voly 0.0.199__py3-none-any.whl → 0.0.200__py3-none-any.whl

voly/core/fit.py

@@ -71,6 +71,7 @@ def fit_model(option_chain: pd.DataFrame, num_points: int = 2000) -> Tuple[pd.Da
     maturity_data_groups = option_chain.groupby('maturity_date')
     params_dict = {}
     results_data = {col: [] for col in column_dtypes.keys()}
+    results_data['maturity_name'] = []
 
     def process_maturity(maturity, maturity_data):
         """Process single maturity for SVI calibration."""
@@ -94,6 +95,7 @@ def fit_model(option_chain: pd.DataFrame, num_points: int = 2000) -> Tuple[pd.Da
         # Combine cleaned duplicates and unique rows
         maturity_data = pd.concat([unique_iv, cleaned_duplicated_iv])
         maturity_date = maturity_data['maturity_date'].iloc[0]
+        maturity_name = maturity_data['maturity_name'].iloc[0]
 
         t = maturity_data['t'].iloc[0]
         K = maturity_data['strikes'].values
@@ -155,6 +157,7 @@ def fit_model(option_chain: pd.DataFrame, num_points: int = 2000) -> Tuple[pd.Da
         results_data['s'].append(float(s))
         results_data['t'].append(float(t))
         results_data['maturity_date'].append(maturity_date)
+        results_data['maturity_name'].append(maturity_name)
         results_data['a'].append(float(a_scaled) if not np.isnan(params[0]) else np.nan)
         results_data['b'].append(float(b_scaled) if not np.isnan(params[0]) else np.nan)
         results_data['m'].append(float(m))
@@ -177,7 +180,7 @@ def fit_model(option_chain: pd.DataFrame, num_points: int = 2000) -> Tuple[pd.Da
         results_data['loss'].append(float(loss))
         results_data['n_points'].append(int(len(k)))
 
-        return maturity_date
+        return maturity_name
 
     # Parallel processing of maturities
     with ThreadPoolExecutor() as executor:
@@ -187,7 +190,7 @@ def fit_model(option_chain: pd.DataFrame, num_points: int = 2000) -> Tuple[pd.Da
             future.result()
 
     # Create results DataFrame
-    results_df = pd.DataFrame(results_data, index=results_data['maturity_date'])
+    results_df = pd.DataFrame(results_data, index=results_data['maturity_name'])
 
     # Convert columns to appropriate types
     for col, dtype in column_dtypes.items():
@@ -234,7 +237,6 @@ def fit_model(option_chain: pd.DataFrame, num_points: int = 2000) -> Tuple[pd.Da
         results_df.at[mat, 'calendar_arbitrage_free'] = calendar_arbitrage_free
 
     # Calendar arbitrage correction
-    start_correction = time.time()
     for i in range(1, len(sorted_maturities)):
         mat2 = sorted_maturities[i]
         mat1 = sorted_maturities[i - 1]
@@ -309,12 +311,8 @@ def fit_model(option_chain: pd.DataFrame, num_points: int = 2000) -> Tuple[pd.Da
         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))
-    end_correction = time.time()
-    logger.info(f"Calendar arbitrage correction completed in {end_correction - start_correction:.4f} seconds")
 
     # Calendar arbitrage check (post-correction)
-    logger.info("\nChecking calendar arbitrage (post-correction)...")
-    start_post_check = time.time()
     calendar_arbitrage_free = True
     for i in range(len(sorted_maturities) - 1):
         mat1, mat2 = sorted_maturities[i], sorted_maturities[i + 1]
@@ -341,15 +339,13 @@ def fit_model(option_chain: pd.DataFrame, num_points: int = 2000) -> Tuple[pd.Da
                 break
         if not calendar_arbitrage_free:
             break
-    end_post_check = time.time()
-    logger.info(f"Post-correction calendar arbitrage check completed in {end_post_check - start_post_check:.4f} seconds")
 
     for mat in sorted_maturities:
         results_df.at[mat, 'calendar_arbitrage_free'] = calendar_arbitrage_free
 
     # End overall timer and print total time
     end_total = time.time()
-    logger.info(f"\nTotal execution time for fit_model: {end_total - start_total:.4f} seconds")
+    logger.info(f"Total execution time for the model: {end_total - start_total:.4f} seconds")
 
     logger.info("Model fitting complete.")
     return results_df

{voly-0.0.199.dist-info → voly-0.0.200.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.199
+Version: 0.0.200
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.199.dist-info → voly-0.0.200.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=fK-mgmfRZGQXssSVG0UE6rxy-8YQ43sEheyy2LybsRM,17347
+voly/core/fit.py,sha256=qWs7rce9QcC7CDlB4PVi1fIfH5PmShwPWcKH_8N46_A,17068
 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-0.0.199.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.199.dist-info/METADATA,sha256=7xLOBjmGlVBTpdZJenrGjbVjM5KJ3zU2LPD7Iz8Qo0k,4115
-voly-0.0.199.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
-voly-0.0.199.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.199.dist-info/RECORD,,
+voly-0.0.200.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.200.dist-info/METADATA,sha256=AT0HE9o9XQccEK1nuOdAh2kRMLuk1E_4e7o7-kEUQRg,4115
+voly-0.0.200.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
+voly-0.0.200.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.200.dist-info/RECORD,,