voly 0.0.237__py3-none-any.whl → 0.0.239__py3-none-any.whl
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/core/data.py +3 -2
- {voly-0.0.237.dist-info → voly-0.0.239.dist-info}/METADATA +1 -1
- {voly-0.0.237.dist-info → voly-0.0.239.dist-info}/RECORD +6 -6
- {voly-0.0.237.dist-info → voly-0.0.239.dist-info}/WHEEL +0 -0
- {voly-0.0.237.dist-info → voly-0.0.239.dist-info}/licenses/LICENSE +0 -0
- {voly-0.0.237.dist-info → voly-0.0.239.dist-info}/top_level.txt +0 -0
voly/core/data.py
CHANGED
|
@@ -16,7 +16,7 @@ import datetime as dt
|
|
|
16
16
|
import re
|
|
17
17
|
import numpy as np
|
|
18
18
|
from typing import List, Dict, Any, Optional, Union
|
|
19
|
-
from voly.formulas import (bs, delta, gamma, vega, theta)
|
|
19
|
+
from voly.formulas import (bs, delta, gamma, vega, theta, rho)
|
|
20
20
|
from voly.utils.logger import logger, catch_exception
|
|
21
21
|
from voly.exceptions import VolyError
|
|
22
22
|
|
|
@@ -315,7 +315,8 @@ def process_option_chain(df: pd.DataFrame, currency: str) -> pd.DataFrame:
|
|
|
315
315
|
|
|
316
316
|
df['bs'] = bs(df['spot_price'], df['strikes'], df['interest_rate'], df['mark_iv'], df['t'], df['flag'])
|
|
317
317
|
df['delta'] = delta(df['spot_price'], df['strikes'], df['interest_rate'], df['mark_iv'], df['t'], df['flag'])
|
|
318
|
-
df['gamma'] = gamma(df['spot_price'], df['strikes'], df['interest_rate'], df['mark_iv'], df['t'], df['flag'])
|
|
318
|
+
df['gamma'] = gamma(df['spot_price'], df['strikes'], df['interest_rate'], df['mark_iv'], df['t'], df['flag'])
|
|
319
|
+
df['gamma'] = df['gamma'] * 10000
|
|
319
320
|
df['vega'] = vega(df['spot_price'], df['strikes'], df['interest_rate'], df['mark_iv'], df['t'], df['flag'])
|
|
320
321
|
df['theta'] = theta(df['spot_price'], df['strikes'], df['interest_rate'], df['mark_iv'], df['t'], df['flag'])
|
|
321
322
|
df['rho'] = rho(df['spot_price'], df['strikes'], df['interest_rate'], df['mark_iv'], df['t'], df['flag'])
|
|
@@ -5,7 +5,7 @@ voly/formulas.py,sha256=CY4VChzEgfuc9aLkUFt3ipyot8wr_2z8K1G2Zsw4Ov8,10317
|
|
|
5
5
|
voly/models.py,sha256=CGJQr13Uie7iwtx2hjViN9lMXeRN_uOqzp4u8NPaTlA,9282
|
|
6
6
|
voly/core/__init__.py,sha256=bu6fS2I1Pj9fPPnl-zY3L7NqrZSY5Zy6NY2uMUvdhKs,183
|
|
7
7
|
voly/core/charts.py,sha256=6MSU0z01fPOVSssodxdnFqchzDfupSmXq_e71WwDmVQ,12635
|
|
8
|
-
voly/core/data.py,sha256=
|
|
8
|
+
voly/core/data.py,sha256=yYbGs1sxHzuMj7sxuc39VMeqlf0acKoUx7s2UomRUI8,13560
|
|
9
9
|
voly/core/fit.py,sha256=R3aDgCjvZ30PujoE9pgnGQXPQOTTMbk7_-RQ0ZMx5ig,13918
|
|
10
10
|
voly/core/hd.py,sha256=dSv197RmSWFWbRRdoBzMrD_poT7ZiJ8hdD_wKE-Li_M,13559
|
|
11
11
|
voly/core/interpolate.py,sha256=GAkrqaar7A0D6UMipXQUp4vSHRfb44TmCG5Xiv9elXg,5176
|
|
@@ -13,8 +13,8 @@ voly/core/rnd.py,sha256=wiZ5OIjPDf1Th5_sQ9CZG5JgAo3EL8f63T_Rj1_VP-0,13214
|
|
|
13
13
|
voly/utils/__init__.py,sha256=E05mWatyC-PDOsCxQV1p5Xi1IgpOomxrNURyCx_gB-w,200
|
|
14
14
|
voly/utils/density.py,sha256=ONpRli-IaJDgOZ2sb27HHFc9_tkkGSATKl94JODd86A,5879
|
|
15
15
|
voly/utils/logger.py,sha256=4-_2bVJmq17Q0d7Rd2mPg1AeR8gxv6EPvcmBDMFWcSM,1744
|
|
16
|
-
voly-0.0.
|
|
17
|
-
voly-0.0.
|
|
18
|
-
voly-0.0.
|
|
19
|
-
voly-0.0.
|
|
20
|
-
voly-0.0.
|
|
16
|
+
voly-0.0.239.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
|
|
17
|
+
voly-0.0.239.dist-info/METADATA,sha256=3JptsYvRPvSgmzdRLvWxggVVac9juD0EwYwLNQrLz7Y,4115
|
|
18
|
+
voly-0.0.239.dist-info/WHEEL,sha256=ck4Vq1_RXyvS4Jt6SI0Vz6fyVs4GWg7AINwpsaGEgPE,91
|
|
19
|
+
voly-0.0.239.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
|
|
20
|
+
voly-0.0.239.dist-info/RECORD,,
|
|
File without changes
|
|
File without changes
|
|
File without changes
|