voly 0.0.39__tar.gz → 0.0.41__tar.gz

{voly-0.0.39/src/voly.egg-info → voly-0.0.41}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.39
+Version: 0.0.41
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.39 → voly-0.0.41}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.39"
+version = "0.0.41"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.39"
+python_version = "0.0.41"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.39 → voly-0.0.41}/src/voly/core/charts.py

@@ -22,11 +22,11 @@ pio.renderers.default = "browser"
 
 
 @catch_exception
-def plot_volatility_smile(moneyness: np.ndarray,
-                          iv: np.ndarray,
-                          market_data: Optional[pd.DataFrame] = None,
+def plot_volatility_smile(moneyness_array: np.ndarray,
+                          iv_values: np.ndarray,
+                          market_data: pd.DataFrame = None,
                           expiry: Optional[float] = None,
-                          title: Optional[str] = None) -> go.Figure:
+                          ) -> go.Figure:
     """
     Plot volatility smile for a single expiry.
 
@@ -45,8 +45,8 @@ def plot_volatility_smile(moneyness: np.ndarray,
     # Add model curve
     fig.add_trace(
         go.Scatter(
-            x=moneyness,
-            y=iv * 100,  # Convert to percentage
+            x=moneyness_array,
+            y=iv_values * 100,  # Convert to percentage
             mode='lines',
             name='Model',
             line=dict(color='#0080FF', width=2)
@@ -79,15 +79,12 @@ def plot_volatility_smile(moneyness: np.ndarray,
             )
         )
 
-        # Get maturity name and DTE for title if not provided
-        if title is None:
-            maturity_name = expiry_data['maturity_name'].iloc[0]
-            dte_value = expiry_data['dte'].iloc[0]
-            title = f'Vol Smile for {maturity_name} (DTE: {dte_value:.1f})'
+    maturity_name = expiry_data['maturity_name'].iloc[0]
+    dte_value = expiry_data['dte'].iloc[0]
 
     # Update layout
     fig.update_layout(
-        title=title,
+        title=f'Vol Smile for {maturity_name} (DTE: {dte_value:.1f})',
         xaxis_title='Log Moneyness',
         yaxis_title='Implied Volatility (%)',
         template='plotly_dark',
@@ -98,7 +95,7 @@ def plot_volatility_smile(moneyness: np.ndarray,
 
 
 @catch_exception
-def plot_all_smiles(moneyness: np.ndarray,
+def plot_all_smiles(moneyness_array: np.ndarray,
                     iv_surface: Dict[float, np.ndarray],
                     market_data: Optional[pd.DataFrame] = None) -> List[go.Figure]:
     """
@@ -120,8 +117,8 @@ def plot_all_smiles(moneyness: np.ndarray,
     # Create a figure for each expiry
     for expiry in sorted_expiries:
         fig = plot_volatility_smile(
-            moneyness=moneyness,
-            iv=iv_surface[expiry],
+            moneyness_array=moneyness_array,
+            iv_values=iv_surface[expiry],
             market_data=market_data,
             expiry=expiry
         )
@@ -346,13 +343,13 @@ def plot_fit_performance(fit_performance: pd.DataFrame) -> go.Figure:
 
 
 @catch_exception
-def plot_3d_surface(moneyness_grid: np.ndarray,
+def plot_3d_surface(moneyness_array: np.ndarray,
                     iv_surface: dict[float, np.ndarray]) -> go.Figure:
     """
     Plot 3D implied volatility surface.
 
     Parameters:
-    - moneyness_grid: grid of moneyness values
+    - moneyness_array: grid of moneyness values
     - iv_surface: Dictionary mapping expiry times to IV arrays
 
     Returns:
@@ -361,13 +358,13 @@ def plot_3d_surface(moneyness_grid: np.ndarray,
     start_color = '#60AEFC'
     end_color = '#002040'  # Darker blue
     custom_blue_scale = [[0, start_color], [1, end_color]]
-    yte_values = list(iv_surface.keys())
+    maturities = list(iv_surface.keys())
 
     # Convert implied volatility surface to array
-    z_array = np.array([iv_surface[t] for t in yte_values])
+    z_array = np.array([iv_surface[m] for m in maturities])
 
     # Create mesh grid
-    X, Y = np.meshgrid(moneyness_grid, yte_values)
+    X, Y = np.meshgrid(moneyness_array, maturities)
     Z = z_array * 100  # Convert to percentage
 
     # Create 3D surface plot with custom blue colorscale
@@ -383,7 +380,7 @@ def plot_3d_surface(moneyness_grid: np.ndarray,
         template='plotly_dark',
         scene=dict(
             xaxis_title='Log Moneyness',
-            yaxis_title='Time to Expiry (years)',
+            yaxis_title='Maturities',
             zaxis_title='Implied Volatility (%)'
         ),
         margin=dict(l=65, r=50, b=65, t=90)
@@ -393,7 +390,7 @@ def plot_3d_surface(moneyness_grid: np.ndarray,
 
 
 @catch_exception
-def plot_rnd(moneyness_grid: np.ndarray,
+def plot_rnd(moneyness_array: np.ndarray,
              rnd_values: np.ndarray,
              spot_price: float = 1.0,
              title: str = 'Risk-Neutral Density') -> go.Figure:
@@ -401,7 +398,7 @@ def plot_rnd(moneyness_grid: np.ndarray,
     Plot risk-neutral density (RND).
 
     Parameters:
-    - moneyness_grid: Grid of log-moneyness values
+    - moneyness_array: Grid of log-moneyness values
     - rnd_values: RND values
     - spot_price: Spot price for converting to absolute prices
     - title: Plot title
@@ -413,10 +410,10 @@ def plot_rnd(moneyness_grid: np.ndarray,
     fig = go.Figure()
 
     # Convert to prices and normalize RND
-    prices = spot_price * np.exp(moneyness_grid)
+    prices = spot_price * np.exp(moneyness_array)
 
     # Normalize the RND to integrate to 1
-    dx = moneyness_grid[1] - moneyness_grid[0]
+    dx = moneyness_array[1] - moneyness_array[0]
     total_density = np.sum(rnd_values) * dx
     normalized_rnd = rnd_values / total_density if total_density > 0 else rnd_values
 
@@ -463,7 +460,7 @@ def plot_rnd(moneyness_grid: np.ndarray,
 
 
 @catch_exception
-def plot_rnd_all_expiries(moneyness_grid: np.ndarray,
+def plot_rnd_all_expiries(moneyness_array: np.ndarray,
                           rnd_surface: Dict[str, np.ndarray],
                           param_matrix: pd.DataFrame,
                           spot_price: float = 1.0) -> go.Figure:
@@ -471,7 +468,7 @@ def plot_rnd_all_expiries(moneyness_grid: np.ndarray,
     Plot risk-neutral densities for all expiries.
 
     Parameters:
-    - moneyness_grid: Grid of log-moneyness values
+    - moneyness_array: Grid of log-moneyness values
     - rnd_surface: Dictionary mapping maturity names to RND arrays
     - param_matrix: Matrix containing model parameters with maturity info
     - spot_price: Spot price for converting to absolute prices
@@ -494,7 +491,7 @@ def plot_rnd_all_expiries(moneyness_grid: np.ndarray,
               for i in range(n_maturities)]
 
     # Convert to prices
-    prices = spot_price * np.exp(moneyness_grid)
+    prices = spot_price * np.exp(moneyness_array)
 
     # Add traces for each expiry
     for i, maturity_name in enumerate(maturity_names):
@@ -502,7 +499,7 @@ def plot_rnd_all_expiries(moneyness_grid: np.ndarray,
         dte = dte_values[maturity_name]
 
         # Normalize the RND
-        dx = moneyness_grid[1] - moneyness_grid[0]
+        dx = moneyness_array[1] - moneyness_array[0]
         total_density = np.sum(rnd) * dx
         normalized_rnd = rnd / total_density if total_density > 0 else rnd
 
@@ -543,7 +540,7 @@ def plot_rnd_all_expiries(moneyness_grid: np.ndarray,
 
 
 @catch_exception
-def plot_rnd_3d(moneyness_grid: np.ndarray,
+def plot_rnd_3d(moneyness_array: np.ndarray,
                 rnd_surface: Dict[str, np.ndarray],
                 param_matrix: pd.DataFrame,
                 spot_price: float = 1.0) -> go.Figure:
@@ -551,7 +548,7 @@ def plot_rnd_3d(moneyness_grid: np.ndarray,
     Plot 3D surface of risk-neutral densities.
 
     Parameters:
-    - moneyness_grid: Grid of log-moneyness values
+    - moneyness_array: Grid of log-moneyness values
     - rnd_surface: Dictionary mapping maturity names to RND arrays
     - param_matrix: Matrix containing model parameters with maturity info
     - spot_price: Spot price for converting to absolute prices
@@ -569,7 +566,7 @@ def plot_rnd_3d(moneyness_grid: np.ndarray,
     dte_list = [dte_values[name] for name in maturity_names]
 
     # Convert to prices
-    prices = spot_price * np.exp(moneyness_grid)
+    prices = spot_price * np.exp(moneyness_array)
 
     # Create z-data matrix and normalize RNDs
     z_data = np.zeros((len(maturity_names), len(prices)))
@@ -578,7 +575,7 @@ def plot_rnd_3d(moneyness_grid: np.ndarray,
         rnd = rnd_surface[name]
 
         # Normalize the RND
-        dx = moneyness_grid[1] - moneyness_grid[0]
+        dx = moneyness_array[1] - moneyness_array[0]
         total_density = np.sum(rnd) * dx
         normalized_rnd = rnd / total_density if total_density > 0 else rnd
 
@@ -770,7 +767,7 @@ def plot_rnd_statistics(rnd_statistics: pd.DataFrame,
 
 
 @catch_exception
-def plot_cdf(moneyness_grid: np.ndarray,
+def plot_cdf(moneyness_array: np.ndarray,
              rnd_values: np.ndarray,
              spot_price: float = 1.0,
              title: str = 'Cumulative Distribution Function') -> go.Figure:
@@ -778,7 +775,7 @@ def plot_cdf(moneyness_grid: np.ndarray,
     Plot the cumulative distribution function (CDF) from RND values.
 
     Parameters:
-    - moneyness_grid: Grid of log-moneyness values
+    - moneyness_array: Grid of log-moneyness values
     - rnd_values: RND values
     - spot_price: Spot price for converting to absolute prices
     - title: Plot title
@@ -787,10 +784,10 @@ def plot_cdf(moneyness_grid: np.ndarray,
     - Plotly figure
     """
     # Convert to prices and normalize RND
-    prices = spot_price * np.exp(moneyness_grid)
+    prices = spot_price * np.exp(moneyness_array)
 
     # Normalize the RND
-    dx = moneyness_grid[1] - moneyness_grid[0]
+    dx = moneyness_array[1] - moneyness_array[0]
     total_density = np.sum(rnd_values) * dx
     normalized_rnd = rnd_values / total_density if total_density > 0 else rnd_values
 
@@ -850,7 +847,7 @@ def plot_cdf(moneyness_grid: np.ndarray,
 
 
 @catch_exception
-def plot_pdf(moneyness_grid: np.ndarray,
+def plot_pdf(moneyness_array: np.ndarray,
              rnd_values: np.ndarray,
              spot_price: float = 1.0,
              title: str = 'Probability Density Function') -> go.Figure:
@@ -858,7 +855,7 @@ def plot_pdf(moneyness_grid: np.ndarray,
     Plot the probability density function (PDF) from RND values.
 
     Parameters:
-    - moneyness_grid: Grid of log-moneyness values
+    - moneyness_array: Grid of log-moneyness values
     - rnd_values: RND values
     - spot_price: Spot price for converting to absolute prices
     - title: Plot title
@@ -867,7 +864,7 @@ def plot_pdf(moneyness_grid: np.ndarray,
     - Plotly figure
     """
     # This is essentially the same as plot_rnd but with a different title
-    return plot_rnd(moneyness_grid, rnd_values, spot_price, title)
+    return plot_rnd(moneyness_array, rnd_values, spot_price, title)
 
 
 @catch_exception
@@ -886,13 +883,13 @@ def plot_interpolated_surface(
     - Plotly figure
     """
     # Extract data from interpolation results
-    moneyness_grid = interp_results['moneyness_grid']
+    moneyness_array = interp_results['moneyness_array']
     target_expiries_years = interp_results['target_expiries_years']
     iv_surface = interp_results['iv_surface']
 
     # Create a 3D surface plot
     fig = plot_3d_surface(
-        moneyness=moneyness_grid,
+        moneyness=moneyness_array,
         expiries=target_expiries_years,
         iv_surface=iv_surface,
         title=title

{voly-0.0.39 → voly-0.0.41}/src/voly/core/fit.py

@@ -295,6 +295,6 @@ def get_iv_surface(fit_results: Dict[str, Any],
     for maturity, yte in zip(maturity_values, yte_values):
         svi_params = param_matrix[maturity].values
         w_svi = [SVIModel.svi(x, *svi_params) for x in moneyness_array]
-        iv_surface[yte] = np.sqrt(np.array(w_svi) / yte)
+        iv_surface[maturity] = np.sqrt(np.array(w_svi) / yte)
 
     return moneyness_array, iv_surface

{voly-0.0.39 → voly-0.0.41}/src/voly/core/rnd.py

@@ -43,11 +43,9 @@ def get_rnd_surface(fit_results: Dict[str, Any],
     maturity_values = fit_results['fit_performance']['Maturity']
     param_matrix = fit_results['raw_param_matrix']
 
-    # Generate implied volatility for each expiry
+    # Generate rnd for each expiry
     for maturity, yte in zip(maturity_values, yte_values):
         svi_params_list = list(param_matrix[maturity].values)
-
-        # Adjust parameter order to match function signatures
         a, b, sigma, rho, m = svi_params_list
 
         # Calculate total variance
@@ -55,7 +53,6 @@ def get_rnd_surface(fit_results: Dict[str, Any],
 
         # 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)])
-
         rnd_surface[maturity] = rnd_values
 
     return moneyness_array, rnd_surface

{voly-0.0.39 → voly-0.0.41/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.39
+Version: 0.0.41
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT