voly 0.0.172__tar.gz → 0.0.174__tar.gz

{voly-0.0.172/src/voly.egg-info → voly-0.0.174}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.172
+Version: 0.0.174
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.172 → voly-0.0.174}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.172"
+version = "0.0.174"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.172"
+python_version = "0.0.174"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.172 → voly-0.0.174}/src/voly/models.py

@@ -24,9 +24,9 @@ class SVIModel:
     PARAM_DESCRIPTIONS = {
         'a': 'Base level of total implied variance',
         'b': 'Volatility skewness/smile modulation (controls wing slopes)',
-        'sigma': 'Convexity control of the volatility smile (reduces ATM curvature)',
-        'rho': 'Skewness/slope of the volatility smile (-1 to 1, rotates smile)',
         'm': 'Horizontal shift of the smile peak',
+        'rho': 'Skewness/slope of the volatility smile (-1 to 1, rotates smile)',
+        'sigma': 'Convexity control of the volatility smile (reduces ATM curvature)',
         'nu': 'ATM variance (level of ATM volatility)',
         'psi': 'ATM volatility skew (affects the gradient of the curve at ATM point)',
         'p': 'Slope of put wing (left side of curve)',
@@ -35,7 +35,7 @@ class SVIModel:
     }
 
     @staticmethod
-    def svi_raw(k, a, b, m, rho, sigma):
+    def svi(k, a, b, m, rho, sigma):
         assert b >= 0, 'b must be non-negative'
         assert abs(rho) <= 1, '|rho| must be <= 1'
         assert sigma >= 0, 'sigma must be non-negative'
@@ -43,7 +43,7 @@ class SVIModel:
         return a + b * (rho * (k - m) + sqrt((k - m) ** 2 + sigma ** 2))
 
     @staticmethod
-    def svi(LM: float, a: float, b: float, sigma: float, rho: float, m: float) -> float:
+    def svi_raw(LM: float, a: float, b: float, m: float, rho: float, sigma: float) -> float:
         return a + b * (rho * (LM - m) + np.sqrt((LM - m) ** 2 + sigma ** 2))
 
     @staticmethod
@@ -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
+        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-0.0.172 → voly-0.0.174/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.172
+Version: 0.0.174
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT