voly 0.0.143__py3-none-any.whl → 0.0.145__py3-none-any.whl

voly/core/hd.py

@@ -172,11 +172,10 @@ def fit_volatility_model(log_returns, df_hist, model_type='garch', distribution=
         try:
             # Configure model based on type and distribution
             if model_type.lower() == 'garch':
-                vol_model = GARCH(p=1, q=1)
+                model = arch_model(data, vol='GARCH', p=1, q=1, dist=distribution.lower())
             else:  # egarch
-                vol_model = EGARCH(p=1, o=1, q=1)
+                model = arch_model(data, vol='EGARCH', p=1, o=1, q=1, dist=distribution.lower())
 
-            model = arch_model(data, vol=vol_model, dist=distribution.lower())
             fit_result = model.fit(disp='off')
 
             # Extract parameters based on model type and distribution
@@ -600,19 +599,19 @@ def get_hd_surface(model_results: pd.DataFrame,
         if return_domain == 'log_moneyness':
             x = LM
             pdf = pdf_lm
-            moments = get_all_moments(x, pdf, model_params if method in ['garch', 'egarch'] else None)
+            moments = get_all_moments(x, pdf, model_params if method == 'arch_returns' else None)
         elif return_domain == 'moneyness':
             x = M
             pdf = pdf_m
-            moments = get_all_moments(x, pdf, model_params if method in ['garch', 'egarch'] else None)
+            moments = get_all_moments(x, pdf, model_params if method == 'arch_returns' else None)
         elif return_domain == 'returns':
             x = R
             pdf = pdf_r
-            moments = get_all_moments(x, pdf, model_params if method in ['garch', 'egarch'] else None)
+            moments = get_all_moments(x, pdf, model_params if method == 'arch_returns' else None)
         elif return_domain == 'strikes':
             x = K
             pdf = pdf_k
-            moments = get_all_moments(x, pdf, model_params if method in ['garch', 'egarch'] else None)
+            moments = get_all_moments(x, pdf, model_params if method == 'arch_returns' else None)
         else:
             raise VolyError(f"Unsupported return_domain: {return_domain}")
 

{voly-0.0.143.dist-info → voly-0.0.145.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.143
+Version: 0.0.145
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.143.dist-info → voly-0.0.145.dist-info}/RECORD

@@ -7,13 +7,13 @@ voly/core/__init__.py,sha256=bu6fS2I1Pj9fPPnl-zY3L7NqrZSY5Zy6NY2uMUvdhKs,183
 voly/core/charts.py,sha256=E21OZB5lTY4YL2flgaFJ6s5g3_ExtAQT2zryZZxLPyM,12735
 voly/core/data.py,sha256=pDeuYhP0GX4RbtlqByvsE3rfHcIkix0BU5MLW8sKIeI,8935
 voly/core/fit.py,sha256=Tb9eeG7e_2dQTcqt6aqEwFrZdy6jR9rSNqe6tzOdVhQ,9245
-voly/core/hd.py,sha256=7b5kIIOz_g8uAM_Bsqx8treo1wA3mx1HiEsTNfwpw1Q,25236
+voly/core/hd.py,sha256=R8xd0kTXu_YCZ9x1CDB9Cqe3kQTwwlguQOWHglBAgFw,25231
 voly/core/interpolate.py,sha256=JkK172-FXyhesW3hY4pEeuJWG3Bugq7QZXbeKoRpLuo,5305
 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-0.0.143.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.143.dist-info/METADATA,sha256=citPOTKDdkxXG6cgQAxHWRH9hz09lyve8l8BASS-wVU,4115
-voly-0.0.143.dist-info/WHEEL,sha256=DK49LOLCYiurdXXOXwGJm6U4DkHkg4lcxjhqwRa0CP4,91
-voly-0.0.143.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.143.dist-info/RECORD,,
+voly-0.0.145.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.145.dist-info/METADATA,sha256=meTUzxdtgpwpp5UlgaNVqprNXUuu35C6z7O8HodU640,4115
+voly-0.0.145.dist-info/WHEEL,sha256=DK49LOLCYiurdXXOXwGJm6U4DkHkg4lcxjhqwRa0CP4,91
+voly-0.0.145.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.145.dist-info/RECORD,,