voly 0.0.189__py3-none-any.whl → 0.0.191__py3-none-any.whl

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/core/fit.py

@@ -94,6 +94,7 @@ def fit_model(option_chain: pd.DataFrame) -> pd.DataFrame:
         maturity_data = pd.concat([unique_iv, cleaned_duplicated_iv])
         maturity_date = maturity_data['maturity_date'].iloc[0]
 
+
         t = group['t'].iloc[0]
         K = group['strikes'].values
         iv = group['mark_iv'].values
@@ -103,8 +104,6 @@ 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
@@ -155,7 +154,6 @@ 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))
@@ -211,7 +209,6 @@ 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
@@ -245,7 +242,7 @@ 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]
@@ -304,24 +301,26 @@ def fit_model(option_chain: pd.DataFrame) -> pd.DataFrame:
                 butterfly_arbitrage_free = False
                 break
 
-        results_df.at[mat2, 'a'] = float(a_scaled)
-        results_df.at[mat2, 'b'] = float(b_scaled)
-        results_df.at[mat2, 'm'] = float(m)
-        results_df.at[mat2, 'rho'] = float(rho)
-        results_df.at[mat2, 'sigma'] = float(sigma)
-        results_df.at[mat2, 'nu'] = float(nu)
-        results_df.at[mat2, 'psi'] = float(psi)
-        results_df.at[mat2, 'p'] = float(p)
-        results_df.at[mat2, 'c'] = float(c)
-        results_df.at[mat2, 'nu_tilde'] = float(nu_tilde)
-        results_df.at[mat2, 'rmse'] = float(rmse)
-        results_df.at[mat2, 'mae'] = float(mae)
-        results_df.at[mat2, 'r2'] = float(r2)
-        results_df.at[mat2, 'max_error'] = float(max_error)
-        results_df.at[mat2, 'log_min_strike'] = float(log_min_strike)
-        results_df.at[mat2, 'usd_min_strike'] = float(usd_min_strike)
-        results_df.at[mat2, 'butterfly_arbitrage_free'] = butterfly_arbitrage_free
-        results_df.at[mat2, 'fit_success'] = bool(not np.isnan(a))
+        # Update results_df using maturity_name
+        mat_name = group['maturity_name'].iloc[0]
+        results_df.loc[mat_name, 'a'] = float(a_scaled)
+        results_df.loc[mat_name, 'b'] = float(b_scaled)
+        results_df.loc[mat_name, 'm'] = float(m)
+        results_df.loc[mat_name, 'rho'] = float(rho)
+        results_df.loc[mat_name, 'sigma'] = float(sigma)
+        results_df.loc[mat_name, 'nu'] = float(nu)
+        results_df.loc[mat_name, 'psi'] = float(psi)
+        results_df.loc[mat_name, 'p'] = float(p)
+        results_df.loc[mat_name, 'c'] = float(c)
+        results_df.loc[mat_name, 'nu_tilde'] = float(nu_tilde)
+        results_df.loc[mat_name, 'rmse'] = float(rmse)
+        results_df.loc[mat_name, 'mae'] = float(mae)
+        results_df.loc[mat_name, 'r2'] = float(r2)
+        results_df.loc[mat_name, 'max_error'] = float(max_error)
+        results_df.loc[mat_name, 'log_min_strike'] = float(log_min_strike)
+        results_df.loc[mat_name, 'usd_min_strike'] = float(usd_min_strike)
+        results_df.loc[mat_name, 'butterfly_arbitrage_free'] = butterfly_arbitrage_free
+        results_df.loc[mat_name, 'fit_success'] = bool(not np.isnan(a))
 
     # Calendar arbitrage check (post-correction)
     calendar_arbitrage_free = True
@@ -357,7 +356,7 @@ 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-0.0.189.dist-info → voly-0.0.191.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.189
+Version: 0.0.191
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.189.dist-info → voly-0.0.191.dist-info}/RECORD

@@ -1,20 +1,20 @@
 voly/__init__.py,sha256=8xyDk7rFCn_MOD5hxuv5cxxKZvBVRiSIM7TgaMPpwpw,211
-voly/client.py,sha256=dPyRRmZ_Gvo1zCZMo9eFOx2oaYocmkOt71fzdmOXFyM,14387
+voly/client.py,sha256=0kp2_I-imcJ6uxMcvS0BipS2PgWdFaCPZG5335Vg75Q,14383
 voly/exceptions.py,sha256=PBsbn1vNMvKcCJwwJ4lBO6glD85jo1h2qiEmD7ArAjs,92
 voly/formulas.py,sha256=JnEs6G0wlfRNH6X_YEJMe2RtLH-ryhzufjsim73Bj3c,11176
 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=cHd4SmdsjSKnllH-g_pU7_L8N9dSl07Q6tsqDjd2jNA,17217
+voly/core/fit.py,sha256=edpcBPxM7PQMaZHJbxfTDaoiWfhIuS7MSubQthYBhO0,17173
 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-0.0.189.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.189.dist-info/METADATA,sha256=Tz2ZLYVNWXtm9123NubqXctsRkv0j2gteQRLw0S2SCg,4115
-voly-0.0.189.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
-voly-0.0.189.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.189.dist-info/RECORD,,
+voly-0.0.191.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.191.dist-info/METADATA,sha256=RFgevmqNE4J7TvqFEW_83-nxgMW0mdF7GAT2sKVNC3k,4115
+voly-0.0.191.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
+voly-0.0.191.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.191.dist-info/RECORD,,