voly 0.0.235__py3-none-any.whl → 0.0.237__py3-none-any.whl

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Files changed (7) hide show
  1. voly/core/data.py +12 -6
  2. voly/formulas.py +1 -0
  3. {voly-0.0.235.dist-info → voly-0.0.237.dist-info}/METADATA +1 -1
  4. {voly-0.0.235.dist-info → voly-0.0.237.dist-info}/RECORD +7 -7
  5. {voly-0.0.235.dist-info → voly-0.0.237.dist-info}/WHEEL +0 -0
  6. {voly-0.0.235.dist-info → voly-0.0.237.dist-info}/licenses/LICENSE +0 -0
  7. {voly-0.0.235.dist-info → voly-0.0.237.dist-info}/top_level.txt +0 -0
voly/core/data.py CHANGED
@@ -268,6 +268,12 @@ def process_option_chain(df: pd.DataFrame, currency: str) -> pd.DataFrame:
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  .replace(hour=8, minute=0, second=0, tzinfo=dt.timezone.utc)
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  .timestamp() * 1000)), unit='ms')
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+ # Get reference time from timestamp
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+ reference_time = dt.datetime.fromtimestamp(df['timestamp'].iloc[0] / 1000)
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+
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+ # Calculate time to expiry in years
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+ df['t'] = ((df['expiry'] - reference_time).dt.total_seconds() / (24 * 60 * 60)) / 365.25
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+
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  # Calculate implied volatility (convert from percentage)
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  df['mark_iv'] = df['mark_iv'] / 100
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  df['bid_iv'] = df['bid_iv'].replace({0: np.nan}) / 100
@@ -307,12 +313,12 @@ 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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- df['theta'] = voly.theta(s, df['strikes'], 0, df['mark_iv'], df['t'])
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- df['rho'] = voly.rho(s, df['strikes'], 0, df['mark_iv'], df['t'])
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+ df['bs'] = bs(df['spot_price'], df['strikes'], df['interest_rate'], df['mark_iv'], df['t'], df['flag'])
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+ df['delta'] = delta(df['spot_price'], df['strikes'], df['interest_rate'], df['mark_iv'], df['t'], df['flag'])
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+ df['gamma'] = gamma(df['spot_price'], df['strikes'], df['interest_rate'], df['mark_iv'], df['t'], df['flag']) * 10000
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+ df['vega'] = vega(df['spot_price'], df['strikes'], df['interest_rate'], df['mark_iv'], df['t'], df['flag'])
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+ df['theta'] = theta(df['spot_price'], df['strikes'], df['interest_rate'], df['mark_iv'], df['t'], df['flag'])
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+ df['rho'] = rho(df['spot_price'], df['strikes'], df['interest_rate'], df['mark_iv'], df['t'], df['flag'])
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  df['open_interest'] = df['open_interest'] * s
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  df['volume'] = df['volume'] * s
voly/formulas.py CHANGED
@@ -9,6 +9,7 @@ from py_vollib.black_scholes.implied_volatility import implied_volatility
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  from typing import Tuple, Dict, Union, List, Optional
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  from voly.utils.logger import catch_exception
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  from voly.exceptions import VolyError
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+ from functools import wraps
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  @catch_exception
{voly-0.0.235.dist-info → voly-0.0.237.dist-info}/METADATA RENAMED
@@ -1,6 +1,6 @@
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  Metadata-Version: 2.4
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  Name: voly
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- Version: 0.0.235
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+ Version: 0.0.237
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  Summary: Options & volatility research package
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  Author-email: Manu de Cara <manu.de.cara@gmail.com>
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  License: MIT
{voly-0.0.235.dist-info → voly-0.0.237.dist-info}/RECORD RENAMED
@@ -1,11 +1,11 @@
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  voly/__init__.py,sha256=8xyDk7rFCn_MOD5hxuv5cxxKZvBVRiSIM7TgaMPpwpw,211
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  voly/client.py,sha256=H4BY5n1isHOqMYX-Koe8-WKBKE6zxbdDYopDF58BPBI,14533
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  voly/exceptions.py,sha256=PBsbn1vNMvKcCJwwJ4lBO6glD85jo1h2qiEmD7ArAjs,92
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- voly/formulas.py,sha256=7C7aedAmDIWDO06fHAAjC9V3KDlN_X1Qnyy4tn87-Tc,10289
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+ voly/formulas.py,sha256=CY4VChzEgfuc9aLkUFt3ipyot8wr_2z8K1G2Zsw4Ov8,10317
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  voly/models.py,sha256=CGJQr13Uie7iwtx2hjViN9lMXeRN_uOqzp4u8NPaTlA,9282
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  voly/core/__init__.py,sha256=bu6fS2I1Pj9fPPnl-zY3L7NqrZSY5Zy6NY2uMUvdhKs,183
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  voly/core/charts.py,sha256=6MSU0z01fPOVSssodxdnFqchzDfupSmXq_e71WwDmVQ,12635
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- voly/core/data.py,sha256=wal8YlTKjhztt1XCZzLF0kQ1JWxbFIyoHchtP50bxeY,13031
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+ voly/core/data.py,sha256=0_h39xWAltAQKRJsMwh4OPRpKjOpA-de-gAZHfUsqSY,13525
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  voly/core/fit.py,sha256=R3aDgCjvZ30PujoE9pgnGQXPQOTTMbk7_-RQ0ZMx5ig,13918
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  voly/core/hd.py,sha256=dSv197RmSWFWbRRdoBzMrD_poT7ZiJ8hdD_wKE-Li_M,13559
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  voly/core/interpolate.py,sha256=GAkrqaar7A0D6UMipXQUp4vSHRfb44TmCG5Xiv9elXg,5176
@@ -13,8 +13,8 @@ voly/core/rnd.py,sha256=wiZ5OIjPDf1Th5_sQ9CZG5JgAo3EL8f63T_Rj1_VP-0,13214
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  voly/utils/__init__.py,sha256=E05mWatyC-PDOsCxQV1p5Xi1IgpOomxrNURyCx_gB-w,200
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  voly/utils/density.py,sha256=ONpRli-IaJDgOZ2sb27HHFc9_tkkGSATKl94JODd86A,5879
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  voly/utils/logger.py,sha256=4-_2bVJmq17Q0d7Rd2mPg1AeR8gxv6EPvcmBDMFWcSM,1744
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- voly-0.0.235.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
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- voly-0.0.235.dist-info/METADATA,sha256=d35JHNDnrlkN0LVD6bWSqHZyGP6XKzar16GApUw5YJE,4115
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- voly-0.0.235.dist-info/WHEEL,sha256=ck4Vq1_RXyvS4Jt6SI0Vz6fyVs4GWg7AINwpsaGEgPE,91
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- voly-0.0.235.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
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- voly-0.0.235.dist-info/RECORD,,
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+ voly-0.0.237.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
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+ voly-0.0.237.dist-info/METADATA,sha256=hk6bnFEkeQ_NLT7h1VAok-d-KzkXLXlQWexpvuzDMnk,4115
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+ voly-0.0.237.dist-info/WHEEL,sha256=ck4Vq1_RXyvS4Jt6SI0Vz6fyVs4GWg7AINwpsaGEgPE,91
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+ voly-0.0.237.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
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+ voly-0.0.237.dist-info/RECORD,,
{voly-0.0.235.dist-info → voly-0.0.237.dist-info}/WHEEL RENAMED
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