voly 0.0.104__tar.gz → 0.0.105__tar.gz

{voly-0.0.104/src/voly.egg-info → voly-0.0.105}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.104
+Version: 0.0.105
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.104 → voly-0.0.105}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.104"
+version = "0.0.105"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.104"
+python_version = "0.0.105"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.104 → voly-0.0.105}/src/voly/client.py

@@ -155,6 +155,10 @@ class VolyClient:
            option_type: str = 'call') -> float:
         return iv(option_price, s, K, r, t, option_type)
 
+    @staticmethod
+    def pdf_to_calls(pdf_K: np.ndarray, s: float, K: np.ndarray, r: float, t: float):
+        return pdf_to_calls(pdf_K, s, K, r, t)
+
     # -------------------------------------------------------------------------
     # Model Fitting
     # -------------------------------------------------------------------------

{voly-0.0.104 → voly-0.0.105}/src/voly/formulas.py

@@ -356,3 +356,51 @@ def get_domain(domain_params: Tuple[float, float, int] = (-1.5, 1.5, 1000),
     else:
         raise ValueError(
             f"Invalid return_domain: {return_domain}. Must be one of ['log_moneyness', 'moneyness', 'returns', 'striKes', 'delta'].")
+
+
+@catch_exception
+def pdf_to_calls(pdf_K, s, K, r, t):
+    # Step 0: Normalize the PDF
+    dK = np.diff(K, prepend=K[0])
+    total_area = np.sum(pdf_K * dK)
+    pdf_K_normalized = pdf_K / total_area
+
+    # Step 1: Recover the second derivative
+    c2_recovered = pdf_K_normalized / np.exp(r * t)
+
+    # Step 2: Double integration using NumPy
+    # First integration (c2 -> c1)
+    c1_recovered = np.zeros_like(K)
+    for i in range(1, len(K)):
+        c1_recovered[i] = c1_recovered[i - 1] + 0.5 * (c2_recovered[i] + c2_recovered[i - 1]) * (K[i] - K[i - 1])
+
+    # Second integration (c1 -> c)
+    c_recovered_base = np.zeros_like(K)
+    for i in range(1, len(K)):
+        c_recovered_base[i] = c_recovered_base[i - 1] + 0.5 * (c1_recovered[i] + c1_recovered[i - 1]) * (
+                    K[i] - K[i - 1])
+
+    # Determine the integration constants based on boundary conditions
+    # Find the lowest strike (deep ITM) and highest strike (deep OTM)
+    K_min = K[0]
+    K_max = K[-1]
+
+    # Boundary conditions:
+    # c(K_max) should be close to 0
+    # c(K_min) should be close to s - K_min*exp(-r*t)
+    c_min_target = max(0, s - K_min * np.exp(-r * t))
+    c_max_target = 0  # deep OTM call is worthless
+
+    # Solve for a and b in c_recovered = c_recovered_base + a*K + b
+    A = np.array([[1, K_min], [1, K_max]])
+    b_vec = np.array([c_min_target - c_recovered_base[0], c_max_target - c_recovered_base[-1]])
+    integration_constants = np.linalg.solve(A, b_vec)
+
+    # Apply the correction
+    ic_b, ic_a = integration_constants[0], integration_constants[1]  # ic_a is slope, ic_b is intercept
+    c_recovered = c_recovered_base + ic_b + ic_a * K
+
+    # Ensure non-negative call prices
+    c_recovered = np.maximum(c_recovered, 0)
+
+    return c_recovered, ic_a, ic_b

{voly-0.0.104 → voly-0.0.105/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.104
+Version: 0.0.105
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT