voly 0.0.124__py3-none-any.whl → 0.0.127__py3-none-any.whl

voly/client.py

@@ -392,7 +392,7 @@ class VolyClient:
         logger.info("Calculating realized volatility surface")
 
         # Generate the surface
-        fit_results, iv_surface, x_surface = get_rv_surface(
+        fit_results, rv_surface, x_surface = get_rv_surface(
             model_results=model_results,
             pdf_surface=pdf_surface,
             x_surface=x_surface,
@@ -402,6 +402,6 @@ class VolyClient:
 
         return {
             'fit_results': fit_results,
-            'iv_surface': iv_surface,
+            'rv_surface': rv_surface,
             'x_surface': x_surface
         }

voly/core/hd.py

@@ -221,18 +221,18 @@ def get_rv_surface(model_results: pd.DataFrame,
     if missing_columns:
         raise VolyError(f"Required columns missing in model_results: {missing_columns}")
 
-    iv_surface = {}
+    rv_surface = {}
     new_x_surface = {}
     all_params = {}
 
-    # Check if hd_surface is empty
-    if not hd_surface:
+    # Check if pdf_surface is empty
+    if not pdf_surface:
         logger.warning("Historical density surface is empty.")
         return {}, {}, pd.DataFrame()
 
     # Process each maturity
     for i in model_results.index:
-        if i not in hd_surface:
+        if i not in pdf_surface:
             logger.warning(f"No historical density available for maturity {i}, skipping.")
             continue
 
@@ -256,7 +256,7 @@ def get_rv_surface(model_results: pd.DataFrame,
         for j, lm_k in enumerate(LM):
             mask = LM >= lm_k
             if np.any(mask):
-                integrand = s * (np.exp(LM[mask]) - np.exp(lm_k)) * hd[mask]
+                integrand = s * (np.exp(LM[mask]) - np.exp(lm_k)) * pdf[mask]
                 c_recovered[j] = np.exp(-r * t) * np.trapz(integrand, LM[mask])
 
         # Ensure call prices are at least the intrinsic value
@@ -352,7 +352,7 @@ def get_rv_surface(model_results: pd.DataFrame,
         o_recovered = np.sqrt(w / t)
 
         # Store results
-        iv_surface[i] = o_recovered
+        rv_surface[i] = o_recovered
 
         if return_domain == 'log_moneyness':
             x = LM
@@ -370,4 +370,4 @@ def get_rv_surface(model_results: pd.DataFrame,
     # Create a DataFrame with parameters
     fit_results = pd.DataFrame(all_params).T
     x_surface = new_x_surface
-    return iv_surface, x_surface, fit_results
+    return fit_results, rv_surface, x_surface

{voly-0.0.124.dist-info → voly-0.0.127.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.124
+Version: 0.0.127
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.124.dist-info → voly-0.0.127.dist-info}/RECORD

@@ -1,5 +1,5 @@
 voly/__init__.py,sha256=8xyDk7rFCn_MOD5hxuv5cxxKZvBVRiSIM7TgaMPpwpw,211
-voly/client.py,sha256=3Qe_fLkBTEPHzZ9rZdXd4u4xhaIpQGesn1XjkcBIk1A,14887
+voly/client.py,sha256=R5QSKSJhwYYoJe9LFPL9dynOVwz0q6LI8TU--vnsILs,14887
 voly/exceptions.py,sha256=PBsbn1vNMvKcCJwwJ4lBO6glD85jo1h2qiEmD7ArAjs,92
 voly/formulas.py,sha256=HejPfgVh6-hmWDhvwbHgAIfQMt8iPbIiaKqcBrB5Spw,10766
 voly/models.py,sha256=BF-O7BjGf0BLMpw4rCtfwW7s8_f4iyUZdUY6q1dVxLs,3363
@@ -7,13 +7,13 @@ 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=ODaDW95V_jq-yja-arJi1llgvf7Yq0RTGnjSyn6HEsw,13455
+voly/core/hd.py,sha256=nU_sjOn-DVRFNmjUiZfeMf-RJehm-I0HrqfOmupINiw,13459
 voly/core/interpolate.py,sha256=JkK172-FXyhesW3hY4pEeuJWG3Bugq7QZXbeKoRpLuo,5305
 voly/core/rnd.py,sha256=0VE77lxesx_BPAO46QwKpcauZNaHnPTiDhmRbSURn3c,10022
 voly/utils/__init__.py,sha256=E05mWatyC-PDOsCxQV1p5Xi1IgpOomxrNURyCx_gB-w,200
 voly/utils/logger.py,sha256=4-_2bVJmq17Q0d7Rd2mPg1AeR8gxv6EPvcmBDMFWcSM,1744
-voly-0.0.124.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.124.dist-info/METADATA,sha256=OgVZEuKHA8iCCB56Y4r77eAT6oCr3lhegeq0WguT2CA,4115
-voly-0.0.124.dist-info/WHEEL,sha256=1tXe9gY0PYatrMPMDd6jXqjfpz_B-Wqm32CPfRC58XU,91
-voly-0.0.124.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.124.dist-info/RECORD,,
+voly-0.0.127.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.127.dist-info/METADATA,sha256=8s8R7TsvT7fLIhVumViAOTfJ3ofzCJshQBc2QrFOx3k,4115
+voly-0.0.127.dist-info/WHEEL,sha256=1tXe9gY0PYatrMPMDd6jXqjfpz_B-Wqm32CPfRC58XU,91
+voly-0.0.127.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.127.dist-info/RECORD,,