voly 0.0.186__tar.gz → 0.0.189__tar.gz

{voly-0.0.186/src/voly.egg-info → voly-0.0.189}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.186
+Version: 0.0.189
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.186 → voly-0.0.189}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.186"
+version = "0.0.189"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.186"
+python_version = "0.0.189"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.186 → voly-0.0.189}/src/voly/core/fit.py

@@ -37,11 +37,8 @@ def fit_model(option_chain: pd.DataFrame) -> pd.DataFrame:
     # Define column names and their data types
     column_dtypes = {
         's': float,
-        'u': float,
         't': float,
         'r': float,
-        'oi': float,
-        'volume': float,
         'maturity_date': 'datetime64[ns]',
         'a': float,
         'b': float,
@@ -67,6 +64,7 @@ def fit_model(option_chain: pd.DataFrame) -> pd.DataFrame:
     }
 
     s = option_chain['index_price'].iloc[0]
+    unique_ts = sorted(option_chain['t'].unique())
     maturity_names = [option_chain[option_chain['t'] == t]['maturity_name'].iloc[0] for t in unique_ts]
     groups = option_chain.groupby('maturity_date')
     params_dict = {}
@@ -94,7 +92,6 @@ def fit_model(option_chain: pd.DataFrame) -> pd.DataFrame:
 
         # Combine cleaned duplicates and unique rows
         maturity_data = pd.concat([unique_iv, cleaned_duplicated_iv])
-        #maturity_name = maturity_data['maturity_name'].iloc[0]
         maturity_date = maturity_data['maturity_date'].iloc[0]
 
         t = group['t'].iloc[0]
@@ -113,10 +110,7 @@ def fit_model(option_chain: pd.DataFrame) -> pd.DataFrame:
         nu = psi = p = c = nu_tilde = np.nan
         rmse = mae = r2 = max_error = np.nan
         butterfly_arbitrage_free = True
-        u = s  # Assume underlying_price is index_price
         r = maturity_data['interest_rate'].iloc[0] if 'interest_rate' in maturity_data.columns else 0
-        oi = maturity_data['open_interest'].sum() if 'open_interest' in maturity_data.columns else 0
-        volume = maturity_data['volume'].sum() if 'volume' in maturity_data.columns else 0
         log_min_strike = usd_min_strike = np.nan
 
         if len(k) > 5:
@@ -165,11 +159,8 @@ def fit_model(option_chain: pd.DataFrame) -> pd.DataFrame:
 
         # Store results
         results_data['s'].append(float(s))
-        results_data['u'].append(float(u))
         results_data['t'].append(float(t))
         results_data['r'].append(float(r))
-        results_data['oi'].append(float(oi))
-        results_data['volume'].append(float(volume))
         results_data['maturity_date'].append(maturity_date)
         results_data['a'].append(float(a_scaled) if not np.isnan(params[0]) else np.nan)
         results_data['b'].append(float(b_scaled) if not np.isnan(params[0]) else np.nan)
@@ -370,3 +361,60 @@ 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 → voly-0.0.189/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.186
+Version: 0.0.189
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT