voly 0.0.45__py3-none-any.whl → 0.0.47__py3-none-any.whl

voly/client.py

@@ -13,9 +13,9 @@ import plotly.graph_objects as go
 
 from voly.utils.logger import logger, catch_exception, setup_file_logging
 from voly.exceptions import VolyError
-from voly.models import SVIModel
+from voly.models import SVIModel, svi, svi_d, svi_dd
 from voly.formulas import (
-    bs, delta, gamma, vega, theta, rho, vanna, volga, charm, greeks, iv
+    d1, d2, bs, delta, gamma, vega, theta, rho, vanna, volga, charm, greeks, iv
 )
 from voly.core.data import fetch_option_chain, process_option_chain
 from voly.core.fit import fit_model, get_iv_surface
@@ -84,9 +84,21 @@ class VolyClient:
             raise
 
     # -------------------------------------------------------------------------
-    # Black-Scholes and Greeks Calculations
+    # SVI, Black-Scholes and Greeks Calculations
     # -------------------------------------------------------------------------
 
+    @staticmethod
+    def svi(log_moneyness_array: float, a: float, b: float, sigma: float, rho: float, m: float) -> float:
+        return svi(log_moneyness_array, a, b, sigma, rho, m)
+
+    @staticmethod
+    def svi_d(log_moneyness_array: float, a: float, b: float, sigma: float, rho: float, m: float) -> float:
+        return svi_d(log_moneyness_array, a, b, sigma, rho, m)
+
+    @staticmethod
+    def svi_dd(log_moneyness_array: float, a: float, b: float, sigma: float, rho: float, m: float) -> float:
+        return svi_dd(log_moneyness_array, a, b, sigma, rho, m)
+
     @staticmethod
     def d1(s: float, k: float, r: float, vol: float, t: float,
            option_type: str = 'call') -> float:

voly/models.py

@@ -42,16 +42,16 @@ class SVIModel:
     }
 
     @staticmethod
-    def svi(moneyness: float, a: float, b: float, sigma: float, rho: float, m: float) -> float:
-        return a + b * (rho * (moneyness - m) + np.sqrt((moneyness - m) ** 2 + sigma ** 2))
+    def svi(log_moneyness_array: float, a: float, b: float, sigma: float, rho: float, m: float) -> float:
+        return a + b * (rho * (log_moneyness_array - m) + np.sqrt((log_moneyness_array - m) ** 2 + sigma ** 2))
 
     @staticmethod
-    def svi_d(moneyness: float, a: float, b: float, sigma: float, rho: float, m: float) -> float:
-        return b * (rho + ((moneyness - m) / np.sqrt((moneyness - m) ** 2 + sigma ** 2)))
+    def svi_d(log_moneyness_array: float, a: float, b: float, sigma: float, rho: float, m: float) -> float:
+        return b * (rho + ((log_moneyness_array - m) / np.sqrt((log_moneyness_array - m) ** 2 + sigma ** 2)))
 
     @staticmethod
-    def svi_dd(moneyness: float, a: float, b: float, sigma: float, rho: float, m: float) -> float:
-        return b * sigma ** 2 / ((moneyness - m) ** 2 + sigma ** 2) ** 1.5
+    def svi_dd(log_moneyness_array: float, a: float, b: float, sigma: float, rho: float, m: float) -> float:
+        return b * log_moneyness_array ** 2 / ((log_moneyness_array - m) ** 2 + sigma ** 2) ** 1.5
 
     @staticmethod
     def svi_min_strike(sigma: float, rho: float, m: float) -> float:

{voly-0.0.45.dist-info → voly-0.0.47.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.45
+Version: 0.0.47
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.45.dist-info → voly-0.0.47.dist-info}/RECORD

@@ -1,8 +1,8 @@
 voly/__init__.py,sha256=8xyDk7rFCn_MOD5hxuv5cxxKZvBVRiSIM7TgaMPpwpw,211
-voly/client.py,sha256=1UhouPsIvZRylIqe8UyONwSgZvSzpXoMve_1c-KbP5A,19527
+voly/client.py,sha256=ZaDsvE3Y1V9GVutvwd59atV6EPC59zW9A6x0Uove-xk,20128
 voly/exceptions.py,sha256=PBsbn1vNMvKcCJwwJ4lBO6glD85jo1h2qiEmD7ArAjs,92
 voly/formulas.py,sha256=XA8E19pKQtMWNUB6qB04laifsok9E0Wt7HVq4wNM6QE,8539
-voly/models.py,sha256=YJ12aamLz_-aOni4Qm0_XV9u4bjKK3vfJz0J2gc1h0o,3565
+voly/models.py,sha256=V2VI9yK-JyfKtI4nT5i42LQSwyGvexiymNiC2V1mQn4,3659
 voly/core/__init__.py,sha256=bu6fS2I1Pj9fPPnl-zY3L7NqrZSY5Zy6NY2uMUvdhKs,183
 voly/core/charts.py,sha256=T8cogkiHj8NcFxfARumNvAjLJUAxsMlHUOVgshwjye8,26474
 voly/core/data.py,sha256=Dfk-ByHpdteUiLXr0p-wRLr3VAmdyjdDBKwjwdTgCjA,9939
@@ -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-0.0.45.dist-info/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.45.dist-info/METADATA,sha256=dzVR5JNfPxPm5H11VIfG3b4Aw_ZLVTmnNH7tmYOL_vU,4092
-voly-0.0.45.dist-info/WHEEL,sha256=52BFRY2Up02UkjOa29eZOS2VxUrpPORXg1pkohGGUS8,91
-voly-0.0.45.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.45.dist-info/RECORD,,
+voly-0.0.47.dist-info/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.47.dist-info/METADATA,sha256=rJ8doNGVmcVG6tGW-MaVlxwIo_DAIwghP6YIcaZLLO0,4092
+voly-0.0.47.dist-info/WHEEL,sha256=52BFRY2Up02UkjOa29eZOS2VxUrpPORXg1pkohGGUS8,91
+voly-0.0.47.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.47.dist-info/RECORD,,