voly 0.0.200__tar.gz → 0.0.202__tar.gz

{voly-0.0.200/src/voly.egg-info → voly-0.0.202}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.200
+Version: 0.0.202
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.200 → voly-0.0.202}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.200"
+version = "0.0.202"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.200"
+python_version = "0.0.202"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.200 → voly-0.0.202}/src/voly/core/fit.py

@@ -32,9 +32,7 @@ def fit_model(option_chain: pd.DataFrame, num_points: int = 2000) -> Tuple[pd.Da
     - num_points: Number of points for k_grid and plotting
 
     Returns:
-    - Tuple of (results_df, params_dict)
-      results_df: DataFrame with all fit results and performance metrics as columns, maturity_dates as index
-      params_dict: Dictionary mapping maturity_dates to (t, params)
+    - results_df: DataFrame with all fit results and performance metrics as columns, maturity_names as index
     """
     # Start overall timer
     start_total = time.time()
@@ -192,6 +190,9 @@ def fit_model(option_chain: pd.DataFrame, num_points: int = 2000) -> Tuple[pd.Da
     # Create results DataFrame
     results_df = pd.DataFrame(results_data, index=results_data['maturity_name'])
 
+    # Map maturity_date to maturity_name for indexing
+    date_to_name = dict(zip(results_data['maturity_date'], results_data['maturity_name']))
+
     # Convert columns to appropriate types
     for col, dtype in column_dtypes.items():
         if col in results_df.columns:
@@ -234,7 +235,7 @@ def fit_model(option_chain: pd.DataFrame, num_points: int = 2000) -> Tuple[pd.Da
             break
 
     for mat in sorted_maturities:
-        results_df.at[mat, 'calendar_arbitrage_free'] = calendar_arbitrage_free
+        results_df.at[date_to_name[mat], 'calendar_arbitrage_free'] = calendar_arbitrage_free
 
     # Calendar arbitrage correction
     for i in range(1, len(sorted_maturities)):
@@ -293,24 +294,24 @@ def fit_model(option_chain: pd.DataFrame, num_points: int = 2000) -> Tuple[pd.Da
                 butterfly_arbitrage_free = False
                 break
 
-        results_df.at[mat2, 'a'] = float(a_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)
-        results_df.at[mat2, 'nu'] = float(nu)
-        results_df.at[mat2, 'psi'] = float(psi)
-        results_df.at[mat2, 'p'] = float(p)
-        results_df.at[mat2, 'c'] = float(c)
-        results_df.at[mat2, 'nu_tilde'] = float(nu_tilde)
-        results_df.at[mat2, 'rmse'] = float(rmse)
-        results_df.at[mat2, 'mae'] = float(mae)
-        results_df.at[mat2, 'r2'] = float(r2)
-        results_df.at[mat2, 'max_error'] = float(max_error)
-        results_df.at[mat2, 'log_min_strike'] = float(log_min_strike)
-        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))
+        results_df.at[date_to_name[mat2], 'a'] = float(a_scaled)
+        results_df.at[date_to_name[mat2], 'b'] = float(b_scaled)
+        results_df.at[date_to_name[mat2], 'm'] = float(m)
+        results_df.at[date_to_name[mat2], 'rho'] = float(rho)
+        results_df.at[date_to_name[mat2], 'sigma'] = float(sigma)
+        results_df.at[date_to_name[mat2], 'nu'] = float(nu)
+        results_df.at[date_to_name[mat2], 'psi'] = float(psi)
+        results_df.at[date_to_name[mat2], 'p'] = float(p)
+        results_df.at[date_to_name[mat2], 'c'] = float(c)
+        results_df.at[date_to_name[mat2], 'nu_tilde'] = float(nu_tilde)
+        results_df.at[date_to_name[mat2], 'rmse'] = float(rmse)
+        results_df.at[date_to_name[mat2], 'mae'] = float(mae)
+        results_df.at[date_to_name[mat2], 'r2'] = float(r2)
+        results_df.at[date_to_name[mat2], 'max_error'] = float(max_error)
+        results_df.at[date_to_name[mat2], 'log_min_strike'] = float(log_min_strike)
+        results_df.at[date_to_name[mat2], 'usd_min_strike'] = float(usd_min_strike)
+        results_df.at[date_to_name[mat2], 'butterfly_arbitrage_free'] = butterfly_arbitrage_free
+        results_df.at[date_to_name[mat2], 'fit_success'] = bool(not np.isnan(a))
 
     # Calendar arbitrage check (post-correction)
     calendar_arbitrage_free = True
@@ -341,13 +342,14 @@ def fit_model(option_chain: pd.DataFrame, num_points: int = 2000) -> Tuple[pd.Da
             break
 
     for mat in sorted_maturities:
-        results_df.at[mat, 'calendar_arbitrage_free'] = calendar_arbitrage_free
+        results_df.at[date_to_name[mat], 'calendar_arbitrage_free'] = calendar_arbitrage_free
 
     # End overall timer and print total time
     end_total = time.time()
     logger.info(f"Total execution time for the model: {end_total - start_total:.4f} seconds")
 
     logger.info("Model fitting complete.")
+    results_df = results_df.drop(columns='maturity_name')
     return results_df
 
 

{voly-0.0.200 → voly-0.0.202/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.200
+Version: 0.0.202
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT