voly 0.0.135__tar.gz → 0.0.136__tar.gz

{voly-0.0.135/src/voly.egg-info → voly-0.0.136}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.135
+Version: 0.0.136
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.135 → voly-0.0.136}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.135"
+version = "0.0.136"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.135"
+python_version = "0.0.136"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.135 → voly-0.0.136}/src/voly/core/hd.py

@@ -473,18 +473,20 @@ 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 +499,8 @@ 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-0.0.135 → voly-0.0.136/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.135
+Version: 0.0.136
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT