voly 0.0.194__tar.gz → 0.0.195__tar.gz

{voly-0.0.194/src/voly.egg-info → voly-0.0.195}/PKG-INFO

@@ -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 → voly-0.0.195}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.194"
+version = "0.0.195"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.194"
+python_version = "0.0.195"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.194 → voly-0.0.195}/src/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 → voly-0.0.195/src/voly.egg-info}/PKG-INFO

@@ -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