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1 | 1 | { |
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2 | 2 | "metadata": { |
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3 | 3 | "name": "Cython Magics" |
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4 | 4 | }, |
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5 | 5 | "nbformat": 3, |
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6 | 6 | "nbformat_minor": 0, |
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7 | 7 | "worksheets": [ |
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8 | 8 | { |
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9 | 9 | "cells": [ |
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10 | 10 | { |
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11 | 11 | "cell_type": "heading", |
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12 | 12 | "level": 1, |
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13 | 13 | "metadata": {}, |
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14 | 14 | "source": [ |
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15 | 15 | "Cython Magic Functions" |
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16 | 16 | ] |
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17 | 17 | }, |
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18 | 18 | { |
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19 | 19 | "cell_type": "heading", |
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20 | 20 | "level": 2, |
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21 | 21 | "metadata": {}, |
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22 | 22 | "source": [ |
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23 | 23 | "Loading the extension" |
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24 | 24 | ] |
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25 | 25 | }, |
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26 | 26 | { |
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27 | 27 | "cell_type": "markdown", |
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28 | 28 | "metadata": {}, |
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29 | 29 | "source": [ |
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30 |
"IP |
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30 | "IPython 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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31 | 31 | ] |
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32 | 32 | }, |
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33 | 33 | { |
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34 | 34 | "cell_type": "code", |
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35 | 35 | "collapsed": false, |
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36 | 36 | "input": [ |
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37 | 37 | "%load_ext cythonmagic" |
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38 | 38 | ], |
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39 | 39 | "language": "python", |
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40 | 40 | "metadata": {}, |
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41 | 41 | "outputs": [], |
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42 | 42 | "prompt_number": 1 |
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43 | 43 | }, |
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44 | 44 | { |
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45 | 45 | "cell_type": "heading", |
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46 | 46 | "level": 2, |
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47 | 47 | "metadata": {}, |
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48 | 48 | "source": [ |
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49 | 49 | "The %cython_inline magic" |
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50 | 50 | ] |
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51 | 51 | }, |
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52 | 52 | { |
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53 | 53 | "cell_type": "markdown", |
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54 | 54 | "metadata": {}, |
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55 | 55 | "source": [ |
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56 | 56 | "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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57 | 57 | ] |
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58 | 58 | }, |
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59 | 59 | { |
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60 | 60 | "cell_type": "code", |
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61 | 61 | "collapsed": false, |
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62 | 62 | "input": [ |
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63 | 63 | "a = 10\n", |
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64 | 64 | "b = 20" |
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65 | 65 | ], |
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66 | 66 | "language": "python", |
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67 | 67 | "metadata": {}, |
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68 | 68 | "outputs": [], |
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69 | 69 | "prompt_number": 2 |
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70 | 70 | }, |
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71 | 71 | { |
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72 | 72 | "cell_type": "code", |
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73 | 73 | "collapsed": false, |
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74 | 74 | "input": [ |
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75 | 75 | "%%cython_inline\n", |
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76 | 76 | "return a+b" |
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77 | 77 | ], |
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78 | 78 | "language": "python", |
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79 | 79 | "metadata": {}, |
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80 | 80 | "outputs": [ |
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81 | 81 | { |
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82 | 82 | "output_type": "pyout", |
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83 | 83 | "prompt_number": 3, |
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84 | 84 | "text": [ |
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85 | 85 | "30" |
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86 | 86 | ] |
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87 | 87 | } |
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88 | 88 | ], |
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89 | 89 | "prompt_number": 3 |
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90 | 90 | }, |
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91 | 91 | { |
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92 | 92 | "cell_type": "heading", |
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93 | 93 | "level": 2, |
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94 | 94 | "metadata": {}, |
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95 | 95 | "source": [ |
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96 | 96 | "The %cython_pyximport magic" |
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97 | 97 | ] |
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98 | 98 | }, |
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99 | 99 | { |
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100 | 100 | "cell_type": "markdown", |
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101 | 101 | "metadata": {}, |
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102 | 102 | "source": [ |
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103 | 103 | "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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104 | 104 | ] |
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105 | 105 | }, |
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106 | 106 | { |
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107 | 107 | "cell_type": "code", |
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108 | 108 | "collapsed": false, |
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109 | 109 | "input": [ |
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110 | 110 | "%%cython_pyximport foo\n", |
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111 | 111 | "def f(x):\n", |
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112 | 112 | " return 4.0*x" |
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113 | 113 | ], |
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114 | 114 | "language": "python", |
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115 | 115 | "metadata": {}, |
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116 | 116 | "outputs": [], |
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117 | 117 | "prompt_number": 4 |
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118 | 118 | }, |
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119 | 119 | { |
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120 | 120 | "cell_type": "code", |
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121 | 121 | "collapsed": false, |
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122 | 122 | "input": [ |
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123 | 123 | "f(10)" |
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124 | 124 | ], |
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125 | 125 | "language": "python", |
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126 | 126 | "metadata": {}, |
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127 | 127 | "outputs": [ |
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128 | 128 | { |
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129 | 129 | "output_type": "pyout", |
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130 | 130 | "prompt_number": 5, |
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131 | 131 | "text": [ |
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132 | 132 | "40.0" |
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133 | 133 | ] |
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134 | 134 | } |
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135 | 135 | ], |
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136 | 136 | "prompt_number": 5 |
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137 | 137 | }, |
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138 | 138 | { |
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139 | 139 | "cell_type": "heading", |
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140 | 140 | "level": 2, |
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141 | 141 | "metadata": {}, |
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142 | 142 | "source": [ |
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143 | 143 | "The %cython magic" |
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144 | 144 | ] |
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145 | 145 | }, |
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146 | 146 | { |
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147 | 147 | "cell_type": "markdown", |
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148 | 148 | "metadata": {}, |
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149 | 149 | "source": [ |
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150 | 150 | "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", |
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151 | 151 | "\n", |
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152 | 152 | "Here is a simple example of a Black-Scholes options pricing algorithm written in Cython. Please note that this example might not compile on non-POSIX systems (e.g., Windows) because of a missing `erf` symbol." |
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153 | 153 | ] |
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154 | 154 | }, |
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155 | 155 | { |
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156 | 156 | "cell_type": "code", |
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157 | 157 | "collapsed": false, |
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158 | 158 | "input": [ |
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159 | 159 | "%%cython\n", |
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160 | 160 | "cimport cython\n", |
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161 | 161 | "from libc.math cimport exp, sqrt, pow, log, erf\n", |
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162 | 162 | "\n", |
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163 | 163 | "@cython.cdivision(True)\n", |
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164 | 164 | "cdef double std_norm_cdf(double x) nogil:\n", |
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165 | 165 | " return 0.5*(1+erf(x/sqrt(2.0)))\n", |
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166 | 166 | "\n", |
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167 | 167 | "@cython.cdivision(True)\n", |
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168 | 168 | "def black_scholes(double s, double k, double t, double v,\n", |
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169 | 169 | " double rf, double div, double cp):\n", |
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170 | 170 | " \"\"\"Price an option using the Black-Scholes model.\n", |
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171 | 171 | " \n", |
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172 | 172 | " s : initial stock price\n", |
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173 | 173 | " k : strike price\n", |
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174 | 174 | " t : expiration time\n", |
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175 | 175 | " v : volatility\n", |
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176 | 176 | " rf : risk-free rate\n", |
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177 | 177 | " div : dividend\n", |
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178 | 178 | " cp : +1/-1 for call/put\n", |
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179 | 179 | " \"\"\"\n", |
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180 | 180 | " cdef double d1, d2, optprice\n", |
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181 | 181 | " with nogil:\n", |
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182 | 182 | " d1 = (log(s/k)+(rf-div+0.5*pow(v,2))*t)/(v*sqrt(t))\n", |
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183 | 183 | " d2 = d1 - v*sqrt(t)\n", |
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184 | 184 | " optprice = cp*s*exp(-div*t)*std_norm_cdf(cp*d1) - \\\n", |
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185 | 185 | " cp*k*exp(-rf*t)*std_norm_cdf(cp*d2)\n", |
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186 | 186 | " return optprice" |
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187 | 187 | ], |
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188 | 188 | "language": "python", |
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189 | 189 | "metadata": {}, |
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190 | 190 | "outputs": [], |
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191 | 191 | "prompt_number": 6 |
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192 | 192 | }, |
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193 | 193 | { |
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194 | 194 | "cell_type": "code", |
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195 | 195 | "collapsed": false, |
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196 | 196 | "input": [ |
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197 | 197 | "black_scholes(100.0, 100.0, 1.0, 0.3, 0.03, 0.0, -1)" |
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198 | 198 | ], |
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199 | 199 | "language": "python", |
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200 | 200 | "metadata": {}, |
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201 | 201 | "outputs": [ |
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202 | 202 | { |
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203 | 203 | "output_type": "pyout", |
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204 | 204 | "prompt_number": 7, |
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205 | 205 | "text": [ |
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206 | 206 | "10.327861752731728" |
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207 | 207 | ] |
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208 | 208 | } |
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209 | 209 | ], |
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210 | 210 | "prompt_number": 7 |
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211 | 211 | }, |
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212 | 212 | { |
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213 | 213 | "cell_type": "code", |
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214 | 214 | "collapsed": false, |
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215 | 215 | "input": [ |
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216 | 216 | "%timeit black_scholes(100.0, 100.0, 1.0, 0.3, 0.03, 0.0, -1)" |
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217 | 217 | ], |
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218 | 218 | "language": "python", |
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219 | 219 | "metadata": {}, |
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220 | 220 | "outputs": [ |
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221 | 221 | { |
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222 | 222 | "output_type": "stream", |
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223 | 223 | "stream": "stdout", |
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224 | 224 | "text": [ |
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225 | 225 | "1000000 loops, best of 3: 821 ns per loop\n" |
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226 | 226 | ] |
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227 | 227 | } |
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228 | 228 | ], |
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229 | 229 | "prompt_number": 8 |
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230 | 230 | }, |
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231 | 231 | { |
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232 | 232 | "cell_type": "heading", |
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233 | 233 | "level": 2, |
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234 | 234 | "metadata": {}, |
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235 | 235 | "source": [ |
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236 | 236 | "External libraries" |
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237 | 237 | ] |
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238 | 238 | }, |
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239 | 239 | { |
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240 | 240 | "cell_type": "markdown", |
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241 | 241 | "metadata": {}, |
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242 | 242 | "source": [ |
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243 | 243 | "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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244 | 244 | ] |
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245 | 245 | }, |
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246 | 246 | { |
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247 | 247 | "cell_type": "code", |
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248 | 248 | "collapsed": false, |
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249 | 249 | "input": [ |
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250 | 250 | "%%cython -lm\n", |
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251 | 251 | "from libc.math cimport sin\n", |
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252 | 252 | "print 'sin(1)=', sin(1)" |
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253 | 253 | ], |
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254 | 254 | "language": "python", |
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255 | 255 | "metadata": {}, |
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256 | 256 | "outputs": [ |
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257 | 257 | { |
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258 | 258 | "output_type": "stream", |
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259 | 259 | "stream": "stdout", |
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260 | 260 | "text": [ |
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261 | 261 | "sin(1)= 0.841470984808\n" |
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262 | 262 | ] |
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263 | 263 | } |
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264 | 264 | ], |
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265 | 265 | "prompt_number": 9 |
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266 | 266 | }, |
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267 | 267 | { |
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268 | 268 | "cell_type": "markdown", |
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269 | 269 | "metadata": {}, |
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270 | 270 | "source": [ |
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271 | 271 | "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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272 | 272 | ] |
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273 | 273 | } |
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274 | 274 | ], |
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275 | 275 | "metadata": {} |
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276 | 276 | } |
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277 | 277 | ] |
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278 | } No newline at end of file | |
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278 | } |
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