voly 0.0.182__py3-none-any.whl → 0.0.183__py3-none-any.whl

voly/core/fit.py

@@ -232,134 +232,133 @@ def fit_model(option_chain: pd.DataFrame) -> pd.DataFrame:
             results_df.at[idx, 'calendar_arbitrage_free'] = calendar_arbitrage_free
 
     # Calendar arbitrage correction
-    if not calendar_arbitrage_free:
-        logger.info("\nPerforming calendar arbitrage correction...")
-        for i in range(1, len(sorted_maturities)):
-            mat2 = sorted_maturities[i]
-            mat1 = sorted_maturities[i - 1]
-            t2, params2 = params_dict[mat2]
-            t1, params1 = params_dict[mat1]
-
-            if np.any(np.isnan(params2)) or np.any(np.isnan(params1)):
-                continue
-
-            group = groups.get_group(mat2)
-            s = group['index_price'].iloc[0]
-            K = group['strikes'].values
-            iv = group['mark_iv'].values
-            vega = group['vega'].values if 'vega' in group.columns else np.ones_like(iv)
-            k = np.log(K / s)
-            w = (iv ** 2) * t2
-            mask = ~np.isnan(w) & ~np.isnan(vega) & ~np.isnan(k) & (iv >= 0)
-            k, w, vega, iv = k[mask], w[mask], vega[mask], iv[mask]
-
-            new_params = SVIModel.correct_calendar_arbitrage(
-                params=params2, t=t2, tiv=w, vega=vega, k=k,
-                prev_params=params1, prev_t=t1, k_grid=k_grid
-            )
-
-            params_dict[mat2] = (t2, new_params)
-
-            a, b, m, rho, sigma = new_params
-            a_scaled, b_scaled = a * t2, b * t2
-            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(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))
-            mae = mean_absolute_error(iv_market, iv_model)
-            r2 = r2_score(iv_market, iv_model)
-            max_error = np.max(np.abs(iv_market - iv_model))
-
-            # Recompute min strike
-            log_min_strike = SVIModel.svi_min_strike(sigma, rho, m)
-            usd_min_strike = np.exp(log_min_strike) * s
-
-            # Update butterfly arbitrage check
-            butterfly_arbitrage_free = True
-            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)
-
-            for k_val in k_range:
-                wk = w_k(k_val)
-                wp = w_prime(k_val)
-                wpp = w_double_prime(k_val)
-                g = (1 - (k_val * wp) / (2 * wk)) ** 2 - (wp ** 2) / 4 * (1 / wk + 1 / 4) + wpp / 2
-                if g < 0:
-                    butterfly_arbitrage_free = False
-                    break
-
-            # Find the correct index to update
-            idx = None
-            for j, maturity_name in enumerate(maturity_names):
-                if results_df.iloc[j]['maturity_date'] == mat2:
-                    idx = results_df.index[j]
-                    break
-
-            if idx is not None:
-                results_df.at[idx, 'a'] = float(a_scaled)
-                results_df.at[idx, 'b'] = float(b_scaled)
-                results_df.at[idx, 'm'] = float(m)
-                results_df.at[idx, 'rho'] = float(rho)
-                results_df.at[idx, 'sigma'] = float(sigma)
-                results_df.at[idx, 'nu'] = float(nu)
-                results_df.at[idx, 'psi'] = float(psi)
-                results_df.at[idx, 'p'] = float(p)
-                results_df.at[idx, 'c'] = float(c)
-                results_df.at[idx, 'nu_tilde'] = float(nu_tilde)
-                results_df.at[idx, 'rmse'] = float(rmse)
-                results_df.at[idx, 'mae'] = float(mae)
-                results_df.at[idx, 'r2'] = float(r2)
-                results_df.at[idx, 'max_error'] = float(max_error)
-                results_df.at[idx, 'log_min_strike'] = float(log_min_strike)
-                results_df.at[idx, 'usd_min_strike'] = float(usd_min_strike)
-                results_df.at[idx, 'butterfly_arbitrage_free'] = butterfly_arbitrage_free
-                results_df.at[idx, 'fit_success'] = bool(not np.isnan(a))
-
-        # Calendar arbitrage check (post-correction)
-        logger.info("\nChecking calendar arbitrage (post-correction)...")
-        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]
-            t2, params2 = params_dict[mat2]
-            a1, b1, m1, rho1, sigma1 = params1
-            a2, b2, m2, rho2, sigma2 = params2
-
-            if np.isnan(a1) or np.isnan(a2):
-                continue
-
-            group = groups.get_group(mat2)
-            K = group['strikes'].values
-            s = group['index_price'].iloc[0]
-            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]), 200)]))
-
-            for k_val in k_check:
-                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}")
-                    calendar_arbitrage_free = False
-                    break
-            if not calendar_arbitrage_free:
+    logger.info("\nPerforming calendar arbitrage correction...")
+    for i in range(1, len(sorted_maturities)):
+        mat2 = sorted_maturities[i]
+        mat1 = sorted_maturities[i - 1]
+        t2, params2 = params_dict[mat2]
+        t1, params1 = params_dict[mat1]
+
+        if np.any(np.isnan(params2)) or np.any(np.isnan(params1)):
+            continue
+
+        group = groups.get_group(mat2)
+        s = group['index_price'].iloc[0]
+        K = group['strikes'].values
+        iv = group['mark_iv'].values
+        vega = group['vega'].values if 'vega' in group.columns else np.ones_like(iv)
+        k = np.log(K / s)
+        w = (iv ** 2) * t2
+        mask = ~np.isnan(w) & ~np.isnan(vega) & ~np.isnan(k) & (iv >= 0)
+        k, w, vega, iv = k[mask], w[mask], vega[mask], iv[mask]
+
+        new_params = SVIModel.correct_calendar_arbitrage(
+            params=params2, t=t2, tiv=w, vega=vega, k=k,
+            prev_params=params1, prev_t=t1, k_grid=k_grid
+        )
+
+        params_dict[mat2] = (t2, new_params)
+
+        a, b, m, rho, sigma = new_params
+        a_scaled, b_scaled = a * t2, b * t2
+        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(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))
+        mae = mean_absolute_error(iv_market, iv_model)
+        r2 = r2_score(iv_market, iv_model)
+        max_error = np.max(np.abs(iv_market - iv_model))
+
+        # Recompute min strike
+        log_min_strike = SVIModel.svi_min_strike(sigma, rho, m)
+        usd_min_strike = np.exp(log_min_strike) * s
+
+        # Update butterfly arbitrage check
+        butterfly_arbitrage_free = True
+        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)
+
+        for k_val in k_range:
+            wk = w_k(k_val)
+            wp = w_prime(k_val)
+            wpp = w_double_prime(k_val)
+            g = (1 - (k_val * wp) / (2 * wk)) ** 2 - (wp ** 2) / 4 * (1 / wk + 1 / 4) + wpp / 2
+            if g < 0:
+                butterfly_arbitrage_free = False
+                break
+
+        # Find the correct index to update
+        idx = None
+        for j, maturity_name in enumerate(maturity_names):
+            if results_df.iloc[j]['maturity_date'] == mat2:
+                idx = results_df.index[j]
                 break
 
-        for mat in sorted_maturities:
-            idx = None
-            for j, maturity_name in enumerate(maturity_names):
-                if results_df.iloc[j]['maturity_date'] == mat:
-                    idx = results_df.index[j]
-                    break
-            if idx is not None:
-                results_df.at[idx, 'calendar_arbitrage_free'] = calendar_arbitrage_free
+        if idx is not None:
+            results_df.at[idx, 'a'] = float(a_scaled)
+            results_df.at[idx, 'b'] = float(b_scaled)
+            results_df.at[idx, 'm'] = float(m)
+            results_df.at[idx, 'rho'] = float(rho)
+            results_df.at[idx, 'sigma'] = float(sigma)
+            results_df.at[idx, 'nu'] = float(nu)
+            results_df.at[idx, 'psi'] = float(psi)
+            results_df.at[idx, 'p'] = float(p)
+            results_df.at[idx, 'c'] = float(c)
+            results_df.at[idx, 'nu_tilde'] = float(nu_tilde)
+            results_df.at[idx, 'rmse'] = float(rmse)
+            results_df.at[idx, 'mae'] = float(mae)
+            results_df.at[idx, 'r2'] = float(r2)
+            results_df.at[idx, 'max_error'] = float(max_error)
+            results_df.at[idx, 'log_min_strike'] = float(log_min_strike)
+            results_df.at[idx, 'usd_min_strike'] = float(usd_min_strike)
+            results_df.at[idx, 'butterfly_arbitrage_free'] = butterfly_arbitrage_free
+            results_df.at[idx, 'fit_success'] = bool(not np.isnan(a))
+
+    # Calendar arbitrage check (post-correction)
+    logger.info("\nChecking calendar arbitrage (post-correction)...")
+    calendar_arbitrage_free = True
+    for i in range(len(sorted_maturities) - 1):
+        mat1, mat2 = sorted_maturities[i], sorted_maturities[i + 1]
+        t1, params1 = params_dict[mat1]
+        t2, params2 = params_dict[mat2]
+        a1, b1, m1, rho1, sigma1 = params1
+        a2, b2, m2, rho2, sigma2 = params2
+
+        if np.isnan(a1) or np.isnan(a2):
+            continue
+
+        group = groups.get_group(mat2)
+        K = group['strikes'].values
+        s = group['index_price'].iloc[0]
+        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]), 200)]))
+
+        for k_val in k_check:
+            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}")
+                calendar_arbitrage_free = False
+                break
+        if not calendar_arbitrage_free:
+            break
+
+    for mat in sorted_maturities:
+        idx = None
+        for j, maturity_name in enumerate(maturity_names):
+            if results_df.iloc[j]['maturity_date'] == mat:
+                idx = results_df.index[j]
+                break
+        if idx is not None:
+            results_df.at[idx, 'calendar_arbitrage_free'] = calendar_arbitrage_free
 
     logger.info("Model fitting complete.")
     return results_df

{voly-0.0.182.dist-info → voly-0.0.183.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.182
+Version: 0.0.183
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.182.dist-info → voly-0.0.183.dist-info}/RECORD

@@ -6,15 +6,15 @@ 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=erZsfHuzpPclhDs8DXAl-7AR3xQT1HnxeCFAW3el7b4,17693
+voly/core/fit.py,sha256=P4axtSrrdTIoXpGe2GsdP4bJi8e8t_S_yda3St_TEoI,17195
 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-0.0.182.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,,
+voly-0.0.183.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.183.dist-info/METADATA,sha256=D4HB2YlkiMk6vpiczAcgNTPU8AsxEZZMCR0nZZLplFM,4115
+voly-0.0.183.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
+voly-0.0.183.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.183.dist-info/RECORD,,