voly 0.0.154__tar.gz → 0.0.156__tar.gz

{voly-0.0.154/src/voly.egg-info → voly-0.0.156}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.154
+Version: 0.0.156
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.154 → voly-0.0.156}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.154"
+version = "0.0.156"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.154"
+python_version = "0.0.156"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.154 → voly-0.0.156}/src/voly/client.py

@@ -306,7 +306,8 @@ class VolyClient:
     def get_rnd_surface(model_results: pd.DataFrame,
                         domain_params: Tuple[float, float, int] = (-1.5, 1.5, 1000),
                         return_domain: str = 'log_moneyness',
-                        method: str = 'rookley') -> Dict[str, Any]:
+                        method: str = 'rookley',
+                        centered: bool = False) -> Dict[str, Any]:
         """
         Generate risk-neutral density surface from volatility surface parameters.
 
@@ -315,6 +316,7 @@ class VolyClient:
         - domain_params: Tuple of (min_log_moneyness, max_log_moneyness, num_points)
         - return_domain: Domain for results ('log_moneyness', 'moneyness', 'returns', 'strikes')
         - method: Method for RND estimation ('rookley' or 'breeden')
+        - centered: Whether to center distributions at their modes (peaks)
 
         Returns:
         - Dictionary with pdf_surface, cdf_surface, x_surface, and moments
@@ -325,7 +327,8 @@ class VolyClient:
             model_results=model_results,
             domain_params=domain_params,
             return_domain=return_domain,
-            method=method
+            method=method,
+            centered=centered
         )
 
     # -------------------------------------------------------------------------
@@ -349,8 +352,6 @@ class VolyClient:
         Returns:
         - Historical price data with OHLCV columns and datetime index
         """
-        logger.info(f"Fetching historical {currency} data from {exchange_name}...")
-
         return get_historical_data(
             currency=currency,
             lookback_days=lookback_days,
@@ -362,7 +363,8 @@ class VolyClient:
     def get_hd_surface(model_results: pd.DataFrame,
                        df_hist: pd.DataFrame,
                        domain_params: Tuple[float, float, int] = (-1.5, 1.5, 1000),
-                       return_domain: str = 'log_moneyness') -> Dict[str, Any]:
+                       return_domain: str = 'log_moneyness',
+                       centered: bool = False) -> Dict[str, Any]:
         """
         Generate historical density surface using normal distributions.
 
@@ -371,6 +373,7 @@ class VolyClient:
         - df_hist: DataFrame with historical price data
         - domain_params: Tuple of (min_log_moneyness, max_log_moneyness, num_points)
         - return_domain: Domain for results ('log_moneyness', 'moneyness', 'returns', 'strikes')
+        - centered: Whether to center distributions at their modes (peaks)
 
         Returns:
         - Dictionary with pdf_surface, cdf_surface, x_surface, and moments
@@ -381,5 +384,6 @@ class VolyClient:
             model_results=model_results,
             df_hist=df_hist,
             domain_params=domain_params,
-            return_domain=return_domain
+            return_domain=return_domain,
+            centered=centered
         )

{voly-0.0.154 → voly-0.0.156}/src/voly/core/hd.py

@@ -12,7 +12,13 @@ from scipy import stats
 from voly.utils.logger import logger, catch_exception
 from voly.exceptions import VolyError
 from voly.core.rnd import get_all_moments
-from voly.utils.density import prepare_domains, normalize_density, transform_to_domains, select_domain_results
+from voly.utils.density import (
+    prepare_domains,
+    normalize_density,
+    transform_to_domains,
+    select_domain_results,
+    center_distributions
+)
 
 
 @catch_exception
@@ -149,7 +155,8 @@ def calculate_normal_hd(df_hist: pd.DataFrame,
 def get_hd_surface(model_results: pd.DataFrame,
                    df_hist: pd.DataFrame,
                    domain_params: Tuple[float, float, int] = (-1.5, 1.5, 1000),
-                   return_domain: str = 'log_moneyness') -> Dict[str, Any]:
+                   return_domain: str = 'log_moneyness',
+                   centered: bool = False) -> Dict[str, Any]:
     """
     Generate historical density surface using normal distributions.
 
@@ -163,6 +170,8 @@ def get_hd_surface(model_results: pd.DataFrame,
         (min_log_moneyness, max_log_moneyness, num_points)
     return_domain : str
         Domain for results ('log_moneyness', 'moneyness', 'returns', 'strikes')
+    centered : bool
+        Whether to center distributions at their modes (peaks)
 
     Returns:
     --------
@@ -236,6 +245,11 @@ def get_hd_surface(model_results: pd.DataFrame,
     if not pdf_surface:
         raise VolyError("No valid densities could be calculated. Check your input data.")
 
+    # Center distributions if requested
+    if centered:
+        pdf_surface, cdf_surface = center_distributions(pdf_surface, cdf_surface, x_surface)
+        logger.info("Distributions have been centered at their modes")
+
     # Create DataFrame with moments
     moments = pd.DataFrame(all_moments).T
 

{voly-0.0.154 → voly-0.0.156}/src/voly/core/rnd.py

@@ -11,7 +11,13 @@ from voly.exceptions import VolyError
 from voly.models import SVIModel
 from voly.formulas import bs, d1, d2
 from scipy import stats
-from voly.utils.density import prepare_domains, normalize_density, transform_to_domains, select_domain_results
+from voly.utils.density import (
+    prepare_domains,
+    normalize_density,
+    transform_to_domains,
+    select_domain_results,
+    center_distributions
+)
 
 
 @catch_exception
@@ -299,7 +305,8 @@ def get_all_moments(x, pdf, model_params=None):
 def get_rnd_surface(model_results: pd.DataFrame,
                     domain_params: Tuple[float, float, int] = (-1.5, 1.5, 1000),
                     return_domain: str = 'log_moneyness',
-                    method: str = 'rookley') -> Dict[str, Any]:
+                    method: str = 'rookley',
+                    centered: bool = False) -> Dict[str, Any]:
     """
     Generate risk-neutral density surface from volatility surface parameters.
 
@@ -313,6 +320,8 @@ def get_rnd_surface(model_results: pd.DataFrame,
         Domain for results ('log_moneyness', 'moneyness', 'returns', 'strikes')
     method : str
         Method for RND estimation ('rookley' or 'breeden')
+    centered : bool
+        Whether to center distributions at their modes (peaks)
 
     Returns:
     --------
@@ -379,6 +388,11 @@ def get_rnd_surface(model_results: pd.DataFrame,
     if not pdf_surface:
         raise VolyError("No valid densities could be calculated. Check your input data.")
 
+    # Center distributions if requested
+    if centered:
+        pdf_surface, cdf_surface = center_distributions(pdf_surface, cdf_surface, x_surface)
+        logger.info("Distributions have been centered at their modes")
+
     # Create DataFrame with moments
     moments = pd.DataFrame(all_moments).T
 

{voly-0.0.154 → voly-0.0.156}/src/voly/utils/density.py

@@ -7,7 +7,7 @@ densities across different domains, used by both RND and HD calculations.
 
 import numpy as np
 from typing import Dict, Tuple, List, Any
-from scipy import stats
+from scipy import stats, interpolate
 from voly.utils.logger import catch_exception
 from voly.formulas import d1, d2
 
@@ -153,3 +153,52 @@ def select_domain_results(pdfs: Dict[str, np.ndarray],
     cdf = pdfs['cdf']
 
     return pdf, cdf, x
+
+
+@catch_exception
+def center_distributions(pdf_surface: Dict[str, np.ndarray],
+                         cdf_surface: Dict[str, np.ndarray],
+                         x_surface: Dict[str, np.ndarray]) -> Tuple[Dict[str, np.ndarray], Dict[str, np.ndarray]]:
+    """
+    Center distributions so their peaks (modes) are at x=0 while maintaining the same domain.
+
+    This function shifts each distribution so that its mode (peak) is at x=0,
+    without changing the domain range. It uses interpolation to recalculate
+    the PDF and CDF values on the original domain.
+
+    Parameters:
+    -----------
+    pdf_surface : Dict[str, np.ndarray]
+        Dictionary of PDFs by maturity
+    cdf_surface : Dict[str, np.ndarray]
+        Dictionary of CDFs by maturity
+    x_surface : Dict[str, np.ndarray]
+        Dictionary of x-domains by maturity
+
+    Returns:
+    --------
+    Tuple[Dict[str, np.ndarray], Dict[str, np.ndarray]]
+        (centered_pdf_surface, centered_cdf_surface)
+    """
+    centered_pdf_surface = {}
+    centered_cdf_surface = {}
+
+    for maturity in pdf_surface.keys():
+        pdf = pdf_surface[maturity]
+        cdf = cdf_surface[maturity]
+        x = x_surface[maturity]
+
+        # Find the mode (peak) of the distribution
+        mode_idx = np.argmax(pdf)
+        mode = x[mode_idx]
+
+        # Create interpolation functions for the original distributions
+        f_pdf = interpolate.interp1d(x, pdf, bounds_error=False, fill_value=0)
+        f_cdf = interpolate.interp1d(x, cdf, bounds_error=False, fill_value=0)
+
+        # Evaluate the centered distributions on the original domain
+        # g(x) = f(x + mode) shifts the distribution so that the peak is at x=0
+        centered_pdf_surface[maturity] = f_pdf(x + mode)
+        centered_cdf_surface[maturity] = f_cdf(x + mode)
+
+    return centered_pdf_surface, centered_cdf_surface

{voly-0.0.154 → voly-0.0.156/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.154
+Version: 0.0.156
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT