voly 0.0.258__py3-none-any.whl → 0.0.259__py3-none-any.whl

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/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-0.0.258.dist-info → voly-0.0.259.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.258
+Version: 0.0.259
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.258.dist-info → voly-0.0.259.dist-info}/RECORD

@@ -5,16 +5,16 @@ 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=W_6yhJrfPGjOev8PjDZRv_SAw2wUovhYAsF6ZDdGgxY,12718
-voly/core/data.py,sha256=A0zrIjg-pf3mG28UR313Bc57h74G5smWCVBB7vysM_4,13527
+voly/core/data.py,sha256=IPR-dtTMPBA7ua8D_VQeV6lsguCKBf-H0ZIxRpxNV-k,11677
 voly/core/fit.py,sha256=G5ooc47QxAcoVWunU8990TLH3gOigkDA5vSRtPG-mXA,14010
 voly/core/hd.py,sha256=dSv197RmSWFWbRRdoBzMrD_poT7ZiJ8hdD_wKE-Li_M,13559
 voly/core/interpolate.py,sha256=GAkrqaar7A0D6UMipXQUp4vSHRfb44TmCG5Xiv9elXg,5176
-voly/core/rnd.py,sha256=wiZ5OIjPDf1Th5_sQ9CZG5JgAo3EL8f63T_Rj1_VP-0,13214
+voly/core/rnd.py,sha256=SITZVvZGm-3vjnzFJMncRWsu7Gfj9qJKgXsfBvkDyJ4,13245
 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-0.0.258.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.258.dist-info/METADATA,sha256=I_HoPsqXLW1-u4nUQNCAlkiruiNIm9FJaA2Ova0Sb6Q,4115
-voly-0.0.258.dist-info/WHEEL,sha256=ck4Vq1_RXyvS4Jt6SI0Vz6fyVs4GWg7AINwpsaGEgPE,91
-voly-0.0.258.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.258.dist-info/RECORD,,
+voly-0.0.259.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.259.dist-info/METADATA,sha256=Gz-Kz-3SZB7JUKx2mIP06o_FsV7Xr6RDt8TKkyJj9cg,4115
+voly-0.0.259.dist-info/WHEEL,sha256=wXxTzcEDnjrTwFYjLPcsW_7_XihufBwmpiBeiXNBGEA,91
+voly-0.0.259.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.259.dist-info/RECORD,,

{voly-0.0.258.dist-info → voly-0.0.259.dist-info}/WHEEL

@@ -1,5 +1,5 @@
 Wheel-Version: 1.0
-Generator: setuptools (80.0.0)
+Generator: setuptools (80.1.0)
 Root-Is-Purelib: true
 Tag: py3-none-any