voly 0.0.232__tar.gz → 0.0.234__tar.gz

{voly-0.0.232/src/voly.egg-info → voly-0.0.234}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.232
+Version: 0.0.234
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.232 → voly-0.0.234}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.232"
+version = "0.0.234"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.232"
+python_version = "0.0.234"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.232 → voly-0.0.234}/src/voly/core/data.py

@@ -16,6 +16,7 @@ import datetime as dt
 import re
 import numpy as np
 from typing import List, Dict, Any, Optional, Union
+from voly.formulas import (bs, delta, gamma, vega, theta)
 from voly.utils.logger import logger, catch_exception
 from voly.exceptions import VolyError
 
@@ -250,7 +251,7 @@ def process_option_chain(df: pd.DataFrame, currency: str) -> pd.DataFrame:
     logger.info(f"Processing data for {currency}...")
 
     # Apply extraction to create new columns
-    df['spot_price'] = df['index_price']
+    df['spot_price'] = df['index_price'].iloc[0]
     s = df['spot_price'].iloc[0]
     df['instrument'] = df['instrument_name']
     splits = df['instrument'].str.split('-')
@@ -272,9 +273,9 @@ def process_option_chain(df: pd.DataFrame, currency: str) -> pd.DataFrame:
     df['bid_iv'] = df['bid_iv'].replace({0: np.nan}) / 100
     df['ask_iv'] = df['ask_iv'].replace({0: np.nan}) / 100
 
-    df['mark_price'] = df['mark_price'] * df['spot_price']
-    df['bid_price'] = df['best_bid_price'] * df['spot_price']
-    df['ask_price'] = df['best_ask_price'] * df['spot_price']
+    df['mark_price'] = df['mark_price'] * s
+    df['bid_price'] = df['best_bid_price'] * s
+    df['ask_price'] = df['best_ask_price'] * s
     df['bid_amount'] = df['best_bid_amount']
     df['ask_amount'] = df['best_ask_amount']
 
@@ -305,13 +306,21 @@ def process_option_chain(df: pd.DataFrame, currency: str) -> pd.DataFrame:
 
     df['bid_depth'] = df['bids']
     df['ask_depth'] = df['asks']
-    df['open_interest'] = df['open_interest'] * df['spot_price']
-    df['volume'] = df['volume_usd']
+
+    df['bs'] = voly.bs(s, df['strikes'], 0, df['mark_iv'], df['t'])
+    df['delta'] = voly.delta(s, df['strikes'], 0, df['mark_iv'], df['t'])
+    df['gamma'] = voly.gamma(s, df['strikes'], 0, df['mark_iv'], df['t']) * 10000
+    df['vega'] = voly.vega(s, df['strikes'], 0, df['mark_iv'], df['t'])
+    df['theta'] = voly.theta(s, df['strikes'], 0, df['mark_iv'], df['t'])
+    df['rho'] = voly.rho(s, df['strikes'], 0, df['mark_iv'], df['t'])
+
+    df['open_interest'] = df['open_interest'] * s
+    df['volume'] = df['volume'] * s
 
     df = df[['currency', 'spot_price',
              'timestamp', 'instrument', 'maturity', 'strikes', 'flag', 'expiry',
              'mark_iv', 'bid_iv', 'ask_iv', 'mark_price', 'bid_price', 'ask_price', 'bid_amount', 'ask_amount', 'bid_depth', 'ask_depth',
-             'delta', 'gamma', 'vega', 'theta', 'rho',
+             'bs', 'delta', 'gamma', 'vega', 'theta', 'rho',
              'interest_rate', 'open_interest', 'volume']]
 
     logger.info(f"Processing complete!")

{voly-0.0.232 → voly-0.0.234/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.232
+Version: 0.0.234
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT