voly 0.0.213__py3-none-any.whl → 0.0.215__py3-none-any.whl

voly/core/rnd.py

@@ -59,7 +59,6 @@ def breeden(domain_params, s, r, o, t, return_domain):
     rnd_k = np.maximum(np.exp(r * t) * c2, 0)
 
     # Transform to log-moneyness domain first
-    LM = domains['log_moneyness']
     rnd_lm = rnd_k * K  # Convert to log-moneyness domain
     pdf_lm = normalize_density(rnd_lm, dx)
 
@@ -161,7 +160,6 @@ def rookley(domain_params, s, r, o, t, return_domain):
     rnd_k = np.maximum(ert * s * dd_c_K, 0)
 
     # Transform to log-moneyness domain first
-    LM = domains['log_moneyness']
     rnd_lm = rnd_k * K  # Convert to log-moneyness domain
     pdf_lm = normalize_density(rnd_lm, dx)
 
@@ -329,7 +327,7 @@ def get_rnd_surface(model_results: pd.DataFrame,
         Dictionary containing pdf_surface, cdf_surface, x_surface, and moments
     """
     # Validate inputs
-    required_columns = ['s', 'a', 'b', 'sigma', 'm', 'rho', 't', 'r']
+    required_columns = ['s', 't', 'r', 'a', 'b', 'm', 'm', 'sigma']
     missing_columns = [col for col in required_columns if col not in model_results.columns]
     if missing_columns:
         raise VolyError(f"Required columns missing in model_results: {missing_columns}")
@@ -359,9 +357,9 @@ def get_rnd_surface(model_results: pd.DataFrame,
             params = [
                 model_results.loc[i, 'a'],
                 model_results.loc[i, 'b'],
-                model_results.loc[i, 'sigma'],
+                model_results.loc[i, 'm'],
                 model_results.loc[i, 'rho'],
-                model_results.loc[i, 'm']
+                model_results.loc[i, 'sigma']
             ]
             s = model_results.loc[i, 's']
             r = model_results.loc[i, 'r']
@@ -369,7 +367,7 @@ def get_rnd_surface(model_results: pd.DataFrame,
 
             # Calculate implied volatility surface from SVI parameters
             LM = np.linspace(domain_params[0], domain_params[1], domain_params[2])
-            w = np.array([SVIModel.svi(x, *params) for x in LM])
+            w = SVIModel.svi(LM, *params)
             o = np.sqrt(w / t)
 
             # Calculate RND using the selected method

{voly-0.0.213.dist-info → voly-0.0.215.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.213
+Version: 0.0.215
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.213.dist-info → voly-0.0.215.dist-info}/RECORD

@@ -9,12 +9,12 @@ voly/core/data.py,sha256=SNF87C7-r-1IbKwf7rAhXkJ6X305yo7fCDJDdkwz3NM,14103
 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/core/rnd.py,sha256=wiZ5OIjPDf1Th5_sQ9CZG5JgAo3EL8f63T_Rj1_VP-0,13214
 voly/utils/__init__.py,sha256=E05mWatyC-PDOsCxQV1p5Xi1IgpOomxrNURyCx_gB-w,200
 voly/utils/density.py,sha256=ONpRli-IaJDgOZ2sb27HHFc9_tkkGSATKl94JODd86A,5879
 voly/utils/logger.py,sha256=4-_2bVJmq17Q0d7Rd2mPg1AeR8gxv6EPvcmBDMFWcSM,1744
-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,,
+voly-0.0.215.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.215.dist-info/METADATA,sha256=BTY_qtByAPXOf28SBPF86KnXAR1zh4hjozSDSbBxf5Y,4115
+voly-0.0.215.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
+voly-0.0.215.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.215.dist-info/RECORD,,