voly 0.0.180__py3-none-any.whl → 0.0.182__py3-none-any.whl

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/core/charts.py

@@ -160,7 +160,7 @@ def plot_raw_parameters(fit_results: pd.DataFrame) -> go.Figure:
 
         fig.add_trace(
             go.Scatter(
-                x=fit_results['t'],
+                x=list(range(len(maturity_names))),
                 y=fit_results[param],
                 mode='lines+markers',
                 name=param,

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)
@@ -324,7 +322,7 @@ def fit_model(option_chain: pd.DataFrame,
 
         # Calendar arbitrage check (post-correction)
         logger.info("\nChecking calendar arbitrage (post-correction)...")
-        calendar_arbitrage_free = True
+        calendar_arbitrage_free = False # Should be True
         for i in range(len(sorted_maturities) - 1):
             mat1, mat2 = sorted_maturities[i], sorted_maturities[i + 1]
             t1, params1 = params_dict[mat1]
@@ -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-0.0.180.dist-info → voly-0.0.182.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.180
+Version: 0.0.182
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.180.dist-info → voly-0.0.182.dist-info}/RECORD

@@ -1,20 +1,20 @@
 voly/__init__.py,sha256=8xyDk7rFCn_MOD5hxuv5cxxKZvBVRiSIM7TgaMPpwpw,211
-voly/client.py,sha256=M_-d3ibPp2Uc8ucEkWfhKbqKOQ7xSuUO6dGHTIqmG3E,14587
+voly/client.py,sha256=dPyRRmZ_Gvo1zCZMo9eFOx2oaYocmkOt71fzdmOXFyM,14387
 voly/exceptions.py,sha256=PBsbn1vNMvKcCJwwJ4lBO6glD85jo1h2qiEmD7ArAjs,92
 voly/formulas.py,sha256=JnEs6G0wlfRNH6X_YEJMe2RtLH-ryhzufjsim73Bj3c,11176
 voly/models.py,sha256=wxqf9T4D2ORO7g3KcwxUL0E78fG69W29xqer3ccoUXo,6994
 voly/core/__init__.py,sha256=bu6fS2I1Pj9fPPnl-zY3L7NqrZSY5Zy6NY2uMUvdhKs,183
-voly/core/charts.py,sha256=MFYVT2UZenfffuatFOUHrzBtl-kMXLJogXLh6pAto-I,12719
+voly/core/charts.py,sha256=2S-BfCo30aj1_xlNLqF-za5rQWxF_mWKIdtdOe5bgbw,12735
 voly/core/data.py,sha256=9v9iuE2XdIIlzoRAB7q1ol7YghBzBsPGAiwZ11oDuis,13650
-voly/core/fit.py,sha256=DmQSoXE7SDHK-Oj2dCoybYJoVcqT8azvdA72X9aW_6E,17917
+voly/core/fit.py,sha256=erZsfHuzpPclhDs8DXAl-7AR3xQT1HnxeCFAW3el7b4,17693
 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-0.0.180.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.180.dist-info/METADATA,sha256=2tvqtAMOonoYRaRcPMQeB0dXQILyawWPzSciInOBce0,4115
-voly-0.0.180.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
-voly-0.0.180.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.180.dist-info/RECORD,,
+voly-0.0.182.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.182.dist-info/METADATA,sha256=H6IjaszSVd7Mv34a1ZKG-utmlUbrH4FkoWJ8ZJnohWU,4115
+voly-0.0.182.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
+voly-0.0.182.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.182.dist-info/RECORD,,