voly 0.0.36__py3-none-any.whl → 0.0.38__py3-none-any.whl

voly/client.py

@@ -19,7 +19,7 @@ from voly.formulas import (
 )
 from voly.core.data import fetch_option_chain, process_option_chain
 from voly.core.fit import fit_model, get_iv_surface
-from voly.core.rnd import get_rnd, get_rnd_surface, calculate_pdf, calculate_cdf, calculate_strike_probability
+from voly.core.rnd import get_rnd_surface, calculate_pdf, calculate_cdf, calculate_strike_probability
 from voly.core.interpolate import interpolate_model
 from voly.core.charts import (
     plot_all_smiles, plot_3d_surface, plot_parameters, plot_fit_performance,
@@ -336,12 +336,15 @@ class VolyClient:
         - Tuple of (moneyness_array, iv_surface)
         """
         # Generate the surface
-        iv_surface = get_iv_surface(
+        moneyness_array, iv_surface = get_iv_surface(
             fit_results=fit_results,
             moneyness_params=moneyness_params
         )
 
-        return iv_surface
+        return {
+            'moneyness_array': moneyness_array,
+            'iv_surface': iv_surface
+        }
 
     @staticmethod
     def plot_model(fit_results: Dict[str, Any],
@@ -386,31 +389,6 @@ class VolyClient:
     # Risk-Neutral Density (RND)
     # -------------------------------------------------------------------------
 
-    @staticmethod
-    def get_rnd(svi_params_list: List[float],
-                moneyness_params: Tuple[float, float, int] = (-2, 2, 500)
-                ) -> np.ndarray:
-        """
-        Calculate risk-neutral density from fitted model.
-
-        Parameters:
-
-        Returns:
-        - Array with RND results over moneyness
-        """
-        logger.info("Calculating risk-neutral density")
-
-        # Generate the surface
-        moneyness_array, rnd_values = get_rnd(
-            svi_params_list=svi_params_list,
-            moneyness_params=moneyness_params
-        )
-
-        return {
-            'moneyness_array': moneyness_array,
-            'rnd_values': rnd_values
-        }
-
     @staticmethod
     def get_rnd_surface(fit_results: Dict[str, Any],
                         moneyness_params: Tuple[float, float, int] = (-2, 2, 500)
@@ -426,12 +404,15 @@ class VolyClient:
         logger.info("Calculating risk-neutral density")
 
         # Generate the surface
-        rnd_values = get_rnd_surface(
+        moneyness_array, rnd_surface = get_rnd_surface(
             fit_results=fit_results,
             moneyness_params=moneyness_params
         )
 
-        return rnd_values
+        return {
+            'moneyness_array': moneyness_array,
+            'rnd_surface': rnd_surface
+        }
 
     @staticmethod
     def pdf(rnd_results: Dict[str, Any],

voly/core/fit.py

@@ -276,7 +276,7 @@ def get_iv_surface(fit_results: Dict[str, Any],
     - moneyness_params: Tuple of (min, max, num_points) for the moneyness grid
 
     Returns:
-    - iv_surface
+    - moneyness_array, iv_surface
     """
     iv_surface = {}
 
@@ -297,4 +297,4 @@ def get_iv_surface(fit_results: Dict[str, Any],
         w_svi = [SVIModel.svi(x, *svi_params) for x in moneyness_array]
         iv_surface[yte] = np.sqrt(np.array(w_svi) / yte)
 
-    return iv_surface
+    return moneyness_array, iv_surface

voly/core/rnd.py

@@ -16,32 +16,6 @@ def rnd(moneyness_array: float, total_var: float) -> float:
     return np.exp(-(moneyness_array ** 2) / (2 * total_var)) / (np.sqrt(2 * np.pi * total_var))
 
 
-@catch_exception
-def get_rnd(svi_params_list: List[float],
-            moneyness_params: Tuple[float, float, int] = (-2, 2, 500)
-            ) -> Dict[str, Any]:
-
-    # Adjust parameter order to match function signatures
-    a, b, sigma, rho, m = svi_params_list
-
-    # Extract moneyness parameters
-    min_m, max_m, num_points = moneyness_params
-
-    # Generate moneyness grid
-    moneyness_array = np.linspace(min_m, max_m, num=num_points)
-
-    # Calculate total variance
-    total_var = np.array([SVIModel.svi(x, a, b, sigma, rho, m) for x in moneyness_array])
-
-    # Calculate risk-neutral density using the base RND function
-    rnd_values = np.array([rnd(x, var) for x, var in zip(moneyness_array, total_var)])
-
-    return {
-        'moneyness_array': moneyness_array,
-        'rnd_values': rnd_values
-    }
-
-
 @catch_exception
 def get_rnd_surface(fit_results: Dict[str, Any],
                     moneyness_params: Tuple[float, float, int] = (-2, 2, 500)
@@ -54,7 +28,7 @@ def get_rnd_surface(fit_results: Dict[str, Any],
     - fit_results: results from fit_model()
 
     Returns:
-    - Dictionary mapping maturity names to RND arrays
+    - moneyness_array, rnd_surface
     """
     rnd_surface = {}
 
@@ -84,7 +58,7 @@ def get_rnd_surface(fit_results: Dict[str, Any],
 
         rnd_surface[maturity_name] = rnd_values
 
-    return rnd_surface
+    return moneyness_array, rnd_surface
 
 
 @catch_exception

{voly-0.0.36.dist-info → voly-0.0.38.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.36
+Version: 0.0.38
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.36.dist-info → voly-0.0.38.dist-info}/RECORD

@@ -1,18 +1,18 @@
 voly/__init__.py,sha256=8xyDk7rFCn_MOD5hxuv5cxxKZvBVRiSIM7TgaMPpwpw,211
-voly/client.py,sha256=hKjNVmgpDdc2tAtdRZNEjRh7TQbQmtwR_QAakzhouO0,19661
+voly/client.py,sha256=8nBT2cbjSCYn9Qf1xEFMifmlggkg7BI9ANFVNhHYKUI,19171
 voly/exceptions.py,sha256=PBsbn1vNMvKcCJwwJ4lBO6glD85jo1h2qiEmD7ArAjs,92
 voly/formulas.py,sha256=7NQZtYWFT_VOyAVNQHLB5-8caGAdtzU8y8eFcYJsZn8,7256
 voly/models.py,sha256=YJ12aamLz_-aOni4Qm0_XV9u4bjKK3vfJz0J2gc1h0o,3565
 voly/core/__init__.py,sha256=bu6fS2I1Pj9fPPnl-zY3L7NqrZSY5Zy6NY2uMUvdhKs,183
 voly/core/charts.py,sha256=lHiDYKb4uHK2R7wjs8xuxQ6FD9QsQyFR2-6bbtxqquE,26696
 voly/core/data.py,sha256=Dfk-ByHpdteUiLXr0p-wRLr3VAmdyjdDBKwjwdTgCjA,9939
-voly/core/fit.py,sha256=rozX5UIVPxjWtd2BpLIHtR99WyeNjdATRUfVPkM7GdY,9911
+voly/core/fit.py,sha256=LVu_bgYJppH9Sboh1ovQv5BnJnCxSyNSX7lCpv0NnYk,9945
 voly/core/interpolate.py,sha256=ztVIePJZOh-CIbn69wkh1JW2rKywNe2FEewRN0zcSAo,8185
-voly/core/rnd.py,sha256=oParWRKJlMmZPHG5-sUTSlhYNMMP4BfSo07361yhnpw,12715
+voly/core/rnd.py,sha256=0jiBkDDy6d_AQggCZsmkd1ilWp4wzAoeCGn_rKybsSA,11897
 voly/utils/__init__.py,sha256=E05mWatyC-PDOsCxQV1p5Xi1IgpOomxrNURyCx_gB-w,200
 voly/utils/logger.py,sha256=4-_2bVJmq17Q0d7Rd2mPg1AeR8gxv6EPvcmBDMFWcSM,1744
-voly-0.0.36.dist-info/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.36.dist-info/METADATA,sha256=N6G8Yh4POhUxsH2JkU7_F0dQYCi9sQh4dbHzTt6kglo,4092
-voly-0.0.36.dist-info/WHEEL,sha256=52BFRY2Up02UkjOa29eZOS2VxUrpPORXg1pkohGGUS8,91
-voly-0.0.36.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.36.dist-info/RECORD,,
+voly-0.0.38.dist-info/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.38.dist-info/METADATA,sha256=ABlHe4U0hIrdrV9C3N9CrzvA41_SAT5FaZvt1tApp6Y,4092
+voly-0.0.38.dist-info/WHEEL,sha256=52BFRY2Up02UkjOa29eZOS2VxUrpPORXg1pkohGGUS8,91
+voly-0.0.38.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.38.dist-info/RECORD,,