voly 0.0.178__py3-none-any.whl → 0.0.179__py3-none-any.whl

voly/client.py

@@ -91,9 +91,9 @@ class VolyClient:
     # -------------------------------------------------------------------------
 
     @staticmethod
-    def svi_raw(k: float, a: float, b: float, m: float, rho: float, sigma: float) -> float:
+    def svi(k: float, a: float, b: float, m: float, rho: float, sigma: float) -> float:
         """Calculate SVI total implied variance using raw parameterization."""
-        return SVIModel.svi_raw(k, a, b, m, rho, sigma)
+        return SVIModel.svi(k, a, b, m, rho, sigma)
 
     @staticmethod
     def d1(s: float, K: float, r: float, o: float, t: float,

voly/core/fit.py

@@ -96,8 +96,6 @@ def fit_model(option_chain: pd.DataFrame,
         mask = ~np.isnan(w) & ~np.isnan(vega) & ~np.isnan(k) & (iv >= 0)
         k, w, vega, iv = k[mask], w[mask], vega[mask], iv[mask]
 
-        logger.info(f"Points after filtering: {len(k)}")
-
         params = [np.nan] * 5
         loss = np.inf
         nu = psi = p = c = nu_tilde = np.nan
@@ -119,7 +117,7 @@ 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)
 
                 # Compute fit statistics
-                w_model = np.array([SVIModel.svi_raw(x, a_scaled, b_scaled, m, rho, sigma) for x in k])
+                w_model = np.array([SVIModel.svi(x, a_scaled, b_scaled, m, rho, sigma) for x in k])
                 iv_model = np.sqrt(w_model / t)
                 iv_market = iv
                 rmse = np.sqrt(mean_squared_error(iv_market, iv_model))
@@ -133,7 +131,7 @@ def fit_model(option_chain: pd.DataFrame,
 
                 # Butterfly arbitrage check
                 k_range = np.linspace(min(k), max(k), domain_params[2])
-                w_k = lambda k: SVIModel.svi_raw(k, a_scaled, b_scaled, m, rho, sigma)
+                w_k = lambda k: SVIModel.svi(k, a_scaled, b_scaled, m, rho, sigma)
                 w_prime = lambda k: b_scaled * (rho + (k - m) / np.sqrt((k - m) ** 2 + sigma ** 2))
                 w_double_prime = lambda k: b_scaled * sigma ** 2 / ((k - m) ** 2 + sigma ** 2) ** (3 / 2)
 
@@ -149,9 +147,6 @@ def fit_model(option_chain: pd.DataFrame,
         # Log result
         status = f'{GREEN}SUCCESS{RESET}' if not np.isnan(params[0]) else f'{RED}FAILED{RESET}'
         logger.info(f'Optimization for {maturity_name}: {status}')
-        if not np.isnan(params[0]):
-            logger.info(
-                f"Maturity {maturity_name}: a={a_scaled:.4f}, b={b_scaled:.4f}, m={m:.4f}, rho={rho:.4f}, sigma={sigma:.4f}")
         logger.info("=================================================================")
 
         results_data['s'].append(float(s))
@@ -219,8 +214,8 @@ def fit_model(option_chain: pd.DataFrame,
             np.concatenate([k_market[mask], np.linspace(min(k_market[mask]), max(k_market[mask]), domain_params[2])]))
 
         for k_val in k_check:
-            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)
+            w1 = SVIModel.svi(k_val, a1 * t1, b1 * t1, m1, rho1, sigma1)
+            w2 = SVIModel.svi(k_val, a2 * t2, b2 * t2, m2, rho2, sigma2)
             if w2 < w1 - 1e-6:
                 logger.warning(
                     f"Calendar arbitrage violation at t1={t1:.4f}, t2={t2:.4f}, k={k_val:.4f}: w1={w1:.6f}, w2={w2:.6f}")
@@ -272,7 +267,7 @@ 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)
 
             # Recompute fit statistics
-            w_model = np.array([SVIModel.svi_raw(x, a_scaled, b_scaled, m, rho, sigma) for x in k])
+            w_model = np.array([SVIModel.svi(x, a_scaled, b_scaled, m, rho, sigma) for x in k])
             iv_model = np.sqrt(w_model / t2)
             iv_market = iv
             rmse = np.sqrt(mean_squared_error(iv_market, iv_model))
@@ -287,7 +282,7 @@ def fit_model(option_chain: pd.DataFrame,
             # Update butterfly arbitrage check
             butterfly_arbitrage_free = True
             k_range = np.linspace(min(k), max(k), domain_params[2])
-            w_k = lambda k: SVIModel.svi_raw(k, a_scaled, b_scaled, m, rho, sigma)
+            w_k = lambda k: SVIModel.svi(k, a_scaled, b_scaled, m, rho, sigma)
             w_prime = lambda k: b_scaled * (rho + (k - m) / np.sqrt((k - m) ** 2 + sigma ** 2))
             w_double_prime = lambda k: b_scaled * sigma ** 2 / ((k - m) ** 2 + sigma ** 2) ** (3 / 2)
 
@@ -349,8 +344,8 @@ def fit_model(option_chain: pd.DataFrame,
                 [k_market[mask], np.linspace(min(k_market[mask]), max(k_market[mask]), domain_params[2])]))
 
             for k_val in k_check:
-                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)
+                w1 = SVIModel.svi(k_val, a1 * t1, b1 * t1, m1, rho1, sigma1)
+                w2 = SVIModel.svi(k_val, a2 * t2, b2 * t2, m2, rho2, sigma2)
                 if w2 < w1 - 1e-6:
                     logger.warning(
                         f"Calendar arbitrage violation at t1={t1:.4f}, t2={t2:.4f}, k={k_val:.4f}: w1={w1:.6f}, w2={w2:.6f}")
@@ -418,7 +413,7 @@ def get_iv_surface(model_results: pd.DataFrame,
         t = model_results.loc[i, 't']
 
         # Calculate implied volatility
-        w = np.array([SVIModel.svi_raw(x, *params) for x in LM])
+        w = np.array([SVIModel.svi(x, *params) for x in LM])
         o = np.sqrt(w / t)
         iv_surface[i] = o
 

voly/models.py

@@ -31,7 +31,7 @@ class SVIModel:
     }
 
     @staticmethod
-    def svi_raw(k, a, b, m, rho, sigma):
+    def svi(k, a, b, m, rho, sigma):
         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))
 
@@ -128,7 +128,7 @@ class SVIModel:
 
         def objective(x):
             a, b, m, rho, sigma = x
-            w_model = cls.svi_raw(k, a * t, b * t, m, rho, sigma)
+            w_model = cls.svi(k, a * t, b * t, m, rho, sigma)
             from sklearn.metrics import mean_squared_error
             fit_loss = mean_squared_error(tiv, w_model, sample_weight=vega)
             param_deviation = sum(((x[i] - x_init) / max(abs(x_init), 1e-6)) ** 2
@@ -137,8 +137,8 @@ class SVIModel:
 
         def calendar_constraint(x):
             a, b, m, rho, sigma = x
-            w_current = cls.svi_raw(k_constraint, a * t, b * t, m, rho, sigma)
-            w_prev = cls.svi_raw(k_constraint, a_prev * prev_t, b_prev * prev_t, m_prev, rho_prev, sigma_prev)
+            w_current = cls.svi(k_constraint, a * t, b * t, m, rho, sigma)
+            w_prev = cls.svi(k_constraint, a_prev * prev_t, b_prev * prev_t, m_prev, rho_prev, sigma_prev)
             return w_current - w_prev
 
         bounds = [
@@ -162,8 +162,8 @@ class SVIModel:
 
         if result.success:
             new_params = result.x
-            w_current = cls.svi_raw(k_constraint, new_params[0] * t, new_params[1] * t, *new_params[2:])
-            w_prev = cls.svi_raw(k_constraint, a_prev * prev_t, b_prev * prev_t, m_prev, rho_prev, sigma_prev)
+            w_current = cls.svi(k_constraint, new_params[0] * t, new_params[1] * t, *new_params[2:])
+            w_prev = cls.svi(k_constraint, a_prev * prev_t, b_prev * prev_t, m_prev, rho_prev, sigma_prev)
             violation = np.min(w_current - w_prev)
             print(f"Calendar arbitrage correction {'successful' if violation >= -1e-6 else 'failed'} for t={t:.4f}, "
                   f"min margin={violation:.6f}")

{voly-0.0.178.dist-info → voly-0.0.179.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.178
+Version: 0.0.179
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.178.dist-info → voly-0.0.179.dist-info}/RECORD

@@ -1,20 +1,20 @@
 voly/__init__.py,sha256=8xyDk7rFCn_MOD5hxuv5cxxKZvBVRiSIM7TgaMPpwpw,211
-voly/client.py,sha256=Ge0-aBvKd32aHqMCaA1xgxOS_Z-bi4neYYAGil89A6I,14595
+voly/client.py,sha256=M_-d3ibPp2Uc8ucEkWfhKbqKOQ7xSuUO6dGHTIqmG3E,14587
 voly/exceptions.py,sha256=PBsbn1vNMvKcCJwwJ4lBO6glD85jo1h2qiEmD7ArAjs,92
 voly/formulas.py,sha256=JnEs6G0wlfRNH6X_YEJMe2RtLH-ryhzufjsim73Bj3c,11176
-voly/models.py,sha256=ydfhdCELDsoFJF9VKq8bnRiO2lRsmC3iQGo9Jx_jjVc,7018
+voly/models.py,sha256=wxqf9T4D2ORO7g3KcwxUL0E78fG69W29xqer3ccoUXo,6994
 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=eYTXkoSZIdHYgjW1GQ-qD4Qe3DsZVfuMzmv1Gj_yJfY,18218
+voly/core/fit.py,sha256=RUFawNWRZR9RGLGNtYuJgQmaLmCEkrfVaAimUJruOGY,17937
 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-0.0.178.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.178.dist-info/METADATA,sha256=_NfVcF39Ez-Ytgo5sP1fxpujPIUzhASwcRjmrNCY9S4,4115
-voly-0.0.178.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
-voly-0.0.178.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.178.dist-info/RECORD,,
+voly-0.0.179.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.179.dist-info/METADATA,sha256=r0MQ4zUUjTh4a6FvIMoO3XsAsen_cAXQJToJ2VQMlT0,4115
+voly-0.0.179.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
+voly-0.0.179.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.179.dist-info/RECORD,,