voly 0.0.223__tar.gz → 0.0.225__tar.gz
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- {voly-0.0.223/src/voly.egg-info → voly-0.0.225}/PKG-INFO +1 -1
- {voly-0.0.223 → voly-0.0.225}/pyproject.toml +2 -2
- {voly-0.0.223 → voly-0.0.225}/src/voly/core/hd.py +1 -4
- {voly-0.0.223 → voly-0.0.225/src/voly.egg-info}/PKG-INFO +1 -1
- {voly-0.0.223 → voly-0.0.225}/LICENSE +0 -0
- {voly-0.0.223 → voly-0.0.225}/README.md +0 -0
- {voly-0.0.223 → voly-0.0.225}/setup.cfg +0 -0
- {voly-0.0.223 → voly-0.0.225}/setup.py +0 -0
- {voly-0.0.223 → voly-0.0.225}/src/voly/__init__.py +0 -0
- {voly-0.0.223 → voly-0.0.225}/src/voly/client.py +0 -0
- {voly-0.0.223 → voly-0.0.225}/src/voly/core/__init__.py +0 -0
- {voly-0.0.223 → voly-0.0.225}/src/voly/core/charts.py +0 -0
- {voly-0.0.223 → voly-0.0.225}/src/voly/core/data.py +0 -0
- {voly-0.0.223 → voly-0.0.225}/src/voly/core/fit.py +0 -0
- {voly-0.0.223 → voly-0.0.225}/src/voly/core/interpolate.py +0 -0
- {voly-0.0.223 → voly-0.0.225}/src/voly/core/rnd.py +0 -0
- {voly-0.0.223 → voly-0.0.225}/src/voly/exceptions.py +0 -0
- {voly-0.0.223 → voly-0.0.225}/src/voly/formulas.py +0 -0
- {voly-0.0.223 → voly-0.0.225}/src/voly/models.py +0 -0
- {voly-0.0.223 → voly-0.0.225}/src/voly/utils/__init__.py +0 -0
- {voly-0.0.223 → voly-0.0.225}/src/voly/utils/density.py +0 -0
- {voly-0.0.223 → voly-0.0.225}/src/voly/utils/logger.py +0 -0
- {voly-0.0.223 → voly-0.0.225}/src/voly.egg-info/SOURCES.txt +0 -0
- {voly-0.0.223 → voly-0.0.225}/src/voly.egg-info/dependency_links.txt +0 -0
- {voly-0.0.223 → voly-0.0.225}/src/voly.egg-info/requires.txt +0 -0
- {voly-0.0.223 → voly-0.0.225}/src/voly.egg-info/top_level.txt +0 -0
|
@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
|
|
|
4
4
|
|
|
5
5
|
[project]
|
|
6
6
|
name = "voly"
|
|
7
|
-
version = "0.0.
|
|
7
|
+
version = "0.0.225"
|
|
8
8
|
description = "Options & volatility research package"
|
|
9
9
|
readme = "README.md"
|
|
10
10
|
authors = [
|
|
@@ -60,7 +60,7 @@ line_length = 100
|
|
|
60
60
|
multi_line_output = 3
|
|
61
61
|
|
|
62
62
|
[tool.mypy]
|
|
63
|
-
python_version = "0.0.
|
|
63
|
+
python_version = "0.0.225"
|
|
64
64
|
warn_return_any = true
|
|
65
65
|
warn_unused_configs = true
|
|
66
66
|
disallow_untyped_defs = true
|
|
@@ -129,7 +129,6 @@ def calculate_historical_returns(df_hist: pd.DataFrame, n_periods: int) -> Tuple
|
|
|
129
129
|
@catch_exception
|
|
130
130
|
def calculate_normal_hd(df_hist: pd.DataFrame,
|
|
131
131
|
t: float,
|
|
132
|
-
r: float,
|
|
133
132
|
n_periods: int,
|
|
134
133
|
domains: Dict[str, np.ndarray]) -> Dict[str, np.ndarray]:
|
|
135
134
|
"""
|
|
@@ -175,7 +174,6 @@ def calculate_normal_hd(df_hist: pd.DataFrame,
|
|
|
175
174
|
@catch_exception
|
|
176
175
|
def calculate_student_t_hd(df_hist: pd.DataFrame,
|
|
177
176
|
t: float,
|
|
178
|
-
r: float,
|
|
179
177
|
n_periods: int,
|
|
180
178
|
domains: Dict[str, np.ndarray]) -> Dict[str, np.ndarray]:
|
|
181
179
|
"""
|
|
@@ -238,7 +236,6 @@ def calculate_student_t_hd(df_hist: pd.DataFrame,
|
|
|
238
236
|
@catch_exception
|
|
239
237
|
def calculate_kde_hd(df_hist: pd.DataFrame,
|
|
240
238
|
t: float,
|
|
241
|
-
r: float,
|
|
242
239
|
n_periods: int,
|
|
243
240
|
domains: Dict[str, np.ndarray]) -> Dict[str, np.ndarray]:
|
|
244
241
|
"""
|
|
@@ -267,7 +264,7 @@ def calculate_kde_hd(df_hist: pd.DataFrame,
|
|
|
267
264
|
# Get scaled returns
|
|
268
265
|
scaled_returns, dte_returns = calculate_historical_returns(df_hist, n_periods)
|
|
269
266
|
#vol = np.sqrt(scaled_returns.std())
|
|
270
|
-
scaled_returns = scaled_returns /
|
|
267
|
+
scaled_returns = scaled_returns / t
|
|
271
268
|
|
|
272
269
|
# Fit KDE model using scipy's gaussian_kde with Scott's rule for bandwidth
|
|
273
270
|
kde = stats.gaussian_kde(scaled_returns, bw_method='scott')
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|
|
File without changes
|