voly 0.0.42__tar.gz → 0.0.43__tar.gz

{voly-0.0.42/src/voly.egg-info → voly-0.0.43}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.42
+Version: 0.0.43
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.42 → voly-0.0.43}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.42"
+version = "0.0.43"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.42"
+python_version = "0.0.43"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.42 → voly-0.0.43}/src/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-0.0.42 → voly-0.0.43/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.42
+Version: 0.0.43
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT