voly 0.0.162__tar.gz → 0.0.164__tar.gz

{voly-0.0.162/src/voly.egg-info → voly-0.0.164}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.162
+Version: 0.0.164
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.162 → voly-0.0.164}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.162"
+version = "0.0.164"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.162"
+python_version = "0.0.164"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.162 → voly-0.0.164}/src/voly/formulas.py

@@ -2,6 +2,7 @@
 Option pricing formulas and general calculations.
 """
 
+import pandas as pd
 import numpy as np
 from scipy.stats import norm
 from py_vollib.black_scholes.implied_volatility import implied_volatility
@@ -60,8 +61,6 @@ 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))
 
 
@@ -69,8 +68,6 @@ 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)
 
 
@@ -114,9 +111,6 @@ 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))
 
@@ -124,9 +118,6 @@ 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
 
@@ -134,9 +125,6 @@ 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)
 
@@ -156,9 +144,6 @@ 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"]:
@@ -170,9 +155,6 @@ 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)
 
@@ -182,9 +164,6 @@ 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)
 
@@ -194,9 +173,6 @@ 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)
 
@@ -248,9 +224,6 @@ 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-0.0.162 → voly-0.0.164/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.162
+Version: 0.0.164
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT