voly 0.0.247__py3-none-any.whl → 0.0.249__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 +1 -1
- voly/core/fit.py +1 -0
- {voly-0.0.247.dist-info → voly-0.0.249.dist-info}/METADATA +1 -1
- {voly-0.0.247.dist-info → voly-0.0.249.dist-info}/RECORD +7 -7
- {voly-0.0.247.dist-info → voly-0.0.249.dist-info}/WHEEL +0 -0
- {voly-0.0.247.dist-info → voly-0.0.249.dist-info}/licenses/LICENSE +0 -0
- {voly-0.0.247.dist-info → voly-0.0.249.dist-info}/top_level.txt +0 -0
voly/core/data.py
CHANGED
|
@@ -324,7 +324,7 @@ def process_option_chain(df: pd.DataFrame, currency: str) -> pd.DataFrame:
|
|
|
324
324
|
df['volume'] = df['volume'] * s
|
|
325
325
|
|
|
326
326
|
df = df[['currency', 'spot_price',
|
|
327
|
-
'timestamp', 'instrument', 'maturity', 'strikes', 'flag', 'expiry',
|
|
327
|
+
'timestamp', 'instrument', 'maturity', 'strikes', 'flag', 'expiry', 't',
|
|
328
328
|
'mark_iv', 'bid_iv', 'ask_iv', 'mark_price', 'bid_price', 'ask_price', 'bid_amount', 'ask_amount', 'bid_depth', 'ask_depth',
|
|
329
329
|
'bs', 'delta', 'gamma', 'vega', 'theta', 'rho',
|
|
330
330
|
'interest_rate', 'open_interest', 'volume']]
|
voly/core/fit.py
CHANGED
|
@@ -68,6 +68,7 @@ class SVICalibrator:
|
|
|
68
68
|
"""Filter and prepare market data"""
|
|
69
69
|
# Filter for call options only
|
|
70
70
|
group = group[group['flag'] == 'C']
|
|
71
|
+
group['log_moneyness'] = np.log(group['strikes'] / group['spot_price'].iloc[0])
|
|
71
72
|
|
|
72
73
|
# Handle duplicated IVs by keeping the row closest to log_moneyness=0
|
|
73
74
|
duplicated_iv = group[group.duplicated('mark_iv', keep=False)]
|
|
@@ -5,16 +5,16 @@ 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=
|
|
9
|
-
voly/core/fit.py,sha256=
|
|
8
|
+
voly/core/data.py,sha256=A0zrIjg-pf3mG28UR313Bc57h74G5smWCVBB7vysM_4,13527
|
|
9
|
+
voly/core/fit.py,sha256=vO2wDFEk37ap8a_K0qYmk60WiUne-5AKdqHR7l0DmRc,14006
|
|
10
10
|
voly/core/hd.py,sha256=dSv197RmSWFWbRRdoBzMrD_poT7ZiJ8hdD_wKE-Li_M,13559
|
|
11
11
|
voly/core/interpolate.py,sha256=GAkrqaar7A0D6UMipXQUp4vSHRfb44TmCG5Xiv9elXg,5176
|
|
12
12
|
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-0.0.249.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
|
|
17
|
+
voly-0.0.249.dist-info/METADATA,sha256=esMpD7hJhhOij31lp-x1K78oZ0QEenrEXYx0tDirTok,4115
|
|
18
|
+
voly-0.0.249.dist-info/WHEEL,sha256=ck4Vq1_RXyvS4Jt6SI0Vz6fyVs4GWg7AINwpsaGEgPE,91
|
|
19
|
+
voly-0.0.249.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
|
|
20
|
+
voly-0.0.249.dist-info/RECORD,,
|
|
File without changes
|
|
File without changes
|
|
File without changes
|