voly 0.0.187__tar.gz → 0.0.189__tar.gz

{voly-0.0.187/src/voly.egg-info → voly-0.0.189}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.187
+Version: 0.0.189
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.187 → voly-0.0.189}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.187"
+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 = "0.0.187"
+python_version = "0.0.189"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.187 → 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)

{voly-0.0.187 → voly-0.0.189/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.187
+Version: 0.0.189
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT