voly 0.0.109__tar.gz → 0.0.110__tar.gz

{voly-0.0.109/src/voly.egg-info → voly-0.0.110}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.109
+Version: 0.0.110
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.109 → voly-0.0.110}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.109"
+version = "0.0.110"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.109"
+python_version = "0.0.110"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.109 → voly-0.0.110}/src/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 → voly-0.0.110/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.109
+Version: 0.0.110
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT