voly 0.0.41__py3-none-any.whl → 0.0.43__py3-none-any.whl

voly/core/charts.py

@@ -23,19 +23,18 @@ pio.renderers.default = "browser"
 
 @catch_exception
 def plot_volatility_smile(moneyness_array: np.ndarray,
-                          iv_values: np.ndarray,
+                          iv_array: np.ndarray,
                           market_data: pd.DataFrame = None,
-                          expiry: Optional[float] = 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
@@ -46,7 +45,7 @@ def plot_volatility_smile(moneyness_array: np.ndarray,
     fig.add_trace(
         go.Scatter(
             x=moneyness_array,
-            y=iv_values * 100,  # Convert to percentage
+            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_array: 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)
@@ -71,20 +70,19 @@ def plot_volatility_smile(moneyness_array: 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)
             )
         )
 
-    maturity_name = expiry_data['maturity_name'].iloc[0]
-    dte_value = expiry_data['dte'].iloc[0]
+    dte_value = maturity_data['dte'].iloc[0]
 
     # Update layout
     fig.update_layout(
-        title=f'Vol Smile for {maturity_name} (DTE: {dte_value:.1f})',
+        title=f'Vol Smile for {maturity} (DTE: {dte_value:.1f})',
         xaxis_title='Log Moneyness',
         yaxis_title='Implied Volatility (%)',
         template='plotly_dark',
@@ -111,16 +109,16 @@ def plot_all_smiles(moneyness_array: 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_array=moneyness_array,
-            iv_values=iv_surface[expiry],
+            iv_array=iv_surface[maturity],
             market_data=market_data,
-            expiry=expiry
+            maturity=maturity
         )
         figures.append(fig)
 
@@ -392,8 +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).
 
@@ -449,7 +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',
@@ -462,7 +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.
@@ -477,7 +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/formulas.py

@@ -10,12 +10,40 @@ from voly.models import SVIModel
 from math import exp
 
 
+@catch_exception
+def vectorize_inputs(func):
+    """
+    Decorator to vectorize Black-Scholes functions to handle both scalar and array inputs.
+    """
+    def wrapper(s, k, r, vol, t, option_type='call'):
+        # Check if inputs are scalar
+        k_scalar = np.isscalar(k)
+        vol_scalar = np.isscalar(vol)
+
+        # If both inputs are scalar, use the original function directly
+        if k_scalar and vol_scalar:
+            return func(s, k, r, vol, t, option_type)
+
+        # Use NumPy's vectorize to handle array inputs
+        vectorized_func = np.vectorize(lambda k_val, vol_val:
+                                       func(s, k_val, r, vol_val, t, option_type))
+
+        # Call the vectorized function with the inputs
+        return vectorized_func(k, vol)
+
+    return wrapper
+
+
+@catch_exception
+@vectorize_inputs
 def d1(s: float, k: float, r: float, vol: float, t: float) -> float:
     if vol <= 0 or t <= 0:
         return np.nan
     return (np.log(s / k) + (r + vol * vol / 2) * t) / (vol * np.sqrt(t))
 
 
+@catch_exception
+@vectorize_inputs
 def d2(s: float, k: float, r: float, vol: float, t: float) -> float:
     if vol <= 0 or t <= 0:
         return np.nan
@@ -23,6 +51,7 @@ def d2(s: float, k: float, r: float, vol: float, t: float) -> float:
 
 
 @catch_exception
+@vectorize_inputs
 def bs(s: float, k: float, r: float, vol: float, t: float, option_type: str = 'call') -> float:
     if vol <= 0 or t <= 0:
         # Intrinsic value at expiry
@@ -41,6 +70,7 @@ def bs(s: float, k: float, r: float, vol: float, t: float, option_type: str = 'c
 
 
 @catch_exception
+@vectorize_inputs
 def delta(s: float, k: float, r: float, vol: float, t: float, option_type: str = 'call') -> float:
     if vol <= 0 or t <= 0:
         # At expiry, delta is either 0 or 1 for call, 0 or -1 for put
@@ -58,6 +88,7 @@ def delta(s: float, k: float, r: float, vol: float, t: float, option_type: str =
 
 
 @catch_exception
+@vectorize_inputs
 def gamma(s: float, k: float, r: float, vol: float, t: float) -> float:
     if vol <= 0 or t <= 0:
         return 0.0
@@ -67,6 +98,7 @@ def gamma(s: float, k: float, r: float, vol: float, t: float) -> float:
 
 
 @catch_exception
+@vectorize_inputs
 def vega(s: float, k: float, r: float, vol: float, t: float) -> float:
     if vol <= 0 or t <= 0:
         return 0.0
@@ -76,6 +108,7 @@ def vega(s: float, k: float, r: float, vol: float, t: float) -> float:
 
 
 @catch_exception
+@vectorize_inputs
 def theta(s: float, k: float, r: float, vol: float, t: float, option_type: str = 'call') -> float:
     if vol <= 0 or t <= 0:
         return 0.0
@@ -97,6 +130,7 @@ def theta(s: float, k: float, r: float, vol: float, t: float, option_type: str =
 
 
 @catch_exception
+@vectorize_inputs
 def rho(s: float, k: float, r: float, vol: float, t: float, option_type: str = 'call') -> float:
     if vol <= 0 or t <= 0:
         return 0.0
@@ -110,6 +144,7 @@ def rho(s: float, k: float, r: float, vol: float, t: float, option_type: str = '
 
 
 @catch_exception
+@vectorize_inputs
 def vanna(s: float, k: float, r: float, vol: float, t: float) -> float:
     if vol <= 0 or t <= 0:
         return 0.0
@@ -121,6 +156,7 @@ def vanna(s: float, k: float, r: float, vol: float, t: float) -> float:
 
 
 @catch_exception
+@vectorize_inputs
 def volga(s: float, k: float, r: float, vol: float, t: float) -> float:
     if vol <= 0 or t <= 0:
         return 0.0
@@ -132,6 +168,7 @@ def volga(s: float, k: float, r: float, vol: float, t: float) -> float:
 
 
 @catch_exception
+@vectorize_inputs
 def charm(s: float, k: float, r: float, vol: float, t: float, option_type: str = 'call') -> float:
     if vol <= 0 or t <= 0:
         return 0.0
@@ -153,6 +190,7 @@ def charm(s: float, k: float, r: float, vol: float, t: float, option_type: str =
 
 
 @catch_exception
+@vectorize_inputs
 def greeks(s: float, k: float, r: float, vol: float, t: float,
            option_type: str = 'call') -> Dict[str, float]:
     return {
@@ -169,6 +207,7 @@ def greeks(s: float, k: float, r: float, vol: float, t: float,
 
 
 @catch_exception
+@vectorize_inputs
 def iv(option_price: float, s: float, k: float, r: float, t: float,
        option_type: str = 'call', precision: float = 1e-8,
        max_iterations: int = 100) -> float:

{voly-0.0.41.dist-info → voly-0.0.43.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.41
+Version: 0.0.43
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.41.dist-info → voly-0.0.43.dist-info}/RECORD

@@ -1,18 +1,18 @@
 voly/__init__.py,sha256=8xyDk7rFCn_MOD5hxuv5cxxKZvBVRiSIM7TgaMPpwpw,211
 voly/client.py,sha256=8nBT2cbjSCYn9Qf1xEFMifmlggkg7BI9ANFVNhHYKUI,19171
 voly/exceptions.py,sha256=PBsbn1vNMvKcCJwwJ4lBO6glD85jo1h2qiEmD7ArAjs,92
-voly/formulas.py,sha256=7NQZtYWFT_VOyAVNQHLB5-8caGAdtzU8y8eFcYJsZn8,7256
+voly/formulas.py,sha256=FvxDNtian6bUvQdFbHEa1pGuhmsqyyW8wJ_4dwVQjKg,8320
 voly/models.py,sha256=YJ12aamLz_-aOni4Qm0_XV9u4bjKK3vfJz0J2gc1h0o,3565
 voly/core/__init__.py,sha256=bu6fS2I1Pj9fPPnl-zY3L7NqrZSY5Zy6NY2uMUvdhKs,183
-voly/core/charts.py,sha256=-pynPs7s7WPZUqQhBrxFvVnetEzeCNL2CVJmkSuhx9g,26597
+voly/core/charts.py,sha256=T8cogkiHj8NcFxfARumNvAjLJUAxsMlHUOVgshwjye8,26474
 voly/core/data.py,sha256=Dfk-ByHpdteUiLXr0p-wRLr3VAmdyjdDBKwjwdTgCjA,9939
 voly/core/fit.py,sha256=O4PMihVWI1NIEFU4_RkKvT73p0Jk0tB-ot5moMXAW78,9950
 voly/core/interpolate.py,sha256=ztVIePJZOh-CIbn69wkh1JW2rKywNe2FEewRN0zcSAo,8185
 voly/core/rnd.py,sha256=8FTU-Qp9epW9yE4XSOdiFGIRXrGyXqF6mVgZn1NMvxk,11813
 voly/utils/__init__.py,sha256=E05mWatyC-PDOsCxQV1p5Xi1IgpOomxrNURyCx_gB-w,200
 voly/utils/logger.py,sha256=4-_2bVJmq17Q0d7Rd2mPg1AeR8gxv6EPvcmBDMFWcSM,1744
-voly-0.0.41.dist-info/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.41.dist-info/METADATA,sha256=MOauUodPYfgz4Ie1_FAtCObTNfPIX2iUX8ZZ5AVr1H8,4092
-voly-0.0.41.dist-info/WHEEL,sha256=52BFRY2Up02UkjOa29eZOS2VxUrpPORXg1pkohGGUS8,91
-voly-0.0.41.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.41.dist-info/RECORD,,
+voly-0.0.43.dist-info/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.43.dist-info/METADATA,sha256=4-qY6hJJ4KWuDmGLkqTAbWVihwrWfoUF6Wm7KU8rh3U,4092
+voly-0.0.43.dist-info/WHEEL,sha256=52BFRY2Up02UkjOa29eZOS2VxUrpPORXg1pkohGGUS8,91
+voly-0.0.43.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.43.dist-info/RECORD,,