voly 0.0.40__tar.gz → 0.0.42__tar.gz

{voly-0.0.40/src/voly.egg-info → voly-0.0.42}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.40
+Version: 0.0.42
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.40 → voly-0.0.42}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.40"
+version = "0.0.42"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.40"
+python_version = "0.0.42"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.40 → voly-0.0.42}/src/voly/core/charts.py

@@ -22,20 +22,19 @@ pio.renderers.default = "browser"
 
 
 @catch_exception
-def plot_volatility_smile(moneyness: np.ndarray,
-                          iv: np.ndarray,
-                          market_data: Optional[pd.DataFrame] = None,
-                          expiry: Optional[float] = None,
-                          title: Optional[str] = None) -> go.Figure:
+def plot_volatility_smile(moneyness_array: np.ndarray,
+                          iv_array: np.ndarray,
+                          market_data: pd.DataFrame = None,
+                          maturity: Optional[float] = None,
+                          ) -> go.Figure:
     """
     Plot volatility smile for a single expiry.
 
     Parameters:
-    - moneyness: Moneyness grid
-    - iv: Implied volatility values
+    - moneyness_array: Moneyness grid
+    - iv_array: Implied volatility values
     - market_data: Optional market data for comparison
-    - expiry: Optional expiry time (in years) for filtering market data
-    - title: Optional plot title
+    - maturity: Maturity name for filtering market data
 
     Returns:
     - Plotly figure
@@ -45,8 +44,8 @@ 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_array * 100,  # Convert to percentage
             mode='lines',
             name='Model',
             line=dict(color='#0080FF', width=2)
@@ -54,14 +53,14 @@ def plot_volatility_smile(moneyness: np.ndarray,
     )
 
     # Filter market data for the specific expiry
-    expiry_data = market_data[market_data['yte'] == expiry]
+    maturity_data = market_data[market_data['maturity_name'] == maturity]
 
-    if not expiry_data.empty:
+    if not maturity_data.empty:
         # Add bid IV
         fig.add_trace(
             go.Scatter(
-                x=expiry_data['log_moneyness'],
-                y=expiry_data['bid_iv'] * 100,  # Convert to percentage
+                x=maturity_data['log_moneyness'],
+                y=maturity_data['bid_iv'] * 100,  # Convert to percentage
                 mode='markers',
                 name='Bid IV',
                 marker=dict(size=8, symbol='circle', opacity=0.7)
@@ -71,23 +70,19 @@ def plot_volatility_smile(moneyness: np.ndarray,
         # Add ask IV
         fig.add_trace(
             go.Scatter(
-                x=expiry_data['log_moneyness'],
-                y=expiry_data['ask_iv'] * 100,  # Convert to percentage
+                x=maturity_data['log_moneyness'],
+                y=maturity_data['ask_iv'] * 100,  # Convert to percentage
                 mode='markers',
                 name='Ask IV',
                 marker=dict(size=8, symbol='circle', opacity=0.7)
             )
         )
 
-        # 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})'
+    dte_value = maturity_data['dte'].iloc[0]
 
     # Update layout
     fig.update_layout(
-        title=title,
+        title=f'Vol Smile for {maturity} (DTE: {dte_value:.1f})',
         xaxis_title='Log Moneyness',
         yaxis_title='Implied Volatility (%)',
         template='plotly_dark',
@@ -98,7 +93,7 @@ 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]:
     """
@@ -114,16 +109,16 @@ def plot_all_smiles(moneyness: np.ndarray,
     """
     figures = []
 
-    # Sort expiries in ascending order
-    sorted_expiries = sorted(iv_surface.keys())
+    # Get maturities
+    maturities = list(iv_surface.keys())
 
     # Create a figure for each expiry
-    for expiry in sorted_expiries:
+    for maturity in maturities:
         fig = plot_volatility_smile(
-            moneyness=moneyness,
-            iv=iv_surface[expiry],
+            moneyness_array=moneyness_array,
+            iv_array=iv_surface[maturity],
             market_data=market_data,
-            expiry=expiry
+            maturity=maturity
         )
         figures.append(fig)
 
@@ -383,7 +378,7 @@ def plot_3d_surface(moneyness_array: 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)
@@ -395,8 +390,7 @@ def plot_3d_surface(moneyness_array: np.ndarray,
 @catch_exception
 def plot_rnd(moneyness_array: np.ndarray,
              rnd_values: np.ndarray,
-             spot_price: float = 1.0,
-             title: str = 'Risk-Neutral Density') -> go.Figure:
+             spot_price: float = 1.0) -> go.Figure:
     """
     Plot risk-neutral density (RND).
 
@@ -452,7 +446,7 @@ def plot_rnd(moneyness_array: np.ndarray,
 
     # Update layout
     fig.update_layout(
-        title=title,
+        title='Risk-Neutral Density',
         xaxis_title='Price',
         yaxis_title='Density',
         template='plotly_dark',
@@ -465,7 +459,7 @@ def plot_rnd(moneyness_array: np.ndarray,
 @catch_exception
 def plot_rnd_all_expiries(moneyness_array: np.ndarray,
                           rnd_surface: Dict[str, np.ndarray],
-                          param_matrix: pd.DataFrame,
+                          fit_results: Dict[str, Any],
                           spot_price: float = 1.0) -> go.Figure:
     """
     Plot risk-neutral densities for all expiries.
@@ -480,7 +474,7 @@ def plot_rnd_all_expiries(moneyness_array: np.ndarray,
     - Plotly figure
     """
     # Get maturity information
-    dte_values = param_matrix.attrs['dte_values']
+    dte_values = fit_results['fit_performance']['DTE']
 
     # Create figure
     fig = go.Figure()

{voly-0.0.40 → voly-0.0.42/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.40
+Version: 0.0.42
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT