voly 0.0.108__py3-none-any.whl → 0.0.110__py3-none-any.whl

voly/core/hd.py

@@ -48,29 +48,15 @@ def get_historical_data(currency, lookback_days, granularity, exchange_name):
     else:
         raise VolyError("lookback_days should be in format '90d', '30d', etc.")
 
-    # Convert start date to timestamp
     from_ts = exchange.parse8601(date_start)
-
-    # Fetch OHLCV data in batches
-    ohlcv = []
-    last_timestamp = from_ts
-
+    ohlcv_list = []
+    ohlcv = exchange.fetch_ohlcv(symbol, granularity, since=from_ts, limit=1000)
+    ohlcv_list.append(ohlcv)
     while True:
-        batch = exchange.fetch_ohlcv(symbol, granularity, since=last_timestamp, limit=1000)
-
-        if len(batch) == 0:
-            break
-
-        if ohlcv and batch[0][0] == ohlcv[-1][0]:
-            batch = batch[1:]  # Avoid duplicates
-
-        ohlcv.extend(batch)
-
-        # Update timestamp for next batch
-        last_timestamp = batch[-1][0]
-
-        # Break if we got less than the limit (reached the end)
-        if len(batch) < 1000:
+        from_ts = ohlcv[-1][0]
+        new_ohlcv = exchange.fetch_ohlcv(symbol, granularity, since=from_ts, limit=1000)
+        ohlcv.extend(new_ohlcv)
+        if len(new_ohlcv) != 1000:
             break
 
     # Convert to DataFrame

voly/formulas.py

@@ -368,17 +368,19 @@ def pdf_to_calls(pdf_K, s, K, r, t):
     # 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)
+    # Step 2: Use Simpson's rule for smoother first derivatives recovery
     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])
+        h = K[i] - K[i - 1]
+        c1_recovered[i] = c1_recovered[i - 1] + (h / 6) * (
+                    c2_recovered[i - 1] + 4 * c2_recovered[(i - 1 + i) // 2] + c2_recovered[i])
 
-    # Second integration (c1 -> c)
+    # Step 3: Second integration with Simpson's rule to recover original calls
     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])
+        h = K[i] - K[i - 1]
+        c1_mid = (c1_recovered[i - 1] + c1_recovered[i]) / 2  # Midpoint approximation
+        c_recovered_base[i] = c_recovered_base[i - 1] + (h / 6) * (c1_recovered[i - 1] + 4 * c1_mid + c1_recovered[i])
 
     # Determine the integration constants based on boundary conditions
     # Find the lowest strike (deep ITM) and highest strike (deep OTM)

{voly-0.0.108.dist-info → voly-0.0.110.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.108
+Version: 0.0.110
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.108.dist-info → voly-0.0.110.dist-info}/RECORD

@@ -1,19 +1,19 @@
 voly/__init__.py,sha256=8xyDk7rFCn_MOD5hxuv5cxxKZvBVRiSIM7TgaMPpwpw,211
 voly/client.py,sha256=FOH1E_zTCnDZhGLab9dzpqMQ5-fkW0MFeV0o1dBMx0w,12424
 voly/exceptions.py,sha256=PBsbn1vNMvKcCJwwJ4lBO6glD85jo1h2qiEmD7ArAjs,92
-voly/formulas.py,sha256=1Kjo6j7dMzjyfym-Cfk67qP4sS-lKQpkj0YNAoBOGe0,13351
+voly/formulas.py,sha256=wyisgDdhaQe3oB1wnGLSywsT-O5N4-ZqE9RzabumBlc,13549
 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/hd.py,sha256=QCZ7VTborLnWDQ2gQAboYtIL80U39V54BtBSN0Z5bt0,2708
+voly/core/hd.py,sha256=sbNUL01lRYGhPOVVaLf2-dhHQR1yieNgDXc1Gdu3hK0,2462
 voly/core/interpolate.py,sha256=JkK172-FXyhesW3hY4pEeuJWG3Bugq7QZXbeKoRpLuo,5305
 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-0.0.108.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.108.dist-info/METADATA,sha256=G8v8oiLOfbrXR-YICurs1vkbeyRllNl63QuFrO7H2gc,4115
-voly-0.0.108.dist-info/WHEEL,sha256=tTnHoFhvKQHCh4jz3yCn0WPTYIy7wXx3CJtJ7SJGV7c,91
-voly-0.0.108.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.108.dist-info/RECORD,,
+voly-0.0.110.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.110.dist-info/METADATA,sha256=rJ85UIpZKUtSmOrExXOgo5anK0A54nLZWlpIK9KMpZs,4115
+voly-0.0.110.dist-info/WHEEL,sha256=tTnHoFhvKQHCh4jz3yCn0WPTYIy7wXx3CJtJ7SJGV7c,91
+voly-0.0.110.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.110.dist-info/RECORD,,