voly 0.0.1__tar.gz

voly-0.0.1/LICENSE

@@ -0,0 +1,21 @@
+MIT License
+
+Copyright (c) 2025 manudc22
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.

voly-0.0.1/PKG-INFO

@@ -0,0 +1,132 @@
+Metadata-Version: 2.2
+Name: voly
+Version: 0.0.1
+Summary: Options & volatility research package
+Author-email: Manu de Cara <manu.de.cara@gmail.com>
+License: MIT
+Classifier: Development Status :: 3 - Alpha
+Classifier: Intended Audience :: Financial and Insurance Industry
+Classifier: Intended Audience :: Science/Research
+Classifier: License :: OSI Approved :: MIT License
+Classifier: Programming Language :: Python :: 3
+Classifier: Programming Language :: Python :: 3.9
+Classifier: Programming Language :: Python :: 3.10
+Classifier: Programming Language :: Python :: 3.11
+Classifier: Topic :: Office/Business :: Financial
+Classifier: Topic :: Scientific/Engineering :: Mathematics
+Classifier: Operating System :: OS Independent
+Requires-Python: >=3.9
+Description-Content-Type: text/markdown
+License-File: LICENSE
+Requires-Dist: pandas>=1.3.0
+Requires-Dist: numpy>=1.20.0
+Requires-Dist: scipy>=1.7.0
+Requires-Dist: plotly>=5.3.0
+Requires-Dist: scikit-learn>=1.0.0
+Requires-Dist: websockets>=10.0
+Requires-Dist: requests>=2.26.0
+Requires-Dist: loguru>=0.5.3
+Provides-Extra: dev
+Requires-Dist: pytest>=7.0.0; extra == "dev"
+Requires-Dist: black>=22.1.0; extra == "dev"
+Requires-Dist: isort>=5.10.1; extra == "dev"
+Requires-Dist: mypy>=0.931; extra == "dev"
+Requires-Dist: flake8>=4.0.1; extra == "dev"
+Requires-Dist: twine>=4.0.0; extra == "dev"
+Requires-Dist: build>=0.8.0; extra == "dev"
+
+# Voly - Options & Volatility Research Package
+
+Voly is a Python package for options data analysis, volatility surface modeling, and risk-neutral density estimation. It provides a simple interface for handling common options research tasks, including data collection, model fitting, and visualization.
+
+## Features
+
+- **Data Collection**: Fetch options data from exchanges (currently supports Deribit)
+- **Volatility Surface Modeling**: Fit SVI (Stochastic Volatility Inspired) model to market data
+- **Risk-Neutral Density**: Calculate and analyze risk-neutral density distributions
+- **Surface Interpolation**: Interpolate volatility surfaces across different expiries
+- **Options Pricing & Greeks**: Calculate Black-Scholes prices and all major Greeks
+- **Visualizations**: Generate interactive plots using Plotly
+
+## Installation
+
+You can install Voly using pip:
+
+```bash
+pip install voly
+```
+
+## Quick Start
+
+```python
+import pandas as pd
+from voly import VolyClient
+
+# Initialize the client
+voly = VolyClient()
+
+# Fetch options data (or load your own data)
+option_chain = voly.get_option_chain(exchange='deribit', currency='BTC')
+
+# Fit an SVI model to the data with visualization
+fit_results = voly.fit_model(option_chain, plot=True)
+
+# Calculate risk-neutral density
+rnd_results = voly.rnd(fit_results, spot_price=option_chain['underlying_price'].iloc[0], plot=True)
+
+# Calculate probability of price above a target
+probability = voly.probability(rnd_results, target_price=32000, direction='above')
+print(f"Probability of price above 32000: {probability:.2%}")
+
+# Calculate option Greeks
+greeks = voly.greeks(s=30000, k=32000, r=0.05, vol=0.6, t=0.25, option_type='call')
+print(f"Option Greeks: {greeks}")
+```
+
+## Example: Visualizing the Volatility Surface
+
+```python
+import pandas as pd
+from voly import VolyClient
+
+# Initialize the client
+voly = VolyClient()
+
+# Load your own data or fetch from exchange
+# The DataFrame should have columns for:
+# - log_moneyness
+# - strike
+# - mark_iv (implied volatility)
+# - yte (years to expiry)
+# - dte (days to expiry)
+# - maturity_name (identifier for the expiry)
+data = pd.read_csv('your_options_data.csv')
+
+# Fit the SVI model
+fit_results = voly.fit_model(data, plot=True)
+
+# Display the 3D volatility surface
+surface_fig = fit_results['plots']['surface_3d']
+surface_fig.show()
+```
+
+## Documentation
+
+For full documentation, visit [https://docs.voly.io](https://docs.voly.io)
+
+## Development
+
+### Setting up the development environment
+
+```bash
+# Clone the repository
+git clone https://github.com/manudc22/voly.git
+cd voly
+
+# Install development dependencies & activate venv
+./env_setup.sh --all
+```
+
+## License
+
+This project is licensed under the MIT License - see the LICENSE file for details.

voly-0.0.1/README.md

@@ -0,0 +1,95 @@
+# Voly - Options & Volatility Research Package
+
+Voly is a Python package for options data analysis, volatility surface modeling, and risk-neutral density estimation. It provides a simple interface for handling common options research tasks, including data collection, model fitting, and visualization.
+
+## Features
+
+- **Data Collection**: Fetch options data from exchanges (currently supports Deribit)
+- **Volatility Surface Modeling**: Fit SVI (Stochastic Volatility Inspired) model to market data
+- **Risk-Neutral Density**: Calculate and analyze risk-neutral density distributions
+- **Surface Interpolation**: Interpolate volatility surfaces across different expiries
+- **Options Pricing & Greeks**: Calculate Black-Scholes prices and all major Greeks
+- **Visualizations**: Generate interactive plots using Plotly
+
+## Installation
+
+You can install Voly using pip:
+
+```bash
+pip install voly
+```
+
+## Quick Start
+
+```python
+import pandas as pd
+from voly import VolyClient
+
+# Initialize the client
+voly = VolyClient()
+
+# Fetch options data (or load your own data)
+option_chain = voly.get_option_chain(exchange='deribit', currency='BTC')
+
+# Fit an SVI model to the data with visualization
+fit_results = voly.fit_model(option_chain, plot=True)
+
+# Calculate risk-neutral density
+rnd_results = voly.rnd(fit_results, spot_price=option_chain['underlying_price'].iloc[0], plot=True)
+
+# Calculate probability of price above a target
+probability = voly.probability(rnd_results, target_price=32000, direction='above')
+print(f"Probability of price above 32000: {probability:.2%}")
+
+# Calculate option Greeks
+greeks = voly.greeks(s=30000, k=32000, r=0.05, vol=0.6, t=0.25, option_type='call')
+print(f"Option Greeks: {greeks}")
+```
+
+## Example: Visualizing the Volatility Surface
+
+```python
+import pandas as pd
+from voly import VolyClient
+
+# Initialize the client
+voly = VolyClient()
+
+# Load your own data or fetch from exchange
+# The DataFrame should have columns for:
+# - log_moneyness
+# - strike
+# - mark_iv (implied volatility)
+# - yte (years to expiry)
+# - dte (days to expiry)
+# - maturity_name (identifier for the expiry)
+data = pd.read_csv('your_options_data.csv')
+
+# Fit the SVI model
+fit_results = voly.fit_model(data, plot=True)
+
+# Display the 3D volatility surface
+surface_fig = fit_results['plots']['surface_3d']
+surface_fig.show()
+```
+
+## Documentation
+
+For full documentation, visit [https://docs.voly.io](https://docs.voly.io)
+
+## Development
+
+### Setting up the development environment
+
+```bash
+# Clone the repository
+git clone https://github.com/manudc22/voly.git
+cd voly
+
+# Install development dependencies & activate venv
+./env_setup.sh --all
+```
+
+## License
+
+This project is licensed under the MIT License - see the LICENSE file for details.

voly-0.0.1/pyproject.toml

@@ -0,0 +1,72 @@
+[build-system]
+requires = ["setuptools", "wheel"]
+build-backend = "setuptools.build_meta"
+
+[project]
+name = "voly"
+version = "0.0.1"
+description = "Options & volatility research package"
+readme = "README.md"
+authors = [
+    {name = "Manu de Cara", email = "manu.de.cara@gmail.com"}
+]
+license = {text = "MIT"}
+classifiers = [
+    "Development Status :: 3 - Alpha",
+    "Intended Audience :: Financial and Insurance Industry",
+    "Intended Audience :: Science/Research",
+    "License :: OSI Approved :: MIT License",
+    "Programming Language :: Python :: 3",
+    "Programming Language :: Python :: 3.9",
+    "Programming Language :: Python :: 3.10",
+    "Programming Language :: Python :: 3.11",
+    "Topic :: Office/Business :: Financial",
+    "Topic :: Scientific/Engineering :: Mathematics",
+    "Operating System :: OS Independent",
+]
+requires-python = ">=3.9"
+dependencies = [
+    "pandas>=1.3.0",
+    "numpy>=1.20.0",
+    "scipy>=1.7.0",
+    "plotly>=5.3.0",
+    "scikit-learn>=1.0.0",
+    "websockets>=10.0",
+    "requests>=2.26.0",
+    "loguru>=0.5.3",
+]
+
+[project.optional-dependencies]
+dev = [
+    "pytest>=7.0.0",
+    "black>=22.1.0",
+    "isort>=5.10.1",
+    "mypy>=0.931",
+    "flake8>=4.0.1",
+    "twine>=4.0.0",
+    "build>=0.8.0",
+]
+
+[tool.setuptools.packages.find]
+where = ["src"]
+include = ["voly*"]
+
+[tool.black]
+line-length = 100
+target-version = ['py39']
+
+[tool.isort]
+profile = "black"
+line_length = 100
+multi_line_output = 3
+
+[tool.mypy]
+python_version = "3.9"
+warn_return_any = true
+warn_unused_configs = true
+disallow_untyped_defs = true
+disallow_incomplete_defs = true
+
+[tool.pytest.ini_options]
+testpaths = ["tests"]
+python_files = "test_*.py"

voly-0.0.1/setup.cfg

@@ -0,0 +1,4 @@
+[egg_info]
+tag_build = 
+tag_date = 0
+

voly-0.0.1/setup.py

@@ -0,0 +1,29 @@
+from setuptools import setup, find_packages
+
+if __name__ == "__main__":
+    setup(
+        name="voly",
+        package_dir={"": "src"},
+        packages=find_packages(where="src"),
+        install_requires=[
+            "pandas>=1.3.0",
+            "numpy>=1.20.0",
+            "scipy>=1.7.0",
+            "plotly>=5.3.0",
+            "scikit-learn>=1.0.0",
+            "websockets>=10.0",
+            "requests>=2.26.0",
+            "loguru>=0.5.3",
+        ],
+        extras_require={
+            'dev': [
+                "pytest>=7.0.0",
+                "black>=22.1.0",
+                "isort>=5.10.1",
+                "mypy>=0.931",
+                "flake8>=4.0.1",
+                "twine>=4.0.0",
+                "build>=0.8.0",
+            ]
+        }
+    )

voly-0.0.1/src/voly/__init__.py

@@ -0,0 +1,10 @@
+"""
+Voly - Options & volatility research package
+
+A package for options data analysis, volatility modeling,
+and risk-neutral density estimation.
+"""
+
+from voly.client import VolyClient
+
+__all__ = ["VolyClient"]