voly 0.0.211__py3-none-any.whl → 0.0.213__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/utils/density.py

@@ -36,7 +36,7 @@ def prepare_domains(domain_params: Tuple[float, float, int],
     # Calculate other domains
     M = np.exp(LM)  # Moneyness
     R = M - 1  # Returns
-    K = s / M  # Strike prices
+    K = M * s  # Strike prices
 
     # Precompute differentials for integration
     dx = LM[1] - LM[0]

{voly-0.0.211.dist-info → voly-0.0.213.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.211
+Version: 0.0.213
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.211.dist-info → voly-0.0.213.dist-info}/RECORD

@@ -6,15 +6,15 @@ 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/density.py,sha256=ONpRli-IaJDgOZ2sb27HHFc9_tkkGSATKl94JODd86A,5879
 voly/utils/logger.py,sha256=4-_2bVJmq17Q0d7Rd2mPg1AeR8gxv6EPvcmBDMFWcSM,1744
-voly-0.0.211.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.211.dist-info/METADATA,sha256=YbOkH_HMI6I8EqazfJcyIryx-JXBmksBXYaARw8sE0Y,4115
-voly-0.0.211.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
-voly-0.0.211.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.211.dist-info/RECORD,,
+voly-0.0.213.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.213.dist-info/METADATA,sha256=DRsNILEmUVwj9Z96uqqGxfxtC11tap8sHmiaTdfbbxY,4115
+voly-0.0.213.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
+voly-0.0.213.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.213.dist-info/RECORD,,