voly 0.0.249__tar.gz → 0.0.251__tar.gz

{voly-0.0.249/src/voly.egg-info → voly-0.0.251}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.249
+Version: 0.0.251
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.249 → voly-0.0.251}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.249"
+version = "0.0.251"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.249"
+python_version = "0.0.251"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.249 → voly-0.0.251}/src/voly/core/fit.py

@@ -67,8 +67,7 @@ class SVICalibrator:
     def filter_market_data(self, group):
         """Filter and prepare market data"""
         # Filter for call options only
-        group = group[group['flag'] == 'C']
-        group['log_moneyness'] = np.log(group['strikes'] / group['spot_price'].iloc[0])
+        group = group[group['option_type'] == 'C']
 
         # Handle duplicated IVs by keeping the row closest to log_moneyness=0
         duplicated_iv = group[group.duplicated('mark_iv', keep=False)]
@@ -150,7 +149,7 @@ class SVICalibrator:
             result = self.failed_calibration(expiry, maturity, t, len(k))
             logger.error(f'\033[31mFAILED\033[0m for {maturity} (insufficient data points)')
             self.update_results(result)
-            return maturity
+            return expiry
 
         # Perform SVI fitting
         params, loss = SVIModel.fit(tiv=w, vega=vega, k=k, tau=t)
@@ -160,10 +159,10 @@ class SVICalibrator:
             result = self.failed_calibration(expiry, maturity, t, len(k))
             logger.error(f'\033[31mFAILED\033[0m for {maturity}')
             self.update_results(result)
-            return maturity
+            return expiry
 
         # Successful fitting
-        self.params_dict[maturity] = (t, params)
+        self.params_dict[expiry] = (t, params)
 
         # Calculate all model statistics
         stats = self.calculate_model_stats(params, t, k, iv)
@@ -185,7 +184,7 @@ class SVICalibrator:
         logger.info(f'\033[32mSUCCESS\033[0m for {maturity}')
 
         self.update_results(result)
-        return maturity
+        return expiry
 
     def update_results(self, result_row):
         """Update results data dictionary"""
@@ -211,7 +210,7 @@ class SVICalibrator:
         # Create results DataFrame and mapping for updates
         fit_results = pd.DataFrame(self.results_data, index=self.results_data['maturity'])
         fit_results = fit_results.sort_values(by='t')
-        maturity_dict = {row['expiry']: idx for idx, row in fit_results.iterrows()}
+        maturities_dict = {row['expiry']: idx for idx, row in fit_results.iterrows()}
 
         # Check for calendar arbitrage
         sorted_maturities = sorted(self.params_dict.keys(), key=lambda x: self.params_dict[x][0])
@@ -221,11 +220,11 @@ class SVICalibrator:
 
         # Update calendar arbitrage status
         for mat in sorted_maturities:
-            mat_name = maturity_dict[mat]
+            mat_name = maturities_dict[mat]
             fit_results.at[mat_name, 'calendar_arbitrage_free'] = calendar_arbitrage_free
 
         # Correct calendar arbitrage violations
-        self.correct_calendar_arbitrage(sorted_maturities, fit_results, maturity_dict)
+        self.correct_calendar_arbitrage(sorted_maturities, fit_results, maturities_dict)
 
         # Clean up results and report execution time
         fit_results = fit_results.drop(columns='maturity')
@@ -234,7 +233,7 @@ class SVICalibrator:
 
         return fit_results
 
-    def correct_calendar_arbitrage(self, sorted_maturities, fit_results, maturity_dict):
+    def correct_calendar_arbitrage(self, sorted_maturities, fit_results, maturities_dict):
         """Handle calendar arbitrage corrections"""
         for i in range(1, len(sorted_maturities)):
             mat2 = sorted_maturities[i]
@@ -260,7 +259,7 @@ class SVICalibrator:
 
             # Calculate new stats and update results
             stats = self.calculate_model_stats(new_params, t2, k, iv)
-            mat2_name = maturity_dict[mat2]
+            mat2_name = maturities_dict[mat2]
 
             # Update all stats at once
             for key, value in stats.items():
@@ -274,7 +273,7 @@ class SVICalibrator:
 
         # Update final status
         for mat in sorted_maturities:
-            mat_name = maturity_dict[mat]
+            mat_name = maturities_dict[mat]
             fit_results.at[mat_name, 'calendar_arbitrage_free'] = calendar_arbitrage_free
 
 

{voly-0.0.249 → voly-0.0.251/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.249
+Version: 0.0.251
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT