voly 0.0.149__tar.gz → 0.0.151__tar.gz

{voly-0.0.149/src/voly.egg-info → voly-0.0.151}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.149
+Version: 0.0.151
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.149 → voly-0.0.151}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.149"
+version = "0.0.151"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.149"
+python_version = "0.0.151"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.149 → voly-0.0.151}/src/voly/core/hd.py

@@ -531,12 +531,27 @@ def calculate_basic_density(df_hist: pd.DataFrame,
     K = domains['strikes']
     dx = domains['dx']
 
-    # Filter historical data for the maturity's lookback period
-    start_date = pd.Timestamp.now() - pd.Timedelta(days=int(t * 365.25))
+    # Filter historical data for the maturity's lookback period - use exact time to expiry
+    lookback_days = t * 365.25  # Exact number of days to expiry
+    start_date = pd.Timestamp.now() - pd.Timedelta(days=lookback_days)
     maturity_hist = df_hist[df_hist.index >= start_date].copy()
 
-    if len(maturity_hist) < 10:
-        raise VolyError(f"Not enough historical data for maturity (t={t:.4f})")
+    # Better diagnostics for debugging
+    if len(maturity_hist) < 2:
+        n_available = len(df_hist)
+        earliest = df_hist.index[0] if n_available > 0 else "N/A"
+        latest = df_hist.index[-1] if n_available > 0 else "N/A"
+
+        logger.warning(f"Insufficient data for t={t:.4f} years ({lookback_days:.2f} days lookback)")
+        logger.warning(f"Available data: {n_available} points from {earliest} to {latest}")
+        logger.warning(f"Required start date: {start_date}")
+
+        # Try using all available data as fallback
+        if n_available >= 2:
+            logger.warning(f"Using all available {n_available} data points as fallback")
+            maturity_hist = df_hist.copy()
+        else:
+            raise VolyError(f"Not enough historical data for maturity (t={t:.4f})")
 
     # Calculate scaled returns
     maturity_hist['log_returns'] = np.log(maturity_hist['close'] / maturity_hist['close'].shift(1)) * np.sqrt(n_periods)

{voly-0.0.149 → voly-0.0.151/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.149
+Version: 0.0.151
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT