3 files changed, 34 insertions, 68 deletions
diff --git a/python/analytics/black.py b/python/analytics/black.py
deleted file mode 100644
index 781732d9..00000000
--- a/python/analytics/black.py
+++ /dev/null
@@ -1,52 +0,0 @@
-from math import log, sqrt, erf
-from numba import jit, float64, boolean
-from scipy.stats import norm
-import math
-
-
-def d1(F, K, sigma, T):
-    return (log(F / K) + sigma ** 2 * T / 2) / (sigma * math.sqrt(T))
-
-
-def d2(F, K, sigma, T):
-    return d1(F, K, sigma, T) - sigma * math.sqrt(T)
-
-
-@jit(cache=True, nopython=True)
-def d12(F, K, sigma, T):
-    sigmaT = sigma * sqrt(T)
-    d1 = log(F / K) / sigmaT
-    d2 = d1
-    d1 += 0.5 * sigmaT
-    d2 -= 0.5 * sigmaT
-    return d1, d2
-
-
-@jit(float64(float64), cache=True, nopython=True)
-def cnd_erf(d):
-    """ 2 * Phi where Phi is the cdf of a Normal """
-    RSQRT2 = 0.7071067811865475
-    return 1 + erf(RSQRT2 * d)
-
-
-@jit(float64(float64, float64, float64, float64, boolean), cache=True, nopython=True)
-def black(F, K, T, sigma, payer=True):
-    d1, d2 = d12(F, K, sigma, T)
-    if payer:
-        return 0.5 * (F * cnd_erf(d1) - K * cnd_erf(d2))
-    else:
-        return 0.5 * (K * cnd_erf(-d2) - F * cnd_erf(-d1))
-
-
-@jit(float64(float64, float64, float64, float64), cache=True, nopython=True)
-def Nx(F, K, sigma, T):
-    return cnd_erf((log(F / K) - sigma ** 2 * T / 2) / (sigma * sqrt(T))) / 2
-
-
-def bachelier(F, K, T, sigma):
-    """ Bachelier formula for normal dynamics
-
-    need to multiply by discount factor
-    """
-    d1 = (F - K) / (sigma * sqrt(T))
-    return 0.5 * (F - K) * cnd_erf(d1) + sigma * sqrt(T) * norm.pdf(d1)
diff --git a/python/analytics/black.pyx b/python/analytics/black.pyx
new file mode 100644
index 00000000..80d13a1a
--- /dev/null
+++ b/python/analytics/black.pyx
@@ -0,0 +1,34 @@
+# cython: language_level=3, cdivision=True
+from libc.math cimport log, sqrt, erf
+from scipy.stats import norm
+import cython
+
+cpdef double cnd_erf(double d):
+    """ 2 * Phi where Phi is the cdf of a Normal """
+    cdef double RSQRT2 = 0.7071067811865475
+    return 1 + erf(RSQRT2 * d)
+
+
+cpdef double black(double F, double K, double T, double sigma, bint payer=True):
+    cdef:
+        double x = log(F / K)
+        double sigmaT = sigma * sqrt(T)
+        double d1 = (x + 0.5 * sigmaT * sigmaT) / sigmaT
+        double d2 = (x - 0.5 * sigmaT * sigmaT) / sigmaT
+    if payer:
+        return 0.5 * (F * cnd_erf(d1) - K * cnd_erf(d2))
+    else:
+        return 0.5 * (K * cnd_erf(-d2) - F * cnd_erf(-d1))
+
+
+cpdef double Nx(double F, double K, double sigma, double T):
+    return cnd_erf((log(F / K) - sigma ** 2 * T / 2) / (sigma * sqrt(T))) / 2
+
+
+cpdef double bachelier(double F, double K, double T, double sigma):
+    """ Bachelier formula for normal dynamics
+
+    need to multiply by discount factor
+    """
+    cdef double d1 = (F - K) / (sigma * sqrt(T))
+    return 0.5 * (F - K) * cnd_erf(d1) + sigma * sqrt(T) * norm.pdf(d1)
diff --git a/python/analytics/sabr.py b/python/analytics/sabr.py
index 7d66f1da..71b42cad 100644
--- a/python/analytics/sabr.py
+++ b/python/analytics/sabr.py
@@ -1,14 +1,8 @@
 import datetime
 import math
 import numpy as np
-from numba import jit, float64
 
 
-@jit(
-    float64(float64, float64, float64, float64, float64, float64),
-    cache=True,
-    nopython=True,
-)
 def sabr_lognormal(alpha, rho, nu, F, K, T):
     A = 1 + (0.25 * (alpha * nu * rho) + nu * nu * (2 - 3 * rho * rho) / 24.0) * T
     if F == K:
@@ -21,11 +15,6 @@ def sabr_lognormal(alpha, rho, nu, F, K, T):
     return VOL
 
 
-@jit(
-    float64(float64, float64, float64, float64, float64, float64),
-    cache=True,
-    nopython=True,
-)
 def sabr_normal(alpha, rho, nu, F, K, T):
     if F == K:
         V = F
@@ -55,11 +44,6 @@ def sabr_normal(alpha, rho, nu, F, K, T):
     return VOL
 
 
-@jit(
-    float64(float64, float64, float64, float64, float64, float64, float64),
-    cache=True,
-    nopython=True,
-)
 def sabr(alpha, beta, rho, nu, F, K, T):
     if beta == 0.0:
         return sabr_normal(alpha, rho, nu, F, K, T)