diff --git a/.github/workflows/CI.yml b/.github/workflows/CI.yml
new file mode 100644
index 0000000..8268eaf
--- /dev/null
+++ b/.github/workflows/CI.yml
@@ -0,0 +1,120 @@
+# This file is autogenerated by maturin v1.1.0
+# To update, run
+#
+#    maturin generate-ci github
+#
+name: CI
+
+on:
+  push:
+    branches:
+      - main
+      - master
+    tags:
+      - '*'
+  pull_request:
+  workflow_dispatch:
+
+permissions:
+  contents: read
+
+jobs:
+  linux:
+    runs-on: ubuntu-latest
+    strategy:
+      matrix:
+        target: [x86_64, x86, aarch64, armv7, s390x, ppc64le]
+    steps:
+      - uses: actions/checkout@v3
+      - uses: actions/setup-python@v4
+        with:
+          python-version: '3.10'
+      - name: Build wheels
+        uses: PyO3/maturin-action@v1
+        with:
+          target: ${{ matrix.target }}
+          args: --release --out dist --find-interpreter
+          sccache: 'true'
+          manylinux: auto
+      - name: Upload wheels
+        uses: actions/upload-artifact@v3
+        with:
+          name: wheels
+          path: dist
+
+  windows:
+    runs-on: windows-latest
+    strategy:
+      matrix:
+        target: [x64, x86]
+    steps:
+      - uses: actions/checkout@v3
+      - uses: actions/setup-python@v4
+        with:
+          python-version: '3.10'
+          architecture: ${{ matrix.target }}
+      - name: Build wheels
+        uses: PyO3/maturin-action@v1
+        with:
+          target: ${{ matrix.target }}
+          args: --release --out dist --find-interpreter
+          sccache: 'true'
+      - name: Upload wheels
+        uses: actions/upload-artifact@v3
+        with:
+          name: wheels
+          path: dist
+
+  macos:
+    runs-on: macos-latest
+    strategy:
+      matrix:
+        target: [x86_64, aarch64]
+    steps:
+      - uses: actions/checkout@v3
+      - uses: actions/setup-python@v4
+        with:
+          python-version: '3.10'
+      - name: Build wheels
+        uses: PyO3/maturin-action@v1
+        with:
+          target: ${{ matrix.target }}
+          args: --release --out dist --find-interpreter
+          sccache: 'true'
+      - name: Upload wheels
+        uses: actions/upload-artifact@v3
+        with:
+          name: wheels
+          path: dist
+
+  sdist:
+    runs-on: ubuntu-latest
+    steps:
+      - uses: actions/checkout@v3
+      - name: Build sdist
+        uses: PyO3/maturin-action@v1
+        with:
+          command: sdist
+          args: --out dist
+      - name: Upload sdist
+        uses: actions/upload-artifact@v3
+        with:
+          name: wheels
+          path: dist
+
+  release:
+    name: Release
+    runs-on: ubuntu-latest
+    if: "startsWith(github.ref, 'refs/tags/')"
+    needs: [linux, windows, macos, sdist]
+    steps:
+      - uses: actions/download-artifact@v3
+        with:
+          name: wheels
+      - name: Publish to PyPI
+        uses: PyO3/maturin-action@v1
+        env:
+          MATURIN_PYPI_TOKEN: ${{ secrets.PYPI_API_TOKEN }}
+        with:
+          command: upload
+          args: --skip-existing *
diff --git a/.gitignore b/.gitignore
new file mode 100644
index 0000000..35df1bf
--- /dev/null
+++ b/.gitignore
@@ -0,0 +1,73 @@
+/target
+
+# Byte-compiled / optimized / DLL files
+__pycache__/
+.pytest_cache/
+*.py[cod]
+
+# C extensions
+*.so
+
+# Distribution / packaging
+.Python
+.venv/
+env/
+bin/
+build/
+develop-eggs/
+dist/
+eggs/
+lib/
+lib64/
+parts/
+sdist/
+var/
+include/
+man/
+venv/
+*.egg-info/
+.installed.cfg
+*.egg
+
+# Installer logs
+pip-log.txt
+pip-delete-this-directory.txt
+pip-selfcheck.json
+
+# Unit test / coverage reports
+htmlcov/
+.tox/
+.coverage
+.cache
+nosetests.xml
+coverage.xml
+
+# Translations
+*.mo
+
+# Mr Developer
+.mr.developer.cfg
+.project
+.pydevproject
+
+# Rope
+.ropeproject
+
+# Django stuff:
+*.log
+*.pot
+
+.DS_Store
+
+# Sphinx documentation
+docs/_build/
+
+# PyCharm
+.idea/
+*.iml
+
+# VSCode
+.vscode/
+
+# Pyenv
+.python-version
\ No newline at end of file
diff --git a/Cargo.lock b/Cargo.lock
new file mode 100644
index 0000000..d9a7a62
--- /dev/null
+++ b/Cargo.lock
@@ -0,0 +1,273 @@
+# This file is automatically @generated by Cargo.
+# It is not intended for manual editing.
+version = 3
+
+[[package]]
+name = "autocfg"
+version = "1.1.0"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "d468802bab17cbc0cc575e9b053f41e72aa36bfa6b7f55e3529ffa43161b97fa"
+
+[[package]]
+name = "bitflags"
+version = "1.3.2"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "bef38d45163c2f1dde094a7dfd33ccf595c92905c8f8f4fdc18d06fb1037718a"
+
+[[package]]
+name = "cfg-if"
+version = "1.0.0"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "baf1de4339761588bc0619e3cbc0120ee582ebb74b53b4efbf79117bd2da40fd"
+
+[[package]]
+name = "indoc"
+version = "1.0.9"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "bfa799dd5ed20a7e349f3b4639aa80d74549c81716d9ec4f994c9b5815598306"
+
+[[package]]
+name = "kelly"
+version = "0.1.0"
+dependencies = [
+ "pyo3",
+]
+
+[[package]]
+name = "libc"
+version = "0.2.147"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "b4668fb0ea861c1df094127ac5f1da3409a82116a4ba74fca2e58ef927159bb3"
+
+[[package]]
+name = "lock_api"
+version = "0.4.10"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "c1cc9717a20b1bb222f333e6a92fd32f7d8a18ddc5a3191a11af45dcbf4dcd16"
+dependencies = [
+ "autocfg",
+ "scopeguard",
+]
+
+[[package]]
+name = "memoffset"
+version = "0.9.0"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "5a634b1c61a95585bd15607c6ab0c4e5b226e695ff2800ba0cdccddf208c406c"
+dependencies = [
+ "autocfg",
+]
+
+[[package]]
+name = "once_cell"
+version = "1.18.0"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "dd8b5dd2ae5ed71462c540258bedcb51965123ad7e7ccf4b9a8cafaa4a63576d"
+
+[[package]]
+name = "parking_lot"
+version = "0.12.1"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "3742b2c103b9f06bc9fff0a37ff4912935851bee6d36f3c02bcc755bcfec228f"
+dependencies = [
+ "lock_api",
+ "parking_lot_core",
+]
+
+[[package]]
+name = "parking_lot_core"
+version = "0.9.8"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "93f00c865fe7cabf650081affecd3871070f26767e7b2070a3ffae14c654b447"
+dependencies = [
+ "cfg-if",
+ "libc",
+ "redox_syscall",
+ "smallvec",
+ "windows-targets",
+]
+
+[[package]]
+name = "proc-macro2"
+version = "1.0.66"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "18fb31db3f9bddb2ea821cde30a9f70117e3f119938b5ee630b7403aa6e2ead9"
+dependencies = [
+ "unicode-ident",
+]
+
+[[package]]
+name = "pyo3"
+version = "0.19.2"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "e681a6cfdc4adcc93b4d3cf993749a4552018ee0a9b65fc0ccfad74352c72a38"
+dependencies = [
+ "cfg-if",
+ "indoc",
+ "libc",
+ "memoffset",
+ "parking_lot",
+ "pyo3-build-config",
+ "pyo3-ffi",
+ "pyo3-macros",
+ "unindent",
+]
+
+[[package]]
+name = "pyo3-build-config"
+version = "0.19.2"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "076c73d0bc438f7a4ef6fdd0c3bb4732149136abd952b110ac93e4edb13a6ba5"
+dependencies = [
+ "once_cell",
+ "target-lexicon",
+]
+
+[[package]]
+name = "pyo3-ffi"
+version = "0.19.2"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "e53cee42e77ebe256066ba8aa77eff722b3bb91f3419177cf4cd0f304d3284d9"
+dependencies = [
+ "libc",
+ "pyo3-build-config",
+]
+
+[[package]]
+name = "pyo3-macros"
+version = "0.19.2"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "dfeb4c99597e136528c6dd7d5e3de5434d1ceaf487436a3f03b2d56b6fc9efd1"
+dependencies = [
+ "proc-macro2",
+ "pyo3-macros-backend",
+ "quote",
+ "syn",
+]
+
+[[package]]
+name = "pyo3-macros-backend"
+version = "0.19.2"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "947dc12175c254889edc0c02e399476c2f652b4b9ebd123aa655c224de259536"
+dependencies = [
+ "proc-macro2",
+ "quote",
+ "syn",
+]
+
+[[package]]
+name = "quote"
+version = "1.0.32"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "50f3b39ccfb720540debaa0164757101c08ecb8d326b15358ce76a62c7e85965"
+dependencies = [
+ "proc-macro2",
+]
+
+[[package]]
+name = "redox_syscall"
+version = "0.3.5"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "567664f262709473930a4bf9e51bf2ebf3348f2e748ccc50dea20646858f8f29"
+dependencies = [
+ "bitflags",
+]
+
+[[package]]
+name = "scopeguard"
+version = "1.2.0"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "94143f37725109f92c262ed2cf5e59bce7498c01bcc1502d7b9afe439a4e9f49"
+
+[[package]]
+name = "smallvec"
+version = "1.11.0"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "62bb4feee49fdd9f707ef802e22365a35de4b7b299de4763d44bfea899442ff9"
+
+[[package]]
+name = "syn"
+version = "1.0.109"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "72b64191b275b66ffe2469e8af2c1cfe3bafa67b529ead792a6d0160888b4237"
+dependencies = [
+ "proc-macro2",
+ "quote",
+ "unicode-ident",
+]
+
+[[package]]
+name = "target-lexicon"
+version = "0.12.11"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "9d0e916b1148c8e263850e1ebcbd046f333e0683c724876bb0da63ea4373dc8a"
+
+[[package]]
+name = "unicode-ident"
+version = "1.0.11"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "301abaae475aa91687eb82514b328ab47a211a533026cb25fc3e519b86adfc3c"
+
+[[package]]
+name = "unindent"
+version = "0.1.11"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "e1766d682d402817b5ac4490b3c3002d91dfa0d22812f341609f97b08757359c"
+
+[[package]]
+name = "windows-targets"
+version = "0.48.1"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "05d4b17490f70499f20b9e791dcf6a299785ce8af4d709018206dc5b4953e95f"
+dependencies = [
+ "windows_aarch64_gnullvm",
+ "windows_aarch64_msvc",
+ "windows_i686_gnu",
+ "windows_i686_msvc",
+ "windows_x86_64_gnu",
+ "windows_x86_64_gnullvm",
+ "windows_x86_64_msvc",
+]
+
+[[package]]
+name = "windows_aarch64_gnullvm"
+version = "0.48.0"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "91ae572e1b79dba883e0d315474df7305d12f569b400fcf90581b06062f7e1bc"
+
+[[package]]
+name = "windows_aarch64_msvc"
+version = "0.48.0"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "b2ef27e0d7bdfcfc7b868b317c1d32c641a6fe4629c171b8928c7b08d98d7cf3"
+
+[[package]]
+name = "windows_i686_gnu"
+version = "0.48.0"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "622a1962a7db830d6fd0a69683c80a18fda201879f0f447f065a3b7467daa241"
+
+[[package]]
+name = "windows_i686_msvc"
+version = "0.48.0"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "4542c6e364ce21bf45d69fdd2a8e455fa38d316158cfd43b3ac1c5b1b19f8e00"
+
+[[package]]
+name = "windows_x86_64_gnu"
+version = "0.48.0"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "ca2b8a661f7628cbd23440e50b05d705db3686f894fc9580820623656af974b1"
+
+[[package]]
+name = "windows_x86_64_gnullvm"
+version = "0.48.0"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "7896dbc1f41e08872e9d5e8f8baa8fdd2677f29468c4e156210174edc7f7b953"
+
+[[package]]
+name = "windows_x86_64_msvc"
+version = "0.48.0"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "1a515f5799fe4961cb532f983ce2b23082366b898e52ffbce459c86f67c8378a"
diff --git a/Cargo.toml b/Cargo.toml
new file mode 100644
index 0000000..5901c23
--- /dev/null
+++ b/Cargo.toml
@@ -0,0 +1,12 @@
+[package]
+name = "kelly"
+version = "0.1.0"
+edition = "2021"
+
+# See more keys and their definitions at https://doc.rust-lang.org/cargo/reference/manifest.html
+[lib]
+name = "kelly"
+crate-type = ["cdylib"]
+
+[dependencies]
+pyo3 = "0.19.0"
diff --git a/pyproject.toml b/pyproject.toml
new file mode 100644
index 0000000..f91b457
--- /dev/null
+++ b/pyproject.toml
@@ -0,0 +1,16 @@
+[build-system]
+requires = ["maturin>=1.1,<2.0"]
+build-backend = "maturin"
+
+[project]
+name = "kelly"
+requires-python = ">=3.7"
+classifiers = [
+    "Programming Language :: Rust",
+    "Programming Language :: Python :: Implementation :: CPython",
+    "Programming Language :: Python :: Implementation :: PyPy",
+]
+
+
+[tool.maturin]
+features = ["pyo3/extension-module"]
diff --git a/src/lib.rs b/src/lib.rs
new file mode 100644
index 0000000..a715e6d
--- /dev/null
+++ b/src/lib.rs
@@ -0,0 +1,240 @@
+use pyo3::prelude::*;
+
+const HEADER: &str = " Func-count     x          f(x)          Procedure";
+
+fn bounded_minimisation(
+    func: impl Fn(f64) -> f64,
+    lower_bound: f64,
+    upper_bound: f64,
+    verbose: bool,
+) -> f64 {
+    let golden_mean = 0.5 * (3.0 - 5.0_f64.sqrt());
+    let sqrt_eps = (2.2e-16_f64).sqrt();
+
+    let xatol = 1e-5;
+    let maxfun: u64 = 500;
+    let x1 = lower_bound;
+    let x2 = upper_bound;
+
+    let mut flag = 0;
+    let mut step = "       initial";
+
+    let mut a = x1;
+    let mut b = x2;
+    let mut fulc = a + golden_mean * (b - a);
+
+    let mut rat = 0.0;
+    let mut e: f64 = 0.0;
+
+    let mut nfc = fulc;
+    let mut xf = fulc;
+
+    let mut x = xf;
+    let mut fx = func(x);
+    let mut num = 1;
+    let mut fu = f64::INFINITY;
+
+    let mut ffulc = fx;
+    let mut fnfc = fx;
+
+    let mut xm = 0.5 * (a + b);
+    let mut tol1 = sqrt_eps * xf.abs() + xatol / 3.0;
+    let mut tol2 = 2.0 * tol1;
+
+    if verbose {
+        println!(" ");
+        println!("{HEADER}");
+        println!("{0:5.0}   {xf:12.6} {fx:12.6} {step}", 1);
+    }
+
+    while (xf - xm).abs() > (tol2 - 0.5 * (b - a)) {
+        let mut golden = true;
+        if e.abs() > tol1 {
+            golden = false;
+            let mut r = (xf - nfc) * (fx - ffulc);
+            let q = (xf - fulc) * (fx - fnfc);
+            let mut p = (xf - fulc) * q - (xf - nfc) * r;
+            let mut q = 2.0 * (q - r);
+            if q > 0.0 {
+                p = -p;
+            }
+            q = q.abs();
+            r = e;
+            e = rat;
+
+            if (p.abs() < (0.5 * q * r).abs()) && (p > q * (a - xf)) && (p < q * (b - xf)) {
+                rat = (p + 0.0) / q;
+                x = xf + rat;
+                step = "       parabolic";
+                if ((x - a) < tol2) || ((b - x) < tol2) {
+                    let si = (xm - xf).signum() + f64::from((xm - xf) == 0.0);
+                    rat = tol1 * si;
+                }
+            } else {
+                golden = true;
+            }
+        }
+
+        if golden {
+            if xf >= xm {
+                e = a - xf;
+            } else {
+                e = b - xf;
+            }
+            rat = golden_mean * e;
+            step = "       golden";
+        }
+
+        let si = rat.signum() + f64::from(rat == 0.0);
+        x = xf + si * f64::max(rat.abs(), tol1);
+        fu = func(x);
+        num += 1;
+        if verbose {
+            println!("{num:5.0}   {x:12.6} {fu:12.6} {step}");
+        }
+
+        if fu <= fx {
+            if x >= xf {
+                a = xf;
+            } else {
+                b = xf;
+            }
+            fulc = nfc;
+            ffulc = fnfc;
+            nfc = xf;
+            fnfc = fx;
+            xf = x;
+            fx = fu;
+        } else {
+            if x < xf {
+                a = x;
+            } else {
+                b = x;
+            }
+            if (fu <= fnfc) || (nfc == xf) {
+                fulc = nfc;
+                ffulc = fnfc;
+                nfc = x;
+                fnfc = fu;
+            } else if (fu <= ffulc) || (fulc == xf) || (fulc == nfc) {
+                fulc = x;
+                ffulc = fu;
+            }
+        }
+
+        xm = 0.5 * (a + b);
+        tol1 = sqrt_eps * xf.abs() + xatol / 3.0;
+        tol2 = 2.0 * tol1;
+
+        if num >= maxfun {
+            flag = 1;
+            break;
+        }
+    }
+
+    if xf.is_nan() || fx.is_nan() || fu.is_nan() {
+        flag = 2;
+    }
+
+    let fval = fx;
+
+    // TODO: _endprint(x, flag, fval, maxfun, xatol, disp)
+
+    // TODO: Improve return value
+    x
+}
+
+#[test]
+fn example1() {
+    assert_eq!(
+        bounded_minimisation(|x| (x - 1.0) * (x - 1.0), -4.0, 4.0, true),
+        1.0
+    );
+}
+
+#[test]
+fn example2() {
+    assert_eq!(
+        bounded_minimisation(|x| (x - 1.0) * (x - 1.0), 3.0, 4.0, true),
+        3.0
+    );
+}
+
+fn calculate_log_expected_wealth(
+    stake: f64,
+    price: f64,
+    is_back: bool,
+    probability: f64,
+    other_probabilities: &Vec<f64>,
+    position: f64,
+    other_positions: &Vec<f64>,
+    bankroll: f64,
+) -> f64 {
+    let expected_log_wealth = if is_back {
+        probability * (bankroll + position + stake * (price - 1.0)).ln()
+            + (other_positions
+                .iter()
+                .zip(other_probabilities.iter())
+                .map(|(other_position, other_probability)| {
+                    other_probability * (bankroll + other_position - stake).ln()
+                })
+                .sum::<f64>())
+    } else {
+        probability * (bankroll + position - stake * (price - 1.0)).ln()
+            + (other_positions
+                .iter()
+                .zip(other_probabilities.iter())
+                .map(|(other_position, other_probability)| {
+                    other_probability * (bankroll + other_position + stake).ln()
+                })
+                .sum::<f64>())
+    };
+
+    expected_log_wealth
+}
+
+#[pyfunction]
+#[pyo3(signature = (price, is_back, probability, other_probabilities, position, other_positions, bankroll, kelly_fraction, verbose = false))]
+fn calculate_kelly_stake(
+    price: f64,
+    is_back: bool,
+    probability: f64,
+    other_probabilities: Vec<f64>,
+    position: f64,
+    other_positions: Vec<f64>,
+    bankroll: f64,
+    kelly_fraction: f64,
+    verbose: bool,
+) -> PyResult<f64> {
+    let kelly_stake = bounded_minimisation(
+        |stake| {
+            -calculate_log_expected_wealth(
+                stake,
+                price,
+                is_back,
+                probability,
+                &other_probabilities,
+                position,
+                &other_positions,
+                bankroll,
+            )
+        },
+        0.0,
+        bankroll,
+        verbose,
+    );
+    Ok(kelly_stake)
+}
+
+/// Formats the sum of two numbers as string.
+#[pyfunction]
+fn sum_as_string(a: usize, b: usize) -> PyResult<String> {
+    Ok((a + b).to_string())
+}
+
+/// A Python module implemented in Rust.
+#[pymodule]
+fn kelly(_py: Python, m: &PyModule) -> PyResult<()> {
+    m.add_function(wrap_pyfunction!(calculate_kelly_stake, m)?)?;
+    Ok(())
+}