voly 0.0.143__tar.gz → 0.0.145__tar.gz

{voly-0.0.143/src/voly.egg-info → voly-0.0.145}/PKG-INFO

@@ -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 → voly-0.0.145}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.143"
+version = "0.0.145"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.143"
+python_version = "0.0.145"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.143 → voly-0.0.145}/src/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 → voly-0.0.145/src/voly.egg-info}/PKG-INFO

@@ -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