voly 0.0.246__py3-none-any.whl → 0.0.248__py3-none-any.whl

voly/core/data.py

@@ -16,7 +16,7 @@ import datetime as dt
 import re
 import numpy as np
 from typing import List, Dict, Any, Optional, Union
-from voly.formulas import (bs, iv, delta, gamma, vega, theta, rho)
+from voly.formulas import (bs, delta, gamma, vega, theta, rho)
 from voly.utils.logger import logger, catch_exception
 from voly.exceptions import VolyError
 
@@ -314,7 +314,6 @@ def process_option_chain(df: pd.DataFrame, currency: str) -> pd.DataFrame:
     df['ask_depth'] = df['asks']
 
     df['bs'] = bs(df['spot_price'], df['strikes'], df['interest_rate'], df['mark_iv'], df['t'], df['flag'])
-    df['iv'] = iv(df['bs'], df['spot_price'], df['strikes'], df['interest_rate'], df['t'], df['flag'])
     df['delta'] = delta(df['spot_price'], df['strikes'], df['interest_rate'], df['mark_iv'], df['t'], df['flag'])
     df['gamma'] = gamma(df['spot_price'], df['strikes'], df['interest_rate'], df['mark_iv'], df['t'], df['flag'])
     df['vega'] = vega(df['spot_price'], df['strikes'], df['interest_rate'], df['mark_iv'], df['t'], df['flag'])
@@ -325,9 +324,9 @@ def process_option_chain(df: pd.DataFrame, currency: str) -> pd.DataFrame:
     df['volume'] = df['volume'] * s
 
     df = df[['currency', 'spot_price',
-             'timestamp', 'instrument', 'maturity', 'strikes', 'flag', 'expiry',
+             'timestamp', 'instrument', 'maturity', 'strikes', 'flag', 'expiry', 't',
              'mark_iv', 'bid_iv', 'ask_iv', 'mark_price', 'bid_price', 'ask_price', 'bid_amount', 'ask_amount', 'bid_depth', 'ask_depth',
-             'bs', 'iv', 'delta', 'gamma', 'vega', 'theta', 'rho',
+             'bs', 'delta', 'gamma', 'vega', 'theta', 'rho',
              'interest_rate', 'open_interest', 'volume']]
 
     logger.info(f"Processing complete!")

{voly-0.0.246.dist-info → voly-0.0.248.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.246
+Version: 0.0.248
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.246.dist-info → voly-0.0.248.dist-info}/RECORD

@@ -5,7 +5,7 @@ voly/formulas.py,sha256=5DupVzJuPtnkfbhIq05ciNXb6S6o4Cd33wqG-ahf4bc,10015
 voly/models.py,sha256=CGJQr13Uie7iwtx2hjViN9lMXeRN_uOqzp4u8NPaTlA,9282
 voly/core/__init__.py,sha256=bu6fS2I1Pj9fPPnl-zY3L7NqrZSY5Zy6NY2uMUvdhKs,183
 voly/core/charts.py,sha256=6MSU0z01fPOVSssodxdnFqchzDfupSmXq_e71WwDmVQ,12635
-voly/core/data.py,sha256=fLKEAh0Z7D3d5r1_n3FTmqXpiXHhVOrVNfjhB0DnxjM,13635
+voly/core/data.py,sha256=A0zrIjg-pf3mG28UR313Bc57h74G5smWCVBB7vysM_4,13527
 voly/core/fit.py,sha256=R3aDgCjvZ30PujoE9pgnGQXPQOTTMbk7_-RQ0ZMx5ig,13918
 voly/core/hd.py,sha256=dSv197RmSWFWbRRdoBzMrD_poT7ZiJ8hdD_wKE-Li_M,13559
 voly/core/interpolate.py,sha256=GAkrqaar7A0D6UMipXQUp4vSHRfb44TmCG5Xiv9elXg,5176
@@ -13,8 +13,8 @@ voly/core/rnd.py,sha256=wiZ5OIjPDf1Th5_sQ9CZG5JgAo3EL8f63T_Rj1_VP-0,13214
 voly/utils/__init__.py,sha256=E05mWatyC-PDOsCxQV1p5Xi1IgpOomxrNURyCx_gB-w,200
 voly/utils/density.py,sha256=ONpRli-IaJDgOZ2sb27HHFc9_tkkGSATKl94JODd86A,5879
 voly/utils/logger.py,sha256=4-_2bVJmq17Q0d7Rd2mPg1AeR8gxv6EPvcmBDMFWcSM,1744
-voly-0.0.246.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.246.dist-info/METADATA,sha256=JzR2wxz8dBpIF4IRm629lndF4Mi2Uz0phMhyMC0FBeU,4115
-voly-0.0.246.dist-info/WHEEL,sha256=ck4Vq1_RXyvS4Jt6SI0Vz6fyVs4GWg7AINwpsaGEgPE,91
-voly-0.0.246.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.246.dist-info/RECORD,,
+voly-0.0.248.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.248.dist-info/METADATA,sha256=_DJlwJGGZxwVibgm9dTrDfFjNel4eDhgq3ltSqrIEmQ,4115
+voly-0.0.248.dist-info/WHEEL,sha256=ck4Vq1_RXyvS4Jt6SI0Vz6fyVs4GWg7AINwpsaGEgPE,91
+voly-0.0.248.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.248.dist-info/RECORD,,