voly 0.0.211__tar.gz → 0.0.212__tar.gz
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- {voly-0.0.211/src/voly.egg-info → voly-0.0.212}/PKG-INFO +1 -1
- {voly-0.0.211 → voly-0.0.212}/pyproject.toml +2 -2
- {voly-0.0.211 → voly-0.0.212}/src/voly/core/fit.py +4 -1
- {voly-0.0.211 → voly-0.0.212/src/voly.egg-info}/PKG-INFO +1 -1
- {voly-0.0.211 → voly-0.0.212}/LICENSE +0 -0
- {voly-0.0.211 → voly-0.0.212}/README.md +0 -0
- {voly-0.0.211 → voly-0.0.212}/setup.cfg +0 -0
- {voly-0.0.211 → voly-0.0.212}/setup.py +0 -0
- {voly-0.0.211 → voly-0.0.212}/src/voly/__init__.py +0 -0
- {voly-0.0.211 → voly-0.0.212}/src/voly/client.py +0 -0
- {voly-0.0.211 → voly-0.0.212}/src/voly/core/__init__.py +0 -0
- {voly-0.0.211 → voly-0.0.212}/src/voly/core/charts.py +0 -0
- {voly-0.0.211 → voly-0.0.212}/src/voly/core/data.py +0 -0
- {voly-0.0.211 → voly-0.0.212}/src/voly/core/hd.py +0 -0
- {voly-0.0.211 → voly-0.0.212}/src/voly/core/interpolate.py +0 -0
- {voly-0.0.211 → voly-0.0.212}/src/voly/core/rnd.py +0 -0
- {voly-0.0.211 → voly-0.0.212}/src/voly/exceptions.py +0 -0
- {voly-0.0.211 → voly-0.0.212}/src/voly/formulas.py +0 -0
- {voly-0.0.211 → voly-0.0.212}/src/voly/models.py +0 -0
- {voly-0.0.211 → voly-0.0.212}/src/voly/utils/__init__.py +0 -0
- {voly-0.0.211 → voly-0.0.212}/src/voly/utils/density.py +0 -0
- {voly-0.0.211 → voly-0.0.212}/src/voly/utils/logger.py +0 -0
- {voly-0.0.211 → voly-0.0.212}/src/voly.egg-info/SOURCES.txt +0 -0
- {voly-0.0.211 → voly-0.0.212}/src/voly.egg-info/dependency_links.txt +0 -0
- {voly-0.0.211 → voly-0.0.212}/src/voly.egg-info/requires.txt +0 -0
- {voly-0.0.211 → voly-0.0.212}/src/voly.egg-info/top_level.txt +0 -0
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@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
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[project]
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name = "voly"
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version = "0.0.
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version = "0.0.212"
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description = "Options & volatility research package"
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readme = "README.md"
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authors = [
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@@ -60,7 +60,7 @@ line_length = 100
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multi_line_output = 3
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[tool.mypy]
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python_version = "0.0.
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python_version = "0.0.212"
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warn_return_any = true
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warn_unused_configs = true
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disallow_untyped_defs = true
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@@ -27,6 +27,7 @@ class SVICalibrator:
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self.option_chain = option_chain
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self.currency = currency
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self.s = option_chain['index_price'].iloc[0]
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self.r = option_chain['interest_rate'].iloc[0] if 'interest_rate' in option_chain else 0.0
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self.groups = option_chain.groupby('maturity_date')
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self.params_dict = {}
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self.results_data = {}
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# Initialize results data template
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self.field_names = [
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's', 't', 'maturity_date', 'maturity_name', 'a', 'b', 'm', 'rho', 'sigma',
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's', 't', 'r', 'maturity_date', 'maturity_name', 'a', 'b', 'm', 'rho', 'sigma',
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'nu', 'psi', 'p', 'c', 'nu_tilde', 'log_min_strike', 'usd_min_strike',
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'fit_success', 'butterfly_arbitrage_free', 'calendar_arbitrage_free',
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'rmse', 'mae', 'r2', 'max_error', 'loss', 'n_points'
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return {
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's': float(self.s),
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't': float(t),
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'r': float(self.r),
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'maturity_date': maturity,
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'maturity_name': maturity_name,
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'fit_success': False,
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result = {
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's': float(self.s),
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't': float(t),
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'r': float(self.r),
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'maturity_date': maturity,
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'maturity_name': maturity_name,
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'fit_success': True,
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