voly 0.0.176__py3-none-any.whl → 0.0.177__py3-none-any.whl

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-0.0.176.dist-info → voly-0.0.177.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.176
+Version: 0.0.177
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.176.dist-info → voly-0.0.177.dist-info}/RECORD

@@ -6,15 +6,15 @@ voly/models.py,sha256=tg-u_6hnY9VQPIjoWfnJBIZRNAxNo1MRKHl0HcaaQQw,8908
 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
-voly/core/fit.py,sha256=qwJha1Ks-aVybVxSLA6iK2YcJ2_yF3_e96mU2Q6abUQ,17703
+voly/core/fit.py,sha256=Aafqzwdlq1wDh5BI-yT3nDI4e2Qegp0fROr4JtnwBeg,17739
 voly/core/hd.py,sha256=UFAyLncNUHivpPAcko6IK1bC55mudVtdlRFfXp63HXE,14771
 voly/core/interpolate.py,sha256=JkK172-FXyhesW3hY4pEeuJWG3Bugq7QZXbeKoRpLuo,5305
 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-0.0.176.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.176.dist-info/METADATA,sha256=vU0-D_1pi3GZt92WkerYBXGck16eMFGM6wHi35mGbhQ,4115
-voly-0.0.176.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
-voly-0.0.176.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.176.dist-info/RECORD,,
+voly-0.0.177.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.177.dist-info/METADATA,sha256=1FxR4996NiRdwMgQAfjcb5yjBvvfR9Fw3XJXI9mmWNY,4115
+voly-0.0.177.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
+voly-0.0.177.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.177.dist-info/RECORD,,