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