voly 0.0.222__py3-none-any.whl → 0.0.223__py3-none-any.whl

voly/core/hd.py

@@ -128,6 +128,8 @@ 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]:
     """
@@ -172,6 +174,8 @@ 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]:
     """
@@ -233,6 +237,8 @@ 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]:
     """
@@ -242,6 +248,8 @@ def calculate_kde_hd(df_hist: pd.DataFrame,
     -----------
     df_hist : pd.DataFrame
         Historical price data
+    t : float
+        Time to maturity in years
     n_periods : int
         Number of periods to scale returns
     domains : Dict[str, np.ndarray]
@@ -258,7 +266,7 @@ 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())
+    #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
@@ -363,6 +371,7 @@ def get_hd_surface(model_results: pd.DataFrame,
             # Calculate density using the selected method
             pdfs = calculate_hd(
                 df_hist=df_hist,
+                t = t,
                 n_periods=n_periods,
                 domains=domains
             )

{voly-0.0.222.dist-info → voly-0.0.223.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.222
+Version: 0.0.223
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.222.dist-info → voly-0.0.223.dist-info}/RECORD

@@ -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=gyGfrqMH52Y1umqCDcyO3yD35fh_JRM2ZfAeqb_--vU,13381
+voly/core/hd.py,sha256=1v8jbZZkshGvS8jVWeshSA99JgQ1KpHFXA462ovhtZc,13657
 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-0.0.222.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-0.0.223.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.223.dist-info/METADATA,sha256=5-OCEZktVlR9i7RYwLu10_e9Lp6kDemPY8cd7gRBhwc,4115
+voly-0.0.223.dist-info/WHEEL,sha256=ck4Vq1_RXyvS4Jt6SI0Vz6fyVs4GWg7AINwpsaGEgPE,91
+voly-0.0.223.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.223.dist-info/RECORD,,