quantflow 0.6.3__tar.gz → 0.7.0__tar.gz

{quantflow-0.6.3 → quantflow-0.7.0}/.github/copilot-instructions.md

@@ -28,7 +28,7 @@ applyTo: '/**'
 * The documentation for quantflow is available at `https://quantflow.quantmid.com`
 * Documentation is built using [mkdocs](https://www.mkdocs.org/) and stored in the `docs/` directory. The documentation source files are written in markdown format.
 * Do not use em dashes (—) in documentation files or docstrings. Use colons, parentheses, or restructure the sentence instead.
-* Math in documentation and docstrings uses `$...$` for inline and `$$...$$` or `\begin{equation}...\end{equation}` for block equations. Do not use `.. math::` or `:math:` (RST syntax).
+* Math in documentation and docstrings: always use `\begin{equation}...\end{equation}` for any formula or equation. Use `$...$` only for brief inline references to variables (e.g. $F$, $K$). Do not use `$$...$$`, `` `...` ``, or RST syntax (`.. math::`, `:math:`).
 * Glossary entries in `docs/glossary.md` must be kept in alphabetical order.
 * To rebuild doc examples run `uv run ./dev/build-examples` — runs all scripts in `docs/examples/` and writes their output to `docs/examples_output/`
 

quantflow-0.7.0/.hypothesis/.gitignore

@@ -0,0 +1,9 @@
+# This .gitignore file was automatically created by Hypothesis. Hypothesis gitignores
+# .hypothesis by default, because we generally recommend that .hypothesis not be checked
+# into version control.
+#
+# If you *would* like to check .hypothesis into version control, you should delete this
+# file. Hypothesis will not re-create this .gitignore unless .hypothesis is deleted (and
+# if it does, that's a bug - please report it!)
+
+*

quantflow-0.7.0/.hypothesis/constants/0254a8e6686c0188

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/options/strategies/straddle.py
+# hypothesis_version: 6.152.2
+
+[1.0, 'straddle.md']

quantflow-0.7.0/.hypothesis/constants/0301065152d9ab0f

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/utils/types.py
+# hypothesis_version: 6.152.2
+
+[]

quantflow-0.7.0/.hypothesis/constants/08a9483e67e42715

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/rates/yield_curve.py
+# hypothesis_version: 6.152.2
+
+['forbid']

quantflow-0.7.0/.hypothesis/constants/12661bda99c599a0

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/options/calibration.py
+# hypothesis_version: 6.152.2
+
+[-2.0, -0.9, 0.0, 0.001, 0.01, 0.5, 0.95, 1.0, 1.5, 2.0, 'M', 'SLSQP', 'fun', 'ineq', 'type']

quantflow-0.7.0/.hypothesis/constants/178c27013672fc03

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/data/fred.py
+# hypothesis_version: 6.152.2
+
+['FRED_API_KEY', 'a', 'bw', 'category', 'category/children', 'category/series', 'd', 'date', 'json', 'm', 'observations', 'params', 'q', 'sa', 'series/observations', 'value', 'w']

quantflow-0.7.0/.hypothesis/constants/179cb27b16ec61cb

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/options/svi.py
+# hypothesis_version: 6.152.2
+
+[-1.0, 0.0, 1e-06, 0.1, 0.9, 1.0, 'forbid']

quantflow-0.7.0/.hypothesis/constants/1d76d579f73cb78a

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/sp/weiner.py
+# hypothesis_version: 6.152.2
+
+[0.5, 100, 'volatility']

quantflow-0.7.0/.hypothesis/constants/1fb1e289086a6515

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/sp/bns.py
+# hypothesis_version: 6.152.2
+
+[0.5, 100, 'Correlation', 'Variance process']

quantflow-0.7.0/.hypothesis/constants/22c995d873e6fc5e

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/.venv/bin/pytest
+# hypothesis_version: 6.152.2
+
+['-script.pyw', '.exe', '__main__']

quantflow-0.7.0/.hypothesis/constants/28ee0759c42ef0dc

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/data/fiscal_data.py
+# hypothesis_version: 6.152.2
+
+['data', 'filter', 'links', 'next']

quantflow-0.7.0/.hypothesis/constants/359bfc81440230bd

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/ai/tools/base.py
+# hypothesis_version: 6.152.2
+
+['.quantflow', '.vault', 'fmp', 'fred']

quantflow-0.7.0/.hypothesis/constants/38eb4b8a22a4e143

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/data/fmp.py
+# hypothesis_version: 6.152.2
+
+[1.0, 100, 240, 1440, 525600, ',', '15min', '1hour', '1min', '30min', '4hour', '5min', 'API endpoint path', 'FMP_API_KEY', 'Filter by exchange', 'Search query string', 'Ticker symbol', '_', 'apikey', 'changesPercentage', 'date', 'dividends-calendar', 'etf-list', 'from', 'historical', 'index-list', 'insider-trading', 'market-risk-premium', 'params', 'ratios', 'ratios-ttm', 'search-name', 'search-symbol', 'sector', 'sectors-performance', 'stock-list', 'stock_news', 'stock_peers', 'symbol', 'tickers', 'to']

quantflow-0.7.0/.hypothesis/constants/3b743a167ba8a00d

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/utils/marginal.py
+# hypothesis_version: 6.152.2
+
+[-0.5, 0.001, 0.5, 1.0, 1.1, 2.0, 100, 101, 128, 'CDF not available', 'forbid']

quantflow-0.7.0/.hypothesis/constants/3d1ea6cd5c0dd805

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/options/strategies/calendar_spread.py
+# hypothesis_version: 6.152.2
+
+[1.0, 'calendar_spread.md']

quantflow-0.7.0/.hypothesis/constants/3f69026b057c9ea4

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/ai/tools/vault.py
+# hypothesis_version: 6.152.2
+
+[]

quantflow-0.7.0/.hypothesis/constants/43429b7066040416

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/data/fed.py
+# hypothesis_version: 6.152.2
+
+['H15', 'ND', 'PRATES', 'RESBME_N.D', 'RESBM_N.D', 'Time Period', 'all', 'csv', 'date', 'filetype', 'from', 'include', 'label', 'lastobs', 'layout', 'month_1', 'month_3', 'month_6', 'package', 'rate', 'seriescolumn', 'to', 'type', 'year_1', 'year_10', 'year_2', 'year_20', 'year_3', 'year_30', 'year_5', 'year_7']

quantflow-0.7.0/.hypothesis/constants/48eded684f2df5ff

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/ta/ewma.py
+# hypothesis_version: 6.152.2
+
+[0.0, 1.0, 2.0]

quantflow-0.7.0/.hypothesis/constants/48f9e94e06874f1f

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/rates/nelson_siegel.py
+# hypothesis_version: 6.152.2
+
+[1e-10, 0.01, 1.0, 2.0, 10.0, 'Curvature parameter', 'Decay factor', 'Level parameter', 'Slope parameter', 'bounded', 'ignore']

quantflow-0.7.0/.hypothesis/constants/4a0084c87b2db2c3

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/options/bs.py
+# hypothesis_version: 6.152.2
+
+[0.2, 0.5, 'Time to maturity', 'root']

quantflow-0.7.0/.hypothesis/constants/559123e9ab320ac4

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/options/divfm/trainer.py
+# hypothesis_version: 6.152.2
+
+[0.0, 1e-06, 0.001, 100, 1000, 'Adam learning rate', 'Days to evaluate on', 'The network to train', 'Training days']

quantflow-0.7.0/.hypothesis/constants/56b8b5b1f444ca20

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/options/divfm/__init__.py
+# hypothesis_version: 6.152.2
+
+['DIVFMPricer', 'DIVFMWeights']

quantflow-0.7.0/.hypothesis/constants/57aada3b0484db35

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/options/strategies/strangle.py
+# hypothesis_version: 6.152.2
+
+[-0.05, 0.05, 1.0, 'strangle.md']

quantflow-0.7.0/.hypothesis/constants/57d925bf614c980e

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/sp/dsp.py
+# hypothesis_version: 6.152.2
+
+[100, 'intensity process']

quantflow-0.7.0/.hypothesis/constants/586b6c6bec39754b

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/data/vault.py
+# hypothesis_version: 6.152.2
+
+['=', 'w']

quantflow-0.7.0/.hypothesis/constants/5db8650c1259a5be

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/ai/tools/stocks.py
+# hypothesis_version: 6.152.2
+
+['1d', 'close', 'currency', 'date', 'description', 'high', 'low', 'name', 'nan', 'open', 'pe', 'performance', 'sector', 'stockExchange', 'symbol', 'volume']

quantflow-0.7.0/.hypothesis/constants/5e91d8ab779e1b7f

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/options/strategies/spread.py
+# hypothesis_version: 6.152.2
+
+[1.0, 'spread.md']

quantflow-0.7.0/.hypothesis/constants/5e9b34ae43a63455

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/utils/bins.py
+# hypothesis_version: 6.152.2
+
+[-0.5, 0.5]

quantflow-0.7.0/.hypothesis/constants/60fd378f4cdd9e2b

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/options/strategies/__init__.py
+# hypothesis_version: 6.152.2
+
+['Butterfly', 'CalendarSpread', 'Spread', 'Straddle', 'Strangle', 'Strategy', 'StrategyLeg', 'StrategyPrice']

quantflow-0.7.0/.hypothesis/constants/62b16e163f3080b1

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/options/inputs.py
+# hypothesis_version: 6.152.2
+
+['P']

quantflow-0.7.0/.hypothesis/constants/65be84333a21ee0e

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/options/surface.py
+# hypothesis_version: 6.152.2
+
+[0.0, 0.2, 0.5, 100, 365, 10000, 'Ask option price', 'Ask price', 'Bid option price', 'Bid price', 'Inf', 'S', 'Total volume traded', 'Volume for the spot', 'ignore', 'inf', 'turntable']

quantflow-0.7.0/.hypothesis/constants/6c21b394c1448f8f

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/options/strategies/butterfly.py
+# hypothesis_version: 6.152.2
+
+[-2.0, 0.0, 0.05, 1.0, 'butterfly.md']

quantflow-0.7.0/.hypothesis/constants/6f23e19523671fa0

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/utils/numbers.py
+# hypothesis_version: 6.152.2
+
+['number', 'type']

quantflow-0.7.0/.hypothesis/constants/7447925d1ef6c39e

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/ta/kalman.py
+# hypothesis_version: 6.152.2
+
+[0.0, 0.01, 1.0]

quantflow-0.7.0/.hypothesis/constants/746b49e5b68d35ad

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/options/divfm/network.py
+# hypothesis_version: 6.152.2
+
+[]

quantflow-0.7.0/.hypothesis/constants/8077ddf6166a85cc

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/rates/interest_rate.py
+# hypothesis_version: 6.152.2
+
+[100, 10000]

quantflow-0.7.0/.hypothesis/constants/81385a74f6fe21d1

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/sp/copula.py
+# hypothesis_version: 6.152.2
+
+[0.0]

quantflow-0.7.0/.hypothesis/constants/8e946ad29fdc078f

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/ta/__init__.py
+# hypothesis_version: 6.152.2
+
+['EWMA', 'KalmanFilter', 'SuperSmoother']

quantflow-0.7.0/.hypothesis/constants/92a3edfcfc1aea4b

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/ta/base.py
+# hypothesis_version: 6.152.2
+
+[]

quantflow-0.7.0/.hypothesis/constants/93bfbd91994ac4c8

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/sp/cir.py
+# hypothesis_version: 6.152.2
+
+[0.0, 0.25, 0.5, 1.0, 100, 'Mean rate $\\theta$', 'Sampling algorithm', 'Volatility $\\sigma$', 'euler', 'implicit', 'milstein']

quantflow-0.7.0/.hypothesis/constants/9be9011eed1003b0

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/__init__.py
+# hypothesis_version: 6.152.2
+
+['quantflow']

quantflow-0.7.0/.hypothesis/constants/9f39c6a9e378f874

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/utils/plot.py
+# hypothesis_version: 6.152.2
+
+['PLOTLY_THEME', 'analytical', 'ask', 'bid', 'blue', 'characteristic', 'characteristic PDF', 'close', 'date', 'frequency', 'high', 'implied_vol', 'lines', 'log', 'low', 'markers', 'model', 'moneyness_ttm', 'name', 'normal', 'open', 'plotly_dark', 'preserve_ui_state', 'red', 'side', 'ttm', 'turntable', 'viridis']

quantflow-0.7.0/.hypothesis/constants/a4e02d335ce302fe

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/ai/__init__.py
+# hypothesis_version: 6.152.2
+
+[]

quantflow-0.7.0/.hypothesis/constants/a5942183658b1820

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/ta/ohlc.py
+# hypothesis_version: 6.152.2
+
+[0.019, 0.383, 0.522, 2.0, 'close', 'high', 'index', 'low', 'open']

quantflow-0.7.0/.hypothesis/constants/abe86acdb72d5329

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/options/strategies/base.py
+# hypothesis_version: 6.152.2
+
+[0.0, 1.0, 'Call or put', 'Day count convention', 'Total delta', 'Total gamma', 'docs', 'utf-8']

quantflow-0.7.0/.hypothesis/constants/b2bc2ff1a9dc1ebd

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/data/deribit.py
+# hypothesis_version: 6.152.2
+
+['API path', 'Currency', 'HTTP response object', 'Instrument name', 'ask_price', 'base_currency', 'bid_price', 'call', 'error', 'expiration_timestamp', 'inf', 'instrument_name', 'ms', 'open_interest', 'option_type', 'perpetual', 'result', 'settlement_period', 'strike', 'tick_size', 'timestamp', 'usdc', 'volatility', 'volume_usd']

quantflow-0.7.0/.hypothesis/constants/b43b9a034a123011

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow_tests/utils.py
+# hypothesis_version: 6.152.2
+
+[0.001, 0.1, 1000, 'fixtures']

quantflow-0.7.0/.hypothesis/constants/bc2ede502ce77baa

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/sp/base.py
+# hypothesis_version: 6.152.2
+
+[0.5, 1.0, 100, 'Mean reversion speed', 'P', 'Time horizon', 'forbid', 'frequency', 'number of paths', 'time horizon']

quantflow-0.7.0/.hypothesis/constants/be48829d39927abc

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/utils/transforms.py
+# hypothesis_version: 6.152.2
+
+[-0.5, 0.5, 'imag', 'real']

quantflow-0.7.0/.hypothesis/constants/c05e0bd6fe504415

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/sp/ou.py
+# hypothesis_version: 6.152.2
+
+[0.5, 1.0, 100, 'Mean rate']

quantflow-0.7.0/.hypothesis/constants/c198e8c7d980ebd0

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/options/divfm/weights.py
+# hypothesis_version: 6.152.2
+
+[1e-05, 1.0]

quantflow-0.7.0/.hypothesis/constants/c42c0c1705a53e64

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/ta/supersmoother.py
+# hypothesis_version: 6.152.2
+
+[0.0, 2.0]

quantflow-0.7.0/.hypothesis/constants/cc15223c7c9326cd

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/ai/tools/crypto.py
+# hypothesis_version: 6.152.2
+
+['close', 'date', 'high', 'implied_vol', 'low', 'open', 'spot', 'ttm', 'volume', '{:.2%}']

quantflow-0.7.0/.hypothesis/constants/ce1f53f3613afe56

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/ai/tools/charts.py
+# hypothesis_version: 6.152.2
+
+['close', 'date', 'format', 'height', '{:8,.0f}']

quantflow-0.7.0/.hypothesis/constants/ced58ab73e655e68

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/ai/tools/fred.py
+# hypothesis_version: 6.152.2
+
+[100, 'No categories found', 'categories', 'd', 'desc', 'frequency', 'id', 'name', 'observation_end', 'observation_start', 'popularity', 'seriess', 'title']

quantflow-0.7.0/.hypothesis/constants/cf8267391ea821cf

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/options/pricer.py
+# hypothesis_version: 6.152.2
+
+[-1.8, 0.0, 0.05, 0.3, 0.5, 1.0, 1.2, 1.5, 128, 10000, 'Black', 'M', 'Name of the model', 'TTM', 'Time to maturity', 'call', 'implied_vol', 'moneyness', 'moneyness_ttm', 'time_value', 'turntable', 'viridis', 'white']

quantflow-0.7.0/.hypothesis/constants/d1c239339de85cf1

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow_tests/conftest.py
+# hypothesis_version: 6.152.2
+
+['volsurface.json']

quantflow-0.7.0/.hypothesis/constants/da39a3ee5e6b4b0d

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/options/__init__.py
+# hypothesis_version: 6.152.2
+
+[]

quantflow-0.7.0/.hypothesis/constants/dfdb158bb5ee458f

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/utils/distributions.py
+# hypothesis_version: 6.152.2
+
+[1.0, 100]

quantflow-0.7.0/.hypothesis/constants/e0a9a30d56186ce4

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/ta/paths.py
+# hypothesis_version: 6.152.2
+
+[0.0, 1.0, 2.0, 100, 1000, 'D', 'Time horizon']

quantflow-0.7.0/.hypothesis/constants/e238343dcf50c80f

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/sp/poisson.py
+# hypothesis_version: 6.152.2
+
+[-0.5, 0.0, 0.5, 1.0, 100, 'D', 'Number of jumps', 'Number of paths', 'Number of time steps', 'Time horizon']

quantflow-0.7.0/.hypothesis/constants/ed5fae84fef8d28d

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/options/divfm/pricer.py
+# hypothesis_version: 6.152.2
+
+[1e-06, 3.0, 100, 'DIVFM']

quantflow-0.7.0/.hypothesis/constants/f33893fdc851717e

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/utils/functions.py
+# hypothesis_version: 6.152.2
+
+[]

quantflow-0.7.0/.hypothesis/constants/f5861549f7f1821b

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/sp/jump_diffusion.py
+# hypothesis_version: 6.152.2
+
+[0.0, 0.5, 100, 'The jump process', 'diffusion process']

quantflow-0.7.0/.hypothesis/constants/fc9042c4e0183418

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/utils/dates.py
+# hypothesis_version: 6.152.2
+
+[]

quantflow-0.7.0/.hypothesis/constants/fe8b643a6cddd723

@@ -0,0 +1,4 @@
+# file: /home/runner/work/quantflow/quantflow/quantflow/sp/heston.py
+# hypothesis_version: 6.152.2
+
+[0.0, 0.1, 0.5, 0.8, 1.0, 100, 'Jump process']

{quantflow-0.6.3 → quantflow-0.7.0}/.vscode/launch.json

@@ -14,7 +14,7 @@
             "args": [
                 "-x",
                 "-vvv",
-                "quantflow_tests/test_divfm.py",
+                "quantflow_tests/test_data_deribit.py",
             ]
         },
     ]

{quantflow-0.6.3 → quantflow-0.7.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: quantflow
-Version: 0.6.3
+Version: 0.7.0
 Summary: quantitative analysis
 Project-URL: Homepage, https://github.com/quantmind/quantflow
 Project-URL: Repository, https://github.com/quantmind/quantflow

{quantflow-0.6.3 → quantflow-0.7.0}/app/volatility_surface.py

@@ -42,12 +42,6 @@ def _(mo):
     return
 
 
-@app.cell
-def _():
-    kwargs = dict()
-    return
-
-
 @app.cell
 def _(mo):
     asset = mo.ui.dropdown(["btc", "eth", "sol"], value="btc", label="asset")
@@ -57,7 +51,7 @@ def _(mo):
 
 
 @app.cell
-async def _(asset, inverse):
+async def _(asset, inverse, mo):
     import pandas as pd
     from quantflow.data.deribit import Deribit
 
@@ -74,20 +68,49 @@ async def _(asset, inverse):
     surface.bs()
     # disable outliers
     surface.disable_outliers()
-    surface.plot3d()
-    return pd, surface
+    #
+    def int_or_none(v):
+        try:
+            return int(v)
+        except TypeError:
+            return None
+
+    maturites = [c.maturity for c in surface.maturities]
+    maturity_dropdown = mo.ui.dropdown(
+        options={m.strftime("%Y-%m-%d"): i for i, m in enumerate(maturites)},
+        label="Maturity"
+    )
+    maturity_dropdown
+    return int_or_none, maturity_dropdown, pd, surface
+
+
+@app.cell
+def _(int_or_none, maturity_dropdown, surface):
+    index = int_or_none(maturity_dropdown.value)
+    surface.plot3d(index=index)
+    return (index,)
 
 
 @app.cell
-def _(pd, surface):
+def _(index, pd, surface):
     # display inputs - only options with converged implied volatility
-    surface_inputs = surface.inputs(converged=True)
+    surface_inputs = surface.inputs(converged=True, index=index)
     pd.DataFrame([i.model_dump() for i in surface_inputs.inputs])
     return
 
 
 @app.cell
-def _():
+def _(surface):
+    ts = surface.term_structure()
+    ts
+    return (ts,)
+
+
+@app.cell
+def _(ts):
+    from quantflow.utils import plot
+
+    plot.plot_lines(ts, x="ttm", y="rate_percent")
     return
 
 

quantflow-0.7.0/docs/api/options/svi.md

@@ -0,0 +1,3 @@
+# SVI Volatility Smile
+
+::: quantflow.options.svi.SVI

{quantflow-0.6.3 → quantflow-0.7.0}/docs/api/options/vol_surface.md

@@ -19,6 +19,8 @@
 
 ::: quantflow.options.surface.FwdPrice
 
+::: quantflow.options.surface.ImpliedFwdPrice
+
 ::: quantflow.options.surface.Strike
 
 ::: quantflow.options.surface.OptionArrays

quantflow-0.7.0/docs/api/rates/index.md

@@ -0,0 +1 @@
+# Interest Rates

quantflow-0.7.0/docs/api/rates/interest_rate.md

@@ -0,0 +1,4 @@
+# Interest Rates
+
+
+::: quantflow.rates.interest_rate.Rate

quantflow-0.7.0/docs/api/rates/yield_curve.md

@@ -0,0 +1,6 @@
+# Yield Curve
+
+
+::: quantflow.rates.yield_curve.YieldCurve
+
+::: quantflow.rates.nelson_siegel.NelsonSiegel

{quantflow-0.6.3 → quantflow-0.7.0}/docs/glossary.md

@@ -97,6 +97,24 @@ The [probability density function](https://en.wikipedia.org/wiki/Probability_den
     F_x(x) = \int_{-\infty}^x f_x(s) ds
 \end{equation}
 
+## Put-Call Parity
+
+Put-call parity is a no-arbitrage relationship between the prices of European call
+and put options with the same strike $K$ and maturity. Denoting forward-space prices
+$c = C/F$ and $p = P/F$ (see [Black Pricing](api/options/black.md)), the relationship
+reads:
+
+\begin{equation}
+    c - p = 1 - \frac{K}{F} = 1 - e^k
+\end{equation}
+
+where $k$ is the [log-strike](#log-strike).
+In quoting currency terms, multiplying through by $F$:
+
+\begin{equation}
+    C - P = F - K
+\end{equation}
+
 ## Time To Maturity (TTM)
 
 Time to maturity is the time remaining until an option or forward contract expires,

{quantflow-0.6.3 → quantflow-0.7.0}/mkdocs.yml

@@ -72,6 +72,7 @@ nav:
           - Calibration: api/options/calibration.md
           - Deep IV Factor Model: api/options/divfm.md
           - Pricer: api/options/pricer.md
+          - SVI Smile: api/options/svi.md
           - Volatility Surface: api/options/vol_surface.md
       - Stochastic Processes:
           - api/sp/index.md
@@ -91,6 +92,10 @@ nav:
           - OHLC: api/ta/ohlc.md
           - Paths: api/ta/paths.md
           - Supersmoother: api/ta/supersmoother.md
+      - Rates:
+          - api/rates/index.md
+          - Interest Rate: api/rates/interest_rate.md
+          - Yield Curve: api/rates/yield_curve.md
       - Utilities:
           - api/utils/index.md
           - Bins: api/utils/bins.md