voly 0.0.175__tar.gz → 0.0.177__tar.gz

{voly-0.0.175/src/voly.egg-info → voly-0.0.177}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.175
+Version: 0.0.177
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.175 → voly-0.0.177}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.175"
+version = "0.0.177"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.175"
+python_version = "0.0.177"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.175 → voly-0.0.177}/src/voly/core/fit.py

@@ -133,7 +133,7 @@ def fit_model(option_chain: pd.DataFrame,
             nu, psi, p, c, nu_tilde = SVIModel.raw_to_jw_params(a_scaled, b_scaled, m, rho, sigma, t)
 
             # Calculate model predictions for statistics
-            w_model = np.array([SVIModel.svi(x, a_scaled, b_scaled, m, rho, sigma) for x in k_masked])
+            w_model = np.array([SVIModel.svi_raw(x, a_scaled, b_scaled, m, rho, sigma) for x in k_masked])
             iv_model = np.sqrt(w_model / t)
             iv_market = iv_masked
 
@@ -150,7 +150,7 @@ def fit_model(option_chain: pd.DataFrame,
             # Check butterfly arbitrage
             k_range = np.linspace(min(k_masked), max(k_masked), domain_params[2])
             for k_val in k_range:
-                wk = SVIModel.svi(k_val, a_scaled, b_scaled, m, rho, sigma)
+                wk = SVIModel.svi_raw(k_val, a_scaled, b_scaled, m, rho, sigma)
                 wp = SVIModel.svi_d(k_val, a_scaled, b_scaled, m, rho, sigma)
                 wpp = SVIModel.svi_dd(k_val, a_scaled, b_scaled, m, rho, sigma)
                 g = (1 - (k_val * wp) / (2 * wk)) ** 2 - (wp ** 2) / 4 * (1 / wk + 1 / 4) + wpp / 2
@@ -222,8 +222,8 @@ def fit_model(option_chain: pd.DataFrame,
 
         # Check arbitrage on a grid of points
         for k_val in k_grid:
-            w1 = SVIModel.svi(k_val, a1 * t1, b1 * t1, m1, rho1, sigma1)
-            w2 = SVIModel.svi(k_val, a2 * t2, b2 * t2, m2, rho2, sigma2)
+            w1 = SVIModel.svi_raw(k_val, a1 * t1, b1 * t1, m1, rho1, sigma1)
+            w2 = SVIModel.svi_raw(k_val, a2 * t2, b2 * t2, m2, rho2, sigma2)
             if w2 < w1 - 1e-6:
                 calendar_arbitrage_free = False
                 logger.warning(
@@ -291,7 +291,7 @@ def fit_model(option_chain: pd.DataFrame,
             nu, psi, p, c, nu_tilde = SVIModel.raw_to_jw_params(a_scaled, b_scaled, m, rho, sigma, t2)
 
             # Calculate model predictions for statistics
-            w_model = np.array([SVIModel.svi(x, a_scaled, b_scaled, m, rho, sigma) for x in k_masked])
+            w_model = np.array([SVIModel.svi_raw(x, a_scaled, b_scaled, m, rho, sigma) for x in k_masked])
             iv_model = np.sqrt(w_model / t2)
             iv_market = iv_masked
 
@@ -309,7 +309,7 @@ def fit_model(option_chain: pd.DataFrame,
             butterfly_arbitrage_free = True
             k_range = np.linspace(min(k_masked), max(k_masked), domain_params[2])
             for k_val in k_range:
-                wk = SVIModel.svi(k_val, a_scaled, b_scaled, m, rho, sigma)
+                wk = SVIModel.svi_raw(k_val, a_scaled, b_scaled, m, rho, sigma)
                 wp = SVIModel.svi_d(k_val, a_scaled, b_scaled, m, rho, sigma)
                 wpp = SVIModel.svi_dd(k_val, a_scaled, b_scaled, m, rho, sigma)
                 g = (1 - (k_val * wp) / (2 * wk)) ** 2 - (wp ** 2) / 4 * (1 / wk + 1 / 4) + wpp / 2
@@ -353,8 +353,8 @@ def fit_model(option_chain: pd.DataFrame,
 
             # Check arbitrage on a grid of points
             for k_val in k_grid:
-                w1 = SVIModel.svi(k_val, a1 * t1, b1 * t1, m1, rho1, sigma1)
-                w2 = SVIModel.svi(k_val, a2 * t2, b2 * t2, m2, rho2, sigma2)
+                w1 = SVIModel.svi_raw(k_val, a1 * t1, b1 * t1, m1, rho1, sigma1)
+                w2 = SVIModel.svi_raw(k_val, a2 * t2, b2 * t2, m2, rho2, sigma2)
                 if w2 < w1 - 1e-6:
                     calendar_arbitrage_free = False
                     logger.warning(f"Calendar arbitrage still detected between {mat1} and {mat2} after correction")
@@ -416,7 +416,7 @@ def get_iv_surface(model_results: pd.DataFrame,
         t = model_results.loc[i, 't']
 
         # Calculate implied volatility
-        w = np.array([SVIModel.svi(x, *params) for x in LM])
+        w = np.array([SVIModel.svi_raw(x, *params) for x in LM])
         o = np.sqrt(w / t)
         iv_surface[i] = o
 

{voly-0.0.175 → voly-0.0.177}/src/voly/models.py

@@ -35,24 +35,29 @@ class SVIModel:
     }
 
     @staticmethod
-    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 * np.sqrt(1 - rho ** 2) >= 0, 'a + b*sigma*sqrt(1-rho^2) must be non-negative'
+    def svi_raw(k, a, b, m, rho, sigma):
+        """
+        Calculate SVI total implied variance using raw parameterization.
+        This is the original function name from the user's code.
+        """
+        assert b >= 0 and abs(rho) <= 1 and sigma >= 0 and a + b * sigma * np.sqrt(1 - rho ** 2) >= 0
         return a + b * (rho * (k - m) + np.sqrt((k - m) ** 2 + sigma ** 2))
 
     @staticmethod
-    def svi_raw(LM: float, a: float, b: float, m: float, rho: float, sigma: float) -> float:
+    def svi(LM: float, a: float, b: float, m: float, rho: float, sigma: float) -> float:
+        """
+        Calculate SVI total implied variance at a given log-moneyness.
+        This version maintains compatibility with the original Voly package.
+        """
         return a + b * (rho * (LM - m) + np.sqrt((LM - m) ** 2 + sigma ** 2))
 
     @staticmethod
-    def svi_d(LM: float, a: float, b: float, sigma: float, rho: float, m: float) -> float:
+    def svi_d(LM: float, a: float, b: float, m: float, rho: float, sigma: float) -> float:
         """Calculate first derivative of SVI function with respect to log-moneyness."""
         return b * (rho + ((LM - m) / np.sqrt((LM - m) ** 2 + sigma ** 2)))
 
     @staticmethod
-    def svi_dd(LM: float, a: float, b: float, sigma: float, rho: float, m: float) -> float:
+    def svi_dd(LM: float, a: float, b: float, m: float, rho: float, sigma: float) -> float:
         """Calculate second derivative of SVI function with respect to log-moneyness."""
         return b * sigma ** 2 / ((LM - m) ** 2 + sigma ** 2) ** 1.5
 

{voly-0.0.175 → voly-0.0.177/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.175
+Version: 0.0.177
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT