voly 0.0.169__py3-none-any.whl → 0.0.171__py3-none-any.whl

voly/models.py

@@ -46,6 +46,16 @@ class SVIModel:
     def svi(LM: float, a: float, b: float, sigma: float, rho: float, m: float) -> float:
         return a + b * (rho * (LM - m) + np.sqrt((LM - m) ** 2 + sigma ** 2))
 
+    @staticmethod
+    def svi_d(LM: float, a: float, b: float, sigma: float, rho: float, m: float) -> float:
+        """Calculate first derivative of SVI function with respect to log-moneyness."""
+        return b * (rho + ((LM - m) / np.sqrt((LM - m) ** 2 + sigma ** 2)))
+
+    @staticmethod
+    def svi_dd(LM: float, a: float, b: float, sigma: float, rho: float, m: float) -> float:
+        """Calculate second derivative of SVI function with respect to log-moneyness."""
+        return b * sigma ** 2 / ((LM - m) ** 2 + sigma ** 2) ** 1.5
+
     @staticmethod
     def svi_min_strike(sigma: float, rho: float, m: float) -> float:
         """Calculate the minimum valid log-strike for this SVI parameterization."""
@@ -152,7 +162,7 @@ class SVIModel:
         return [a_svi, b_svi, m, rho_svi, sigma], loss
 
     @classmethod
-    def correct_calendar_arbitrage(cls, params, t, tiv, vega, k, prev_params, prev_t, domain_params):
+    def correct_calendar_arbitrage(cls, params, t, tiv, vega, k, prev_params, prev_t, k_grid):
         """
         Correct calendar arbitrage by ensuring the current SVI surface stays above the previous one.
 
@@ -175,7 +185,7 @@ class SVIModel:
 
         a_init, b_init, sigma_init, rho_init, m_init = params
         a_prev, b_prev, sigma_prev, rho_prev, m_prev = prev_params
-        k_constraint = np.unique(np.concatenate([k, np.linspace(min(k), max(k), domain_params[2])]))
+        k_constraint = np.unique(np.concatenate([k, np.linspace(min(k), max(k), k_grid)]))
 
         def objective(x):
             a, b, sigma, rho, m = x

{voly-0.0.169.dist-info → voly-0.0.171.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.169
+Version: 0.0.171
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.169.dist-info → voly-0.0.171.dist-info}/RECORD

@@ -2,7 +2,7 @@ voly/__init__.py,sha256=8xyDk7rFCn_MOD5hxuv5cxxKZvBVRiSIM7TgaMPpwpw,211
 voly/client.py,sha256=6e9cX5JWeqoTIktKlT4yEN9FG5Cj8Icl7gHxhVayi24,14464
 voly/exceptions.py,sha256=PBsbn1vNMvKcCJwwJ4lBO6glD85jo1h2qiEmD7ArAjs,92
 voly/formulas.py,sha256=eDPw32xa3dwCIrE-zeZzznfGaplGFoVcA167uQngZ70,11209
-voly/models.py,sha256=H2XWsQ9mbE261DmYJMPFhfVO-PqjEFehkwkib0B23D4,8199
+voly/models.py,sha256=Ntx1PDGpj-K52B-QUeKasIrT9AvY1YtjnZ8DkGWB2hY,8724
 voly/core/__init__.py,sha256=bu6fS2I1Pj9fPPnl-zY3L7NqrZSY5Zy6NY2uMUvdhKs,183
 voly/core/charts.py,sha256=2S-BfCo30aj1_xlNLqF-za5rQWxF_mWKIdtdOe5bgbw,12735
 voly/core/data.py,sha256=9v9iuE2XdIIlzoRAB7q1ol7YghBzBsPGAiwZ11oDuis,13650
@@ -13,8 +13,8 @@ voly/core/rnd.py,sha256=GoC3m1Q46Wnk5tV_mstr-3_aktHeue6BBLh4DQTciW0,13307
 voly/utils/__init__.py,sha256=E05mWatyC-PDOsCxQV1p5Xi1IgpOomxrNURyCx_gB-w,200
 voly/utils/density.py,sha256=q0fX4im9TGwMCZ32Hzdv8CNh56KnJo8bmG5w0gVWZH8,5879
 voly/utils/logger.py,sha256=4-_2bVJmq17Q0d7Rd2mPg1AeR8gxv6EPvcmBDMFWcSM,1744
-voly-0.0.169.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.169.dist-info/METADATA,sha256=DtZO6Xm_eCZiyEOdGJtkBWGgtsYYCAPgd8O6Cux8eEg,4115
-voly-0.0.169.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
-voly-0.0.169.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.169.dist-info/RECORD,,
+voly-0.0.171.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.171.dist-info/METADATA,sha256=9YjZBDzrIlrWGffWFsS94ULQcbXLpwJM-5xkOFGaaz4,4115
+voly-0.0.171.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
+voly-0.0.171.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.171.dist-info/RECORD,,