voly 0.0.141__py3-none-any.whl → 0.0.142__py3-none-any.whl

voly/core/rnd.py

@@ -221,54 +221,48 @@ def get_all_moments(x, pdf, model_params=None):
     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']
+    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])
-    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
-    }
+    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
-    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
-    }
+    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
+    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
@@ -284,25 +278,44 @@ def get_all_moments(x, pdf, model_params=None):
     o3n = np.sum(pdf[(z <= -2) & (z > -3)] * dx[(z <= -2) & (z > -3)])
     o4n = np.sum(pdf[z <= -3] * dx[z <= -3])
 
-    # Combine results
+    # Combine results as flat columns
     moments = {
-        'raw_moments': raw_moments,
-        'central_moments': central_moments,
-        'standardized_moments': standardized_moments,
-        'mean': mean,
-        'variance': variance,
-        'std_dev': std_dev,
+        '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,
-        'mode': mode,
+        'std_dev': std_dev,
         '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
-        }
+        'o1p': o1p,
+        'o2p': o2p,
+        'o3p': o3p,
+        'o4p': o4p,
+        'o1n': o1n,
+        'o2n': o2n,
+        'o3n': o3n,
+        'o4n': o4n
     }
 
     if model_params is not None:

{voly-0.0.141.dist-info → voly-0.0.142.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.141
+Version: 0.0.142
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.141.dist-info → voly-0.0.142.dist-info}/RECORD

@@ -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=kF_TUxlfFHI9WF3JAh6mS-mggia0zogPdY01yvuYoxM,13589
+voly/core/rnd.py,sha256=masjK4WrVb925gPGboD8iDAaEN7FY7S4OHYthHPtA3o,13613
 voly/utils/__init__.py,sha256=E05mWatyC-PDOsCxQV1p5Xi1IgpOomxrNURyCx_gB-w,200
 voly/utils/logger.py,sha256=4-_2bVJmq17Q0d7Rd2mPg1AeR8gxv6EPvcmBDMFWcSM,1744
-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,,
+voly-0.0.142.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.142.dist-info/METADATA,sha256=BLz0X2tkaiZqfL5cYXcihLfbrZra3AQRrRXPXrNkS5w,4115
+voly-0.0.142.dist-info/WHEEL,sha256=DK49LOLCYiurdXXOXwGJm6U4DkHkg4lcxjhqwRa0CP4,91
+voly-0.0.142.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.142.dist-info/RECORD,,