voly 0.0.48__tar.gz → 0.0.50__tar.gz

{voly-0.0.48/src/voly.egg-info → voly-0.0.50}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.48
+Version: 0.0.50
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.48 → voly-0.0.50}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.48"
+version = "0.0.50"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.48"
+python_version = "0.0.50"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.48 → voly-0.0.50}/src/voly/client.py

@@ -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-0.0.48 → voly-0.0.50}/src/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-0.0.48 → voly-0.0.50/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.48
+Version: 0.0.50
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT