voly 0.0.196__tar.gz → 0.0.198__tar.gz

{voly-0.0.196/src/voly.egg-info → voly-0.0.198}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.196
+Version: 0.0.198
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.196 → voly-0.0.198}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.196"
+version = "0.0.198"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.196"
+python_version = "0.0.198"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.196 → voly-0.0.198}/src/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:
@@ -292,7 +292,7 @@ def fit_model(option_chain: pd.DataFrame, num_points: int = 2000) -> Tuple[pd.Da
                 break
 
         results_df.at[mat2, 'a'] = float(a_scaled)
-        results_dfKILLat[mat2, 'b'] = float(b_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)
@@ -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 → voly-0.0.198/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.196
+Version: 0.0.198
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT