voly 0.0.221__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]
@@ -178,8 +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]:
     """
@@ -189,10 +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]
@@ -245,8 +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]:
     """
@@ -256,10 +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]
@@ -276,6 +258,8 @@ def calculate_kde_hd(df_hist: pd.DataFrame,
 
     # Get scaled returns
     scaled_returns, dte_returns = calculate_historical_returns(df_hist, n_periods)
+    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(scaled_returns, bw_method='scott')
@@ -323,7 +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}")
@@ -350,7 +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
@@ -368,7 +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
@@ -380,8 +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-0.0.221.dist-info → voly-0.0.222.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.221
+Version: 0.0.222
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.221.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=1Gbxvn2EVfOE89fJsjylsREzV_pE3Ab_a3rE0qEf71E,13865
+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-0.0.221.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.221.dist-info/METADATA,sha256=tTEL0rXh-JthRV4fid-xpHwbKWPkqyt6F-J4U8itpC8,4115
-voly-0.0.221.dist-info/WHEEL,sha256=ck4Vq1_RXyvS4Jt6SI0Vz6fyVs4GWg7AINwpsaGEgPE,91
-voly-0.0.221.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.221.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,,