voly 0.0.171__py3-none-any.whl → 0.0.173__py3-none-any.whl

voly/models.py

@@ -183,13 +183,13 @@ class SVIModel:
         if np.any(np.isnan(params)) or np.any(np.isnan(prev_params)):
             return params
 
-        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), k_grid)]))
+        a_init, b_init, m_init, rho_init, sigma_init = params
+        a_prev, b_prev, m_prev, rho_prev, sigma_prev = prev_params
+        k_constraint = np.unique(np.concatenate([k, np.linspace(min(k), max(k), len(k_grid))]))
 
         def objective(x):
-            a, b, sigma, rho, m = x
-            w_model = cls.svi(k, a * t, b * t, sigma, rho, m)
+            a, b, m, rho, sigma = x
+            w_model = cls.svi(k, a * t, b * t, m, rho, sigma)
             fit_loss = ((w_model - tiv) ** 2 * vega).mean()
             param_deviation = sum(((x[i] - params[i]) / max(abs(params[i]), 1e-6)) ** 2
                                   for i in range(len(params)))
@@ -215,7 +215,7 @@ class SVIModel:
         ]
 
         result = minimize(
-            objective, [a_init, b_init, sigma_init, rho_init, m_init],
+            objective, [a_init, b_init, m_init, rho_init, sigma_init],
             bounds=bounds, constraints=constraints, method='SLSQP',
             options={'disp': False, 'maxiter': 1000, 'ftol': 1e-8}
         )

{voly-0.0.171.dist-info → voly-0.0.173.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.171
+Version: 0.0.173
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.171.dist-info → voly-0.0.173.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=Ntx1PDGpj-K52B-QUeKasIrT9AvY1YtjnZ8DkGWB2hY,8724
+voly/models.py,sha256=vBfTfO-5GX7_FpHlT1RoCzWR-2JeQBS4LXnzQcCICDc,8729
 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-0.0.171.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,,
+voly-0.0.173.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.173.dist-info/METADATA,sha256=XLRFMSED6vUywRCnd1DwrFFwV6urZ96_l3sEZzBM9OY,4115
+voly-0.0.173.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
+voly-0.0.173.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.173.dist-info/RECORD,,