voly 0.0.133__py3-none-any.whl → 0.0.135__py3-none-any.whl

voly/core/hd.py

@@ -449,7 +449,15 @@ def get_garch_hd_surface(model_results: pd.DataFrame,
     if missing_columns:
         raise VolyError(f"Required columns missing in model_results: {missing_columns}")
 
-    # Calculate log returns from price history
+    # Determine granularity from df_hist
+    if len(df_hist) > 1:
+        # Calculate minutes between consecutive timestamps
+        minutes_diff = (df_hist.index[1] - df_hist.index[0]).total_seconds() / 60
+        minutes_per_period = int(minutes_diff)
+    else:
+        raise VolyError("Cannot determine granularity from df_hist.")
+
+    # Calculate log returns based on the determined granularity
     log_returns = np.log(df_hist['close'] / df_hist['close'].shift(1)) * 100
     log_returns = log_returns.dropna().values
 
@@ -469,6 +477,9 @@ def get_garch_hd_surface(model_results: pd.DataFrame,
 
         logger.info(f"Processing GARCH HD for maturity {i} (t={t:.4f} years, {tau_day} days)")
 
+        # Calculate the number of periods that match the time to expiry
+        n_periods = int(t * 365.25 * 24 * 60 / minutes_per_period)
+
         # Initialize GARCH model
         garch_model = GARCHModel(
             data=log_returns,
@@ -485,8 +496,26 @@ def get_garch_hd_surface(model_results: pd.DataFrame,
             variate_parameters=variate_parameters
         )
 
-        # Convert to terminal prices
-        simulated_prices = s * np.exp(simulated_log_returns / 100 + simulated_tau_mu / 100)
+        # Scale the simulated returns to match target time horizon
+        scaling_factor = np.sqrt(n_periods / tau_day)
+        scaled_log_returns = simulated_log_returns * scaling_factor
+
+        # Risk-neutral adjustment (Girsanov transformation)
+        # Calculate empirical mean and volatility of the scaled returns
+        mu_scaled = scaled_log_returns.mean()
+        sigma_scaled = scaled_log_returns.std()
+
+        # Expected risk-neutral drift
+        expected_risk_neutral_mean = (r - 0.5 * (sigma_scaled / 100) ** 2) * 100 * np.sqrt(t)
+
+        # Calculate adjustment to shift physical to risk-neutral measure
+        adjustment = mu_scaled - expected_risk_neutral_mean
+
+        # Adjust the returns to the risk-neutral measure
+        risk_neutral_log_returns = scaled_log_returns - adjustment
+
+        # Convert to terminal prices using the risk-neutral returns
+        simulated_prices = s * np.exp(risk_neutral_log_returns / 100)
 
         # Convert to moneyness domain
         simulated_moneyness = s / simulated_prices

{voly-0.0.133.dist-info → voly-0.0.135.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.133
+Version: 0.0.135
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.133.dist-info → voly-0.0.135.dist-info}/RECORD

@@ -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=mnQdLxWn9cBzTci6i_u3xKSDkH2uhjdpuRGXYpJydIk,19949
+voly/core/hd.py,sha256=07tqWc9WtjHrOnIM3nj9JTaw3v2s5kaV2AcRLnL_p8M,21259
 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-0.0.133.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.133.dist-info/METADATA,sha256=Hb0WI6776ODVcmhuEDQdE4y2ZLxM8EAk8HAajlbbn5c,4115
-voly-0.0.133.dist-info/WHEEL,sha256=DK49LOLCYiurdXXOXwGJm6U4DkHkg4lcxjhqwRa0CP4,91
-voly-0.0.133.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.133.dist-info/RECORD,,
+voly-0.0.135.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.135.dist-info/METADATA,sha256=ZMMRpocTA7buNWu_1F8esF2laQkezgNLejaUz4SSf58,4115
+voly-0.0.135.dist-info/WHEEL,sha256=DK49LOLCYiurdXXOXwGJm6U4DkHkg4lcxjhqwRa0CP4,91
+voly-0.0.135.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.135.dist-info/RECORD,,