voly 0.0.222__tar.gz → 0.0.224__tar.gz

{voly-0.0.222/src/voly.egg-info → voly-0.0.224}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.222
+Version: 0.0.224
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.222 → voly-0.0.224}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.222"
+version = "0.0.224"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.222"
+python_version = "0.0.224"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.222 → voly-0.0.224}/src/voly/core/hd.py

@@ -128,6 +128,7 @@ def calculate_historical_returns(df_hist: pd.DataFrame, n_periods: int) -> Tuple
 
 @catch_exception
 def calculate_normal_hd(df_hist: pd.DataFrame,
+                        t: float,
                         n_periods: int,
                         domains: Dict[str, np.ndarray]) -> Dict[str, np.ndarray]:
     """
@@ -172,6 +173,7 @@ def calculate_normal_hd(df_hist: pd.DataFrame,
 
 @catch_exception
 def calculate_student_t_hd(df_hist: pd.DataFrame,
+                           t: float,
                            n_periods: int,
                            domains: Dict[str, np.ndarray]) -> Dict[str, np.ndarray]:
     """
@@ -233,6 +235,7 @@ def calculate_student_t_hd(df_hist: pd.DataFrame,
 
 @catch_exception
 def calculate_kde_hd(df_hist: pd.DataFrame,
+                     t: float,
                      n_periods: int,
                      domains: Dict[str, np.ndarray]) -> Dict[str, np.ndarray]:
     """
@@ -242,6 +245,8 @@ 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 +263,7 @@ 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 +368,7 @@ 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 → voly-0.0.224/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.222
+Version: 0.0.224
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT