voly 0.0.136__tar.gz → 0.0.138__tar.gz

{voly-0.0.136/src/voly.egg-info → voly-0.0.138}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.136
+Version: 0.0.138
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.136 → voly-0.0.138}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.136"
+version = "0.0.138"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.136"
+python_version = "0.0.138"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.136 → voly-0.0.138}/src/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-0.0.136 → voly-0.0.138}/src/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,
@@ -137,7 +121,7 @@ def get_hd_surface(model_results: pd.DataFrame,
         start_date = dt.datetime.now() - dt.timedelta(days=int(t * 365.25))
         maturity_hist = df_hist[df_hist.index >= start_date].copy()
 
-        if len(maturity_hist) < 10:
+        if len(maturity_hist) < 2:
             logger.warning(f"Not enough historical data for maturity {i}, skipping.")
             continue
 
@@ -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:

{voly-0.0.136 → voly-0.0.138}/src/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-0.0.136 → voly-0.0.138/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.136
+Version: 0.0.138
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT