdivision(True)", |
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146 | "@cython.cdivision(True)\n", | |
153 | "def black_scholes(double s, double k, double t, double v,", |
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147 | "def black_scholes(double s, double k, double t, double v,\n", | |
154 | " double rf, double div, double cp):", |
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148 | " double rf, double div, double cp):\n", | |
155 | " \"\"\"Price an option using the Black-Scholes model.", |
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149 | " \"\"\"Price an option using the Black-Scholes model.\n", | |
156 | " ", |
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150 | " \n", | |
157 | " s : initial stock price", |
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151 | " s : initial stock price\n", | |
158 | " k : strike price", |
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152 | " k : strike price\n", | |
159 | " t : expiration time", |
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153 | " t : expiration time\n", | |
160 | " v : volatility", |
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154 | " v : volatility\n", | |
161 | " rf : risk-free rate", |
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155 | " rf : risk-free rate\n", | |
162 | " div : dividend", |
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156 | " div : dividend\n", | |
163 | " cp : +1/-1 for call/put", |
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157 | " cp : +1/-1 for call/put\n", | |
164 | " \"\"\"", |
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158 | " \"\"\"\n", | |
165 | " cdef double d1, d2, optprice", |
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159 | " cdef double d1, d2, optprice\n", | |
166 | " with nogil:", |
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160 | " with nogil:\n", | |
167 | " d1 = (log(s/k)+(rf-div+0.5*pow(v,2))*t)/(v*sqrt(t))", |
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161 | " d1 = (log(s/k)+(rf-div+0.5*pow(v,2))*t)/(v*sqrt(t))\n", | |
168 | " d2 = d1 - v*sqrt(t)", |
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162 | " d2 = d1 - v*sqrt(t)\n", | |
169 | " optprice = cp*s*exp(-div*t)*std_norm_cdf(cp*d1) - \\", |
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163 | " optprice = cp*s*exp(-div*t)*std_norm_cdf(cp*d1) - \\\n", | |
170 | " cp*k*exp(-rf*t)*std_norm_cdf(cp*d2)", |
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164 | " cp*k*exp(-rf*t)*std_norm_cdf(cp*d2)\n", | |
171 | " return optprice" |
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165 | " return optprice" | |
172 | ], |
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166 | ], | |
173 | "language": "python", |
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167 | "language": "python", | |
174 | "outputs": [], |
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168 | "outputs": [], | |
175 | "prompt_number": 6 |
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169 | "prompt_number": 6 | |
176 | }, |
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170 | }, | |
177 | { |
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171 | { | |
178 | "cell_type": "code", |
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172 | "cell_type": "code", | |
179 | "collapsed": false, |
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180 | "input": [ |
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173 | "input": [ | |
181 | "black_scholes(100.0, 100.0, 1.0, 0.3, 0.03, 0.0, -1)" |
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174 | "black_scholes(100.0, 100.0, 1.0, 0.3, 0.03, 0.0, -1)" | |
182 | ], |
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175 | ], | |
183 | "language": "python", |
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176 | "language": "python", | |
184 | "outputs": [ |
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177 | "outputs": [ | |
185 | { |
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178 | { | |
186 | "output_type": "pyout", |
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179 | "output_type": "pyout", | |
187 | "prompt_number": 7, |
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180 | "prompt_number": 7, | |
188 | "text": [ |
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181 | "text": [ | |
189 | "10.327861752731728" |
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182 | "10.327861752731728" | |
190 | ] |
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183 | ] | |
191 | } |
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184 | } | |
192 | ], |
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185 | ], | |
193 | "prompt_number": 7 |
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186 | "prompt_number": 7 | |
194 | }, |
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187 | }, | |
195 | { |
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188 | { | |
196 | "cell_type": "code", |
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189 | "cell_type": "code", | |
197 | "collapsed": false, |
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198 | "input": [ |
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190 | "input": [ | |
199 | "%timeit black_scholes(100.0, 100.0, 1.0, 0.3, 0.03, 0.0, -1)" |
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191 | "%timeit black_scholes(100.0, 100.0, 1.0, 0.3, 0.03, 0.0, -1)" | |
200 | ], |
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192 | ], | |
201 | "language": "python", |
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193 | "language": "python", | |
202 | "outputs": [ |
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194 | "outputs": [ | |
203 | { |
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195 | { | |
204 | "output_type": "stream", |
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196 | "output_type": "stream", | |
205 | "stream": "stdout", |
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197 | "stream": "stdout", | |
206 | "text": [ |
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198 | "text": [ | |
207 |
"1000000 loops, best of 3: 621 ns per loop" |
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199 | "1000000 loops, best of 3: 621 ns per loop\n" | |
208 | "" |
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209 | ] |
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200 | ] | |
210 | } |
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201 | } | |
211 | ], |
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202 | ], | |
212 | "prompt_number": 14 |
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203 | "prompt_number": 14 | |
213 | }, |
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204 | }, | |
214 | { |
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205 | { | |
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206 | "cell_type": "markdown", | |||
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207 | "source": [ | |||
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208 | "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 `-l lib1 -l lib2`. Here's a simple example of how to access the system math library:" | |||
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209 | ] | |||
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210 | }, | |||
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211 | { | |||
215 | "cell_type": "code", |
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212 | "cell_type": "code", | |
216 | "collapsed": true, |
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217 | "input": [ |
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213 | "input": [ | |
218 | "" |
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214 | "%%cython -l m\n", | |
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215 | "from libc.math cimport sin\n", | |||
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216 | "print 'sin(1)=', sin(1)" | |||
219 | ], |
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217 | ], | |
220 | "language": "python", |
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218 | "language": "python", | |
221 |
"outputs": [ |
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219 | "outputs": [ | |
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220 | { | |||
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221 | "output_type": "stream", | |||
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222 | "stream": "stdout", | |||
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223 | "text": [ | |||
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224 | "sin(1)= 0.841470984808\n" | |||
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225 | ] | |||
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226 | } | |||
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227 | ], | |||
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228 | "prompt_number": 2 | |||
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229 | }, | |||
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230 | { | |||
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231 | "cell_type": "markdown", | |||
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232 | "source": [ | |||
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233 | "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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234 | ] | |||
222 | } |
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235 | } | |
223 | ] |
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236 | ] | |
224 | } |
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237 | } | |
225 | ] |
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238 | ] | |
226 | } No newline at end of file |
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239 | } |
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