voly 0.0.139__py3-none-any.whl → 0.0.141__py3-none-any.whl

voly/client.py

@@ -20,7 +20,7 @@ from voly.formulas import (
 from voly.core.data import fetch_option_chain, process_option_chain
 from voly.core.fit import fit_model, get_iv_surface
 from voly.core.rnd import get_rnd_surface
-from voly.core.hd import get_historical_data, get_hd_surface, get_garch_hd_surface
+from voly.core.hd import get_historical_data, get_hd_surface
 from voly.core.interpolate import interpolate_model
 from voly.core.charts import (
     plot_all_smiles, plot_raw_parameters, plot_jw_parameters, plot_fit_performance, plot_3d_surface,

voly/core/rnd.py

@@ -163,7 +163,7 @@ def rookley(domain_params, s, r, o, t, return_domain):
         moments = get_all_moments(x, pdf)
         return pdf, cdf, x, moments
 
-
+'''
 @catch_exception
 def get_all_moments(x, pdf, model_params=None):
     mean = np.trapz(x * pdf, x)  # E[X]
@@ -219,6 +219,96 @@ def get_all_moments(x, pdf, model_params=None):
         moments.update(model_params)
 
     return moments
+'''
+
+@catch_exception
+def get_all_moments(x, pdf, model_params=None):
+    # Precompute dx for integration
+    dx = np.diff(x, prepend=x[0])
+
+    # Raw Moments (μ_k = E[X^k])
+    raw_moments = {
+        'raw_0': np.trapz(pdf, x),           # Zeroth (~1)
+        'raw_1': np.trapz(x * pdf, x),       # First (mean)
+        'raw_2': np.trapz(x**2 * pdf, x),    # Second
+        'raw_3': np.trapz(x**3 * pdf, x),    # Third
+        'raw_4': np.trapz(x**4 * pdf, x),    # Fourth
+        'raw_5': np.trapz(x**5 * pdf, x),    # Fifth
+        'raw_6': np.trapz(x**6 * pdf, x),    # Sixth
+    }
+
+    mean = raw_moments['raw_1']
+    variance = np.trapz((x - mean)**2 * pdf, x)  # m_2
+    std_dev = np.sqrt(variance)
+
+    # Central Moments (m_k = E[(X - μ)^k])
+    central_moments = {
+        'cent_0': raw_moments['raw_0'],      # Zeroth (~1)
+        'cent_1': np.trapz((x - mean) * pdf, x),  # First (~0)
+        'cent_2': variance,                  # Second (variance)
+        'cent_3': np.trapz((x - mean)**3 * pdf, x),  # Third
+        'cent_4': np.trapz((x - mean)**4 * pdf, x),  # Fourth
+        'cent_5': np.trapz((x - mean)**5 * pdf, x),  # Fifth
+        'cent_6': np.trapz((x - mean)**6 * pdf, x),  # Sixth
+    }
+
+    # Standardized Moments (m̄_k = E[((X - μ)/σ)^k])
+    z = (x - mean) / std_dev
+    standardized_moments = {
+        'std_0': np.trapz(pdf, x),           # Zeroth (~1)
+        'std_1': np.trapz(z * pdf, x),       # First (~0)
+        'std_2': np.trapz(z**2 * pdf, x),    # Second (~1)
+        'std_3': np.trapz(z**3 * pdf, x),    # Skewness
+        'std_4': np.trapz(z**4 * pdf, x),    # Kurtosis
+        'std_5': np.trapz(z**5 * pdf, x),    # Fifth
+        'std_6': np.trapz(z**6 * pdf, x),    # Sixth
+    }
+
+    # Extra statistics
+    cdf = np.cumsum(pdf * dx)
+    median = x[np.searchsorted(cdf, 0.5)]  # Median
+    mode = x[np.argmax(pdf)]               # Mode
+    excess_kurtosis = standardized_moments['std_4'] - 3
+    q25 = x[np.searchsorted(cdf, 0.25)]    # 25th percentile
+    q75 = x[np.searchsorted(cdf, 0.75)]    # 75th percentile
+    iqr = q75 - q25
+    entropy = -np.trapz(pdf * np.log(pdf + 1e-10), x)
+
+    # Z-score areas
+    o1p = np.sum(pdf[(z > 0) & (z < 1)] * dx[(z > 0) & (z < 1)])
+    o2p = np.sum(pdf[(z >= 1) & (z < 2)] * dx[(z >= 1) & (z < 2)])
+    o3p = np.sum(pdf[(z >= 2) & (z < 3)] * dx[(z >= 2) & (z < 3)])
+    o4p = np.sum(pdf[z >= 3] * dx[z >= 3])
+    o1n = np.sum(pdf[(z < 0) & (z > -1)] * dx[(z < 0) & (z > -1)])
+    o2n = np.sum(pdf[(z <= -1) & (z > -2)] * dx[(z <= -1) & (z > -2)])
+    o3n = np.sum(pdf[(z <= -2) & (z > -3)] * dx[(z <= -2) & (z > -3)])
+    o4n = np.sum(pdf[z <= -3] * dx[z <= -3])
+
+    # Combine results
+    moments = {
+        'raw_moments': raw_moments,
+        'central_moments': central_moments,
+        'standardized_moments': standardized_moments,
+        'mean': mean,
+        'variance': variance,
+        'std_dev': std_dev,
+        'median': median,
+        'mode': mode,
+        'excess_kurtosis': excess_kurtosis,
+        'q25': q25,
+        'q75': q75,
+        'iqr': iqr,
+        'entropy': entropy,
+        'z_score_areas': {
+            'o1p': o1p, 'o2p': o2p, 'o3p': o3p, 'o4p': o4p,
+            'o1n': o1n, 'o2n': o2n, 'o3n': o3n, 'o4n': o4n
+        }
+    }
+
+    if model_params is not None:
+        moments.update(model_params)
+
+    return moments
 
 
 @catch_exception

{voly-0.0.139.dist-info → voly-0.0.141.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.139
+Version: 0.0.141
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.139.dist-info → voly-0.0.141.dist-info}/RECORD

@@ -1,5 +1,5 @@
 voly/__init__.py,sha256=8xyDk7rFCn_MOD5hxuv5cxxKZvBVRiSIM7TgaMPpwpw,211
-voly/client.py,sha256=ZYwuHGKBZA5EPb9gTPpJjMvpfohO4P8BrlCXyICt1K4,14271
+voly/client.py,sha256=Lj3YY6P1VBQD5C_psPh2pSxCMVvFjRBybrMrs4e9qXI,14249
 voly/exceptions.py,sha256=PBsbn1vNMvKcCJwwJ4lBO6glD85jo1h2qiEmD7ArAjs,92
 voly/formulas.py,sha256=G_soRiPwQlHy6milOAj6TdmBWr-fNZpMvm0joXAMZ90,10767
 voly/models.py,sha256=o-pHujGfr5Gn8ItckMzLI4Q8yaX9FQaV8UjCxv2zgTY,3364
@@ -9,11 +9,11 @@ voly/core/data.py,sha256=pDeuYhP0GX4RbtlqByvsE3rfHcIkix0BU5MLW8sKIeI,8935
 voly/core/fit.py,sha256=Tb9eeG7e_2dQTcqt6aqEwFrZdy6jR9rSNqe6tzOdVhQ,9245
 voly/core/hd.py,sha256=K2X0isAchumuRPcc5RSEkMOR5sOeb_I3twwqAZYYL1A,16809
 voly/core/interpolate.py,sha256=JkK172-FXyhesW3hY4pEeuJWG3Bugq7QZXbeKoRpLuo,5305
-voly/core/rnd.py,sha256=GG4cZpWChy8ptIwanuullkx3Bai50rFjqa9E-D9q2_Q,10246
+voly/core/rnd.py,sha256=kF_TUxlfFHI9WF3JAh6mS-mggia0zogPdY01yvuYoxM,13589
 voly/utils/__init__.py,sha256=E05mWatyC-PDOsCxQV1p5Xi1IgpOomxrNURyCx_gB-w,200
 voly/utils/logger.py,sha256=4-_2bVJmq17Q0d7Rd2mPg1AeR8gxv6EPvcmBDMFWcSM,1744
-voly-0.0.139.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.139.dist-info/METADATA,sha256=u97jThVrQ5u0ZR5eqizFoLE7rm8abYNioJt8kdZNDv0,4115
-voly-0.0.139.dist-info/WHEEL,sha256=DK49LOLCYiurdXXOXwGJm6U4DkHkg4lcxjhqwRa0CP4,91
-voly-0.0.139.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.139.dist-info/RECORD,,
+voly-0.0.141.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.141.dist-info/METADATA,sha256=UC3R8Dldao7KZLPGHwtU6JCj0lYgzeQ7hmCZGZELlYc,4115
+voly-0.0.141.dist-info/WHEEL,sha256=DK49LOLCYiurdXXOXwGJm6U4DkHkg4lcxjhqwRa0CP4,91
+voly-0.0.141.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.141.dist-info/RECORD,,