voly 0.0.100__py3-none-any.whl → 0.0.102__py3-none-any.whl

voly/client.py

@@ -86,6 +86,10 @@ class VolyClient:
     # SVI, Black-Scholes and Greeks Calculations
     # -------------------------------------------------------------------------
 
+    @staticmethod
+    def svi(LM: float, a: float, b: float, sigma: float, rho: float, m: float) -> float:
+        return svi(LM, a, b, sigma, rho, m)
+
     @staticmethod
     def d1(s: float, K: float, r: float, o: float, t: float,
            option_type: str = 'call') -> float:

voly/core/rnd.py

@@ -9,7 +9,7 @@ from typing import Dict, List, Tuple, Optional, Union, Any
 from voly.utils.logger import logger, catch_exception
 from voly.exceptions import VolyError
 from voly.models import SVIModel
-from voly.formulas import get_domain
+from voly.formulas import bs, d1, d2, get_domain
 from scipy import stats
 
 
@@ -22,7 +22,7 @@ def breeden(domain_params, s, r, o, t, return_domain):
     K = get_domain(domain_params, s, r, o, t, 'strikes')
     D = get_domain(domain_params, s, r, o, t, 'delta')
 
-    c = voly.bs(s, K, r, o, t, option_type='call')
+    c = bs(s, K, r, o, t, option_type='call')
     c1 = np.gradient(c, K)
     c2 = np.gradient(c1, K)
 
@@ -36,8 +36,8 @@ def breeden(domain_params, s, r, o, t, return_domain):
     pdf_m = pdf_k * s
     pdf_r = pdf_lm / (1 + R)
 
-    n_d1 = stats.norm.pdf(voly.d1(s, K, r, o, t, option_type='call'))
-    dd_dK = n_d1 / (o * np.sqrt(t) * K)
+    pdf_d1 = stats.norm.pdf(d1(s, K, r, o, t, option_type='call'))
+    dd_dK = pdf_d1 / (o * np.sqrt(t) * K)
     pdf_d = pdf_k / dd_dK
 
     cdf = np.cumsum(pdf_lm) * dx
@@ -87,8 +87,8 @@ def rookley(domain_params, s, r, o, t, return_domain):
     rt = r * t
     ert = np.exp(rt)
 
-    d1 = (np.log(M) + (r + 1 / 2 * o ** 2) * t) / (o * st)
-    d2 = d1 - o * st
+    n_d1 = (np.log(M) + (r + 1 / 2 * o ** 2) * t) / (o * st)
+    n_d2 = n_d1 - o * st
 
     del_d1_M = 1 / (M * o * st)
     del_d2_M = del_d1_M
@@ -109,12 +109,12 @@ def rookley(domain_params, s, r, o, t, return_domain):
             + o1 * (2 * o1 * (np.log(M) + rt) / (o ** 3 * st) - 1 / (M * o ** 2 * st))
     )
 
-    d_c_M = stats.norm.pdf(d1) * d_d1_M - 1 / ert * stats.norm.pdf(d2) / M * d_d2_M + 1 / ert * stats.norm.cdf(d2) / (
+    d_c_M = stats.norm.pdf(n_d1) * d_d1_M - 1 / ert * stats.norm.pdf(n_d2) / M * d_d2_M + 1 / ert * stats.norm.cdf(n_d2) / (
                 M ** 2)
     dd_c_M = (
-            stats.norm.pdf(d1) * (dd_d1_M - d1 * d_d1_M ** 2)
-            - stats.norm.pdf(d2) / (ert * M) * (dd_d2_M - 2 / M * d_d2_M - d2 * d_d2_M ** 2)
-            - 2 * stats.norm.cdf(d2) / (ert * M ** 3)
+            stats.norm.pdf(n_d1) * (dd_d1_M - n_d1 * d_d1_M ** 2)
+            - stats.norm.pdf(n_d2) / (ert * M) * (dd_d2_M - 2 / M * d_d2_M - n_d2 * d_d2_M ** 2)
+            - 2 * stats.norm.cdf(n_d2) / (ert * M ** 3)
     )
 
     dd_c_K = dd_c_M * (M / K) ** 2 + 2 * d_c_M * (M / K ** 2)
@@ -129,8 +129,8 @@ def rookley(domain_params, s, r, o, t, return_domain):
     pdf_m = pdf_k * s
     pdf_r = pdf_lm / (1 + R)
 
-    n_d1 = stats.norm.pdf(voly.d1(s, K, r, o, t, option_type='call'))
-    dd_dK = n_d1 / (o * np.sqrt(t) * K)
+    pdf_d1 = stats.norm.pdf(d1(s, K, r, o, t, option_type='call'))
+    dd_dK = pdf_d1 / (o * np.sqrt(t) * K)
     pdf_d = pdf_k / dd_dK
 
     cdf = np.cumsum(pdf_lm) * dx

voly/models.py

@@ -36,16 +36,16 @@ class SVIModel:
     }
 
     @staticmethod
-    def svi(log_moneyness_array: float, a: float, b: float, sigma: float, rho: float, m: float) -> float:
-        return a + b * (rho * (log_moneyness_array - m) + np.sqrt((log_moneyness_array - m) ** 2 + sigma ** 2))
+    def svi(LM: float, a: float, b: float, sigma: float, rho: float, m: float) -> float:
+        return a + b * (rho * (LM - m) + np.sqrt((LM - m) ** 2 + sigma ** 2))
 
     @staticmethod
-    def svi_d(log_moneyness_array: float, a: float, b: float, sigma: float, rho: float, m: float) -> float:
-        return b * (rho + ((log_moneyness_array - m) / np.sqrt((log_moneyness_array - m) ** 2 + sigma ** 2)))
+    def svi_d(LM: float, a: float, b: float, sigma: float, rho: float, m: float) -> float:
+        return b * (rho + ((LM - m) / np.sqrt((LM - m) ** 2 + sigma ** 2)))
 
     @staticmethod
-    def svi_dd(log_moneyness_array: float, a: float, b: float, sigma: float, rho: float, m: float) -> float:
-        return b * log_moneyness_array ** 2 / ((log_moneyness_array - m) ** 2 + sigma ** 2) ** 1.5
+    def svi_dd(LM: float, a: float, b: float, sigma: float, rho: float, m: float) -> float:
+        return b * LM ** 2 / ((LM - m) ** 2 + sigma ** 2) ** 1.5
 
     @staticmethod
     def svi_min_strike(sigma: float, rho: float, m: float) -> float:

{voly-0.0.100.dist-info → voly-0.0.102.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.100
+Version: 0.0.102
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.100.dist-info → voly-0.0.102.dist-info}/RECORD

@@ -1,18 +1,18 @@
 voly/__init__.py,sha256=8xyDk7rFCn_MOD5hxuv5cxxKZvBVRiSIM7TgaMPpwpw,211
-voly/client.py,sha256=kHb357sFOlJ_x17vc0UqIXeJ43SRTcNP-7pIuZ01jkI,11314
+voly/client.py,sha256=MN2bInSoNMdtixN3dHrq3uDV77d9QPoTRl0DcQmcyPs,11466
 voly/exceptions.py,sha256=PBsbn1vNMvKcCJwwJ4lBO6glD85jo1h2qiEmD7ArAjs,92
 voly/formulas.py,sha256=6yuu0-vO6TkV7p94W8d_akuC_byySs02-yhy62W8eA4,11575
-voly/models.py,sha256=Vs69QZYQ_Tt6hkaZ6Mfnq3II1dHDqQrZTzBNiaOIbwo,3516
+voly/models.py,sha256=BF-O7BjGf0BLMpw4rCtfwW7s8_f4iyUZdUY6q1dVxLs,3363
 voly/core/__init__.py,sha256=bu6fS2I1Pj9fPPnl-zY3L7NqrZSY5Zy6NY2uMUvdhKs,183
 voly/core/charts.py,sha256=E21OZB5lTY4YL2flgaFJ6s5g3_ExtAQT2zryZZxLPyM,12735
 voly/core/data.py,sha256=pDeuYhP0GX4RbtlqByvsE3rfHcIkix0BU5MLW8sKIeI,8935
 voly/core/fit.py,sha256=Tb9eeG7e_2dQTcqt6aqEwFrZdy6jR9rSNqe6tzOdVhQ,9245
 voly/core/interpolate.py,sha256=JkK172-FXyhesW3hY4pEeuJWG3Bugq7QZXbeKoRpLuo,5305
-voly/core/rnd.py,sha256=2LPVlX6ShlOrhDmk9BS-TlexgdBg5fySHZ0WGedWBWU,10067
+voly/core/rnd.py,sha256=VKM8ojLBziB9nxOEsKO5z_9Z1BSOVNxg0OQPx-Sp80I,10094
 voly/utils/__init__.py,sha256=E05mWatyC-PDOsCxQV1p5Xi1IgpOomxrNURyCx_gB-w,200
 voly/utils/logger.py,sha256=4-_2bVJmq17Q0d7Rd2mPg1AeR8gxv6EPvcmBDMFWcSM,1744
-voly-0.0.100.dist-info/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.100.dist-info/METADATA,sha256=PJ_b07hFVi1mAo7wjTWbx1QpTYecyLDsZwjxktLnYuA,4093
-voly-0.0.100.dist-info/WHEEL,sha256=beeZ86-EfXScwlR_HKu4SllMC9wUEj_8Z_4FJ3egI2w,91
-voly-0.0.100.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.100.dist-info/RECORD,,
+voly-0.0.102.dist-info/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.102.dist-info/METADATA,sha256=EvUkMbZ883RrRIQdX8objNxaIewn5crmCzc49MfKdVU,4093
+voly-0.0.102.dist-info/WHEEL,sha256=beeZ86-EfXScwlR_HKu4SllMC9wUEj_8Z_4FJ3egI2w,91
+voly-0.0.102.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.102.dist-info/RECORD,,