voly 0.0.187__py3-none-any.whl → 0.0.189__py3-none-any.whl
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- voly/core/fit.py +1 -10
- {voly-0.0.187.dist-info → voly-0.0.189.dist-info}/METADATA +1 -1
- {voly-0.0.187.dist-info → voly-0.0.189.dist-info}/RECORD +6 -6
- {voly-0.0.187.dist-info → voly-0.0.189.dist-info}/WHEEL +0 -0
- {voly-0.0.187.dist-info → voly-0.0.189.dist-info}/licenses/LICENSE +0 -0
- {voly-0.0.187.dist-info → voly-0.0.189.dist-info}/top_level.txt +0 -0
voly/core/fit.py
CHANGED
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@@ -37,11 +37,8 @@ def fit_model(option_chain: pd.DataFrame) -> pd.DataFrame:
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# Define column names and their data types
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column_dtypes = {
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's': float,
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-
'u': float,
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't': float,
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'r': float,
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'oi': float,
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'volume': float,
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'maturity_date': 'datetime64[ns]',
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'a': float,
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'b': float,
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@@ -67,6 +64,7 @@ def fit_model(option_chain: pd.DataFrame) -> pd.DataFrame:
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}
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s = option_chain['index_price'].iloc[0]
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+
unique_ts = sorted(option_chain['t'].unique())
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maturity_names = [option_chain[option_chain['t'] == t]['maturity_name'].iloc[0] for t in unique_ts]
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groups = option_chain.groupby('maturity_date')
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params_dict = {}
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@@ -94,7 +92,6 @@ def fit_model(option_chain: pd.DataFrame) -> pd.DataFrame:
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# Combine cleaned duplicates and unique rows
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maturity_data = pd.concat([unique_iv, cleaned_duplicated_iv])
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-
#maturity_name = maturity_data['maturity_name'].iloc[0]
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maturity_date = maturity_data['maturity_date'].iloc[0]
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t = group['t'].iloc[0]
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@@ -113,10 +110,7 @@ def fit_model(option_chain: pd.DataFrame) -> pd.DataFrame:
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nu = psi = p = c = nu_tilde = np.nan
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rmse = mae = r2 = max_error = np.nan
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butterfly_arbitrage_free = True
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u = s # Assume underlying_price is index_price
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r = maturity_data['interest_rate'].iloc[0] if 'interest_rate' in maturity_data.columns else 0
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oi = maturity_data['open_interest'].sum() if 'open_interest' in maturity_data.columns else 0
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volume = maturity_data['volume'].sum() if 'volume' in maturity_data.columns else 0
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log_min_strike = usd_min_strike = np.nan
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if len(k) > 5:
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@@ -165,11 +159,8 @@ def fit_model(option_chain: pd.DataFrame) -> pd.DataFrame:
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# Store results
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results_data['s'].append(float(s))
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results_data['u'].append(float(u))
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results_data['t'].append(float(t))
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results_data['r'].append(float(r))
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results_data['oi'].append(float(oi))
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results_data['volume'].append(float(volume))
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results_data['maturity_date'].append(maturity_date)
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results_data['a'].append(float(a_scaled) if not np.isnan(params[0]) else np.nan)
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results_data['b'].append(float(b_scaled) if not np.isnan(params[0]) else np.nan)
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@@ -6,15 +6,15 @@ voly/models.py,sha256=2aNGsF3joCx4jGbiF8m0zxEW_nvcSBERSYPSKCXV3us,7019
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voly/core/__init__.py,sha256=bu6fS2I1Pj9fPPnl-zY3L7NqrZSY5Zy6NY2uMUvdhKs,183
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voly/core/charts.py,sha256=2S-BfCo30aj1_xlNLqF-za5rQWxF_mWKIdtdOe5bgbw,12735
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voly/core/data.py,sha256=9v9iuE2XdIIlzoRAB7q1ol7YghBzBsPGAiwZ11oDuis,13650
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voly/core/fit.py,sha256=
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voly/core/fit.py,sha256=cHd4SmdsjSKnllH-g_pU7_L8N9dSl07Q6tsqDjd2jNA,17217
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voly/core/hd.py,sha256=UFAyLncNUHivpPAcko6IK1bC55mudVtdlRFfXp63HXE,14771
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voly/core/interpolate.py,sha256=JkK172-FXyhesW3hY4pEeuJWG3Bugq7QZXbeKoRpLuo,5305
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voly/core/rnd.py,sha256=GoC3m1Q46Wnk5tV_mstr-3_aktHeue6BBLh4DQTciW0,13307
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voly/utils/__init__.py,sha256=E05mWatyC-PDOsCxQV1p5Xi1IgpOomxrNURyCx_gB-w,200
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voly/utils/density.py,sha256=q0fX4im9TGwMCZ32Hzdv8CNh56KnJo8bmG5w0gVWZH8,5879
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voly/utils/logger.py,sha256=4-_2bVJmq17Q0d7Rd2mPg1AeR8gxv6EPvcmBDMFWcSM,1744
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voly-0.0.
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voly-0.0.
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voly-0.0.
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voly-0.0.
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voly-0.0.
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voly-0.0.189.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
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voly-0.0.189.dist-info/METADATA,sha256=Tz2ZLYVNWXtm9123NubqXctsRkv0j2gteQRLw0S2SCg,4115
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voly-0.0.189.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
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voly-0.0.189.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
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voly-0.0.189.dist-info/RECORD,,
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File without changes
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File without changes
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File without changes
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