voly 0.0.161__tar.gz → 0.0.163__tar.gz

{voly-0.0.161/src/voly.egg-info → voly-0.0.163}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.161
+Version: 0.0.163
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.161 → voly-0.0.163}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.161"
+version = "0.0.163"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.161"
+python_version = "0.0.163"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.161 → voly-0.0.163}/src/voly/formulas.py

@@ -15,22 +15,43 @@ from typing import Tuple
 def vectorize_inputs(func):
     """
     Decorator to vectorize Black-Scholes functions to handle both scalar and array inputs.
+    For invalid inputs (K <= 0, o <= 0, or t <= 0), returns np.nan instead of trying to compute.
     """
+
     def wrapper(s, K, r, o, t, option_type='call'):
         # Check if inputs are scalar
         K_scalar = np.isscalar(K)
         o_scalar = np.isscalar(o)
-
-        # If both inputs are scalar, use the original function directly
-        if K_scalar and o_scalar:
+        t_scalar = np.isscalar(t)
+
+        # Convert pandas Series to numpy arrays if needed
+        if isinstance(K, pd.Series):
+            K = K.values
+        if isinstance(o, pd.Series):
+            o = o.values
+        if isinstance(t, pd.Series):
+            t = t.values
+
+        # If all inputs are scalar, use the original function directly
+        if K_scalar and o_scalar and t_scalar:
             return func(s, K, r, o, t, option_type)
 
-        # Use NumPy's vectorize to handle array inputs
-        vectorized_func = np.vectorize(lambda K_val, o_val:
-                                       func(s, K_val, r, o_val, t, option_type))
+        # For arrays, we need to apply the function element-wise
+        # Instead of using np.vectorize directly, we'll create a custom vectorized function
+        # that handles the conditions properly
+        def safe_vectorized_func(K_val, o_val, t_val):
+            # Check for invalid strike price, volatility, or time values
+            if K_val <= 0 or o_val <= 0 or t_val <= 0:
+                return np.nan  # Return NaN for invalid inputs
+            else:
+                # Only call the function if inputs are valid
+                return func(s, K_val, r, o_val, t_val, option_type)
+
+        # Now use numpy's vectorize on our safe function
+        vectorized_func = np.vectorize(safe_vectorized_func)
 
         # Call the vectorized function with the inputs
-        return vectorized_func(K, o)
+        return vectorized_func(K, o, t)
 
     return wrapper
 
@@ -39,8 +60,6 @@ def vectorize_inputs(func):
 @vectorize_inputs
 def d1(s: float, K: float, r: float, o: float, t: float, option_type: str = 'call') -> float:
     # option_type is ignored in this function but included for compatibility
-    if o <= 0 or t <= 0:
-        return np.nan
     return (np.log(s / K) + (r + o ** 2 / 2) * t) / (o * np.sqrt(t))
 
 
@@ -48,8 +67,6 @@ def d1(s: float, K: float, r: float, o: float, t: float, option_type: str = 'cal
 @vectorize_inputs
 def d2(s: float, K: float, r: float, o: float, t: float, option_type: str = 'call') -> float:
     # option_type is ignored in this function but included for compatibility
-    if o <= 0 or t <= 0:
-        return np.nan
     return d1(s, K, r, o, t, option_type) - o * np.sqrt(t)
 
 
@@ -93,9 +110,6 @@ def delta(s: float, K: float, r: float, o: float, t: float, option_type: str = '
 @catch_exception
 @vectorize_inputs
 def gamma(s: float, K: float, r: float, o: float, t: float, option_type: str = 'call') -> float:
-    if o <= 0 or t <= 0:
-        return 0.0
-
     d1_val = d1(s, K, r, o, t, option_type)
     return norm.pdf(d1_val) / (s * o * np.sqrt(t))
 
@@ -103,9 +117,6 @@ def gamma(s: float, K: float, r: float, o: float, t: float, option_type: str = '
 @catch_exception
 @vectorize_inputs
 def vega(s: float, K: float, r: float, o: float, t: float, option_type: str = 'call') -> float:
-    if o <= 0 or t <= 0:
-        return 0.0
-
     d1_val = d1(s, K, r, o, t, option_type)
     return s * norm.pdf(d1_val) * np.sqrt(t) / 100  # Divided by 100 for 1% change
 
@@ -113,9 +124,6 @@ def vega(s: float, K: float, r: float, o: float, t: float, option_type: str = 'c
 @catch_exception
 @vectorize_inputs
 def theta(s: float, K: float, r: float, o: float, t: float, option_type: str = 'call') -> float:
-    if o <= 0 or t <= 0:
-        return 0.0
-
     d1_val = d1(s, K, r, o, t, option_type)
     d2_val = d2(s, K, r, o, t, option_type)
 
@@ -135,9 +143,6 @@ def theta(s: float, K: float, r: float, o: float, t: float, option_type: str = '
 @catch_exception
 @vectorize_inputs
 def rho(s: float, K: float, r: float, o: float, t: float, option_type: str = 'call') -> float:
-    if o <= 0 or t <= 0:
-        return 0.0
-
     d2_val = d2(s, K, r, o, t, option_type)
 
     if option_type.lower() in ["call", "c"]:
@@ -149,9 +154,6 @@ def rho(s: float, K: float, r: float, o: float, t: float, option_type: str = 'ca
 @catch_exception
 @vectorize_inputs
 def vanna(s: float, K: float, r: float, o: float, t: float, option_type: str = 'call') -> float:
-    if o <= 0 or t <= 0:
-        return 0.0
-
     d1_val = d1(s, K, r, o, t, option_type)
     d2_val = d2(s, K, r, o, t, option_type)
 
@@ -161,9 +163,6 @@ def vanna(s: float, K: float, r: float, o: float, t: float, option_type: str = '
 @catch_exception
 @vectorize_inputs
 def volga(s: float, K: float, r: float, o: float, t: float, option_type: str = 'call') -> float:
-    if o <= 0 or t <= 0:
-        return 0.0
-
     d1_val = d1(s, K, r, o, t, option_type)
     d2_val = d2(s, K, r, o, t, option_type)
 
@@ -173,9 +172,6 @@ def volga(s: float, K: float, r: float, o: float, t: float, option_type: str = '
 @catch_exception
 @vectorize_inputs
 def charm(s: float, K: float, r: float, o: float, t: float, option_type: str = 'call') -> float:
-    if o <= 0 or t <= 0:
-        return 0.0
-
     d1_val = d1(s, K, r, o, t, option_type)
     d2_val = d2(s, K, r, o, t, option_type)
 
@@ -227,9 +223,6 @@ def iv(option_price: float, s: float, K: float, r: float, t: float,
     Returns:
     - Implied volatility
     """
-    if t <= 0:
-        return np.nan
-
     # Check if option price is within theoretical bounds
     if option_type.lower() in ["call", "c"]:
         intrinsic = max(0, s - K * np.exp(-r * t))

{voly-0.0.161 → voly-0.0.163/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.161
+Version: 0.0.163
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT