voly 0.0.187__tar.gz → 0.0.190__tar.gz

{voly-0.0.187/src/voly.egg-info → voly-0.0.190}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.187
+Version: 0.0.190
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.187 → voly-0.0.190}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.187"
+version = "0.0.190"
 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 = "0.0.190"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.187 → voly-0.0.190}/src/voly/client.py

@@ -175,7 +175,7 @@ class VolyClient:
         Returns:
         - DataFrame with fit results including arbitrage checks
         """
-        logger.info(f"Fitting SVI model to market data")
+        logger.info(f"Fitting model to market data")
 
         # Fit the model
         fit_results = fit_model(

{voly-0.0.187 → voly-0.0.190}/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]
@@ -106,17 +103,12 @@ def fit_model(option_chain: pd.DataFrame) -> pd.DataFrame:
         mask = ~np.isnan(w) & ~np.isnan(vega) & ~np.isnan(k) & (iv >= 0)
         k, w, vega, iv = k[mask], w[mask], vega[mask], iv[mask]
 
-        logger.info(f"Processing maturity {maturity}, points after filtering: {len(k)}")
-
         params = [np.nan] * 5
         loss = np.inf
         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:
@@ -161,15 +153,11 @@ def fit_model(option_chain: pd.DataFrame) -> pd.DataFrame:
         GREEN, RED, RESET = '\033[32m', '\033[31m', '\033[0m'
         status = f'{GREEN}SUCCESS{RESET}' if not np.isnan(params[0]) else f'{RED}FAILED{RESET}'
         logger.info(f'Optimization for {maturity}: {status}')
-        logger.info("================================================")
 
         # 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)
@@ -220,7 +208,6 @@ def fit_model(option_chain: pd.DataFrame) -> pd.DataFrame:
     results_df = results_df.sort_values(by='t')
 
     # Calendar arbitrage check (pre-correction) with timer
-    logger.info("\nChecking calendar arbitrage (pre-correction)...")
     k_grid = np.linspace(-2, 2, num_points)
     sorted_maturities = sorted(params_dict.keys(), key=lambda x: params_dict[x][0])
     calendar_arbitrage_free = True
@@ -254,7 +241,7 @@ def fit_model(option_chain: pd.DataFrame) -> pd.DataFrame:
         results_df.at[mat, 'calendar_arbitrage_free'] = calendar_arbitrage_free
 
     # Calendar arbitrage correction with timer
-    logger.info("\nPerforming calendar arbitrage correction...")
+    logger.info("Performing calendar arbitrage correction...")
     for i in range(1, len(sorted_maturities)):
         mat2 = sorted_maturities[i]
         mat1 = sorted_maturities[i - 1]
@@ -366,7 +353,7 @@ def fit_model(option_chain: pd.DataFrame) -> pd.DataFrame:
 
     # End overall timer and print total time
     end_total = time.time()
-    logger.info(f"\nTotal execution time for SVI fit: {end_total - start_total:.4f} seconds")
+    logger.info(f"Total execution time for model fit: {end_total - start_total:.4f} seconds")
 
     logger.info("Model fitting complete.")
     return results_df

{voly-0.0.187 → voly-0.0.190/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.187
+Version: 0.0.190
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT