voly 0.0.199__tar.gz → 0.0.200__tar.gz

{voly-0.0.199/src/voly.egg-info → voly-0.0.200}/PKG-INFO

@@ -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 → voly-0.0.200}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.199"
+version = "0.0.200"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.199"
+python_version = "0.0.200"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.199 → voly-0.0.200}/src/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 → voly-0.0.200/src/voly.egg-info}/PKG-INFO

@@ -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