optPricing 2.3.4__tar.gz → 2.5.0__tar.gz

optpricing-2.5.0/CHANGELOG.md

@@ -0,0 +1,50 @@
+# Changelog
+
+All notable changes to this project are documented here. The format follows
+[Keep a Changelog](https://keepachangelog.com/en/1.1.0/); versions come from git tags
+(`vX.Y.Z`) via setuptools_scm.
+
+## [Unreleased]
+
+### Changed
+
+- Python 3.10 support dropped (end of life); supported versions are 3.11–3.14, with 3.15 tested as experimental.
+- Dependency pins relaxed from `~=` to verified minimum versions (`numpy>=2.3.2`, `scipy>=1.16.1`, `pandas>=2.3.3`, `numba>=0.63`, `pyyaml>=6.0.3`, `typer>=0.15.3`, `yfinance>=0.2.63`). Current releases (numpy 2.5, pandas 3.1, numba 0.68, yfinance 1.x) are supported.
+- Streamlit and Plotly moved to the optional `ui` extra: `pip install "optpricing[ui]"` for the dashboard.
+- Development tooling moved from the `dev` extra to PEP 735 dependency groups (`uv sync`; `pip install -e . --group dev`).
+- Package metadata uses a PEP 639 license expression; the source distribution no longer bundles `data/`, `artifacts/` or docs (24 MB → ~0.1 MB).
+- CI rebuilt on uv: lint, Python 3.11–3.15 matrix, minimum-dependency-versions job, build/twine checks; docs and publish workflows split into build and deploy jobs with hash-pinned actions.
+
+### Removed
+
+- Unused runtime dependencies `matplotlib`, `tabulate` and the explicit `click` pin (Click arrives via Typer).
+
+### Fixed
+
+- `test_price_command` relied on a hard-coded maturity date that is now in the past.
+- **European Monte Carlo for Heston, Bates, SABR and SABR-jump applied the spot/variance correlation twice** (once in `MonteCarloTechnique`, once in the kernels), biasing prices by up to 2 % at ρ = −0.7. Heston MC now agrees with QuantLib's analytic engine within Monte Carlo error.
+- NIG exact sampler drew the inverse-Gaussian subordinator with shape 1 instead of (δT)²; prices were ~3 % low.
+- CEV exact sampler used an incorrect noncentral-χ² parametrisation (terminal mean 100.6 for a forward of 105.1), ignored the dividend yield and the seeded generator, and divided by zero at r = 0. It now samples the absorbed squared-Bessel law exactly (Makarov & Glew 2010) and matches the Cox/Schroder closed form.
+- CGMY: the Lévy exponent was singular at Y = 0 and Y = 1 (Γ(−Y) poles) and the only Monte Carlo path was guarded on Y = 1 while implementing the Y = 0 law. Both limits are closed-form now; other Y sample by characteristic-function inversion.
+- Hyperbolic model: characteristic function was neither the Lévy-process law nor the horizon-T hyperbolic law (so the drift was not a martingale correction for T ≠ 1), and the sampler passed α, β where scipy expects αδ, βδ. It is now the hyperbolic Lévy motion (φₜ = φ₁ᵗ) with exact sampling at T = 1 and CF inversion otherwise.
+- PDE (Crank–Nicolson) Greeks were read at the grid node below the spot (delta off by ≈ 0.02); the spot now sits on a node, boundary values track the time level (with the dividend discount), and a Rannacher start-up is used.
+- Longstaff–Schwartz regressed on raw powers of S through an explicit inverse of XᵀX (ill-conditioned beyond degree 2) and swallowed failures with a bare `except`; it now uses moneyness-scaled regressors and least squares.
+- SABR kernels could leave the spot negative after a large down-move (puts paid more than the strike); zero is absorbing for 0 < β < 1.
+- Parameter validation now rejects parameter sets without a risk-neutral measure: Kou η₁ ≤ 1, VG θν + σ²ν/2 ≥ 1, NIG/Hyperbolic |β+1| ≥ α, CGMY M ≤ 1.
+- `optpricing.config` no longer writes `config.yaml` and data directories at import time (previously into `site-packages/lib` for installed packages); the root is `$OPTPRICING_HOME` or the working directory and folders are created when first written to.
+- Heston and Bates read `v0` from the model parameters when it is not passed as a pricing kwarg.
+- Feller-condition messages are `UserWarning`s instead of prints; pandas 3 (`inplace`, `Timestamp.utcnow`) and `importlib.resources.path` deprecations removed; `fastmath` dropped from the numba kernels (≤ 5 % measured cost, bit-identical results).
+
+- SABR is now the four-parameter model of Hagan et al. (2002) on the forward: `alpha` is the initial volatility and the new `nu` the volatility of volatility (previously `alpha` played both roles). The old three-parameter form is still accepted with a `DeprecationWarning` (`nu = alpha`). Monte Carlo simulates the forward dynamics (prices move by O((r−q)T(1−β)) relative to the old spot-with-drift kernel) and the SABR kernels' `alpha` argument is renamed `nu`.
+- Heston and Bates default parameters now satisfy the Feller condition (`vol_of_vol` 0.5 → 0.3).
+
+### Added
+
+- `SABRModel.implied_volatility` (Hagan's lognormal expansion, bit-identical to QuantLib's `sabrVolatility`), an optional `shift` parameter for shifted SABR, and a Black-76 closed form so `ClosedFormTechnique`, the CLI and calibration price SABR analytically.
+- `benchmarks/run_benchmarks.py` with recorded before/after results, and a reference-value test suite (`tests/correctness/`) pinned to QuantLib 1.44 and textbook closed forms.
+
+## [2.0.0] - 2025-06-26
+
+### Added
+
+- Shipped to PyPI `pyproject.toml`

optpricing-2.5.0/MANIFEST.in

@@ -0,0 +1,11 @@
+# setuptools_scm seeds the sdist with every git-tracked file. Keep the archive to
+# what a source build and the test suite need; data, artifacts, docs and CI config
+# live in the repository only.
+prune data
+prune artifacts
+prune docs
+prune examples
+prune .github
+exclude .gitignore .pre-commit-config.yaml .python-version
+exclude codecov.yml config.yaml mkdocs.yml uv.lock
+exclude CODE_OF_CONDUCT.md CONTRIBUTING.md PULL_REQUEST_TEMPLATE.md SECURITY.md

{optpricing-2.3.4/src/optpricing.egg-info → optpricing-2.5.0}/PKG-INFO

@@ -1,59 +1,50 @@
 Metadata-Version: 2.4
 Name: optpricing
-Version: 2.3.4
+Version: 2.5.0
 Summary: A financial options pricing and analysis library.
-Author-email: Diljit Singh <first_last22@google.com>
-License: # MIT LICENSE
-        
-        Copyright 2025 Diljit Singh
-        
-        Permission is hereby granted, free of charge, to any person obtaining a copy of this software and associated documentation files (the “Software”), to deal in the Software without restriction, including without limitation the rights to use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of the Software, and to permit persons to whom the Software is furnished to do so, subject to the following conditions:
-        
-        The above copyright notice and this permission notice shall be included in all copies or substantial portions of the Software.
-        
-        THE SOFTWARE IS PROVIDED “AS IS”, WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
-        
+Author: Diljit Singh
+License-Expression: MIT
 Project-URL: Homepage, https://diljit22.github.io/optpricing/
-Classifier: Programming Language :: Python :: 3
-Classifier: License :: OSI Approved :: MIT License
+Project-URL: Documentation, https://diljit22.github.io/optpricing/
+Project-URL: Repository, https://github.com/Diljit22/optpricing
+Project-URL: Issues, https://github.com/Diljit22/optpricing/issues
+Project-URL: Changelog, https://github.com/Diljit22/optpricing/blob/main/CHANGELOG.md
+Keywords: options,derivatives,quantitative-finance,option-pricing,heston,monte-carlo,fft,calibration
+Classifier: Development Status :: 4 - Beta
+Classifier: Intended Audience :: Financial and Insurance Industry
+Classifier: Intended Audience :: Science/Research
 Classifier: Operating System :: OS Independent
+Classifier: Programming Language :: Python :: 3
+Classifier: Programming Language :: Python :: 3 :: Only
+Classifier: Programming Language :: Python :: 3.11
+Classifier: Programming Language :: Python :: 3.12
+Classifier: Programming Language :: Python :: 3.13
+Classifier: Programming Language :: Python :: 3.14
 Classifier: Topic :: Office/Business :: Financial :: Investment
-Requires-Python: >=3.10
+Classifier: Topic :: Scientific/Engineering :: Mathematics
+Requires-Python: >=3.11
 Description-Content-Type: text/markdown
 License-File: LICENSE
-Requires-Dist: numpy~=2.2.5
-Requires-Dist: scipy~=1.15.2
-Requires-Dist: pandas~=2.2.3
-Requires-Dist: numba~=0.61.2
-Requires-Dist: pyyaml~=6.0.2
-Requires-Dist: click~=8.1
-Requires-Dist: typer~=0.15.2
-Requires-Dist: streamlit~=1.45.1
-Requires-Dist: matplotlib~=3.10.1
-Requires-Dist: plotly~=6.1.2
-Requires-Dist: yfinance~=0.2.63
-Requires-Dist: tabulate~=0.9.0
-Provides-Extra: dev
-Requires-Dist: pytest; extra == "dev"
-Requires-Dist: pytest-cov; extra == "dev"
-Requires-Dist: ruff==0.11.6; extra == "dev"
-Requires-Dist: mkdocs; extra == "dev"
-Requires-Dist: mkdocs-material; extra == "dev"
-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"
+Requires-Dist: numpy>=2.3.2
+Requires-Dist: scipy>=1.16.1
+Requires-Dist: pandas>=2.3.3
+Requires-Dist: numba>=0.63
+Requires-Dist: pyyaml>=6.0.3
+Requires-Dist: typer>=0.15.3
+Requires-Dist: yfinance>=0.2.63
+Provides-Extra: ui
+Requires-Dist: streamlit>=1.45.1; extra == "ui"
+Requires-Dist: plotly>=6.1.2; extra == "ui"
 Dynamic: license-file
 
 # OptPricing: A Quantitative Finance Library for Derivative Pricing and Analysis
 
-[![Tests](https://img.shields.io/github/actions/workflow/status/diljit22/optpricing/ci.yml?branch=main&label=tests)](https://github.com/diljit22/optpricing/actions/workflows/ci.yml)
+[![CI](https://img.shields.io/github/actions/workflow/status/diljit22/optpricing/ci.yml?branch=main&label=ci)](https://github.com/diljit22/optpricing/actions/workflows/ci.yml)
 [![Coverage](https://codecov.io/gh/diljit22/optpricing/branch/main/graph/badge.svg)](https://codecov.io/gh/diljit22/optpricing)
-[![Ruff](https://img.shields.io/github/actions/workflow/status/diljit22/optpricing/ci.yml?branch=main&label=ruff)](https://github.com/diljit22/optpricing/actions/workflows/ci.yml)
-[![Docs](https://img.shields.io/github/actions/workflow/status/diljit22/optpricing/ci.yml?branch=main&label=docs)](https://github.com/diljit22/optpricing/actions/workflows/ci.yml)
+[![Docs](https://img.shields.io/github/actions/workflow/status/diljit22/optpricing/pages.yml?branch=main&label=docs)](https://github.com/diljit22/optpricing/actions/workflows/pages.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/)
+[![Python 3.11+](https://img.shields.io/badge/python-3.11+-blue.svg)](https://www.python.org/downloads/)
+[![Ruff](https://img.shields.io/endpoint?url=https://raw.githubusercontent.com/astral-sh/ruff/main/assets/badge/v2.json)](https://github.com/astral-sh/ruff)
 [![License: MIT](https://img.shields.io/badge/License-MIT-yellow.svg)](https://opensource.org/licenses/MIT)
 
 `optpricing` is a Python library for pricing, calibrating, and analyzing financial derivatives. It is built with a focus on architectural clarity, model breadth, and practical usability through a robust API, command-line interface, and an interactive dashboard.
@@ -90,12 +81,13 @@ Diljit Singh
 
 ## Quick Start
 
-`optpricing` is designed for a straightforward installation using `pip` and is compatible with Python 3.10 and higher.
+`optpricing` installs with `pip` (or `uv`) and supports Python 3.11 through 3.14.
 
 ### 1. Install the Library
 
 ```bash
-pip install optpricing
+pip install optpricing          # library + CLI
+pip install "optpricing[ui]"    # also the Streamlit dashboard
 ```
 
 ### 2. Download Historical Data
@@ -126,7 +118,7 @@ For more details, see the [CLI Guide](https://diljit22.github.io/optpricing/guid
 
 ### 4. Launch the Dashboard
 
-Visualize option chains and model outputs, interact with a pricing calculator featuring 15 models and 10 techniques.
+Visualize option chains and model outputs, and interact with a pricing calculator covering 12 models and 8 techniques (the full library exposes 17 pricing models plus parity/implied-rate models, and 9 techniques). Requires the `ui` extra.
 
 ```bash
 optpricing dashboard

{optpricing-2.3.4 → optpricing-2.5.0}/README.md

@@ -1,11 +1,11 @@
 # OptPricing: A Quantitative Finance Library for Derivative Pricing and Analysis
 
-[![Tests](https://img.shields.io/github/actions/workflow/status/diljit22/optpricing/ci.yml?branch=main&label=tests)](https://github.com/diljit22/optpricing/actions/workflows/ci.yml)
+[![CI](https://img.shields.io/github/actions/workflow/status/diljit22/optpricing/ci.yml?branch=main&label=ci)](https://github.com/diljit22/optpricing/actions/workflows/ci.yml)
 [![Coverage](https://codecov.io/gh/diljit22/optpricing/branch/main/graph/badge.svg)](https://codecov.io/gh/diljit22/optpricing)
-[![Ruff](https://img.shields.io/github/actions/workflow/status/diljit22/optpricing/ci.yml?branch=main&label=ruff)](https://github.com/diljit22/optpricing/actions/workflows/ci.yml)
-[![Docs](https://img.shields.io/github/actions/workflow/status/diljit22/optpricing/ci.yml?branch=main&label=docs)](https://github.com/diljit22/optpricing/actions/workflows/ci.yml)
+[![Docs](https://img.shields.io/github/actions/workflow/status/diljit22/optpricing/pages.yml?branch=main&label=docs)](https://github.com/diljit22/optpricing/actions/workflows/pages.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/)
+[![Python 3.11+](https://img.shields.io/badge/python-3.11+-blue.svg)](https://www.python.org/downloads/)
+[![Ruff](https://img.shields.io/endpoint?url=https://raw.githubusercontent.com/astral-sh/ruff/main/assets/badge/v2.json)](https://github.com/astral-sh/ruff)
 [![License: MIT](https://img.shields.io/badge/License-MIT-yellow.svg)](https://opensource.org/licenses/MIT)
 
 `optpricing` is a Python library for pricing, calibrating, and analyzing financial derivatives. It is built with a focus on architectural clarity, model breadth, and practical usability through a robust API, command-line interface, and an interactive dashboard.
@@ -42,12 +42,13 @@ Diljit Singh
 
 ## Quick Start
 
-`optpricing` is designed for a straightforward installation using `pip` and is compatible with Python 3.10 and higher.
+`optpricing` installs with `pip` (or `uv`) and supports Python 3.11 through 3.14.
 
 ### 1. Install the Library
 
 ```bash
-pip install optpricing
+pip install optpricing          # library + CLI
+pip install "optpricing[ui]"    # also the Streamlit dashboard
 ```
 
 ### 2. Download Historical Data
@@ -78,7 +79,7 @@ For more details, see the [CLI Guide](https://diljit22.github.io/optpricing/guid
 
 ### 4. Launch the Dashboard
 
-Visualize option chains and model outputs, interact with a pricing calculator featuring 15 models and 10 techniques.
+Visualize option chains and model outputs, and interact with a pricing calculator covering 12 models and 8 techniques (the full library exposes 17 pricing models plus parity/implied-rate models, and 9 techniques). Requires the `ui` extra.
 
 ```bash
 optpricing dashboard

optpricing-2.5.0/benchmarks/run_benchmarks.py

@@ -0,0 +1,164 @@
+"""Micro-benchmarks for the core pricing paths.
+
+Usage (from the repository root)::
+
+    uv run python benchmarks/run_benchmarks.py                # print table
+    uv run python benchmarks/run_benchmarks.py --out results/x.json
+    uv run python benchmarks/run_benchmarks.py --repeats 9 --only mc_heston_100k
+
+Each case is warmed up once (numba compilation, caches) and then timed
+``repeats`` times; the median and minimum wall-clock times are reported.
+Numbers are only comparable on the same machine, so results files record the
+platform, interpreter and library versions alongside the git revision.
+"""
+
+from __future__ import annotations
+
+import argparse
+import json
+import platform
+import statistics
+import subprocess
+import sys
+import time
+from collections.abc import Callable
+from datetime import UTC, datetime
+from pathlib import Path
+
+import numba
+import numpy as np
+import scipy
+
+from optpricing import BSMModel, HestonModel, Option, OptionType, Rate, Stock
+from optpricing.techniques import (
+    AmericanMonteCarloTechnique,
+    ClosedFormTechnique,
+    FFTTechnique,
+    IntegrationTechnique,
+    MonteCarloTechnique,
+    PDETechnique,
+)
+
+OPTION = Option(strike=100.0, maturity=1.0, option_type=OptionType.CALL)
+PUT = Option(strike=100.0, maturity=1.0, option_type=OptionType.PUT)
+STOCK = Stock(spot=100.0, dividend=0.01)
+RATE = Rate(rate=0.05)
+BSM = BSMModel(params={"sigma": 0.2})
+HESTON = HestonModel(
+    params={"v0": 0.04, "kappa": 2.0, "theta": 0.05, "rho": -0.7, "vol_of_vol": 0.5}
+)
+
+
+def _bsm_closed_form() -> float:
+    tech = ClosedFormTechnique()
+    for _ in range(1000):
+        p = tech.price(OPTION, STOCK, BSM, RATE).price
+    return p
+
+
+def _heston_fft() -> float:
+    return FFTTechnique().price(OPTION, STOCK, HESTON, RATE, v0=0.04).price
+
+
+def _heston_integration() -> float:
+    return IntegrationTechnique().price(OPTION, STOCK, HESTON, RATE, v0=0.04).price
+
+
+def _cn_pde() -> float:
+    return PDETechnique(M=200, N=200).price(OPTION, STOCK, BSM, RATE).price
+
+
+def _mc_bsm_100k() -> float:
+    mc = MonteCarloTechnique(n_paths=100_000, n_steps=100, seed=1)
+    return mc.price(OPTION, STOCK, BSM, RATE).price
+
+
+def _mc_heston_100k() -> float:
+    mc = MonteCarloTechnique(n_paths=100_000, n_steps=100, seed=1)
+    return mc.price(OPTION, STOCK, HESTON, RATE, v0=0.04).price
+
+
+def _lsmc_bsm_20k() -> float:
+    amc = AmericanMonteCarloTechnique(n_paths=20_000, n_steps=50, seed=1)
+    return amc.price(PUT, STOCK, BSM, RATE).price
+
+
+CASES: dict[str, tuple[Callable[[], float], str]] = {
+    "bsm_closed_form_x1000": (_bsm_closed_form, "1000 closed-form BSM prices"),
+    "heston_fft": (_heston_fft, "Carr-Madan FFT, N=4096"),
+    "heston_integration": (_heston_integration, "Gil-Pelaez quadrature"),
+    "cn_pde_200x200": (_cn_pde, "Crank-Nicolson, 200 x 200 grid"),
+    "mc_bsm_100k": (_mc_bsm_100k, "100k paths x 100 steps, antithetic"),
+    "mc_heston_100k": (_mc_heston_100k, "100k paths x 100 steps, antithetic"),
+    "lsmc_bsm_20k": (_lsmc_bsm_20k, "Longstaff-Schwartz, 20k paths x 50 steps"),
+}
+
+
+def _git_rev() -> str:
+    try:
+        rev = subprocess.run(
+            ["git", "rev-parse", "--short", "HEAD"],
+            capture_output=True,
+            text=True,
+            check=True,
+        ).stdout.strip()
+        dirty = subprocess.run(
+            ["git", "status", "--porcelain"], capture_output=True, text=True, check=True
+        ).stdout.strip()
+        return rev + ("-dirty" if dirty else "")
+    except Exception:  # pragma: no cover - git may be unavailable
+        return "unknown"
+
+
+def run(repeats: int, only: list[str] | None) -> dict:
+    results = {}
+    for name, (fn, desc) in CASES.items():
+        if only and name not in only:
+            continue
+        value = fn()  # warm-up: numba compile, lazy imports
+        times = []
+        for _ in range(repeats):
+            t0 = time.perf_counter()
+            fn()
+            times.append(time.perf_counter() - t0)
+        results[name] = {
+            "description": desc,
+            "median_ms": 1e3 * statistics.median(times),
+            "min_ms": 1e3 * min(times),
+            "repeats": repeats,
+            "value": float(value),
+        }
+    return results
+
+
+def main() -> None:
+    parser = argparse.ArgumentParser(description=__doc__.split("\n\n")[0])
+    parser.add_argument("--repeats", type=int, default=5)
+    parser.add_argument("--only", nargs="*", help="subset of case names")
+    parser.add_argument("--out", type=Path, help="write JSON results to this path")
+    args = parser.parse_args()
+
+    results = run(args.repeats, args.only)
+    payload = {
+        "timestamp": datetime.now(UTC).isoformat(timespec="seconds"),
+        "git": _git_rev(),
+        "platform": platform.platform(),
+        "machine": platform.machine(),
+        "python": sys.version.split()[0],
+        "numpy": np.__version__,
+        "scipy": scipy.__version__,
+        "numba": numba.__version__,
+        "results": results,
+    }
+
+    print(f"{'case':26s}{'median ms':>12s}{'min ms':>10s}   value")
+    for name, r in results.items():
+        print(f"{name:26s}{r['median_ms']:12.3f}{r['min_ms']:10.3f}   {r['value']:.6f}")
+    if args.out:
+        args.out.parent.mkdir(parents=True, exist_ok=True)
+        args.out.write_text(json.dumps(payload, indent=2) + "\n")
+        print(f"\nwrote {args.out}")
+
+
+if __name__ == "__main__":
+    main()

optpricing-2.5.0/pyproject.toml

@@ -0,0 +1,148 @@
+[build-system]
+requires = ["setuptools>=77", "setuptools-scm>=8"]
+build-backend = "setuptools.build_meta"
+
+[project]
+name = "optpricing"
+dynamic = ["version"]
+description = "A financial options pricing and analysis library."
+readme = "README.md"
+requires-python = ">=3.11"
+license = "MIT"
+license-files = ["LICENSE"]
+authors = [{ name = "Diljit Singh" }]
+keywords = [
+    "options",
+    "derivatives",
+    "quantitative-finance",
+    "option-pricing",
+    "heston",
+    "monte-carlo",
+    "fft",
+    "calibration",
+]
+classifiers = [
+    "Development Status :: 4 - Beta",
+    "Intended Audience :: Financial and Insurance Industry",
+    "Intended Audience :: Science/Research",
+    "Operating System :: OS Independent",
+    "Programming Language :: Python :: 3",
+    "Programming Language :: Python :: 3 :: Only",
+    "Programming Language :: Python :: 3.11",
+    "Programming Language :: Python :: 3.12",
+    "Programming Language :: Python :: 3.13",
+    "Programming Language :: Python :: 3.14",
+    "Topic :: Office/Business :: Financial :: Investment",
+    "Topic :: Scientific/Engineering :: Mathematics",
+]
+
+# Floors are the oldest releases with wheels for every supported CPython (3.11-3.14)
+# and were verified with `uv pip install --resolution lowest-direct` + the full test
+# suite on each interpreter. Do not raise a floor without re-running that check.
+dependencies = [
+    "numpy>=2.3.2",
+    "scipy>=1.16.1",
+    "pandas>=2.3.3",
+    "numba>=0.63",
+    "pyyaml>=6.0.3",
+    "typer>=0.15.3",
+    "yfinance>=0.2.63",
+]
+
+[project.optional-dependencies]
+# Streamlit dashboard (`optpricing dashboard`).
+ui = [
+    "streamlit>=1.45.1",
+    "plotly>=6.1.2",
+]
+
+[project.urls]
+Homepage = "https://diljit22.github.io/optpricing/"
+Documentation = "https://diljit22.github.io/optpricing/"
+Repository = "https://github.com/Diljit22/optpricing"
+Issues = "https://github.com/Diljit22/optpricing/issues"
+Changelog = "https://github.com/Diljit22/optpricing/blob/main/CHANGELOG.md"
+
+[project.scripts]
+optpricing = "optpricing.cli.main:app"
+
+# Development tooling (PEP 735). Not published with the package.
+#   uv sync                      -> default `dev` group (test + lint + docs + pre-commit)
+#   uv sync --group test         -> just what the test suite needs
+#   pip install -e . --group dev -> pip >= 25.1
+[dependency-groups]
+test = [
+    "optpricing[ui]",
+    "pytest>=8.3",
+    "pytest-cov>=5",
+]
+lint = [
+    "ruff==0.17.3",
+]
+docs = [
+    "mkdocs>=1.6.1",
+    "mkdocs-material>=9.6",
+    "mkdocstrings[python]>=0.29",
+    "mkdocs-section-index>=0.3.9",
+]
+profile = [
+    "line-profiler>=4.2",
+    "py-spy>=0.4",
+]
+dev = [
+    { include-group = "test" },
+    { include-group = "lint" },
+    { include-group = "docs" },
+    "pre-commit>=4.0",
+]
+
+[tool.uv]
+default-groups = ["dev"]
+
+[tool.setuptools]
+package-dir = { "" = "src" }
+
+[tool.setuptools.packages.find]
+where = ["src"]
+
+[tool.setuptools_scm]
+version_scheme = "post-release"
+local_scheme = "no-local-version"
+
+[tool.ruff]
+line-length = 88
+
+[tool.ruff.lint]
+select = ["E", "W", "F", "I", "N", "UP", "NPY"]
+ignore = ["N803", "N806"]
+
+[tool.ruff.lint.per-file-ignores]
+# streamlit page files are named for the sidebar, not for PEP 8
+"src/optpricing/dashboard/pages/*.py" = ["N999"]
+"src/optpricing/dashboard/Home.py" = ["N999"]
+# numba kernels use the legacy np.random API on purpose
+"src/optpricing/techniques/kernels/mc_kernels.py" = ["NPY002"]
+"src/optpricing/techniques/kernels/american_mc_kernels.py" = ["NPY002", "E722"]
+"src/optpricing/techniques/kernels/path_kernels.py" = ["NPY002"]
+
+[tool.ruff.format]
+quote-style = "double"
+skip-magic-trailing-comma = false
+
+[tool.pytest.ini_options]
+minversion = "8.0"
+testpaths = ["tests"]
+# Coverage is opt-in: `pytest --cov` (CI does this); plain `pytest` stays fast and debuggable.
+addopts = "-ra --strict-markers --strict-config"
+xfail_strict = true
+filterwarnings = [
+    # Several fixtures deliberately use Feller-violating Heston/CIR parameters.
+    "ignore:.*do not satisfy the Feller condition.*:UserWarning",
+]
+
+[tool.coverage.run]
+source = ["optpricing"]
+omit = ["*/dashboard/pages/*"]
+
+[tool.coverage.report]
+show_missing = true

{optpricing-2.3.4 → optpricing-2.5.0}/src/optpricing/calibration/iv_surface.py

@@ -95,7 +95,7 @@ class VolatilitySurface:
         market_ivs = self._calculate_ivs(stock, rate, self.data["marketPrice"])
         self.surface = self.data.copy()
         self.surface["iv"] = market_ivs
-        self.surface.dropna(inplace=True)
+        self.surface = self.surface.dropna()
         self.surface = self.surface[
             (self.surface["iv"] > 1e-4) & (self.surface["iv"] < 2.0)
         ]
@@ -146,5 +146,5 @@ class VolatilitySurface:
         )
         self.surface = self.data.copy()
         self.surface["iv"] = model_ivs
-        self.surface.dropna(inplace=True)
+        self.surface = self.surface.dropna()
         return self

{optpricing-2.3.4 → optpricing-2.5.0}/src/optpricing/cli/commands/dashboard.py

@@ -15,12 +15,14 @@ def dashboard():
     Launches the Streamlit dashboard application.
     """
     try:
-        with resources.path("optpricing.dashboard", "Home.py") as app_path:
+        home = resources.files("optpricing.dashboard").joinpath("Home.py")
+        with resources.as_file(home) as app_path:
             typer.echo(f"Launching Streamlit dashboard from: {app_path}")
             subprocess.run(["streamlit", "run", str(app_path)], check=True)
     except FileNotFoundError:
         typer.secho(
-            "Error: 'streamlit' command not found. Hint: `pip install optpricing[app]`",
+            "Error: 'streamlit' command not found. "
+            "Hint: `pip install 'optpricing[ui]'`",
             fg=typer.colors.RED,
         )
         raise typer.Exit(code=1)

{optpricing-2.3.4 → optpricing-2.5.0}/src/optpricing/cli/commands/price.py

@@ -172,7 +172,7 @@ def price(
     stock = Stock(spot=spot, dividend=q_div)
     rate = Rate(rate=r_rate)
     maturity_years = (
-        pd.to_datetime(maturity) - pd.Timestamp.utcnow().tz_localize(None)
+        pd.to_datetime(maturity) - pd.Timestamp.now(tz="UTC").tz_localize(None)
     ).days / 365.25
     if maturity_years <= 0:
         _err("Maturity date must be in the future.")

optpricing-2.5.0/src/optpricing/config.py

@@ -0,0 +1,66 @@
+from __future__ import annotations
+
+import os
+from pathlib import Path
+
+import yaml
+
+__doc__ = """
+Resolve the project root, read the optional ``config.yaml`` and expose the data
+and artifact directories.
+
+The root is ``$OPTPRICING_HOME`` if set, otherwise the current working directory.
+Running from a source checkout therefore behaves as before, while an installed
+package no longer writes ``config.yaml`` or data folders next to its own modules
+in ``site-packages``. Nothing is created at import time; writers create the
+directory they need (see :func:`ensure_directories`).
+"""
+
+DEFAULT_CONFIG: dict[str, object] = {
+    "live_data_provider": "yfinance",
+    "data_directory": "data",
+    "artifacts_directory": "artifacts",
+}
+
+PROJECT_ROOT = Path(os.environ.get("OPTPRICING_HOME", Path.cwd())).resolve()
+CONFIG_FILE_PATH = PROJECT_ROOT / "config.yaml"
+
+
+def _load_config(path: Path) -> dict:
+    if not path.exists():
+        return dict(DEFAULT_CONFIG)
+    with open(path) as f:
+        loaded = yaml.safe_load(f) or {}
+    return {**DEFAULT_CONFIG, **loaded}
+
+
+_config = _load_config(CONFIG_FILE_PATH)
+
+# Directory Management
+DATA_DIR = PROJECT_ROOT / str(_config.get("data_directory", "data"))
+ARTIFACTS_DIR = PROJECT_ROOT / str(_config.get("artifacts_directory", "artifacts"))
+
+# Input Data Directories
+MARKET_SNAPSHOT_DIR = DATA_DIR / "market_data_snapshots"
+HISTORICAL_DIR = DATA_DIR / "historical_data"
+
+# Output Artifact Directories
+BACKTEST_LOGS_DIR = ARTIFACTS_DIR / "backtest_logs"
+CALIBRATED_PARAMS_DIR = ARTIFACTS_DIR / "calibrated_params"
+CALIBRATION_LOGS_DIR = ARTIFACTS_DIR / "calibration_logs"
+
+ALL_DIRS = [
+    DATA_DIR,
+    ARTIFACTS_DIR,
+    MARKET_SNAPSHOT_DIR,
+    HISTORICAL_DIR,
+    BACKTEST_LOGS_DIR,
+    CALIBRATED_PARAMS_DIR,
+    CALIBRATION_LOGS_DIR,
+]
+
+
+def ensure_directories() -> None:
+    """Create all data and artifact directories (idempotent)."""
+    for path in ALL_DIRS:
+        path.mkdir(parents=True, exist_ok=True)

{optpricing-2.3.4 → optpricing-2.5.0}/src/optpricing/data/historical_manager.py

@@ -42,6 +42,7 @@ def save_historical_returns(
 
             log_returns = np.log(data["Close"] / data["Close"].shift(1)).dropna()
             filename = HISTORICAL_DIR / f"{ticker}_{period}_returns.parquet"
+            filename.parent.mkdir(parents=True, exist_ok=True)
             log_returns.to_frame(name="log_return").to_parquet(filename)
 
             print(f"  -> Saved to {filename}")