optPricing 2.2.0__tar.gz → 2.3.1__tar.gz

{optpricing-2.2.0 → optpricing-2.3.1}/.github/ISSUE_TEMPLATE/bug_report.md

@@ -12,6 +12,7 @@ A clear and concise description of what the bug is.
 
 **To Reproduce**
 Steps to reproduce the behavior:
+
 1. Go to '...'
 2. Click on '....'
 3. Scroll down to '....'
@@ -24,15 +25,10 @@ A clear and concise description of what you expected to happen.
 If applicable, add screenshots to help explain your problem.
 
 **Desktop (please complete the following information):**
- - OS: [e.g. iOS]
- - Browser [e.g. chrome, safari]
- - Version [e.g. 22]
-
-**Smartphone (please complete the following information):**
- - Device: [e.g. iPhone6]
- - OS: [e.g. iOS8.1]
- - Browser [e.g. stock browser, safari]
- - Version [e.g. 22]
+
+- OS: [e.g. iOS]
+- Browser [e.g. chrome, safari]
+- Version [e.g. 22]
 
 **Additional context**
 Add any other context about the problem here.

optpricing-2.3.1/.github/workflows/ci.yml

@@ -0,0 +1,45 @@
+name: CI
+
+on:
+  push:
+    branches: [ "main" ]
+  pull_request:
+    branches: [ "main" ]
+
+jobs:
+  test-and-lint:
+    runs-on: ubuntu-latest
+    strategy:
+      fail-fast: false
+      matrix:
+        python-version: ["3.10", "3.11"]
+
+    steps:
+      - name: Checkout repository
+        uses: actions/checkout@v4
+
+      - name: Set up Python ${{ matrix.python-version }}
+        uses: actions/setup-python@v4
+        with:
+          python-version: ${{ matrix.python-version }}
+          cache: 'pip'
+
+      - name: Install dependencies
+        run: |
+          python -m pip install --upgrade pip
+          pip install -e .[dev]
+
+      - name: Lint with ruff
+        run: |
+          ruff check .
+          ruff format --check .
+
+      - name: Run tests with pytest and generate coverage report
+        run: |
+          pytest --cov=src/optpricing --cov-report=xml
+
+      - name: Upload coverage reports to Codecov
+        uses: codecov/codecov-action@v5
+        with:
+          flags: unittests
+          fail_ci_if_error: false

optpricing-2.3.1/.github/workflows/pages.yml

@@ -0,0 +1,54 @@
+name: Docs
+
+on:
+  push:
+    branches: [ "main" ]
+
+  pull_request:
+    branches: [ "main" ]
+
+  workflow_dispatch:
+
+concurrency:
+  group: "pages"
+  cancel-in-progress: true
+
+jobs:
+  build-deploy:
+    runs-on: ubuntu-latest
+
+    permissions:
+      contents: read
+      pages: write
+      id-token: write
+
+    steps:
+      - name: Checkout repository
+        uses: actions/checkout@v4
+
+      - name: Set up Python
+        uses: actions/setup-python@v5
+        with:
+          python-version: '3.11'
+          cache: 'pip'
+
+      - name: Install dependencies for docs
+        run: |
+          python -m pip install --upgrade pip
+          pip install .[dev]
+
+      - name: Configure Pages
+        uses: actions/configure-pages@v4
+
+      - name: Build MkDocs site
+        run: mkdocs build
+
+      - name: Upload artifact
+        uses: actions/upload-pages-artifact@v3
+        with:
+          path: ./site
+
+      - name: Deploy to GitHub Pages
+        if: github.event_name == 'push'
+        id: deployment
+        uses: actions/deploy-pages@v4

{optpricing-2.2.0 → optpricing-2.3.1}/.gitignore

@@ -25,5 +25,6 @@ htmlcov/
 site/
 
 # Ignore my local notes file
-tmp.txt
-TODO.txt
+todo.txt
+todo/
+notes/

{optpricing-2.2.0 → optpricing-2.3.1}/CHANGELOG.md

@@ -1,6 +1,7 @@
 # Changelog
 
 ## [2.0.0] - 2025-06-26
+
 ### Added
-- Shipped to PyPI `pyproject.toml`
 
+- Shipped to PyPI `pyproject.toml`

{optpricing-2.2.0 → optpricing-2.3.1}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: optpricing
-Version: 2.2.0
+Version: 2.3.1
 Summary: A financial options pricing and analysis library.
 Author-email: Diljit Singh <first_last22@google.com>
 License: # MIT LICENSE
@@ -43,14 +43,18 @@ Requires-Dist: mkdocstrings[python]; extra == "dev"
 Requires-Dist: mkdocs-section-index; extra == "dev"
 Requires-Dist: line_profiler; extra == "dev"
 Requires-Dist: pre-commit; extra == "dev"
+Requires-Dist: codecov; extra == "dev"
 Dynamic: license-file
 
 # optpricing
 
-[![CI/CD](https://github.com/diljit22/quantfin/actions/workflows/ci.yml/badge.svg)](https://github.com/diljit22/quantfin/actions/workflows/ci.yml)
-[![PyPI Version](https://badge.fury.io/py/optpricing.svg)](https://pypi.org/project/optpricing/)
-[![License: MIT](https://img.shields.io/badge/License-MIT-yellow.svg)](https://opensource.org/licenses/MIT)
+[![Tests](https://img.shields.io/github/actions/workflow/status/diljit22/quantfin/ci.yml?branch=main&label=tests)](https://github.com/diljit22/quantfin/actions/workflows/ci.yml)
+[![Coverage](https://codecov.io/gh/diljit22/quantfin/branch/main/graph/badge.svg)](https://codecov.io/gh/diljit22/quantfin)
+[![Ruff](https://img.shields.io/github/actions/workflow/status/diljit22/quantfin/ci.yml?branch=main&label=ruff)](https://github.com/diljit22/quantfin/actions/workflows/ci.yml)
+[![Docs](https://img.shields.io/github/actions/workflow/status/diljit22/quantfin/ci.yml?branch=main&label=docs)](https://github.com/diljit22/quantfin/actions/workflows/ci.yml)
+[![PyPI version](https://img.shields.io/pypi/v/optpricing.svg)](https://pypi.org/project/optpricing/)
 [![Python 3.10+](https://img.shields.io/badge/python-3.10+-blue.svg)](https://www.python.org/downloads/)
+[![License: MIT](https://img.shields.io/badge/License-MIT-yellow.svg)](https://opensource.org/licenses/MIT)
 
 **A Python library for pricing and calibrating financial options.**
 
@@ -61,7 +65,7 @@ Welcome to **optpricing**, a comprehensive Python toolkit for pricing and calibr
 optpricing is structured around four core pillars:
 
 - **Atoms**: Fundamental data types (`Option`, `Stock`, `Rate`) that ensure consistency and clarity of inputs across the library.
-- **Models**: A broad library ranging from classical Black-Scholes-Merton to advanced stochastic volatility (Heston, SABR) and jump/Lévy processes.
+- **Models**: A broad library ranging from classical Black-Scholes-Merton to advanced stochastic volatility (Heston, SABR) and jump/Levy processes.
 - **Techniques**: Multiple pricing engines—closed-form formulas, FFT, numerical integration, PDE solvers, lattice methods, and Monte Carlo (`numba`-accelerated with variance reduction methods baked in).
 - **Workflows**: High-level orchestrators that automate end-to-end tasks like daily calibration and out-of-sample backtesting, all accessible via a CLI or an interactive dashboard.
 
@@ -87,17 +91,17 @@ optpricing dashboard
 
 For a detailed tutorial, full API reference, and more examples, please see the official documentation.
 
-- **Getting Started**:  
-  [Installation Guide](https://diljit22.github.io/quantfin/guide/installation/) ·  
+- **Getting Started**:
+  [Installation Guide](https://diljit22.github.io/quantfin/guide/installation/) ·
   [Walkthrough](https://diljit22.github.io/quantfin/guide/getting_started/)
 
-- **Documentation**:  
+- **Documentation**:
   [API Reference](https://diljit22.github.io/quantfin)
 
-- **Interactive Dashboard**:  
+- **Interactive Dashboard**:
   [Launch the UI](https://diljit22.github.io/quantfin/guide/dashboard/)
 
-- **About Me**:  
+- **About Me**:
   [LinkedIn](https://www.linkedin.com/in/singhdiljit/)
 
