voly 0.0.194__py3-none-any.whl → 0.0.195__py3-none-any.whl

voly/models.py

@@ -90,8 +90,6 @@ class SVIModel:
         if len(k) <= 5:
             return [np.nan] * 5, np.inf
 
-        from scipy.optimize import minimize
-
         vega = vega / vega.max() if vega.max() > 0 else np.ones_like(vega)
         m_init = np.mean(k)
         sigma_init = max(0.1, np.std(k) * 0.1)
@@ -102,7 +100,7 @@ class SVIModel:
             return loss
 
         result = minimize(score, [sigma_init, m_init], bounds=[(0.001, None), (None, None)],
-                          tol=1e-16, method="SLSQP", options={'maxfun': 5000})
+                         tol=1e-16, method="SLSQP", options={'maxfun': 5000})
 
         sigma, m = result.x
         c, d, a_calib, loss = cls.calibration(tiv, vega, k, m, sigma)
@@ -116,7 +114,9 @@ class SVIModel:
             a_svi = a_calib / tau
             rho_svi = b_svi = 0
 
-        return [a_svi, b_svi, m, rho_svi, sigma], loss
+        # Validate parameters
+        params = [a_svi, b_svi, m, rho_svi, sigma]
+        return params, loss
 
     @classmethod
     def correct_calendar_arbitrage(cls, params, t, tiv, vega, k, prev_params, prev_t, k_grid):
@@ -162,11 +162,13 @@ class SVIModel:
 
         if result.success:
             new_params = result.x
-            w_current = cls.svi(k_constraint, new_params[0] * t, new_params[1] * t, *new_params[2:])
+            a, b, m, rho, sigma = new_params
+            a_scaled, b_scaled = a * t, b * t
+            w_current = cls.svi(k_constraint, a_scaled, b_scaled, m, rho, sigma)
             w_prev = cls.svi(k_constraint, a_prev * prev_t, b_prev * prev_t, m_prev, rho_prev, sigma_prev)
             violation = np.min(w_current - w_prev)
             logger.info(f"Calendar arbitrage correction {'successful' if violation >= -1e-6 else 'failed'} for t={t:.4f}, "
-                  f"min margin={violation:.6f}")
+                        f"min margin={violation:.6f}")
             return new_params
         logger.warning(f"Calendar arbitrage correction failed for t={t:.4f}")
         return params

{voly-0.0.194.dist-info → voly-0.0.195.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.194
+Version: 0.0.195
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.194.dist-info → voly-0.0.195.dist-info}/RECORD

@@ -2,7 +2,7 @@ voly/__init__.py,sha256=8xyDk7rFCn_MOD5hxuv5cxxKZvBVRiSIM7TgaMPpwpw,211
 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/models.py,sha256=UfKhMWGW8W5PT1_5jjTS0awHWGGGvLTSFxutD35XFyA,7104
 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
@@ -13,8 +13,8 @@ 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-0.0.194.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.194.dist-info/METADATA,sha256=jcLrxrx46JUN6AMJI3B-e94vUuLb6qyR_4akgs_XxzI,4115
-voly-0.0.194.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
-voly-0.0.194.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.194.dist-info/RECORD,,
+voly-0.0.195.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.195.dist-info/METADATA,sha256=uWjGfO11gJNYpAy8ahxDqdWMDHmx1XHItxKkQUHEhr8,4115
+voly-0.0.195.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
+voly-0.0.195.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.195.dist-info/RECORD,,