voly 0.0.173__py3-none-any.whl → 0.0.175__py3-none-any.whl

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)',
@@ -35,15 +35,15 @@ 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'
-        assert a + b * sigma * sqrt(1 - rho ** 2) >= 0, 'a + b*sigma*sqrt(1-rho^2) must be non-negative'
-        return a + b * (rho * (k - m) + sqrt((k - m) ** 2 + sigma ** 2))
+        assert a + b * sigma * np.sqrt(1 - rho ** 2) >= 0, 'a + b*sigma*sqrt(1-rho^2) must be non-negative'
+        return a + b * (rho * (k - m) + np.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

{voly-0.0.173.dist-info → voly-0.0.175.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.173
+Version: 0.0.175
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.173.dist-info → voly-0.0.175.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=vBfTfO-5GX7_FpHlT1RoCzWR-2JeQBS4LXnzQcCICDc,8729
+voly/models.py,sha256=jxTqfyLhdpkFocdtOxuzosDibxYVsjpUfqCv8gAfrjQ,8735
 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-0.0.173.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,,
+voly-0.0.175.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.175.dist-info/METADATA,sha256=iSMG2BNsYf391ye9MEotIFMA06fkg4WfrFdGwyfVj5s,4115
+voly-0.0.175.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
+voly-0.0.175.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.175.dist-info/RECORD,,