voly 0.0.15__tar.gz → 0.0.16__tar.gz
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- {voly-0.0.15/src/voly.egg-info → voly-0.0.16}/PKG-INFO +1 -1
- {voly-0.0.15 → voly-0.0.16}/pyproject.toml +2 -2
- {voly-0.0.15 → voly-0.0.16}/src/voly/core/fit.py +9 -4
- {voly-0.0.15 → voly-0.0.16/src/voly.egg-info}/PKG-INFO +1 -1
- {voly-0.0.15 → voly-0.0.16}/LICENSE +0 -0
- {voly-0.0.15 → voly-0.0.16}/README.md +0 -0
- {voly-0.0.15 → voly-0.0.16}/setup.cfg +0 -0
- {voly-0.0.15 → voly-0.0.16}/setup.py +0 -0
- {voly-0.0.15 → voly-0.0.16}/src/voly/__init__.py +0 -0
- {voly-0.0.15 → voly-0.0.16}/src/voly/client.py +0 -0
- {voly-0.0.15 → voly-0.0.16}/src/voly/core/__init__.py +0 -0
- {voly-0.0.15 → voly-0.0.16}/src/voly/core/charts.py +0 -0
- {voly-0.0.15 → voly-0.0.16}/src/voly/core/data.py +0 -0
- {voly-0.0.15 → voly-0.0.16}/src/voly/core/interpolate.py +0 -0
- {voly-0.0.15 → voly-0.0.16}/src/voly/core/rnd.py +0 -0
- {voly-0.0.15 → voly-0.0.16}/src/voly/exceptions.py +0 -0
- {voly-0.0.15 → voly-0.0.16}/src/voly/formulas.py +0 -0
- {voly-0.0.15 → voly-0.0.16}/src/voly/models.py +0 -0
- {voly-0.0.15 → voly-0.0.16}/src/voly/utils/__init__.py +0 -0
- {voly-0.0.15 → voly-0.0.16}/src/voly/utils/logger.py +0 -0
- {voly-0.0.15 → voly-0.0.16}/src/voly.egg-info/SOURCES.txt +0 -0
- {voly-0.0.15 → voly-0.0.16}/src/voly.egg-info/dependency_links.txt +0 -0
- {voly-0.0.15 → voly-0.0.16}/src/voly.egg-info/requires.txt +0 -0
- {voly-0.0.15 → voly-0.0.16}/src/voly.egg-info/top_level.txt +0 -0
- {voly-0.0.15 → voly-0.0.16}/tests/test_client.py +0 -0
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@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
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[project]
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name = "voly"
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version = "0.0.
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version = "0.0.16"
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description = "Options & volatility research package"
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readme = "README.md"
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authors = [
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@@ -60,7 +60,7 @@ line_length = 100
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multi_line_output = 3
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[tool.mypy]
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python_version = "0.0.
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python_version = "0.0.16"
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warn_return_any = true
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warn_unused_configs = true
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disallow_untyped_defs = true
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@@ -90,6 +90,11 @@ def fit_svi_parameters(market_data: pd.DataFrame,
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# Dictionary to store parameters
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params_dict = {}
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# ANSI color codes for terminal output
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GREEN = '\033[32m'
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RED = '\033[31m'
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RESET = '\033[0m'
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# Get unique expiries
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unique_expiries = sorted(market_data['yte'].unique())
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@@ -99,7 +104,7 @@ def fit_svi_parameters(market_data: pd.DataFrame,
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maturity_name = expiry_data['maturity_name'].iloc[0]
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dte_value = expiry_data['dte'].iloc[0]
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logger.info(f"Optimizing for {maturity_name}
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logger.info(f"Optimizing for {maturity_name}...")
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# Optimize SVI parameters
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try:
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@@ -133,7 +138,7 @@ def fit_svi_parameters(market_data: pd.DataFrame,
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max_error = np.max(np.abs(iv_market - iv_model))
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num_points = len(expiry_data)
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# Add to fit data
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# Add to fit data
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fit_data['Maturity'].append(maturity_name)
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fit_data['DTE'].append(dte_value)
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fit_data['YTE'].append(yte)
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@@ -147,9 +152,9 @@ def fit_svi_parameters(market_data: pd.DataFrame,
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fit_data['Number of Points'].append(num_points)
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if result.success:
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logger.info(f'Optimization for {maturity_name}
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logger.info(f'Optimization for {maturity_name}: {GREEN}SUCCESS{RESET}')
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else:
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logger.warning(f'Optimization for {maturity_name}
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logger.warning(f'Optimization for {maturity_name}: {RED}FAILED{RESET}')
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logger.info('------------------------------------------')
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