voly 0.0.11__py3-none-any.whl → 0.0.12__py3-none-any.whl

voly/core/data.py

@@ -174,7 +174,7 @@ async def get_deribit_data(currency: str = "BTC") -> pd.DataFrame:
         raise ConnectionError(f"WebSocket connection error: {str(e)}")
 
     total_time = time.time() - total_start
-    logger.info(f"Total processing time: {total_time:.2f}s - {len(all_data)} instruments processed")
+    logger.info(f"Total fetching time: {total_time:.2f}s")
 
     if not all_data:
         raise VolyError("No data collected from Deribit")
@@ -195,7 +195,7 @@ def process_option_chain(df: pd.DataFrame, currency: str, min_dte: float = 2.0)
     Returns:
     pd.DataFrame: Processed option chain data
     """
-    logger.info(f"Processing option chain data for {currency}...")
+    logger.info(f"Processing data for {currency}...")
 
     # Extract instrument details
     # Format is typically BTC-DDMMMYY-STRIKE-C/P or ETH-DDMMMYY-STRIKE-C/P
@@ -248,10 +248,7 @@ def process_option_chain(df: pd.DataFrame, currency: str, min_dte: float = 2.0)
     # Calculate log-moneyness
     df['log_moneyness'] = np.log(df['underlying_price'] / df['strike'])
 
-    # Remove rows with missing implied volatility
-    original_rows = len(df)
-    df = df.dropna(subset=['mark_iv', 'log_moneyness', 'yte'])
-    logger.info(f"Removed {original_rows - len(df)} rows with missing data")
+    logger.info(f"Processing complete!")
 
     return df
 

voly/core/fit.py

@@ -13,6 +13,8 @@ from sklearn.metrics import mean_squared_error, mean_absolute_error, r2_score
 from voly.utils.logger import logger, catch_exception
 from voly.exceptions import VolyError
 from voly.models import SVIModel
+import warnings
+warnings.filterwarnings("ignore")
 
 
 @catch_exception
@@ -161,7 +163,7 @@ def create_parameters_matrix(optimization_results: Dict[str, Dict[str, Any]]) ->
         dte_values[maturity_name] = result['dte']
 
         # Calculate JW parameters
-        nu, psi, p, c, nu_tilde = SVIModel.svi_jw_params(a, b, sigma, rho, m, yte)
+        nu, psi, p, c, nu_tilde = SVIModel.raw_to_jw_params(a, b, sigma, rho, m, yte)
         jw_param_matrix[maturity_name] = [nu, psi, p, c, nu_tilde]
 
     # Store YTE and DTE as attributes in all DataFrames for reference

{voly-0.0.11.dist-info → voly-0.0.12.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.11
+Version: 0.0.12
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.11.dist-info → voly-0.0.12.dist-info}/RECORD

@@ -5,14 +5,14 @@ voly/formulas.py,sha256=aG_HSq_a4j7TcuKiINlHSpmNdmfZa_fzYbAk8EGt954,7427
 voly/models.py,sha256=YJ12aamLz_-aOni4Qm0_XV9u4bjKK3vfJz0J2gc1h0o,3565
 voly/core/__init__.py,sha256=GU6l7hpxJfitPx9jnmBtcb_QIeqOO8liZsSbLXXSbq8,384
 voly/core/charts.py,sha256=GF55IS-aZfcc_0yoSPRPIPBPcJhFD1El18wNCo_mI_A,29918
-voly/core/data.py,sha256=RCvL9ZZWHgO2cfNbLSby2zNsoJmF2VCkJ0yRb1HtjHs,10171
-voly/core/fit.py,sha256=JSQuEkdriVdilcIPAJaieZUofYdCfSGJ5wVB1wRBfVs,11280
+voly/core/data.py,sha256=Dfk-ByHpdteUiLXr0p-wRLr3VAmdyjdDBKwjwdTgCjA,9939
+voly/core/fit.py,sha256=pCP1WL1zlMEgJw5aZuPYGGIfH2F9GD8QsN_oj6ZLeHo,11333
 voly/core/interpolate.py,sha256=ztVIePJZOh-CIbn69wkh1JW2rKywNe2FEewRN0zcSAo,8185
 voly/core/rnd.py,sha256=-xBVzvM9sMIBtfOfWyBJKtiVcBShSGTNNp2PZFOD5j0,12155
 voly/utils/__init__.py,sha256=E05mWatyC-PDOsCxQV1p5Xi1IgpOomxrNURyCx_gB-w,200
 voly/utils/logger.py,sha256=4-_2bVJmq17Q0d7Rd2mPg1AeR8gxv6EPvcmBDMFWcSM,1744
-voly-0.0.11.dist-info/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.11.dist-info/METADATA,sha256=ggw_f34HW4h4RTN5_37TpH7bW_sVJ-_AdCpVeG_Fz9Y,4092
-voly-0.0.11.dist-info/WHEEL,sha256=52BFRY2Up02UkjOa29eZOS2VxUrpPORXg1pkohGGUS8,91
-voly-0.0.11.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.11.dist-info/RECORD,,
+voly-0.0.12.dist-info/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.12.dist-info/METADATA,sha256=GxT2PrLToCnIj-pA5K030JjzQZFMkPUH1kN_Y-3cdIs,4092
+voly-0.0.12.dist-info/WHEEL,sha256=52BFRY2Up02UkjOa29eZOS2VxUrpPORXg1pkohGGUS8,91
+voly-0.0.12.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.12.dist-info/RECORD,,