voly 0.0.109__py3-none-any.whl → 0.0.111__py3-none-any.whl

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-0.0.109.dist-info → voly-0.0.111.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.109
+Version: 0.0.111
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.109.dist-info → voly-0.0.111.dist-info}/RECORD

@@ -1,7 +1,7 @@
 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
@@ -12,8 +12,8 @@ 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-0.0.109.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.109.dist-info/METADATA,sha256=jXlpZC7l_ML8dLiSKlsX8AOwVqawgHnxGUfYwC2rK5Q,4115
-voly-0.0.109.dist-info/WHEEL,sha256=tTnHoFhvKQHCh4jz3yCn0WPTYIy7wXx3CJtJ7SJGV7c,91
-voly-0.0.109.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.109.dist-info/RECORD,,
+voly-0.0.111.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.111.dist-info/METADATA,sha256=h0fKhYmCzNciUiONxuR-wn08zxC3U89TlOYHwoekhjQ,4115
+voly-0.0.111.dist-info/WHEEL,sha256=tTnHoFhvKQHCh4jz3yCn0WPTYIy7wXx3CJtJ7SJGV7c,91
+voly-0.0.111.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.111.dist-info/RECORD,,