voly 0.0.236__py3-none-any.whl → 0.0.237__py3-none-any.whl

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Files changed (6) hide show
  1. voly/core/data.py +6 -0
  2. {voly-0.0.236.dist-info → voly-0.0.237.dist-info}/METADATA +1 -1
  3. {voly-0.0.236.dist-info → voly-0.0.237.dist-info}/RECORD +6 -6
  4. {voly-0.0.236.dist-info → voly-0.0.237.dist-info}/WHEEL +0 -0
  5. {voly-0.0.236.dist-info → voly-0.0.237.dist-info}/licenses/LICENSE +0 -0
  6. {voly-0.0.236.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
{voly-0.0.236.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: 0.0.236
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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-0.0.236.dist-info → voly-0.0.237.dist-info}/RECORD RENAMED
@@ -5,7 +5,7 @@ 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=H-U4jI1GG4OgXTAeEWCWOBz6T0sLB2wiIKOTzopWGQk,13271
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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-0.0.236.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
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- voly-0.0.236.dist-info/METADATA,sha256=Du-T3VnsBghrihQ-Cy0NYMmWQ2WetDOPc0YIcLEalzY,4115
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- voly-0.0.236.dist-info/WHEEL,sha256=ck4Vq1_RXyvS4Jt6SI0Vz6fyVs4GWg7AINwpsaGEgPE,91
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- voly-0.0.236.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
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- voly-0.0.236.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-0.0.236.dist-info → voly-0.0.237.dist-info}/WHEEL RENAMED
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