voly 0.0.186__py3-none-any.whl → 0.0.187__py3-none-any.whl

voly/core/fit.py

@@ -370,3 +370,60 @@ def fit_model(option_chain: pd.DataFrame) -> pd.DataFrame:
 
     logger.info("Model fitting complete.")
     return results_df
+
+
+@catch_exception
+def get_iv_surface(model_results: pd.DataFrame,
+                   domain_params: Tuple[float, float, int] = (-1.5, 1.5, 1000),
+                   return_domain: str = 'log_moneyness') -> Tuple[Dict[str, np.ndarray], Dict[str, np.ndarray]]:
+    """
+    Generate implied volatility surface using optimized SVI parameters.
+
+    Works with both regular fit_results and interpolated_results dataframes.
+
+    Parameters:
+    - model_results: DataFrame from fit_model() or interpolate_model(). Maturity names or DTM as Index
+    - domain_params: Tuple of (min, max, num_points) for the log-moneyness array
+    - return_domain: Domain for x-axis values ('log_moneyness', 'moneyness', 'returns', 'strikes', 'delta')
+
+    Returns:
+    - Tuple of (iv_surface, x_surface)
+      iv_surface: Dictionary mapping maturity/dtm names to IV arrays
+      x_surface: Dictionary mapping maturity/dtm names to requested x domain arrays
+    """
+    # Check if required columns are present
+    required_columns = ['a', 'b', 'm', 'rho', 'sigma', 't']
+    missing_columns = [col for col in required_columns if col not in model_results.columns]
+    if missing_columns:
+        raise VolyError(f"Required columns missing in model_results: {missing_columns}")
+
+    # Generate implied volatility surface in log-moneyness domain
+    LM = np.linspace(domain_params[0], domain_params[1], domain_params[2])
+
+    iv_surface = {}
+    x_surface = {}
+
+    # Process each maturity/dtm
+    for i in model_results.index:
+        # Calculate SVI total implied variance and convert to IV
+        params = [
+            model_results.loc[i, 'a'],
+            model_results.loc[i, 'b'],
+            model_results.loc[i, 'm'],
+            model_results.loc[i, 'rho'],
+            model_results.loc[i, 'sigma']
+        ]
+        s = model_results.loc[i, 's']
+        r = model_results.loc[i, 'r']
+        t = model_results.loc[i, 't']
+
+        # Calculate implied volatility
+        w = np.array([SVIModel.svi(x, *params) for x in LM])
+        o = np.sqrt(w / t)
+        iv_surface[i] = o
+
+        # Calculate x domain for this maturity/dtm
+        x = get_domain(domain_params, s, r, o, t, return_domain)
+        x_surface[i] = x
+
+    return iv_surface, x_surface

{voly-0.0.186.dist-info → voly-0.0.187.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.186
+Version: 0.0.187
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.186.dist-info → voly-0.0.187.dist-info}/RECORD

@@ -6,15 +6,15 @@ voly/models.py,sha256=2aNGsF3joCx4jGbiF8m0zxEW_nvcSBERSYPSKCXV3us,7019
 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=pfGRzycJ9WERHc-nIowpWQQ8nZbGHlOlRDUxgkkfvnY,15448
+voly/core/fit.py,sha256=9OxPK9wB3Z9qKqJY3VHEeyGMXTbcQIerpdNVvv9uEzc,17685
 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-0.0.186.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.186.dist-info/METADATA,sha256=GUbTWWjdupPDNj3wHCYQ5b5qu0hmHWNsO8KPXRKpAW8,4115
-voly-0.0.186.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
-voly-0.0.186.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.186.dist-info/RECORD,,
+voly-0.0.187.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.187.dist-info/METADATA,sha256=KgUZUqhsINQLwpKamaL2tU5iZFJyrWk_Yo8K5L4gYHo,4115
+voly-0.0.187.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
+voly-0.0.187.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.187.dist-info/RECORD,,