voly 0.0.211__tar.gz → 0.0.213__tar.gz

{voly-0.0.211/src/voly.egg-info → voly-0.0.213}/PKG-INFO

@@ -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 → voly-0.0.213}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.211"
+version = "0.0.213"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.211"
+python_version = "0.0.213"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.211 → voly-0.0.213}/src/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-0.0.211 → voly-0.0.213}/src/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 → voly-0.0.213/src/voly.egg-info}/PKG-INFO

@@ -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