voly 0.0.210__py3-none-any.whl → 0.0.212__py3-none-any.whl

voly/core/fit.py

@@ -27,6 +27,7 @@ class SVICalibrator:
         self.option_chain = option_chain
         self.currency = currency
         self.s = option_chain['index_price'].iloc[0]
+        self.r = option_chain['interest_rate'].iloc[0] if 'interest_rate' in option_chain else 0.0
         self.groups = option_chain.groupby('maturity_date')
         self.params_dict = {}
         self.results_data = {}
@@ -34,7 +35,7 @@ class SVICalibrator:
 
         # Initialize results data template
         self.field_names = [
-            's', 't', 'maturity_date', 'maturity_name', 'a', 'b', 'm', 'rho', 'sigma',
+            's', 't', 'r', 'maturity_date', 'maturity_name', 'a', 'b', 'm', 'rho', 'sigma',
             'nu', 'psi', 'p', 'c', 'nu_tilde', 'log_min_strike', 'usd_min_strike',
             'fit_success', 'butterfly_arbitrage_free', 'calendar_arbitrage_free',
             'rmse', 'mae', 'r2', 'max_error', 'loss', 'n_points'
@@ -49,6 +50,7 @@ class SVICalibrator:
         return {
             's': float(self.s),
             't': float(t),
+            'r': float(self.r),
             'maturity_date': maturity,
             'maturity_name': maturity_name,
             'fit_success': False,
@@ -169,6 +171,7 @@ class SVICalibrator:
         result = {
             's': float(self.s),
             't': float(t),
+            'r': float(self.r),
             'maturity_date': maturity,
             'maturity_name': maturity_name,
             'fit_success': True,

voly/formulas.py

@@ -305,7 +305,7 @@ def get_domain(domain_params: Tuple[float, float, int] = (-1.5, 1.5, 1000),
     elif return_domain == 'strikes':
         if s is None:
             raise ValueError("Spot price 's' is required for return_domain='strikes'.")
-        return s / np.exp(LM)
+        return np.exp(LM) * s
 
     elif return_domain == 'delta':
         # Check for required parameters
@@ -320,7 +320,7 @@ def get_domain(domain_params: Tuple[float, float, int] = (-1.5, 1.5, 1000),
                 f"Length 'o'={len(o)}, length 'LM'={len(LM)}")
 
         # Compute strikes
-        K = s / np.exp(LM)
+        K = np.exp(LM) * s
 
         # Compute deltas
         D = delta(s, K, r, o, t, 'call')

{voly-0.0.210.dist-info → voly-0.0.212.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.210
+Version: 0.0.212
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.210.dist-info → voly-0.0.212.dist-info}/RECORD

@@ -1,20 +1,20 @@
 voly/__init__.py,sha256=8xyDk7rFCn_MOD5hxuv5cxxKZvBVRiSIM7TgaMPpwpw,211
 voly/client.py,sha256=0kp2_I-imcJ6uxMcvS0BipS2PgWdFaCPZG5335Vg75Q,14383
 voly/exceptions.py,sha256=PBsbn1vNMvKcCJwwJ4lBO6glD85jo1h2qiEmD7ArAjs,92
-voly/formulas.py,sha256=JnEs6G0wlfRNH6X_YEJMe2RtLH-ryhzufjsim73Bj3c,11176
+voly/formulas.py,sha256=Jn9hBoIx6PGv9k4lm8PeGM4lxFJkrLau8LpnXatdQPM,11176
 voly/models.py,sha256=tcilQxvUwObN41ar0j3pBmsw9Q5ddFRIa_LvrqNPx3Q,9305
 voly/core/__init__.py,sha256=bu6fS2I1Pj9fPPnl-zY3L7NqrZSY5Zy6NY2uMUvdhKs,183
 voly/core/charts.py,sha256=2S-BfCo30aj1_xlNLqF-za5rQWxF_mWKIdtdOe5bgbw,12735
 voly/core/data.py,sha256=SNF87C7-r-1IbKwf7rAhXkJ6X305yo7fCDJDdkwz3NM,14103
-voly/core/fit.py,sha256=Iz-khsr4KrM3KUheJX7iHWUDbAzueSZvqjt47BGYZig,14024
+voly/core/fit.py,sha256=XlqMfVC4EUC0YmmQU-Za_4SSVoQsa6ndT6AWXgdWVFU,14192
 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-0.0.210.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.210.dist-info/METADATA,sha256=nOb1_GHx1y4Q020yf6HygkYn4RD5vKbNhWRJCBKHsXM,4115
-voly-0.0.210.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
-voly-0.0.210.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.210.dist-info/RECORD,,
+voly-0.0.212.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.212.dist-info/METADATA,sha256=X15mBA_SRU4iVsc7mrfj3b0unomoIxqgoZSFZYPj9V0,4115
+voly-0.0.212.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
+voly-0.0.212.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.212.dist-info/RECORD,,