voly 0.0.170__py3-none-any.whl → 0.0.172__py3-none-any.whl

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Files changed (6) hide show
  1. voly/models.py +2 -2
  2. {voly-0.0.170.dist-info → voly-0.0.172.dist-info}/METADATA +1 -1
  3. {voly-0.0.170.dist-info → voly-0.0.172.dist-info}/RECORD +6 -6
  4. {voly-0.0.170.dist-info → voly-0.0.172.dist-info}/WHEEL +0 -0
  5. {voly-0.0.170.dist-info → voly-0.0.172.dist-info}/licenses/LICENSE +0 -0
  6. {voly-0.0.170.dist-info → voly-0.0.172.dist-info}/top_level.txt +0 -0
voly/models.py CHANGED
@@ -162,7 +162,7 @@ class SVIModel:
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  return [a_svi, b_svi, m, rho_svi, sigma], loss
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  @classmethod
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- def correct_calendar_arbitrage(cls, params, t, tiv, vega, k, prev_params, prev_t, domain_params):
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+ def correct_calendar_arbitrage(cls, params, t, tiv, vega, k, prev_params, prev_t, k_grid):
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  """
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  Correct calendar arbitrage by ensuring the current SVI surface stays above the previous one.
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@@ -185,7 +185,7 @@ class SVIModel:
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  a_init, b_init, sigma_init, rho_init, m_init = params
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  a_prev, b_prev, sigma_prev, rho_prev, m_prev = prev_params
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- k_constraint = np.unique(np.concatenate([k, np.linspace(min(k), max(k), domain_params[2])]))
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+ k_constraint = np.unique(np.concatenate([k, np.linspace(min(k), max(k), len(k_grid))]))
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  def objective(x):
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  a, b, sigma, rho, m = x
{voly-0.0.170.dist-info → voly-0.0.172.dist-info}/METADATA RENAMED
@@ -1,6 +1,6 @@
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  Metadata-Version: 2.4
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  Name: voly
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- Version: 0.0.170
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+ Version: 0.0.172
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  Summary: Options & volatility research package
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  Author-email: Manu de Cara <manu.de.cara@gmail.com>
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  License: MIT
{voly-0.0.170.dist-info → voly-0.0.172.dist-info}/RECORD RENAMED
@@ -2,7 +2,7 @@ voly/__init__.py,sha256=8xyDk7rFCn_MOD5hxuv5cxxKZvBVRiSIM7TgaMPpwpw,211
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  voly/client.py,sha256=6e9cX5JWeqoTIktKlT4yEN9FG5Cj8Icl7gHxhVayi24,14464
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  voly/exceptions.py,sha256=PBsbn1vNMvKcCJwwJ4lBO6glD85jo1h2qiEmD7ArAjs,92
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  voly/formulas.py,sha256=eDPw32xa3dwCIrE-zeZzznfGaplGFoVcA167uQngZ70,11209
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- voly/models.py,sha256=wj4s0YzktsXpSUW1H-HroN9r4xaD5zCrDtOnQBRh1iA,8741
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+ voly/models.py,sha256=ZfcB8zf2qggWD1eY7iOwEV83EXab0bQ8CzPVtDSNMFI,8729
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  voly/core/__init__.py,sha256=bu6fS2I1Pj9fPPnl-zY3L7NqrZSY5Zy6NY2uMUvdhKs,183
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  voly/core/charts.py,sha256=2S-BfCo30aj1_xlNLqF-za5rQWxF_mWKIdtdOe5bgbw,12735
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  voly/core/data.py,sha256=9v9iuE2XdIIlzoRAB7q1ol7YghBzBsPGAiwZ11oDuis,13650
@@ -13,8 +13,8 @@ voly/core/rnd.py,sha256=GoC3m1Q46Wnk5tV_mstr-3_aktHeue6BBLh4DQTciW0,13307
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  voly/utils/__init__.py,sha256=E05mWatyC-PDOsCxQV1p5Xi1IgpOomxrNURyCx_gB-w,200
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  voly/utils/density.py,sha256=q0fX4im9TGwMCZ32Hzdv8CNh56KnJo8bmG5w0gVWZH8,5879
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  voly/utils/logger.py,sha256=4-_2bVJmq17Q0d7Rd2mPg1AeR8gxv6EPvcmBDMFWcSM,1744
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- voly-0.0.170.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
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- voly-0.0.170.dist-info/METADATA,sha256=JkWwvCtpnb8HVeR-l7CLvz17DMbfa5Kb5oMdczQXfKw,4115
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- voly-0.0.170.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
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- voly-0.0.170.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
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- voly-0.0.170.dist-info/RECORD,,
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+ voly-0.0.172.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
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+ voly-0.0.172.dist-info/METADATA,sha256=zqAay2gM5LvzOAljQPWYUEDCq34tvZYEATfodVSwqq4,4115
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+ voly-0.0.172.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
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+ voly-0.0.172.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
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+ voly-0.0.172.dist-info/RECORD,,
{voly-0.0.170.dist-info → voly-0.0.172.dist-info}/WHEEL RENAMED
File without changes