 ## Contributing & License

{optpricing-2.2.0 → optpricing-2.3.1}/README.md

@@ -1,9 +1,12 @@
 # optpricing
 
-[![CI/CD](https://github.com/diljit22/quantfin/actions/workflows/ci.yml/badge.svg)](https://github.com/diljit22/quantfin/actions/workflows/ci.yml)
-[![PyPI Version](https://badge.fury.io/py/optpricing.svg)](https://pypi.org/project/optpricing/)
-[![License: MIT](https://img.shields.io/badge/License-MIT-yellow.svg)](https://opensource.org/licenses/MIT)
+[![Tests](https://img.shields.io/github/actions/workflow/status/diljit22/quantfin/ci.yml?branch=main&label=tests)](https://github.com/diljit22/quantfin/actions/workflows/ci.yml)
+[![Coverage](https://codecov.io/gh/diljit22/quantfin/branch/main/graph/badge.svg)](https://codecov.io/gh/diljit22/quantfin)
+[![Ruff](https://img.shields.io/github/actions/workflow/status/diljit22/quantfin/ci.yml?branch=main&label=ruff)](https://github.com/diljit22/quantfin/actions/workflows/ci.yml)
+[![Docs](https://img.shields.io/github/actions/workflow/status/diljit22/quantfin/ci.yml?branch=main&label=docs)](https://github.com/diljit22/quantfin/actions/workflows/ci.yml)
+[![PyPI version](https://img.shields.io/pypi/v/optpricing.svg)](https://pypi.org/project/optpricing/)
 [![Python 3.10+](https://img.shields.io/badge/python-3.10+-blue.svg)](https://www.python.org/downloads/)
+[![License: MIT](https://img.shields.io/badge/License-MIT-yellow.svg)](https://opensource.org/licenses/MIT)
 
 **A Python library for pricing and calibrating financial options.**
 
@@ -14,7 +17,7 @@ Welcome to **optpricing**, a comprehensive Python toolkit for pricing and calibr
 optpricing is structured around four core pillars:
 
 - **Atoms**: Fundamental data types (`Option`, `Stock`, `Rate`) that ensure consistency and clarity of inputs across the library.
-- **Models**: A broad library ranging from classical Black-Scholes-Merton to advanced stochastic volatility (Heston, SABR) and jump/Lévy processes.
+- **Models**: A broad library ranging from classical Black-Scholes-Merton to advanced stochastic volatility (Heston, SABR) and jump/Levy processes.
 - **Techniques**: Multiple pricing engines—closed-form formulas, FFT, numerical integration, PDE solvers, lattice methods, and Monte Carlo (`numba`-accelerated with variance reduction methods baked in).
 - **Workflows**: High-level orchestrators that automate end-to-end tasks like daily calibration and out-of-sample backtesting, all accessible via a CLI or an interactive dashboard.
 
@@ -40,17 +43,17 @@ optpricing dashboard
 
 For a detailed tutorial, full API reference, and more examples, please see the official documentation.
 
-- **Getting Started**:  
-  [Installation Guide](https://diljit22.github.io/quantfin/guide/installation/) ·  
+- **Getting Started**:
+  [Installation Guide](https://diljit22.github.io/quantfin/guide/installation/) ·
   [Walkthrough](https://diljit22.github.io/quantfin/guide/getting_started/)
 
-- **Documentation**:  
+- **Documentation**:
   [API Reference](https://diljit22.github.io/quantfin)
 
-- **Interactive Dashboard**:  
+- **Interactive Dashboard**:
   [Launch the UI](https://diljit22.github.io/quantfin/guide/dashboard/)
 
-- **About Me**:  
+- **About Me**:
   [LinkedIn](https://www.linkedin.com/in/singhdiljit/)
 
 ## Contributing & License

optpricing-2.3.1/artifacts/backtest_logs/SPY_backtest_2025-07-07.csv

@@ -0,0 +1,6 @@
+Eval Date,Model,Out-of-Sample RMSE
+2025-07-03,BSM,11.160890957057632
+2025-07-02,BSM,10.263303567917294
+2025-06-26,BSM,11.23164730000395
+2025-06-17,BSM,8.025361660077047
+2025-06-16,BSM,8.450145179833529

optpricing-2.3.1/artifacts/backtest_logs/SPY_backtest_2025-07-09.csv

@@ -0,0 +1,8 @@
+Eval Date,Model,Out-of-Sample RMSE
+2025-07-08,BSM,10.170957494669732
+2025-07-07,BSM,9.960832785279184
+2025-07-03,BSM,11.160890957057632
+2025-07-02,BSM,10.263303567917294
+2025-06-26,BSM,11.23164730000395
+2025-06-17,BSM,8.025361660077047
+2025-06-16,BSM,8.450145179833529

optpricing-2.3.1/artifacts/calibrated_params/SPY_BSM_2025-07-03.json

@@ -0,0 +1,8 @@
+{
+    "model": "BSM",
+    "ticker": "SPY",
+    "date": "2025-07-03",
+    "params": {
+        "sigma": 0.18311375184055745
+    }
+}

optpricing-2.3.1/artifacts/calibrated_params/SPY_BSM_2025-07-07.json

@@ -0,0 +1,8 @@
+{
+    "model": "BSM",
+    "ticker": "SPY",
+    "date": "2025-07-07",
+    "params": {
+        "sigma": 0.18518990454903567
+    }
+}

optpricing-2.3.1/artifacts/calibrated_params/SPY_BSM_2025-07-08.json

@@ -0,0 +1,8 @@
+{
+    "model": "BSM",
+    "ticker": "SPY",
+    "date": "2025-07-08",
+    "params": {
+        "sigma": 0.18289235017900857
+    }
+}

optpricing-2.3.1/artifacts/calibrated_params/SPY_BSM_2025-07-09.json

@@ -0,0 +1,8 @@
+{
+    "model": "BSM",
+    "ticker": "SPY",
+    "date": "2025-07-09",
+    "params": {
+        "sigma": 0.18053659422178386
+    }
+}

optpricing-2.3.1/artifacts/calibrated_params/SPY_Merton_2025-07-03.json

@@ -0,0 +1,11 @@
+{
+    "model": "Merton",
+    "ticker": "SPY",
+    "date": "2025-07-03",
+    "params": {
+        "sigma": 0.14899806945368946,
+        "lambda": 3.5097493036211698,
+        "mu_j": -0.013195804678398376,
+        "sigma_j": 0.05717547425526682
+    }
+}

optpricing-2.3.1/artifacts/calibrated_params/SPY_Merton_2025-07-07.json

@@ -0,0 +1,11 @@
+{
+    "model": "Merton",
+    "ticker": "SPY",
+    "date": "2025-07-07",
+    "params": {
+        "sigma": 0.14899806945368946,
+        "lambda": 3.5097493036211698,
+        "mu_j": -0.013195804678398376,
+        "sigma_j": 0.05717547425526682
+    }
+}

optpricing-2.3.1/artifacts/calibrated_params/SPY_Merton_2025-07-08.json

@@ -0,0 +1,11 @@
+{
+    "model": "Merton",
+    "ticker": "SPY",
+    "date": "2025-07-08",
+    "params": {
+        "sigma": 0.14899806945368946,
+        "lambda": 3.5097493036211698,
+        "mu_j": -0.013195804678398376,
+        "sigma_j": 0.05717547425526682
+    }
+}

optpricing-2.3.1/artifacts/calibrated_params/SPY_Merton_2025-07-09.json

@@ -0,0 +1,11 @@
+{
+    "model": "Merton",
+    "ticker": "SPY",
+    "date": "2025-07-09",
+    "params": {
+        "sigma": 0.14899806945368946,
+        "lambda": 3.5097493036211698,
+        "mu_j": -0.013195804678398376,
+        "sigma_j": 0.05717547425526682
+    }
+}

optpricing-2.3.1/codecov.yml

@@ -0,0 +1,5 @@
+coverage:
+  range: "70..90"
+  status:
+    project:
+      enabled: false

{optpricing-2.2.0 → optpricing-2.3.1}/config.yaml

@@ -5,7 +5,7 @@ live_data_provider: "yfinance"
 data_directory: "data"
 artifacts_directory: "artifacts"
 
-# Used by 'optpricing data download --all'
+# Used by --all in CLI commands
 default_tickers:
   - SPY
   - QQQ

optpricing-2.3.1/docs/reference/calibration/vectorized_pricer.md

@@ -0,0 +1,3 @@
+# Vectorized Pricer
+
+::: src.optpricing.calibration.vectorized_pricer.price_options_vectorized

optpricing-2.3.1/docs/reference/cli/dashboard.md

@@ -0,0 +1,3 @@
+# Dashboard
+
+::: optpricing.cli.commands.dashboard

optpricing-2.3.1/docs/reference/cli/demo.md

@@ -0,0 +1,6 @@
+# Calibrate Command
+
+This page details the `demo` command for devs to sample
+each model along with every supported technique.
+
+::: optpricing.cli.commands.demo

optpricing-2.3.1/docs/reference/dashboard/Home.md

@@ -0,0 +1,3 @@
+# Main App
+
+::: src.optpricing.dashboard.Home

optpricing-2.3.1/docs/reference/dashboard/index.md

@@ -0,0 +1,14 @@
+# Dashboard
+
+- [Main App](Home.md)
+- [Plotting Functions](plots.md)
+- [Backend Service](service.md)
+- [UI Widgets](widgets.md)
+
+## Pages
+
+- [Pricer & Greeks](pages/1_Pricer_and_Greeks.md)
+- [Calibration & IV](pages/2_Calibration_and_IV.md)
+- [Market Analytics](pages/3_Market_Analytics.md)
+- [Historical](pages/4_Model_Fitting.md)
+- [Term Structure](pages/5_Term_Structure.md)

optpricing-2.3.1/docs/reference/dashboard/pages/1_Pricer_and_Greeks.md

@@ -0,0 +1,3 @@
+# Pricer & Greeks
+
+::: optpricing.dashboard.pages.1_Pricer_and_Greeks