voly 0.0.190__py3-none-any.whl → 0.0.192__py3-none-any.whl

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
@@ -300,24 +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
@@ -348,8 +351,8 @@ def fit_model(option_chain: pd.DataFrame) -> pd.DataFrame:
         if not calendar_arbitrage_free:
             break
 
-    for mat in sorted_maturities:
-        results_df.at[mat, 'calendar_arbitrage_free'] = calendar_arbitrage_free
+    for mat in results_df['maturity_date']:
+        results_df.loc[results_df['maturity_date'] == mat, 'calendar_arbitrage_free'] = calendar_arbitrage_free
 
     # End overall timer and print total time
     end_total = time.time()

{voly-0.0.190.dist-info → voly-0.0.192.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.190
+Version: 0.0.192
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.190.dist-info → voly-0.0.192.dist-info}/RECORD

@@ -6,15 +6,15 @@ 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=mkAa4t8g8T50V2iSJETUASvx0XnRWuCAlJpXHTC8_kk,16984
+voly/core/fit.py,sha256=Ldy68cLLFXLTbtYfGSqwzE9JxcY4wvQhjfvwZfrUaKs,17215
 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-0.0.190.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.190.dist-info/METADATA,sha256=CDyywRiwcw-Slx2rGNOdbRj2QDPRYGsM0jqt3QXmKlU,4115
-voly-0.0.190.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
-voly-0.0.190.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.190.dist-info/RECORD,,
+voly-0.0.192.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.192.dist-info/METADATA,sha256=WdHim-V9t07mLSBl1ixX5h5WJ4K2xs82UJ_rmK2zyVo,4115
+voly-0.0.192.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
+voly-0.0.192.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.192.dist-info/RECORD,,