voly 0.0.22__tar.gz → 0.0.24__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-0.0.22/src/voly.egg-info → voly-0.0.24}/PKG-INFO +1 -1
- {voly-0.0.22 → voly-0.0.24}/pyproject.toml +2 -2
- {voly-0.0.22 → voly-0.0.24}/src/voly/core/fit.py +2 -1
- {voly-0.0.22 → voly-0.0.24/src/voly.egg-info}/PKG-INFO +1 -1
- {voly-0.0.22 → voly-0.0.24}/LICENSE +0 -0
- {voly-0.0.22 → voly-0.0.24}/README.md +0 -0
- {voly-0.0.22 → voly-0.0.24}/setup.cfg +0 -0
- {voly-0.0.22 → voly-0.0.24}/setup.py +0 -0
- {voly-0.0.22 → voly-0.0.24}/src/voly/__init__.py +0 -0
- {voly-0.0.22 → voly-0.0.24}/src/voly/client.py +0 -0
- {voly-0.0.22 → voly-0.0.24}/src/voly/core/__init__.py +0 -0
- {voly-0.0.22 → voly-0.0.24}/src/voly/core/charts.py +0 -0
- {voly-0.0.22 → voly-0.0.24}/src/voly/core/data.py +0 -0
- {voly-0.0.22 → voly-0.0.24}/src/voly/core/interpolate.py +0 -0
- {voly-0.0.22 → voly-0.0.24}/src/voly/core/rnd.py +0 -0
- {voly-0.0.22 → voly-0.0.24}/src/voly/exceptions.py +0 -0
- {voly-0.0.22 → voly-0.0.24}/src/voly/formulas.py +0 -0
- {voly-0.0.22 → voly-0.0.24}/src/voly/models.py +0 -0
- {voly-0.0.22 → voly-0.0.24}/src/voly/utils/__init__.py +0 -0
- {voly-0.0.22 → voly-0.0.24}/src/voly/utils/logger.py +0 -0
- {voly-0.0.22 → voly-0.0.24}/src/voly.egg-info/SOURCES.txt +0 -0
- {voly-0.0.22 → voly-0.0.24}/src/voly.egg-info/dependency_links.txt +0 -0
- {voly-0.0.22 → voly-0.0.24}/src/voly.egg-info/requires.txt +0 -0
- {voly-0.0.22 → voly-0.0.24}/src/voly.egg-info/top_level.txt +0 -0
- {voly-0.0.22 → voly-0.0.24}/tests/test_client.py +0 -0
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@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
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[project]
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name = "voly"
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version = "0.0.
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version = "0.0.24"
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description = "Options & volatility research package"
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readme = "README.md"
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authors = [
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@@ -60,7 +60,7 @@ line_length = 100
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multi_line_output = 3
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[tool.mypy]
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python_version = "0.0.
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python_version = "0.0.24"
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warn_return_any = true
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warn_unused_configs = true
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disallow_untyped_defs = true
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@@ -289,11 +289,12 @@ def get_surface(fit_results: Dict[str, Any],
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# Get YTE values from the parameter matrix attributes
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yte_values = fit_results['fit_performance']['YTE']
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maturity_values = fit_results['fit_performance']['Maturity']
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param_matrix = fit_results['raw_param_matrix']
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# Generate implied volatility for each expiry
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for maturity, yte in zip(maturity_values, yte_values):
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svi_params = param_matrix[maturity].values
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w_svi = [SVIModel.svi(x, *svi_params) for x in
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w_svi = [SVIModel.svi(x, *svi_params) for x in moneyness_grid]
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iv_surface[yte] = np.sqrt(np.array(w_svi) / yte)
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return moneyness_grid, iv_surface
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