CODEWITHSUNDEEP
pythoncython
user3276418
user3276418

Reputation: 1807

Cython: TypeError: an integer is required

I run Anaconda 2.1.0 with Python 2.7.8 and Cython 0.2.1. In file Implied_Vola.pyx I have defined

def Implied_Vola(underlyingPrice,strikePrice,interestRate,daysToExpiration,price,optiontype):

    underlyingPrice = float(underlyingPrice)
    strikePrice = float(strikePrice)
    interestRate = float(interestRate) / 100
    daysToExpiration = float(daysToExpiration) / 365
    price = round(float(price), 6)


    implied_Volatility = calc_implied_volatility(underlyingPrice,strikePrice,interestRate,daysToExpiration, price, optiontype)
        return implied_Volatility

and

cdef float calc_implied_volatility(float underlyingPrice, float strikePrice, float interestRate, float daysToExpiration, float price, char optiontype):
    '''Returns the estimated implied volatility'''

    cdef float target, high, low, mid, volatility, estimate
    cdef int decimals

    target = price
    high=500.0 
    low=0.0
    decimals = len(str(target).split('.')[1])       # Count decimals
    for i in range(10000):  # To avoid infinite loops
        mid = (high + low) / 2
        if mid < 0.00001:
            mid = 0.00001
        if optiontype=='Call':
            volatility=mid 
            estimate = callPrice(underlyingPrice,strikePrice,interestRate,daysToExpiration, volatility)
        if optiontype=='Put':
            volatility=mid
            estimate = putPrice(underlyingPrice,strikePrice,interestRate,daysToExpiration, volatility)
        if round(estimate, decimals) == target: 
            break   
        elif estimate > target: 
            high = mid
        elif estimate < target: 
            low = mid
    return mid

When I compile and run it via

import Implied_Vola

underlyingPrice=5047
strikePrice=4600
interestRate=3
daysToExpiration=218
price=724.5
optiontype='Call'
start=time.time()
vola= Implied_Vola.Implied_Vola(underlyingPrice,strikePrice,interestRate,daysToExpiration,price,optiontype)
end=time.time()

I get "TypeError: an integer is required." It is thrown when 

implied_Volatility = calc_implied_volatility(underlyingPrice,strikePrice,interestRate,daysToExpiration, price, optiontype)

is called Why is that? I can't find any bug.

Upvotes: 2

Views: 3245

Answers (1)

amwinter
amwinter

Reputation: 3139

It's the optiontype param. Weirdly, the Cython char type expects an integer. You should either change the cython type to str or char*, or pass ord(string[0]) from python.

Small example:

# file: cdef.pyx
cpdef f(char c):
  print c

Then, in a python shell:

>>> import pyximport; pyximport.install(); import cdef
>>> cdef.f('hello')
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
  File "cdef.pyx", line 1, in cdef.f (.../cdef.c:598)
    cpdef f(char c):
TypeError: an integer is required
>>> cdef.f('h')
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
  File "cdef.pyx", line 1, in cdef.f (.../cdef.c:598)
    cpdef f(char c):
TypeError: an integer is required
>>> cdef.f(5)
5

Upvotes: 3

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