voly 0.0.179__tar.gz → 0.0.181__tar.gz

{voly-0.0.179/src/voly.egg-info → voly-0.0.181}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.179
+Version: 0.0.181
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.179 → voly-0.0.181}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.179"
+version = "0.0.181"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.179"
+python_version = "0.0.181"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.179 → voly-0.0.181}/src/voly/client.py

@@ -165,14 +165,12 @@ class VolyClient:
     # -------------------------------------------------------------------------
 
     @staticmethod
-    def fit_model(option_chain: pd.DataFrame,
-                  domain_params: Tuple[float, float, int] = (-2, 2, 1000)) -> pd.DataFrame:
+    def fit_model(option_chain: pd.DataFrame) -> pd.DataFrame:
         """
         Fit a volatility model to market data using the improved SVI approach.
 
         Parameters:
         - option_chain: DataFrame with option market data
-        - domain_params: Tuple of (min, max, num_points) for the log-moneyness grid
 
         Returns:
         - DataFrame with fit results including arbitrage checks
@@ -181,8 +179,7 @@ class VolyClient:
 
         # Fit the model
         fit_results = fit_model(
-            option_chain=option_chain,
-            domain_params=domain_params
+            option_chain=option_chain
         )
 
         return fit_results

{voly-0.0.179 → voly-0.0.181}/src/voly/core/fit.py

@@ -19,14 +19,12 @@ warnings.filterwarnings("ignore")
 
 
 @catch_exception
-def fit_model(option_chain: pd.DataFrame,
-              domain_params: Tuple[float, float, int] = (-2, 2, 1000)) -> pd.DataFrame:
+def fit_model(option_chain: pd.DataFrame) -> pd.DataFrame:
     """
     Fit a volatility model to market data.
 
     Parameters:
     - option_chain: DataFrame with market data
-    - domain_params: Tuple of (min, max, num_points) for the log-moneyness grid
 
     Returns:
     - DataFrame with all fit results and performance metrics as columns, maturity_names as index
@@ -130,7 +128,7 @@ def fit_model(option_chain: pd.DataFrame,
                 usd_min_strike = np.exp(log_min_strike) * s
 
                 # Butterfly arbitrage check
-                k_range = np.linspace(min(k), max(k), domain_params[2])
+                k_range = np.linspace(min(k), max(k), 200)
                 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)
@@ -147,7 +145,7 @@ 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}')
-        logger.info("=================================================================")
+        logger.info("================================================")
 
         results_data['s'].append(float(s))
         results_data['u'].append(float(u))
@@ -191,7 +189,7 @@ def fit_model(option_chain: pd.DataFrame,
 
     # Calendar arbitrage check (pre-correction)
     logger.info("\nChecking calendar arbitrage (pre-correction)...")
-    k_grid = np.linspace(domain_params[0], domain_params[1], domain_params[2])
+    k_grid = np.linspace(-2, 2, 200)
     sorted_maturities = sorted(params_dict.keys(), key=lambda x: params_dict[x][0])
     calendar_arbitrage_free = True
 
@@ -211,7 +209,7 @@ def fit_model(option_chain: pd.DataFrame,
         k_market = np.log(K / s)
         mask = ~np.isnan(k_market)
         k_check = np.unique(
-            np.concatenate([k_market[mask], np.linspace(min(k_market[mask]), max(k_market[mask]), domain_params[2])]))
+            np.concatenate([k_market[mask], np.linspace(min(k_market[mask]), max(k_market[mask]), 200)]))
 
         for k_val in k_check:
             w1 = SVIModel.svi(k_val, a1 * t1, b1 * t1, m1, rho1, sigma1)
@@ -281,7 +279,7 @@ 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])
+            k_range = np.linspace(min(k), max(k), 200)
             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)
@@ -341,7 +339,7 @@ def fit_model(option_chain: pd.DataFrame,
             k_market = np.log(K / s)
             mask = ~np.isnan(k_market)
             k_check = np.unique(np.concatenate(
-                [k_market[mask], np.linspace(min(k_market[mask]), max(k_market[mask]), domain_params[2])]))
+                [k_market[mask], np.linspace(min(k_market[mask]), max(k_market[mask]), 200)]))
 
             for k_val in k_check:
                 w1 = SVIModel.svi(k_val, a1 * t1, b1 * t1, m1, rho1, sigma1)

{voly-0.0.179 → voly-0.0.181/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.179
+Version: 0.0.181
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT