voly 0.0.135__py3-none-any.whl → 0.0.137__py3-none-any.whl

voly/client.py

@@ -311,21 +311,13 @@ class VolyClient:
 
         logger.info("Calculating RND surface")
 
-        # Generate the surface
-        pdf_surface, cdf_surface, x_surface, moments = get_rnd_surface(
+        return get_rnd_surface(
             model_results=model_results,
             domain_params=domain_params,
             return_domain=return_domain,
             method=method
         )
 
-        return {
-            'pdf_surface': pdf_surface,
-            'cdf_surface': cdf_surface,
-            'x_surface': x_surface,
-            'moments': moments
-        }
-
     # -------------------------------------------------------------------------
     # Historical Density (HD)
     # -------------------------------------------------------------------------
@@ -354,21 +346,13 @@ class VolyClient:
 
         logger.info("Calculating historical density surface")
 
-        # Generate the surface
-        pdf_surface, cdf_surface, x_surface, moments = get_hd_surface(
+        return get_hd_surface(
             model_results=model_results,
             df_hist=df_hist,
             domain_params=domain_params,
             return_domain=return_domain
         )
 
-        return {
-            'pdf_surface': pdf_surface,
-            'cdf_surface': cdf_surface,
-            'x_surface': x_surface,
-            'moments': moments
-        }
-
     @staticmethod
     def get_garch_hd_surface(model_results: pd.DataFrame,
                              df_hist: pd.DataFrame,

voly/core/hd.py

@@ -78,22 +78,6 @@ def get_historical_data(currency, lookback_days, granularity, exchange_name):
     return df_hist
 
 
-def generate_lm_points(min_lm, max_lm):
-    if min_lm >= max_lm:
-        raise ValueError("min_lm must be less than max_lm")
-
-    max_transformed = np.sqrt(max_lm) if max_lm > 0 else 0
-    min_transformed = -np.sqrt(-min_lm) if min_lm < 0 else 0
-
-    transformed_points = np.arange(min_transformed, max_transformed + 0.05, 0.05)
-    lm_points = np.sign(transformed_points) * transformed_points ** 2
-
-    lm_points = np.unique(np.round(lm_points, decimals=2))
-    lm_points = sorted(lm_points)
-
-    return lm_points
-
-
 @catch_exception
 def get_hd_surface(model_results: pd.DataFrame,
                    df_hist: pd.DataFrame,
@@ -205,16 +189,12 @@ def get_hd_surface(model_results: pd.DataFrame,
     # Create a DataFrame with moments using the same index as model_results
     moments = pd.DataFrame(all_moments).T
 
-    return pdf_surface, cdf_surface, x_surface, moments
-
-
-
-import numpy as np
-import pandas as pd
-from scipy import stats
-from typing import Dict, List, Tuple, Optional, Union, Any
-from voly.utils.logger import logger, catch_exception
-from voly.exceptions import VolyError
+    return {
+        'pdf_surface': pdf_surface,
+        'cdf_surface': cdf_surface,
+        'x_surface': x_surface,
+        'moments': moments
+    }
 
 
 class GARCHModel:
@@ -473,18 +453,20 @@ def get_garch_hd_surface(model_results: pd.DataFrame,
         r = model_results.loc[i, 'r']  # Risk-free rate
         t = model_results.loc[i, 't']  # Time to maturity in years
 
-        tau_day = int(t * 365.25)  # Convert years to days
+        # Fix for very short-term maturities - use floating-point days
+        tau_days_float = t * 365.25  # Exact number of days (as float)
+        tau_day = max(1, int(tau_days_float))  # Ensure minimum of 1 day for simulation
 
-        logger.info(f"Processing GARCH HD for maturity {i} (t={t:.4f} years, {tau_day} days)")
+        logger.info(f"Processing GARCH HD for maturity {i} (t={t:.4f} years, {tau_days_float:.2f} days)")
 
         # Calculate the number of periods that match the time to expiry
-        n_periods = int(t * 365.25 * 24 * 60 / minutes_per_period)
+        n_periods = max(1, int(t * 365.25 * 24 * 60 / minutes_per_period))
 
         # Initialize GARCH model
         garch_model = GARCHModel(
             data=log_returns,
             data_name=str(i),
-            n_fits=min(n_fits, len(log_returns) // 3),  # Ensure we have enough data
+            n_fits=min(n_fits, len(log_returns) // 3),
             window_length=min(window_length, len(log_returns) // 3),
             z_h=0.1
         )
@@ -497,7 +479,8 @@ def get_garch_hd_surface(model_results: pd.DataFrame,
         )
 
         # Scale the simulated returns to match target time horizon
-        scaling_factor = np.sqrt(n_periods / tau_day)
+        # Use floating-point days to avoid division by zero
+        scaling_factor = np.sqrt(n_periods / tau_days_float)
         scaled_log_returns = simulated_log_returns * scaling_factor
 
         # Risk-neutral adjustment (Girsanov transformation)

voly/core/rnd.py

@@ -285,4 +285,9 @@ def get_rnd_surface(model_results: pd.DataFrame,
     # Ensure the index matches the model_results index
     moments.index = model_results.index
 
-    return pdf_surface, cdf_surface, x_surface, moments
+    return {
+        'pdf_surface': pdf_surface,
+        'cdf_surface': cdf_surface,
+        'x_surface': x_surface,
+        'moments': moments
+    }

{voly-0.0.135.dist-info → voly-0.0.137.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.135
+Version: 0.0.137
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.135.dist-info → voly-0.0.137.dist-info}/RECORD

@@ -1,5 +1,5 @@
 voly/__init__.py,sha256=8xyDk7rFCn_MOD5hxuv5cxxKZvBVRiSIM7TgaMPpwpw,211
-voly/client.py,sha256=z9pRicD8XYAl1erpGHkNtxuRR50JTgoxlnXKRsnNibk,15581
+voly/client.py,sha256=9Q_j4F72laro5OnA2IqAZhD2Vr-6QSaaz-vKRxk8KGs,15089
 voly/exceptions.py,sha256=PBsbn1vNMvKcCJwwJ4lBO6glD85jo1h2qiEmD7ArAjs,92
 voly/formulas.py,sha256=G_soRiPwQlHy6milOAj6TdmBWr-fNZpMvm0joXAMZ90,10767
 voly/models.py,sha256=o-pHujGfr5Gn8ItckMzLI4Q8yaX9FQaV8UjCxv2zgTY,3364
@@ -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=07tqWc9WtjHrOnIM3nj9JTaw3v2s5kaV2AcRLnL_p8M,21259
+voly/core/hd.py,sha256=l0EyjZCC9hzupyEe1c4TMRSBZfp5P-KvsuRcGDXHwpc,20846
 voly/core/interpolate.py,sha256=JkK172-FXyhesW3hY4pEeuJWG3Bugq7QZXbeKoRpLuo,5305
-voly/core/rnd.py,sha256=0VE77lxesx_BPAO46QwKpcauZNaHnPTiDhmRbSURn3c,10022
+voly/core/rnd.py,sha256=Bs44AzbAYn1Z8e-Og026BKN9Bu-7A4yH3i639uxXc_A,10116
 voly/utils/__init__.py,sha256=E05mWatyC-PDOsCxQV1p5Xi1IgpOomxrNURyCx_gB-w,200
 voly/utils/logger.py,sha256=4-_2bVJmq17Q0d7Rd2mPg1AeR8gxv6EPvcmBDMFWcSM,1744
-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,,
+voly-0.0.137.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.137.dist-info/METADATA,sha256=rpzdcVFWIIe1Idzyhh6ly4ASVA4HqBCgbzRWyPV4t3k,4115
+voly-0.0.137.dist-info/WHEEL,sha256=DK49LOLCYiurdXXOXwGJm6U4DkHkg4lcxjhqwRa0CP4,91
+voly-0.0.137.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.137.dist-info/RECORD,,