voly 0.0.220__py3-none-any.whl → 0.0.222__py3-none-any.whl

voly/client.py

@@ -375,7 +375,6 @@ class VolyClient:
         Returns:
         - Dictionary with pdf_surface, cdf_surface, x_surface, and moments
         """
-        logger.info(f"Calculating HD surface using {method} method")
 
         return get_hd_surface(
             model_results=model_results,

voly/core/hd.py

@@ -128,8 +128,6 @@ def calculate_historical_returns(df_hist: pd.DataFrame, n_periods: int) -> Tuple
 
 @catch_exception
 def calculate_normal_hd(df_hist: pd.DataFrame,
-                        t: float,
-                        r: float,
                         n_periods: int,
                         domains: Dict[str, np.ndarray]) -> Dict[str, np.ndarray]:
     """
@@ -139,10 +137,6 @@ def calculate_normal_hd(df_hist: pd.DataFrame,
     -----------
     df_hist : pd.DataFrame
         Historical price data
-    t : float
-        Time to maturity in years
-    r : float
-        Risk-free rate
     n_periods : int
         Number of periods to scale returns
     domains : Dict[str, np.ndarray]
@@ -164,13 +158,8 @@ def calculate_normal_hd(df_hist: pd.DataFrame,
     mu_scaled = np.mean(scaled_returns)
     sigma_scaled = np.std(scaled_returns)
 
-    # Apply Girsanov adjustment to shift to risk-neutral measure
-    expected_risk_neutral_mean = (r - 0.5 * sigma_scaled ** 2) * np.sqrt(t)
-    adjustment = mu_scaled - expected_risk_neutral_mean
-    mu_rn = mu_scaled - adjustment
-
     # Calculate PDF using normal distribution in log-moneyness domain
-    pdf_lm = stats.norm.pdf(LM, loc=mu_rn, scale=sigma_scaled)
+    pdf_lm = stats.norm.pdf(LM, loc=mu_scaled, scale=sigma_scaled)
 
     # Normalize the PDF
     pdf_lm = normalize_density(pdf_lm, dx)
@@ -183,8 +172,6 @@ def calculate_normal_hd(df_hist: pd.DataFrame,
 
 @catch_exception
 def calculate_student_t_hd(df_hist: pd.DataFrame,
-                           t: float,
-                           r: float,
                            n_periods: int,
                            domains: Dict[str, np.ndarray]) -> Dict[str, np.ndarray]:
     """
@@ -194,10 +181,6 @@ def calculate_student_t_hd(df_hist: pd.DataFrame,
     -----------
     df_hist : pd.DataFrame
         Historical price data
-    t : float
-        Time to maturity in years
-    r : float
-        Risk-free rate
     n_periods : int
         Number of periods to scale returns
     domains : Dict[str, np.ndarray]
@@ -230,11 +213,6 @@ def calculate_student_t_hd(df_hist: pd.DataFrame,
     else:
         df = 5  # Default value if kurtosis calculation fails
 
-    # Apply Girsanov adjustment to shift to risk-neutral measure
-    expected_risk_neutral_mean = (r - 0.5 * sigma_scaled ** 2) * np.sqrt(t)
-    adjustment = mu_scaled - expected_risk_neutral_mean
-    mu_rn = mu_scaled - adjustment
-
     # Scale parameter for t-distribution
     # In scipy's t-distribution, the scale parameter is different from normal std
     # For t-distribution: variance = (df/(df-2)) * scale^2
@@ -242,7 +220,7 @@ def calculate_student_t_hd(df_hist: pd.DataFrame,
     scale = sigma_scaled * np.sqrt((df - 2) / df) if df > 2 else sigma_scaled
 
     # Calculate PDF using t-distribution in log-moneyness domain
-    pdf_lm = student_t.pdf(LM, df=df, loc=mu_rn, scale=scale)
+    pdf_lm = student_t.pdf(LM, df=df, loc=mu_scaled, scale=scale)
 
     # Normalize the PDF
     pdf_lm = normalize_density(pdf_lm, dx)
@@ -255,8 +233,6 @@ def calculate_student_t_hd(df_hist: pd.DataFrame,
 
 @catch_exception
 def calculate_kde_hd(df_hist: pd.DataFrame,
-                     t: float,
-                     r: float,
                      n_periods: int,
                      domains: Dict[str, np.ndarray]) -> Dict[str, np.ndarray]:
     """
@@ -266,10 +242,6 @@ def calculate_kde_hd(df_hist: pd.DataFrame,
     -----------
     df_hist : pd.DataFrame
         Historical price data
-    t : float
-        Time to maturity in years
-    r : float
-        Risk-free rate
     n_periods : int
         Number of periods to scale returns
     domains : Dict[str, np.ndarray]
@@ -286,20 +258,11 @@ def calculate_kde_hd(df_hist: pd.DataFrame,
 
     # Get scaled returns
     scaled_returns, dte_returns = calculate_historical_returns(df_hist, n_periods)
-
-    # Calculate parameters (for Girsanov adjustment)
-    mu_scaled = np.mean(scaled_returns)
-    sigma_scaled = np.std(scaled_returns)
-
-    # Apply Girsanov adjustment to shift to risk-neutral measure
-    expected_risk_neutral_mean = (r - 0.5 * sigma_scaled ** 2) * np.sqrt(t)
-    adjustment = mu_scaled - expected_risk_neutral_mean
-
-    # Shift the returns to be risk-neutral
-    rn_returns = scaled_returns - adjustment + expected_risk_neutral_mean
+    vol = np.sqrt(scaled_returns.std())
+    scaled_returns = scaled_returns / vol
 
     # Fit KDE model using scipy's gaussian_kde with Scott's rule for bandwidth
-    kde = stats.gaussian_kde(rn_returns, bw_method='scott')
+    kde = stats.gaussian_kde(scaled_returns, bw_method='scott')
 
     # Evaluate KDE at points in log-moneyness domain
     pdf_lm = kde(LM)
@@ -344,7 +307,7 @@ def get_hd_surface(model_results: pd.DataFrame,
         Dictionary with pdf_surface, cdf_surface, x_surface, and moments
     """
     # Validate inputs
-    required_columns = ['s', 't', 'r']
+    required_columns = ['s', 't']
     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}")
@@ -371,7 +334,7 @@ def get_hd_surface(model_results: pd.DataFrame,
         logger.info("Using Kernel Density Estimation (KDE) for historical density")
     else:  # default to normal
         calculate_hd = calculate_normal_hd
-        logger.info("Using normal distribution for historical density")
+        logger.info("Using Normal distribution for historical density")
 
     # Determine granularity from data (minutes between data points)
     time_diff = (df_hist.index[1] - df_hist.index[0]).total_seconds() / 60
@@ -389,7 +352,6 @@ def get_hd_surface(model_results: pd.DataFrame,
             # Get parameters for this maturity
             s = model_results.loc[i, 's']  # Spot price
             t = model_results.loc[i, 't']  # Time to maturity in years
-            r = model_results.loc[i, 'r']  # Risk-free rate
 
             # Calculate relevant periods for this maturity
             dte = t * 365.25  # Days to expiry
@@ -401,8 +363,6 @@ def get_hd_surface(model_results: pd.DataFrame,
             # Calculate density using the selected method
             pdfs = calculate_hd(
                 df_hist=df_hist,
-                t=t,
-                r=r,
                 n_periods=n_periods,
                 domains=domains
             )

voly/core/interpolate.py

@@ -29,7 +29,6 @@ def interpolate_model(fit_results: pd.DataFrame,
     Returns:
     - DataFrame with interpolated model parameters for the specified days
     """
-    logger.info(f"Interpolating model parameters using {method} method")
 
     # Check if fit_results is valid
     if fit_results is None or fit_results.empty:
@@ -68,7 +67,7 @@ def interpolate_model(fit_results: pd.DataFrame,
                 "Extrapolation may give unreliable results.")
 
     # Columns to interpolate
-    param_columns = ['u', 'a', 'b', 'sigma', 'rho', 'm', 'nu', 'psi', 'p', 'c', 'nu_tilde']
+    param_columns = ['a', 'b', 'm', 'rho', 'sigma', 'nu', 'psi', 'p', 'c', 'nu_tilde']
 
     # Create empty DataFrame for interpolated results
     interpolated_df = pd.DataFrame(index=[f"{day}d" for day in target_days])
@@ -119,7 +118,7 @@ def interpolate_model(fit_results: pd.DataFrame,
                 interpolated_df[param] = f(target_years)
 
     # Ensure consistent ordering of columns with expected structure
-    expected_columns = ['s', 'u', 't', 'r', 'maturity_date', 'a', 'b', 'sigma', 'rho', 'm',
+    expected_columns = ['s', 't', 'r', 'maturity_date', 'a', 'b', 'm', 'rho', 'sigma',
                         'nu', 'psi', 'p', 'c', 'nu_tilde']
 
     # Create final column order based on available columns

{voly-0.0.220.dist-info → voly-0.0.222.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.220
+Version: 0.0.222
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.220.dist-info → voly-0.0.222.dist-info}/RECORD

@@ -1,5 +1,5 @@
 voly/__init__.py,sha256=8xyDk7rFCn_MOD5hxuv5cxxKZvBVRiSIM7TgaMPpwpw,211
-voly/client.py,sha256=BHcTRfoM2VLoBsMLmp0QGt4dlgrjZ0CdC0L4PeefUI0,14479
+voly/client.py,sha256=F5jRdmEfxoE2RGHryCntRFrKLlyS7W974jEtEcBz8Co,14410
 voly/exceptions.py,sha256=PBsbn1vNMvKcCJwwJ4lBO6glD85jo1h2qiEmD7ArAjs,92
 voly/formulas.py,sha256=Jn9hBoIx6PGv9k4lm8PeGM4lxFJkrLau8LpnXatdQPM,11176
 voly/models.py,sha256=CGJQr13Uie7iwtx2hjViN9lMXeRN_uOqzp4u8NPaTlA,9282
@@ -7,14 +7,14 @@ 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=bVyx7qMgFFpTUjgoCUs58ppmeNN2CORnqPKbGUpV9xw,14081
-voly/core/hd.py,sha256=UFAyLncNUHivpPAcko6IK1bC55mudVtdlRFfXp63HXE,14771
-voly/core/interpolate.py,sha256=JkK172-FXyhesW3hY4pEeuJWG3Bugq7QZXbeKoRpLuo,5305
+voly/core/hd.py,sha256=gyGfrqMH52Y1umqCDcyO3yD35fh_JRM2ZfAeqb_--vU,13381
+voly/core/interpolate.py,sha256=-cNChFpuLnCSMOmfW2ldXxePgQXi-pxcjJvF2yImD1w,5222
 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-0.0.220.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.220.dist-info/METADATA,sha256=rgHwubZX4cFKLWm7Cw2iPFDA6ClzR0GKx02d4HES6vY,4115
-voly-0.0.220.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
-voly-0.0.220.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.220.dist-info/RECORD,,
+voly-0.0.222.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.222.dist-info/METADATA,sha256=38E1kmnHs1z5ivWU4Bf7lnce5v5Bd2hFb9RDOtJMNc8,4115
+voly-0.0.222.dist-info/WHEEL,sha256=ck4Vq1_RXyvS4Jt6SI0Vz6fyVs4GWg7AINwpsaGEgPE,91
+voly-0.0.222.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.222.dist-info/RECORD,,

{voly-0.0.220.dist-info → voly-0.0.222.dist-info}/WHEEL

@@ -1,5 +1,5 @@
 Wheel-Version: 1.0
-Generator: setuptools (79.0.0)
+Generator: setuptools (80.0.0)
 Root-Is-Purelib: true
 Tag: py3-none-any