voly 0.0.213__tar.gz → 0.0.215__tar.gz

{voly-0.0.213/src/voly.egg-info → voly-0.0.215}/PKG-INFO

@@ -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 → voly-0.0.215}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.213"
+version = "0.0.215"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.213"
+python_version = "0.0.215"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.213 → voly-0.0.215}/src/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 → voly-0.0.215/src/voly.egg-info}/PKG-INFO

@@ -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