voly 0.0.140__tar.gz → 0.0.142__tar.gz

{voly-0.0.140/src/voly.egg-info → voly-0.0.142}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.140
+Version: 0.0.142
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.140 → voly-0.0.142}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.140"
+version = "0.0.142"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.140"
+python_version = "0.0.142"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.140 → voly-0.0.142}/src/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 +219,109 @@ 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_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_1
+    variance = np.trapz((x - mean)**2 * pdf, x)  # m_2
+    std_dev = np.sqrt(variance)
+
+    # Central Moments (m_k = E[(X - μ)^k])
+    cent_0 = 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
+    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
+    excess_kurtosis = 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 as flat columns
+    moments = {
+        'raw_0': raw_0,
+        'raw_1': raw_1,
+        'raw_2': raw_2,
+        'raw_3': raw_3,
+        'raw_4': raw_4,
+        'raw_5': raw_5,
+        'raw_6': raw_6,
+        'cent_0': cent_0,
+        'cent_1': cent_1,
+        'cent_2': cent_2,
+        'cent_3': cent_3,
+        'cent_4': cent_4,
+        'cent_5': cent_5,
+        'cent_6': cent_6,
+        'std_0': std_0,
+        'std_1': std_1,
+        'std_2': std_2,
+        'std_3': std_3,
+        'std_4': std_4,
+        'std_5': std_5,
+        'std_6': std_6,
+        'median': median,
+        'std_dev': std_dev,
+        'excess_kurtosis': excess_kurtosis,
+        'q25': q25,
+        'q75': q75,
+        'iqr': iqr,
+        'entropy': entropy,
+        '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-0.0.140 → voly-0.0.142/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.140
+Version: 0.0.142
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT