voly 0.0.257__tar.gz → 0.0.259__tar.gz

{voly-0.0.257/src/voly.egg-info → voly-0.0.259}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.257
+Version: 0.0.259
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.257 → voly-0.0.259}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.257"
+version = "0.0.259"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.257"
+python_version = "0.0.259"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.257 → voly-0.0.259}/src/voly/core/charts.py

@@ -38,6 +38,7 @@ def plot_volatility_smile(x_array: np.ndarray,
     Returns:
     - Plotly figure
     """
+
     # Map domain types to axis labels
     domain_labels = {
         'log_moneyness': 'Log Moneyness',
@@ -62,6 +63,7 @@ def plot_volatility_smile(x_array: np.ndarray,
 
     # Add market data if provided
     if option_chain is not None and maturity is not None:
+        currency = option_chain['currency'].iloc[0]
         maturity_data = option_chain[option_chain['maturity'] == maturity]
         if return_domain == 'delta':
             maturity_data = maturity_data[maturity_data['flag'] == 'C']
@@ -80,9 +82,9 @@ def plot_volatility_smile(x_array: np.ndarray,
                         )
                     )
 
-            title = f'Vol Smile for {maturity}'
+            title = f'{currency} - Vol Smile for {maturity}'
         else:
-            title = f'Vol Smile for {maturity}'
+            title = f'{currency} - Vol Smile for {maturity}'
     else:
         title = 'Volatility Smile'
 
@@ -182,7 +184,7 @@ def plot_raw_parameters(fit_results: pd.DataFrame) -> go.Figure:
 
     # Update layout
     fig.update_layout(
-        title='Raw SVI Parameters Across Expiries',
+        title='Raw SVI Parameters Across Maturities',
         template='plotly_dark',
         showlegend=False
     )
@@ -245,7 +247,7 @@ def plot_jw_parameters(fit_results: pd.DataFrame) -> go.Figure:
 
     # Update layout
     fig.update_layout(
-        title='Jump-Wing Parameters Across Expiries',
+        title='Jump-Wing Parameters Across Maturities',
         template='plotly_dark',
         showlegend=False
     )

{voly-0.0.257 → voly-0.0.259}/src/voly/core/data.py

@@ -182,59 +182,6 @@ async def get_deribit_data(currency: str = "BTC") -> pd.DataFrame:
 
     return pd.DataFrame(all_data)
 
-'''
-@catch_exception
-def process_option_chain(df: pd.DataFrame, currency: str) -> pd.DataFrame:
-    """
-    Process raw option chain data into a standardized format.
-
-    Parameters:
-    df (pd.DataFrame): Raw option chain data
-    currency (str): Currency code (e.g., 'BTC', 'ETH')
-
-    Returns:
-    pd.DataFrame: Processed option chain data
-    """
-    logger.info(f"Processing data for {currency}...")
-
-    # Apply extraction to create new columns
-    splits = df['instrument_name'].str.split('-')
-    df['maturity_name'] = splits.str[1]
-    if currency == 'XRP':
-        df['strikes'] = splits.str[2].str.replace('d', '.', regex=False).astype(float)
-    else:
-        df['strikes'] = splits.str[2].astype(float)
-    df['option_type'] = splits.str[3]
-
-    # Create maturity date at 8:00 AM UTC
-    df['maturity_date'] = pd.to_datetime(df['maturity_name'].apply(
-        lambda x: int(dt.datetime.strptime(x, "%d%b%y")
-                      .replace(hour=8, minute=0, second=0, tzinfo=dt.timezone.utc)
-                      .timestamp() * 1000)), unit='ms')
-
-    # Get reference time from timestamp
-    reference_time = dt.datetime.fromtimestamp(df['timestamp'].iloc[0] / 1000)
-
-    # Calculate time to expiry in years
-    df['t'] = ((df['maturity_date'] - reference_time).dt.total_seconds() / (24 * 60 * 60)) / 365.25
-
-    # Calculate implied volatility (convert from percentage)
-    df['mark_iv'] = df['mark_iv'] / 100
-    df['bid_iv'] = df['bid_iv'].replace({0: np.nan}) / 100
-    df['ask_iv'] = df['ask_iv'].replace({0: np.nan}) / 100
-
-    # Calculate log-moneyness
-    df['log_moneyness'] = np.log(df['strikes'] / df['index_price'].iloc[0])
-    # Calculate moneyness
-    df['moneyness'] = np.exp(df['log_moneyness'])
-    # Calculate returns
-    df['returns'] = df['moneyness'] - 1
-
-    logger.info(f"Processing complete!")
-
-    return df
-'''
-
 
 @catch_exception
 def process_option_chain(df: pd.DataFrame, currency: str) -> pd.DataFrame:

{voly-0.0.257 → voly-0.0.259}/src/voly/core/rnd.py

@@ -51,7 +51,7 @@ def breeden(domain_params, s, r, o, t, return_domain):
     dx = domains['dx']
 
     # Calculate option prices and derivatives
-    c = bs(s, K, r, o, t, option_type='call')
+    c = [bs(s, strike, r, vol, t, flag='call') for strike, vol in zip(K, o)]
     c1 = np.gradient(c, K)
     c2 = np.gradient(c1, K)
 

{voly-0.0.257 → voly-0.0.259/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.257
+Version: 0.0.259
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT