voly 0.0.233__tar.gz → 0.0.234__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-0.0.233/src/voly.egg-info → voly-0.0.234}/PKG-INFO +1 -1
- {voly-0.0.233 → voly-0.0.234}/pyproject.toml +2 -2
- {voly-0.0.233 → voly-0.0.234}/src/voly/core/data.py +3 -1
- {voly-0.0.233 → voly-0.0.234/src/voly.egg-info}/PKG-INFO +1 -1
- {voly-0.0.233 → voly-0.0.234}/LICENSE +0 -0
- {voly-0.0.233 → voly-0.0.234}/README.md +0 -0
- {voly-0.0.233 → voly-0.0.234}/setup.cfg +0 -0
- {voly-0.0.233 → voly-0.0.234}/setup.py +0 -0
- {voly-0.0.233 → voly-0.0.234}/src/voly/__init__.py +0 -0
- {voly-0.0.233 → voly-0.0.234}/src/voly/client.py +0 -0
- {voly-0.0.233 → voly-0.0.234}/src/voly/core/__init__.py +0 -0
- {voly-0.0.233 → voly-0.0.234}/src/voly/core/charts.py +0 -0
- {voly-0.0.233 → voly-0.0.234}/src/voly/core/fit.py +0 -0
- {voly-0.0.233 → voly-0.0.234}/src/voly/core/hd.py +0 -0
- {voly-0.0.233 → voly-0.0.234}/src/voly/core/interpolate.py +0 -0
- {voly-0.0.233 → voly-0.0.234}/src/voly/core/rnd.py +0 -0
- {voly-0.0.233 → voly-0.0.234}/src/voly/exceptions.py +0 -0
- {voly-0.0.233 → voly-0.0.234}/src/voly/formulas.py +0 -0
- {voly-0.0.233 → voly-0.0.234}/src/voly/models.py +0 -0
- {voly-0.0.233 → voly-0.0.234}/src/voly/utils/__init__.py +0 -0
- {voly-0.0.233 → voly-0.0.234}/src/voly/utils/density.py +0 -0
- {voly-0.0.233 → voly-0.0.234}/src/voly/utils/logger.py +0 -0
- {voly-0.0.233 → voly-0.0.234}/src/voly.egg-info/SOURCES.txt +0 -0
- {voly-0.0.233 → voly-0.0.234}/src/voly.egg-info/dependency_links.txt +0 -0
- {voly-0.0.233 → voly-0.0.234}/src/voly.egg-info/requires.txt +0 -0
- {voly-0.0.233 → voly-0.0.234}/src/voly.egg-info/top_level.txt +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 = "0.0.234"
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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 = "0.0.234"
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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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@@ -16,6 +16,7 @@ import datetime as dt
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import re
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import numpy as np
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from typing import List, Dict, Any, Optional, Union
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from voly.formulas import (bs, delta, gamma, vega, theta)
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from voly.utils.logger import logger, catch_exception
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from voly.exceptions import VolyError
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@@ -306,6 +307,7 @@ def process_option_chain(df: pd.DataFrame, currency: str) -> pd.DataFrame:
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df['bid_depth'] = df['bids']
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df['ask_depth'] = df['asks']
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df['bs'] = voly.bs(s, df['strikes'], 0, df['mark_iv'], df['t'])
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df['delta'] = voly.delta(s, df['strikes'], 0, df['mark_iv'], df['t'])
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df['gamma'] = voly.gamma(s, df['strikes'], 0, df['mark_iv'], df['t']) * 10000
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df['vega'] = voly.vega(s, df['strikes'], 0, df['mark_iv'], df['t'])
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@@ -318,7 +320,7 @@ def process_option_chain(df: pd.DataFrame, currency: str) -> pd.DataFrame:
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df = df[['currency', 'spot_price',
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'timestamp', 'instrument', 'maturity', 'strikes', 'flag', 'expiry',
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'mark_iv', 'bid_iv', 'ask_iv', 'mark_price', 'bid_price', 'ask_price', 'bid_amount', 'ask_amount', 'bid_depth', 'ask_depth',
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'delta', 'gamma', 'vega', 'theta', 'rho',
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'bs', 'delta', 'gamma', 'vega', 'theta', 'rho',
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'interest_rate', 'open_interest', 'volume']]
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logger.info(f"Processing complete!")
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