voly 0.0.233__py3-none-any.whl → 0.0.235__py3-none-any.whl

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
 
@@ -306,6 +307,7 @@ def process_option_chain(df: pd.DataFrame, currency: str) -> pd.DataFrame:
     df['bid_depth'] = df['bids']
     df['ask_depth'] = df['asks']
 
+    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'])
@@ -318,7 +320,7 @@ def process_option_chain(df: pd.DataFrame, currency: str) -> pd.DataFrame:
     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/formulas.py

@@ -8,50 +8,49 @@ from scipy.stats import norm
 from py_vollib.black_scholes.implied_volatility import implied_volatility
 from typing import Tuple, Dict, Union, List, Optional
 from voly.utils.logger import catch_exception
-from typing import Tuple
+from voly.exceptions import VolyError
 
 
 @catch_exception
 def vectorize_inputs(func):
-    """
-    Decorator to vectorize Black-Scholes functions to handle both scalar and array inputs.
-    For invalid inputs (K <= 0, o <= 0, or t <= 0), returns np.nan instead of trying to compute.
-    """
-
-    def wrapper(s, K, r, o, t, flag='call'):
-        # Check if inputs are scalar
-        K_scalar = np.isscalar(K)
-        o_scalar = np.isscalar(o)
-        t_scalar = np.isscalar(t)
-
-        # Convert pandas Series to numpy arrays if needed
-        if isinstance(K, pd.Series):
-            K = K.values
-        if isinstance(o, pd.Series):
-            o = o.values
-        if isinstance(t, pd.Series):
-            t = t.values
-
-        # If all inputs are scalar, use the original function directly
-        if K_scalar and o_scalar and t_scalar:
-            return func(s, K, r, o, t, flag)
-
-        # For arrays, we need to apply the function element-wise
-        # Instead of using np.vectorize directly, we'll create a custom vectorized function
-        # that handles the conditions properly
-        def safe_vectorized_func(K_val, o_val, t_val):
-            # Check for invalid strike price, volatility, or time values
-            if K_val <= 0 or o_val <= 0 or t_val <= 0:
-                return np.nan  # Return NaN for invalid inputs
-            else:
-                # Only call the function if inputs are valid
-                return func(s, K_val, r, o_val, t_val, flag)
-
-        # Now use numpy's vectorize on our safe function
-        vectorized_func = np.vectorize(safe_vectorized_func)
-
-        # Call the vectorized function with the inputs
-        return vectorized_func(K, o, t)
+    @wraps(func)
+    def wrapper(s, *args, **kwargs):
+        # s is always scalar
+        all_args = list(args)
+        input_names = func.__code__.co_varnames[1:len(all_args)+1]
+        input_dict = dict(zip(input_names, all_args))
+        input_dict.update(kwargs)
+
+        # Identify vectorized vs scalar inputs
+        vector_lengths = {
+            k: len(v) for k, v in input_dict.items()
+            if isinstance(v, (list, np.ndarray, pd.Series))
+        }
+
+        is_vectorized = len(vector_lengths) > 0
+
+        if is_vectorized:
+            # Check if all are of same length
+            lengths = set(vector_lengths.values())
+            if len(lengths) != 1:
+                raise VolyError("All vectorized inputs must have the same length.")
+
+            if any(not isinstance(v, (list, np.ndarray, pd.Series)) for v in input_dict.values()):
+                raise VolyError("Cannot mix scalar and vector inputs. Pass all as vectors or all as scalars.")
+
+            # Proceed with vectorized call
+            max_len = next(iter(lengths))
+            return [
+                func(
+                    s,
+                    *(input_dict[name][i] for name in input_names if name in input_dict),
+                    **{k: input_dict[k][i] for k in kwargs if k in input_dict}
+                )
+                for i in range(max_len)
+            ]
+        else:
+            # All scalar inputs, call directly
+            return func(s, *args, **kwargs)
 
     return wrapper
 
@@ -73,13 +72,6 @@ def d2(s: float, K: float, r: float, o: float, t: float, flag: str = 'call') ->
 @catch_exception
 @vectorize_inputs
 def bs(s: float, K: float, r: float, o: float, t: float, flag: str = 'call') -> float:
-    if o <= 0 or t <= 0:
-        # Intrinsic value at expiry
-        if flag.lower() in ["call", "c"]:
-            return max(0, s - K)
-        else:
-            return max(0, K - s)
-
     d1_val = d1(s, K, r, o, t)
     d2_val = d2(s, K, r, o, t)
 
@@ -92,13 +84,6 @@ def bs(s: float, K: float, r: float, o: float, t: float, flag: str = 'call') ->
 @catch_exception
 @vectorize_inputs
 def delta(s: float, K: float, r: float, o: float, t: float, flag: str = 'call') -> float:
-    if o <= 0 or t <= 0:
-        # At expiry, delta is either 0 or 1 for call, 0 or -1 for put
-        if flag.lower() in ["call", "c"]:
-            return 1.0 if s > K else 0.0
-        else:
-            return -1.0 if s < K else 0.0
-
     d1_val = d1(s, K, r, o, t)
 
     if flag.lower() in ["call", "c"]:

{voly-0.0.233.dist-info → voly-0.0.235.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.233
+Version: 0.0.235
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.233.dist-info → voly-0.0.235.dist-info}/RECORD

@@ -1,11 +1,11 @@
 voly/__init__.py,sha256=8xyDk7rFCn_MOD5hxuv5cxxKZvBVRiSIM7TgaMPpwpw,211
 voly/client.py,sha256=H4BY5n1isHOqMYX-Koe8-WKBKE6zxbdDYopDF58BPBI,14533
 voly/exceptions.py,sha256=PBsbn1vNMvKcCJwwJ4lBO6glD85jo1h2qiEmD7ArAjs,92
-voly/formulas.py,sha256=Jx2QSTkN3S_X1YWYXN3T0gBcxMKB_VLsqgDPg32ApmM,10833
+voly/formulas.py,sha256=7C7aedAmDIWDO06fHAAjC9V3KDlN_X1Qnyy4tn87-Tc,10289
 voly/models.py,sha256=CGJQr13Uie7iwtx2hjViN9lMXeRN_uOqzp4u8NPaTlA,9282
 voly/core/__init__.py,sha256=bu6fS2I1Pj9fPPnl-zY3L7NqrZSY5Zy6NY2uMUvdhKs,183
 voly/core/charts.py,sha256=6MSU0z01fPOVSssodxdnFqchzDfupSmXq_e71WwDmVQ,12635
-voly/core/data.py,sha256=vFdJnlPODJAjAEixruRYY1OelAvGNvo7cgIjLXbpz-o,12899
+voly/core/data.py,sha256=wal8YlTKjhztt1XCZzLF0kQ1JWxbFIyoHchtP50bxeY,13031
 voly/core/fit.py,sha256=R3aDgCjvZ30PujoE9pgnGQXPQOTTMbk7_-RQ0ZMx5ig,13918
 voly/core/hd.py,sha256=dSv197RmSWFWbRRdoBzMrD_poT7ZiJ8hdD_wKE-Li_M,13559
 voly/core/interpolate.py,sha256=GAkrqaar7A0D6UMipXQUp4vSHRfb44TmCG5Xiv9elXg,5176
@@ -13,8 +13,8 @@ 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-0.0.233.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.233.dist-info/METADATA,sha256=K1r_vDYJLQhSv83PFzYqOHQ3k0ck9d_Ucp8kGUEbIDI,4115
-voly-0.0.233.dist-info/WHEEL,sha256=ck4Vq1_RXyvS4Jt6SI0Vz6fyVs4GWg7AINwpsaGEgPE,91
-voly-0.0.233.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.233.dist-info/RECORD,,
+voly-0.0.235.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.235.dist-info/METADATA,sha256=d35JHNDnrlkN0LVD6bWSqHZyGP6XKzar16GApUw5YJE,4115
+voly-0.0.235.dist-info/WHEEL,sha256=ck4Vq1_RXyvS4Jt6SI0Vz6fyVs4GWg7AINwpsaGEgPE,91
+voly-0.0.235.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.235.dist-info/RECORD,,