voly 0.0.243__py3-none-any.whl → 0.0.245__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.
Files changed (6) hide show
  1. voly/core/data.py +8 -8
  2. {voly-0.0.243.dist-info → voly-0.0.245.dist-info}/METADATA +1 -1
  3. {voly-0.0.243.dist-info → voly-0.0.245.dist-info}/RECORD +6 -6
  4. {voly-0.0.243.dist-info → voly-0.0.245.dist-info}/WHEEL +0 -0
  5. {voly-0.0.243.dist-info → voly-0.0.245.dist-info}/licenses/LICENSE +0 -0
  6. {voly-0.0.243.dist-info → voly-0.0.245.dist-info}/top_level.txt +0 -0
voly/core/data.py CHANGED
@@ -313,13 +313,13 @@ def process_option_chain(df: pd.DataFrame, currency: str) -> pd.DataFrame:
313
313
  df['bid_depth'] = df['bids']
314
314
  df['ask_depth'] = df['asks']
315
315
 
316
- df['bs'] = bs(df['spot_price'], df['strikes'], df['interest_rate'], df['mark_iv'], df['t'], df['flag'])
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'])
319
- df['gamma'] = df['gamma'] * 10000
320
- df['vega'] = vega(df['spot_price'], df['strikes'], df['interest_rate'], df['mark_iv'], df['t'], df['flag'])
321
- df['theta'] = theta(df['spot_price'], df['strikes'], df['interest_rate'], df['mark_iv'], df['t'], df['flag'])
322
- df['rho'] = rho(df['spot_price'], df['strikes'], df['interest_rate'], df['mark_iv'], df['t'], df['flag'])
316
+ df['bs'] = voly.bs(df['spot_price'], df['strikes'], df['interest_rate'], df['mark_iv'], df['t'], df['flag'])
317
+ df['iv'] = voly.iv(df['bs'], df['spot_price'], df['strikes'], df['interest_rate'], df['t'], df['flag'])
318
+ df['delta'] = voly.delta(df['spot_price'], df['strikes'], df['interest_rate'], df['mark_iv'], df['t'], df['flag'])
319
+ df['gamma'] = voly.gamma(df['spot_price'], df['strikes'], df['interest_rate'], df['mark_iv'], df['t'], df['flag'])
320
+ df['vega'] = voly.vega(df['spot_price'], df['strikes'], df['interest_rate'], df['mark_iv'], df['t'], df['flag'])
321
+ df['theta'] = voly.theta(df['spot_price'], df['strikes'], df['interest_rate'], df['mark_iv'], df['t'], df['flag'])
322
+ df['rho'] = voly.rho(df['spot_price'], df['strikes'], df['interest_rate'], df['mark_iv'], df['t'], df['flag'])
323
323
 
324
324
  df['open_interest'] = df['open_interest'] * s
325
325
  df['volume'] = df['volume'] * s
@@ -327,7 +327,7 @@ def process_option_chain(df: pd.DataFrame, currency: str) -> pd.DataFrame:
327
327
  df = df[['currency', 'spot_price',
328
328
  'timestamp', 'instrument', 'maturity', 'strikes', 'flag', 'expiry',
329
329
  'mark_iv', 'bid_iv', 'ask_iv', 'mark_price', 'bid_price', 'ask_price', 'bid_amount', 'ask_amount', 'bid_depth', 'ask_depth',
330
- 'bs', 'delta', 'gamma', 'vega', 'theta', 'rho',
330
+ 'bs', 'iv', 'delta', 'gamma', 'vega', 'theta', 'rho',
331
331
  'interest_rate', 'open_interest', 'volume']]
332
332
 
333
333
  logger.info(f"Processing complete!")
{voly-0.0.243.dist-info → voly-0.0.245.dist-info}/METADATA RENAMED
@@ -1,6 +1,6 @@
1
1
  Metadata-Version: 2.4
2
2
  Name: voly
3
- Version: 0.0.243
3
+ Version: 0.0.245
4
4
  Summary: Options & volatility research package
5
5
  Author-email: Manu de Cara <manu.de.cara@gmail.com>
6
6
  License: MIT
{voly-0.0.243.dist-info → voly-0.0.245.dist-info}/RECORD RENAMED
@@ -5,7 +5,7 @@ voly/formulas.py,sha256=5DupVzJuPtnkfbhIq05ciNXb6S6o4Cd33wqG-ahf4bc,10015
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=yYbGs1sxHzuMj7sxuc39VMeqlf0acKoUx7s2UomRUI8,13560
8
+ voly/core/data.py,sha256=q5yTrDq4z4MpQwejcOJ25LmfaZyov8vflzYwZK87Pdc,13666
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-0.0.243.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
17
- voly-0.0.243.dist-info/METADATA,sha256=OQAarZeJprNi04dYA3YiFqEEENd0X9Oq9THlQkLes4o,4115
18
- voly-0.0.243.dist-info/WHEEL,sha256=ck4Vq1_RXyvS4Jt6SI0Vz6fyVs4GWg7AINwpsaGEgPE,91
19
- voly-0.0.243.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
20
- voly-0.0.243.dist-info/RECORD,,
16
+ voly-0.0.245.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
17
+ voly-0.0.245.dist-info/METADATA,sha256=zC6qeH-rjzT-JGAgqd0ZTEgdZc5zmR1e0L-iKcKkYtM,4115
18
+ voly-0.0.245.dist-info/WHEEL,sha256=ck4Vq1_RXyvS4Jt6SI0Vz6fyVs4GWg7AINwpsaGEgPE,91
19
+ voly-0.0.245.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
20
+ voly-0.0.245.dist-info/RECORD,,
{voly-0.0.243.dist-info → voly-0.0.245.dist-info}/WHEEL RENAMED
File without changes