voly 0.0.42__py3-none-any.whl → 0.0.44__py3-none-any.whl

voly/formulas.py

@@ -10,19 +10,50 @@ from voly.models import SVIModel
 from math import exp
 
 
-def d1(s: float, k: float, r: float, vol: float, t: float) -> float:
+@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, option_type: str = 'call') -> float:
+    # option_type is ignored in this function but included for compatibility
     if vol <= 0 or t <= 0:
         return np.nan
     return (np.log(s / k) + (r + vol * vol / 2) * t) / (vol * np.sqrt(t))
 
 
-def d2(s: float, k: float, r: float, vol: float, t: float) -> float:
+@catch_exception
+@vectorize_inputs
+def d2(s: float, k: float, r: float, vol: float, t: float, option_type: str = 'call') -> float:
+    # option_type is ignored in this function but included for compatibility
     if vol <= 0 or t <= 0:
         return np.nan
-    return d1(s, k, r, vol, t) - vol * np.sqrt(t)
+    return d1(s, k, r, vol, t, option_type) - vol * np.sqrt(t)
 
 
 @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 +72,7 @@ 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 +90,7 @@ 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 +100,7 @@ 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 +110,7 @@ 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 +132,7 @@ 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 +146,7 @@ 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 +158,7 @@ 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 +170,7 @@ 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 +192,7 @@ 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 +209,7 @@ 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-0.0.42.dist-info → voly-0.0.44.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.42
+Version: 0.0.44
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.42.dist-info → voly-0.0.44.dist-info}/RECORD

@@ -1,7 +1,7 @@
 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=vk00FVVtdxPz2sL89fK-6q9WW-rqyjVhwbPPLiZGaIU,8541
 voly/models.py,sha256=YJ12aamLz_-aOni4Qm0_XV9u4bjKK3vfJz0J2gc1h0o,3565
 voly/core/__init__.py,sha256=bu6fS2I1Pj9fPPnl-zY3L7NqrZSY5Zy6NY2uMUvdhKs,183
 voly/core/charts.py,sha256=T8cogkiHj8NcFxfARumNvAjLJUAxsMlHUOVgshwjye8,26474
@@ -11,8 +11,8 @@ 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-0.0.42.dist-info/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.42.dist-info/METADATA,sha256=aMamoio_CqWwAa26G_rZa-NMbID91c_9S3VSxzEBevQ,4092
-voly-0.0.42.dist-info/WHEEL,sha256=52BFRY2Up02UkjOa29eZOS2VxUrpPORXg1pkohGGUS8,91
-voly-0.0.42.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.42.dist-info/RECORD,,
+voly-0.0.44.dist-info/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.44.dist-info/METADATA,sha256=hKSBZrDxJeHiUbguAQ0Bmq98DXwUc-SE5a3TVPs8HQo,4092
+voly-0.0.44.dist-info/WHEEL,sha256=52BFRY2Up02UkjOa29eZOS2VxUrpPORXg1pkohGGUS8,91
+voly-0.0.44.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.44.dist-info/RECORD,,