voly 0.0.124__tar.gz → 0.0.126__tar.gz

{voly-0.0.124/src/voly.egg-info → voly-0.0.126}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.124
+Version: 0.0.126
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.124 → voly-0.0.126}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.124"
+version = "0.0.126"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.124"
+python_version = "0.0.126"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.124 → voly-0.0.126}/src/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 rv_surface, x_surface, fit_results

{voly-0.0.124 → voly-0.0.126/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.124
+Version: 0.0.126
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT