voly 0.0.248__py3-none-any.whl → 0.0.250__py3-none-any.whl

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Files changed (6) hide show
  1. voly/core/fit.py +2 -0
  2. {voly-0.0.248.dist-info → voly-0.0.250.dist-info}/METADATA +1 -1
  3. {voly-0.0.248.dist-info → voly-0.0.250.dist-info}/RECORD +6 -6
  4. {voly-0.0.248.dist-info → voly-0.0.250.dist-info}/WHEEL +0 -0
  5. {voly-0.0.248.dist-info → voly-0.0.250.dist-info}/licenses/LICENSE +0 -0
  6. {voly-0.0.248.dist-info → voly-0.0.250.dist-info}/top_level.txt +0 -0
voly/core/fit.py CHANGED
@@ -68,6 +68,7 @@ class SVICalibrator:
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  """Filter and prepare market data"""
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  # Filter for call options only
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  group = group[group['flag'] == 'C']
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+ group['log_moneyness'] = np.log(group['strikes'] / group['spot_price'].iloc[0])
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  # Handle duplicated IVs by keeping the row closest to log_moneyness=0
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  duplicated_iv = group[group.duplicated('mark_iv', keep=False)]
@@ -214,6 +215,7 @@ class SVICalibrator:
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  # Check for calendar arbitrage
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  sorted_maturities = sorted(self.params_dict.keys(), key=lambda x: self.params_dict[x][0])
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+ print(sorted_maturities)
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  calendar_arbitrage_free = SVIModel.check_calendar_arbitrage(
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  sorted_maturities, self.params_dict, self.groups, self.s, self.num_points
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  )
{voly-0.0.248.dist-info → voly-0.0.250.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: 0.0.248
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+ Version: 0.0.250
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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-0.0.248.dist-info → voly-0.0.250.dist-info}/RECORD RENAMED
@@ -6,15 +6,15 @@ 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=A0zrIjg-pf3mG28UR313Bc57h74G5smWCVBB7vysM_4,13527
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- voly/core/fit.py,sha256=R3aDgCjvZ30PujoE9pgnGQXPQOTTMbk7_-RQ0ZMx5ig,13918
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+ voly/core/fit.py,sha256=MhK15QT_NsWN11O_rI_lEBbHmroKRiuyau5Xb0QxhEo,14039
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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
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  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-0.0.248.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
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- voly-0.0.248.dist-info/METADATA,sha256=_DJlwJGGZxwVibgm9dTrDfFjNel4eDhgq3ltSqrIEmQ,4115
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- voly-0.0.248.dist-info/WHEEL,sha256=ck4Vq1_RXyvS4Jt6SI0Vz6fyVs4GWg7AINwpsaGEgPE,91
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- voly-0.0.248.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
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- voly-0.0.248.dist-info/RECORD,,
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+ voly-0.0.250.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
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+ voly-0.0.250.dist-info/METADATA,sha256=43ZAWb3Ls6n-Pwl20y5PlrYnuTRDWPKjD9qKPDmH5Jw,4115
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+ voly-0.0.250.dist-info/WHEEL,sha256=ck4Vq1_RXyvS4Jt6SI0Vz6fyVs4GWg7AINwpsaGEgPE,91
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+ voly-0.0.250.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
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+ voly-0.0.250.dist-info/RECORD,,
{voly-0.0.248.dist-info → voly-0.0.250.dist-info}/WHEEL RENAMED
File without changes