voly 0.0.16__tar.gz → 0.0.18__tar.gz

{voly-0.0.16/src/voly.egg-info → voly-0.0.18}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.16
+Version: 0.0.18
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.16 → voly-0.0.18}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.16"
+version = "0.0.18"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.16"
+python_version = "0.0.18"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.16 → voly-0.0.18}/src/voly/client.py

@@ -323,23 +323,22 @@ class VolyClient:
 
     @staticmethod
     def get_surface(param_matrix: pd.DataFrame,
-                    log_moneyness: Tuple[float, float, int] = (-2, 2, 500)) -> Dict[str, Any]:
+                    moneyness_params: Tuple[float, float, int] = (-2, 2, 500)
+                    ) -> Tuple[np.ndarray, Dict[float, np.ndarray], np.ndarray]:
         """
         Generate implied volatility surface using optimized SVI parameters.
 
         Parameters:
-        - param_matrix: Matrix of optimized SVI parameters from fit_results['raw_param_matrix']
-        - log_moneyness: Tuple of (min, max, num_points) for the moneyness grid
+        - param_matrix: Matrix of optimized SVI parameters from fit_results
+        - moneyness_params: Tuple of (min, max, num_points) for the moneyness grid
 
         Returns:
-        - Dictionary with surface generation results
+        - Tuple of (moneyness_grid, iv_surface)
         """
-        logger.info("Generating implied volatility surface")
-
         # Generate the surface
         moneyness_grid, iv_surface = get_surface(
             param_matrix=param_matrix,
-            log_moneyness=log_moneyness
+            moneyness_params=moneyness_params
         )
 
         return {
@@ -347,6 +346,45 @@ class VolyClient:
             'iv_surface': iv_surface
         }
 
+    @staticmethod
+    def plot_model(fit_results: Dict[str, Any],
+                   market_data: pd.DataFrame = None,
+                   moneyness_params: Tuple[float, float, int] = (-2, 2, 500)
+                   ) -> Dict[str, go.Figure]:
+        """
+        Generate all plots for the fitted model and RND results.
+
+        Parameters:
+        - fit_results: Dictionary with fitting results from fit_model()
+        - market_data: Optional market data for comparison
+        - moneyness_params: Grid of log-moneyness values
+
+        Returns:
+        - Dictionary of plot figures
+        """
+        plots = {}
+
+        moneyness_grid, iv_surface = get_surface(fit_results['raw_params_matrix'], moneyness_params)
+
+        # Extract data from fit results
+        raw_param_matrix = fit_results['raw_param_matrix']
+        jw_param_matrix = fit_results.get('jw_param_matrix')
+        fit_performance = fit_results.get('fit_performance')
+
+        # Plot volatility smiles
+        plots['smiles'] = plot_all_smiles(moneyness_grid, iv_surface, market_data)
+
+        # Plot 3D surface
+        plots['surface_3d'] = plot_3d_surface(moneyness_grid, iv_surface)
+
+        # Plot parameters
+        plots['raw_params'], plots['jw_params'] = plot_parameters(raw_param_matrix, jw_param_matrix)
+
+        # Plot fit statistics if available
+        plots['fit_performance'] = plot_fit_performance(fit_performance)
+
+        return plots
+
     # -------------------------------------------------------------------------
     # Risk-Neutral Density (RND)
     # -------------------------------------------------------------------------

{voly-0.0.16 → voly-0.0.18}/src/voly/core/charts.py

@@ -8,11 +8,11 @@ risk-neutral densities, and model fitting results.
 import numpy as np
 import pandas as pd
 from typing import Dict, List, Tuple, Optional, Union, Any
+from voly.utils.logger import logger, catch_exception
+from voly.models import SVIModel
 import plotly.graph_objects as go
 from plotly.subplots import make_subplots
 import plotly.io as pio
-from voly.utils.logger import logger, catch_exception
-from voly.models import SVIModel
 
 # Set default renderer to browser for interactive plots
 pio.renderers.default = "browser"
@@ -243,7 +243,7 @@ def plot_parameters(raw_param_matrix: pd.DataFrame,
 
 
 @catch_exception
-def plot_fit_statistics(stats_df: pd.DataFrame) -> go.Figure:
+def plot_fit_statistics(fit_performance: pd.DataFrame) -> go.Figure:
     """
     Plot the fitting accuracy statistics.
 
@@ -260,17 +260,17 @@ def plot_fit_statistics(stats_df: pd.DataFrame) -> go.Figure:
     )
 
     # Create custom tick labels with maturity name, DTE, and YTE
-    tick_labels = [f"{m} (DTE: {d:.1f}, YTE: {y:.4f})" for m, d, y in
-                   zip(stats_df['Maturity'], stats_df['DTE'], stats_df['YTE'])]
+    tick_labels = [f"{m} (DTE: {d:.1f})" for m, d in
+                   zip(fit_performance['Maturity'], fit_performance['DTE'])]
 
     # Get x-axis values for plotting (use indices for positioning)
-    x_indices = list(range(len(stats_df)))
+    x_indices = list(range(len(fit_performance)))
 
     # Plot RMSE
     fig.add_trace(
         go.Scatter(
             x=x_indices,
-            y=stats_df['RMSE'] * 100,  # Convert to percentage
+            y=fit_performance['RMSE'] * 100,  # Convert to percentage
             mode='lines+markers',
             name='RMSE',
             line=dict(width=2),
@@ -284,7 +284,7 @@ def plot_fit_statistics(stats_df: pd.DataFrame) -> go.Figure:
     fig.add_trace(
         go.Scatter(
             x=x_indices,
-            y=stats_df['MAE'] * 100,  # Convert to percentage
+            y=fit_performance['MAE'] * 100,  # Convert to percentage
             mode='lines+markers',
             name='MAE',
             line=dict(width=2),
@@ -298,7 +298,7 @@ def plot_fit_statistics(stats_df: pd.DataFrame) -> go.Figure:
     fig.add_trace(
         go.Scatter(
             x=x_indices,
-            y=stats_df['R²'],
+            y=fit_performance['R²'],
             mode='lines+markers',
             name='R²',
             line=dict(width=2),
@@ -312,7 +312,7 @@ def plot_fit_statistics(stats_df: pd.DataFrame) -> go.Figure:
     fig.add_trace(
         go.Scatter(
             x=x_indices,
-            y=stats_df['Max Error'] * 100,  # Convert to percentage
+            y=fit_performance['Max Error'] * 100,  # Convert to percentage
             mode='lines+markers',
             name='Max Error',
             line=dict(width=2),
@@ -327,7 +327,7 @@ def plot_fit_statistics(stats_df: pd.DataFrame) -> go.Figure:
         for col in range(1, 3):
             fig.update_xaxes(
                 tickvals=x_indices,
-                ticktext=stats_df['Maturity'],
+                ticktext=fit_performance['Maturity'],
                 tickangle=45,
                 row=row, col=col
             )
@@ -349,29 +349,27 @@ def plot_fit_statistics(stats_df: pd.DataFrame) -> go.Figure:
 
 
 @catch_exception
-def plot_3d_surface(moneyness: np.ndarray,
-                    expiries: np.ndarray,
-                    iv_surface: Dict[float, np.ndarray],
-                    interpolate: bool = True,
-                    title: str = 'Implied Volatility Surface') -> go.Figure:
+def plot_3d_surface(moneyness_grid: np.ndarray,
+                    iv_surface: Dict[float, np.ndarray]) -> go.Figure:
     """
     Plot 3D implied volatility surface.
 
     Parameters:
-    - moneyness: Moneyness grid
-    - expiries: Expiry times in years
+    - log_moneyness_grid: grid of log_moneyness values
     - iv_surface: Dictionary mapping expiry times to IV arrays
-    - interpolate: Whether to interpolate the surface
     - title: Plot title
 
     Returns:
     - Plotly figure
     """
+
+    yte_values = list(iv_surface.keys())
+
     # Convert implied volatility surface to array
-    z_array = np.array([iv_surface[t] for t in expiries])
+    z_array = np.array([iv_surface[t] for t in yte_values])
 
     # Create mesh grid
-    X, Y = np.meshgrid(moneyness, expiries)
+    X, Y = np.meshgrid(moneyness_grid, yte_values)
     Z = z_array * 100  # Convert to percentage
 
     # Create 3D surface plot
@@ -383,7 +381,7 @@ def plot_3d_surface(moneyness: np.ndarray,
 
     # Update layout
     fig.update_layout(
-        title=title,
+        title='Implied Volatility 3D Surface',
         template='plotly_dark',
         scene=dict(
             xaxis_title='Log Moneyness',
@@ -904,81 +902,3 @@ def plot_interpolated_surface(
 
     return fig
 
-
-@catch_exception
-def generate_all_plots(fit_results: Dict[str, Any],
-                       rnd_results: Optional[Dict[str, Any]] = None,
-                       market_data: Optional[pd.DataFrame] = None) -> Dict[str, go.Figure]:
-    """
-    Generate all plots for the fitted model and RND results.
-
-    Parameters:
-    - fit_results: Dictionary with fitting results from fit_model()
-    - rnd_results: Optional dictionary with RND results from calculate_rnd()
-    - market_data: Optional market data for comparison
-
-    Returns:
-    - Dictionary of plot figures
-    """
-    plots = {}
-
-    # Extract data from fit results
-    moneyness_grid = fit_results['moneyness_grid']
-    iv_surface = fit_results['iv_surface']
-    raw_param_matrix = fit_results['raw_param_matrix']
-    jw_param_matrix = fit_results.get('jw_param_matrix')
-    stats_df = fit_results.get('stats_df')
-    unique_expiries = fit_results['unique_expiries']
-
-    # Plot volatility smiles
-    logger.info("Generating volatility smile plots...")
-    plots['smiles'] = plot_all_smiles(moneyness_grid, iv_surface, market_data)
-
-    # Plot 3D surface
-    logger.info("Generating 3D volatility surface plot...")
-    plots['surface_3d'] = plot_3d_surface(moneyness_grid, unique_expiries, iv_surface)
-
-    # Plot parameters
-    logger.info("Generating parameter plots...")
-    plots['raw_params'], plots['jw_params'] = plot_parameters(raw_param_matrix, jw_param_matrix)
-
-    # Plot fit statistics if available
-    if stats_df is not None:
-        logger.info("Generating fit statistics plot...")
-        plots['fit_stats'] = plot_fit_statistics(stats_df)
-
-    # Plot RND results if available
-    if rnd_results is not None:
-        logger.info("Generating RND plots...")
-
-        # Extract RND data
-        rnd_surface = rnd_results['rnd_surface']
-        rnd_statistics = rnd_results['rnd_statistics']
-        rnd_probabilities = rnd_results['rnd_probabilities']
-        spot_price = rnd_results['spot_price']
-
-        # Plot RND for each expiry
-        plots['rnd'] = {}
-        for maturity_name, rnd_values in rnd_surface.items():
-            plots['rnd'][maturity_name] = plot_rnd(
-                moneyness_grid, rnd_values, spot_price,
-                title=f"Risk-Neutral Density - {maturity_name}"
-            )
-
-        # Plot all RNDs in one figure
-        plots['rnd_all'] = plot_rnd_all_expiries(moneyness_grid, rnd_surface, raw_param_matrix, spot_price)
-
-        # Plot 3D RND surface
-        plots['rnd_3d'] = plot_rnd_3d(moneyness_grid, rnd_surface, raw_param_matrix, spot_price)
-
-        # Plot RND statistics
-        plots['rnd_stats'], plots['rnd_probs'] = plot_rnd_statistics(rnd_statistics, rnd_probabilities)
-
-        # Plot PDF and CDF for the first expiry
-        first_maturity = list(rnd_surface.keys())[0]
-        first_rnd = rnd_surface[first_maturity]
-
-        plots['pdf'] = plot_pdf(moneyness_grid, first_rnd, spot_price)
-        plots['cdf'] = plot_cdf(moneyness_grid, first_rnd, spot_price)
-
-    return plots

{voly-0.0.16 → voly-0.0.18}/src/voly/core/fit.py

@@ -156,7 +156,7 @@ def fit_svi_parameters(market_data: pd.DataFrame,
         else:
             logger.warning(f'Optimization for {maturity_name}: {RED}FAILED{RESET}')
 
-        logger.info('------------------------------------------')
+        logger.info('-------------------------------------')
 
     # Create DataFrame with all fit performance data
     fit_performance = pd.DataFrame(fit_data)
@@ -265,34 +265,35 @@ def fit_model(market_data: pd.DataFrame,
 
 
 @catch_exception
-def get_surface(
-        param_matrix: pd.DataFrame,
-        log_moneyness: Tuple[float, float, int] = (-2, 2, 500)
-) -> Tuple[np.ndarray, Dict[float, np.ndarray], np.ndarray]:
+def get_surface(param_matrix: pd.DataFrame,
+                moneyness_params: Tuple[float, float, int] = (-2, 2, 500)
+                ) -> Tuple[np.ndarray, Dict[float, np.ndarray], np.ndarray]:
     """
     Generate implied volatility surface using optimized SVI parameters.
 
     Parameters:
     - param_matrix: Matrix of optimized SVI parameters from fit_results
-    - log_moneyness: Tuple of (min, max, num_points) for the moneyness grid
+    - moneyness_params: Tuple of (min, max, num_points) for the moneyness grid
 
     Returns:
-    - Tuple of (moneyness_grid, iv_surface, unique_expiries)
+    - Tuple of (moneyness_grid, iv_surface)
     """
+    iv_surface = {}
+
     # Extract moneyness parameters
-    min_m, max_m, num_points = log_moneyness
+    min_m, max_m, num_points = moneyness_params
 
     # Generate moneyness grid
-    moneyness_values = np.linspace(min_m, max_m, num=num_points)
-    implied_volatility_surface = {}
+    moneyness_grid = np.linspace(min_m, max_m, num=num_points)
 
     # Get YTE values from the parameter matrix attributes
-    yte_values = param_matrix.attrs['yte_values']
+    yte_values = fit_results['fit_performance']['YTE']
+    maturity_values = fit_results['fit_performance']['Maturity']
 
     # Generate implied volatility for each expiry
-    for maturity_name, yte in yte_values.items():
-        svi_params = param_matrix[maturity_name].values
+    for maturity, yte in zip(maturity_values, yte_values):
+        svi_params = param_matrix[maturity].values
         w_svi = [SVIModel.svi(x, *svi_params) for x in moneyness_values]
-        implied_volatility_surface[yte] = np.sqrt(np.array(w_svi) / yte)
+        iv_surface[yte] = np.sqrt(np.array(w_svi) / yte)
 
-    return moneyness_values, implied_volatility_surface
+    return moneyness_grid, iv_surface

{voly-0.0.16 → voly-0.0.18/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.16
+Version: 0.0.18
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT