voly 0.0.47__py3-none-any.whl → 0.0.50__py3-none-any.whl

voly/client.py

@@ -13,7 +13,7 @@ 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, svi, svi_d, svi_dd
+from voly.models import SVIModel
 from voly.formulas import (
     d1, d2, bs, delta, gamma, vega, theta, rho, vanna, volga, charm, greeks, iv
 )
@@ -89,15 +89,15 @@ class VolyClient:
 
     @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)
+        return SVIModel.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)
+        return SVIModel.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)
+        return SVIModel.svi_dd(log_moneyness_array, a, b, sigma, rho, m)
 
     @staticmethod
     def d1(s: float, k: float, r: float, vol: float, t: float,
@@ -148,7 +148,8 @@ class VolyClient:
         return delta(s, k, r, vol, t, option_type)
 
     @staticmethod
-    def gamma(s: float, k: float, r: float, vol: float, t: float) -> float:
+    def gamma(s: float, k: float, r: float, vol: float, t: float,
+              option_type: str = 'call') -> float:
         """
         Calculate option gamma.
 
@@ -162,10 +163,11 @@ class VolyClient:
         Returns:
         - Gamma value
         """
-        return gamma(s, k, r, vol, t)
+        return gamma(s, k, r, vol, t, option_type)
 
     @staticmethod
-    def vega(s: float, k: float, r: float, vol: float, t: float) -> float:
+    def vega(s: float, k: float, r: float, vol: float, t: float,
+             option_type: str = 'call') -> float:
         """
         Calculate option vega.
 
@@ -179,7 +181,7 @@ class VolyClient:
         Returns:
         - Vega value (for 1% change in volatility)
         """
-        return vega(s, k, r, vol, t)
+        return vega(s, k, r, vol, t, option_type)
 
     @staticmethod
     def theta(s: float, k: float, r: float, vol: float, t: float,
@@ -220,7 +222,8 @@ class VolyClient:
         return rho(s, k, r, vol, t, option_type)
 
     @staticmethod
-    def vanna(s: float, k: float, r: float, vol: float, t: float) -> float:
+    def vanna(s: float, k: float, r: float, vol: float, t: float,
+              option_type: str = 'call') -> float:
         """
         Calculate option vanna.
 
@@ -234,10 +237,11 @@ class VolyClient:
         Returns:
         - Vanna value
         """
-        return vanna(s, k, r, vol, t)
+        return vanna(s, k, r, vol, t, option_type)
 
     @staticmethod
-    def volga(s: float, k: float, r: float, vol: float, t: float) -> float:
+    def volga(s: float, k: float, r: float, vol: float, t: float,
+              option_type: str = 'call') -> float:
         """
         Calculate option volga (vomma).
 
@@ -251,7 +255,7 @@ class VolyClient:
         Returns:
         - Volga value
         """
-        return volga(s, k, r, vol, t)
+        return volga(s, k, r, vol, t, option_type)
 
     @staticmethod
     def charm(s: float, k: float, r: float, vol: float, t: float,

voly/formulas.py

@@ -90,21 +90,21 @@ 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:
+def gamma(s: float, k: float, r: float, vol: float, t: float, option_type: str = 'call') -> float:
     if vol <= 0 or t <= 0:
         return 0.0
 
-    d1_val = d1(s, k, r, vol, t)
+    d1_val = d1(s, k, r, vol, t, option_type)
     return norm.pdf(d1_val) / (s * vol * np.sqrt(t))
 
 
 @catch_exception
 @vectorize_inputs
-def vega(s: float, k: float, r: float, vol: float, t: float) -> float:
+def vega(s: float, k: float, r: float, vol: float, t: float, option_type: str = 'call') -> float:
     if vol <= 0 or t <= 0:
         return 0.0
 
-    d1_val = d1(s, k, r, vol, t)
+    d1_val = d1(s, k, r, vol, t, option_type)
     return s * norm.pdf(d1_val) * np.sqrt(t) / 100  # Divided by 100 for 1% change
 
 
@@ -114,8 +114,8 @@ def theta(s: float, k: float, r: float, vol: float, t: float, option_type: str =
     if vol <= 0 or t <= 0:
         return 0.0
 
-    d1_val = d1(s, k, r, vol, t)
-    d2_val = d2(s, k, r, vol, t)
+    d1_val = d1(s, k, r, vol, t, option_type)
+    d2_val = d2(s, k, r, vol, t, option_type)
 
     # First part of theta (same for both call and put)
     theta_part1 = -s * norm.pdf(d1_val) * vol / (2 * np.sqrt(t))
@@ -136,7 +136,7 @@ def rho(s: float, k: float, r: float, vol: float, t: float, option_type: str = '
     if vol <= 0 or t <= 0:
         return 0.0
 
-    d2_val = d2(s, k, r, vol, t)
+    d2_val = d2(s, k, r, vol, t, option_type)
 
     if option_type.lower() in ["call", "c"]:
         return k * t * np.exp(-r * t) * norm.cdf(d2_val) / 100
@@ -146,24 +146,24 @@ 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:
+def vanna(s: float, k: float, r: float, vol: float, t: float, option_type: str = 'call') -> float:
     if vol <= 0 or t <= 0:
         return 0.0
 
-    d1_val = d1(s, k, r, vol, t)
-    d2_val = d2(s, k, r, vol, t)
+    d1_val = d1(s, k, r, vol, t, option_type)
+    d2_val = d2(s, k, r, vol, t, option_type)
 
     return -norm.pdf(d1_val) * d2_val / vol
 
 
 @catch_exception
 @vectorize_inputs
-def volga(s: float, k: float, r: float, vol: float, t: float) -> float:
+def volga(s: float, k: float, r: float, vol: float, t: float, option_type: str = 'call') -> float:
     if vol <= 0 or t <= 0:
         return 0.0
 
-    d1_val = d1(s, k, r, vol, t)
-    d2_val = d2(s, k, r, vol, t)
+    d1_val = d1(s, k, r, vol, t, option_type)
+    d2_val = d2(s, k, r, vol, t, option_type)
 
     return s * norm.pdf(d1_val) * np.sqrt(t) * d1_val * d2_val / vol
 
@@ -174,8 +174,8 @@ def charm(s: float, k: float, r: float, vol: float, t: float, option_type: str =
     if vol <= 0 or t <= 0:
         return 0.0
 
-    d1_val = d1(s, k, r, vol, t)
-    d2_val = d2(s, k, r, vol, t)
+    d1_val = d1(s, k, r, vol, t, option_type)
+    d2_val = d2(s, k, r, vol, t, option_type)
 
     # First term is the same for calls and puts
     term1 = -norm.pdf(d1_val) * d1_val / (2 * t)
@@ -187,7 +187,7 @@ def charm(s: float, k: float, r: float, vol: float, t: float, option_type: str =
         term2 = r * np.exp(-r * t) * norm.cdf(-d2_val)
 
     # Return charm per day (t is in years)
-    return (term1 + term2) / 365.0
+    return (term1 + term2) / 365.25
 
 
 @catch_exception
@@ -197,12 +197,12 @@ def greeks(s: float, k: float, r: float, vol: float, t: float,
     return {
         'price': bs(s, k, r, vol, t, option_type),
         'delta': delta(s, k, r, vol, t, option_type),
-        'gamma': gamma(s, k, r, vol, t),
-        'vega': vega(s, k, r, vol, t),
+        'gamma': gamma(s, k, r, vol, t, option_type),
+        'vega': vega(s, k, r, vol, t, option_type),
         'theta': theta(s, k, r, vol, t, option_type),
         'rho': rho(s, k, r, vol, t, option_type),
-        'vanna': vanna(s, k, r, vol, t),
-        'volga': volga(s, k, r, vol, t),
+        'vanna': vanna(s, k, r, vol, t, option_type),
+        'volga': volga(s, k, r, vol, t, option_type),
         'charm': charm(s, k, r, vol, t, option_type)
     }
 

{voly-0.0.47.dist-info → voly-0.0.50.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.47
+Version: 0.0.50
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.47.dist-info → voly-0.0.50.dist-info}/RECORD

@@ -1,7 +1,7 @@
 voly/__init__.py,sha256=8xyDk7rFCn_MOD5hxuv5cxxKZvBVRiSIM7TgaMPpwpw,211
-voly/client.py,sha256=ZaDsvE3Y1V9GVutvwd59atV6EPC59zW9A6x0Uove-xk,20128
+voly/client.py,sha256=zOYgZA0TTJ5bHDCBWqEyeaQ0IKuee1uAIbzk0uyW_Uw,20350
 voly/exceptions.py,sha256=PBsbn1vNMvKcCJwwJ4lBO6glD85jo1h2qiEmD7ArAjs,92
-voly/formulas.py,sha256=XA8E19pKQtMWNUB6qB04laifsok9E0Wt7HVq4wNM6QE,8539
+voly/formulas.py,sha256=Xgaq4lx1fNzRfu9W84fMNeH6GRJ0FNFNUUUYn5ffjjE,8843
 voly/models.py,sha256=V2VI9yK-JyfKtI4nT5i42LQSwyGvexiymNiC2V1mQn4,3659
 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-0.0.47.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,,
+voly-0.0.50.dist-info/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.50.dist-info/METADATA,sha256=sLeP_KK8Rc3bqPeG3GOQIQUrALDoaIPAZ_iwXUUuO7M,4092
+voly-0.0.50.dist-info/WHEEL,sha256=52BFRY2Up02UkjOa29eZOS2VxUrpPORXg1pkohGGUS8,91
+voly-0.0.50.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.50.dist-info/RECORD,,