voly 0.0.133__tar.gz → 0.0.135__tar.gz

{voly-0.0.133/src/voly.egg-info → voly-0.0.135}/PKG-INFO

@@ -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 → voly-0.0.135}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.133"
+version = "0.0.135"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.133"
+python_version = "0.0.135"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.133 → voly-0.0.135}/src/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 → voly-0.0.135/src/voly.egg-info}/PKG-INFO

@@ -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