voly 0.0.196__py3-none-any.whl → 0.0.197__py3-none-any.whl

voly/core/fit.py

@@ -120,7 +120,7 @@ def fit_model(option_chain: pd.DataFrame, num_points: int = 2000) -> Tuple[pd.Da
                 nu, psi, p, c, nu_tilde = SVIModel.raw_to_jw_params(a_scaled, b_scaled, m, rho, sigma, t)
 
                 # Compute fit statistics
-                w_model = np.array([SVIModel.svi_raw(x, a_scaled, b_scaled, m, rho, sigma) for x in k])
+                w_model = np.array([SVIModel.svi(x, a_scaled, b_scaled, m, rho, sigma) for x in k])
                 iv_model = np.sqrt(w_model / t)
                 iv_market = iv
                 rmse = np.sqrt(mean_squared_error(iv_market, iv_model))
@@ -134,7 +134,7 @@ def fit_model(option_chain: pd.DataFrame, num_points: int = 2000) -> Tuple[pd.Da
 
                 # Butterfly arbitrage check
                 k_range = np.linspace(min(k), max(k), num_points)
-                w_k = lambda k: SVIModel.svi_raw(k, a_scaled, b_scaled, m, rho, sigma)
+                w_k = lambda k: SVIModel.svi(k, a_scaled, b_scaled, m, rho, sigma)
                 w_prime = lambda k: b_scaled * (rho + (k - m) / np.sqrt((k - m)**2 + sigma**2))
                 w_double_prime = lambda k: b_scaled * sigma**2 / ((k - m)**2 + sigma**2)**(3/2)
                 for k_val in k_range:
@@ -221,8 +221,8 @@ def fit_model(option_chain: pd.DataFrame, num_points: int = 2000) -> Tuple[pd.Da
         k_check = np.unique(np.concatenate([k_market[mask], np.linspace(min(k_market[mask]), max(k_market[mask]), num_points)]))
 
         for k_val in k_check:
-            w1 = SVIModel.svi_raw(k_val, a1 * t1, b1 * t1, m1, rho1, sigma1)
-            w2 = SVIModel.svi_raw(k_val, a2 * t2, b2 * t2, m2, rho2, sigma2)
+            w1 = SVIModel.svi(k_val, a1 * t1, b1 * t1, m1, rho1, sigma1)
+            w2 = SVIModel.svi(k_val, a2 * t2, b2 * t2, m2, rho2, sigma2)
             if w2 < w1 - 1e-6:
                 logger.warning(f"Calendar arbitrage violation at t1={t1:.4f}, t2={t2:.4f}, k={k_val:.4f}: w1={w1:.6f}, w2={w2:.6f}")
                 calendar_arbitrage_free = False
@@ -264,7 +264,7 @@ def fit_model(option_chain: pd.DataFrame, num_points: int = 2000) -> Tuple[pd.Da
         nu, psi, p, c, nu_tilde = SVIModel.raw_to_jw_params(a_scaled, b_scaled, sigma, rho, m, t2)
 
         # Recompute fit statistics
-        w_model = np.array([SVIModel.svi_raw(x, a_scaled, b_scaled, m, rho, sigma) for x in k])
+        w_model = np.array([SVIModel.svi(x, a_scaled, b_scaled, m, rho, sigma) for x in k])
         iv_model = np.sqrt(w_model / t2)
         iv_market = iv
         rmse = np.sqrt(mean_squared_error(iv_market, iv_model))
@@ -279,7 +279,7 @@ def fit_model(option_chain: pd.DataFrame, num_points: int = 2000) -> Tuple[pd.Da
         # Update butterfly arbitrage check
         butterfly_arbitrage_free = True
         k_range = np.linspace(min(k), max(k), num_points)
-        w_k = lambda k: SVIModel.svi_raw(k, a_scaled, b_scaled, m, rho, sigma)
+        w_k = lambda k: SVIModel.svi(k, a_scaled, b_scaled, m, rho, sigma)
         w_prime = lambda k: b_scaled * (rho + (k - m) / np.sqrt((k - m)**2 + sigma**2))
         w_double_prime = lambda k: b_scaled * sigma**2 / ((k - m)**2 + sigma**2)**(3/2)
         for k_val in k_range:
@@ -333,8 +333,8 @@ def fit_model(option_chain: pd.DataFrame, num_points: int = 2000) -> Tuple[pd.Da
         k_check = np.unique(np.concatenate([k_market[mask], np.linspace(min(k_market[mask]), max(k_market[mask]), num_points)]))
 
         for k_val in k_check:
-            w1 = SVIModel.svi_raw(k_val, a1 * t1, b1 * t1, m1, rho1, sigma1)
-            w2 = SVIModel.svi_raw(k_val, a2 * t2, b2 * t2, m2, rho2, sigma2)
+            w1 = SVIModel.svi(k_val, a1 * t1, b1 * t1, m1, rho1, sigma1)
+            w2 = SVIModel.svi(k_val, a2 * t2, b2 * t2, m2, rho2, sigma2)
             if w2 < w1 - 1e-6:
                 logger.warning(f"Calendar arbitrage violation at t1={t1:.4f}, t2={t2:.4f}, k={k_val:.4f}: w1={w1:.6f}, w2={w2:.6f}")
                 calendar_arbitrage_free = False
@@ -401,7 +401,7 @@ def get_iv_surface(model_results: pd.DataFrame,
         r = model_results.loc[i, 'r'] if 'r' in model_results.columns else 0
 
         # Calculate implied volatility
-        w = np.array([SVIModel.svi_raw(x, *params) for x in LM])
+        w = np.array([SVIModel.svi(x, *params) for x in LM])
         o = np.sqrt(w / t)
         iv_surface[i] = o
 

{voly-0.0.196.dist-info → voly-0.0.197.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.196
+Version: 0.0.197
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.196.dist-info → voly-0.0.197.dist-info}/RECORD

@@ -6,15 +6,15 @@ voly/models.py,sha256=Wop6gZbvAOXSmI0JpYapjVSeJub_i8RLif2PzxRsfFE,7185
 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=QtEoHz6v_YE-_FX0UwMEpvi623bujKd51KzN6x_owBY,17417
+voly/core/fit.py,sha256=vRLZapQ9eXHmcX-3gA8qqyZ0A7bfZFNyshDU1Gw3JAc,17381
 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-0.0.196.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.196.dist-info/METADATA,sha256=SNaoFKB8gA3Q17Bgh6vBLeg3LyniNFqX1IOQX7vVWnQ,4115
-voly-0.0.196.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
-voly-0.0.196.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.196.dist-info/RECORD,,
+voly-0.0.197.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.197.dist-info/METADATA,sha256=wgvlUhL9lB0LlHvmgoBhyuL1btUhjP-EEJnKmXphxPY,4115
+voly-0.0.197.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
+voly-0.0.197.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.197.dist-info/RECORD,,