voly 0.0.53__py3-none-any.whl → 0.0.55__py3-none-any.whl

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Files changed (7) hide show
  1. voly/core/data.py +1 -1
  2. voly/core/fit.py +5 -5
  3. {voly-0.0.53.dist-info → voly-0.0.55.dist-info}/METADATA +1 -1
  4. {voly-0.0.53.dist-info → voly-0.0.55.dist-info}/RECORD +7 -7
  5. {voly-0.0.53.dist-info → voly-0.0.55.dist-info}/LICENSE +0 -0
  6. {voly-0.0.53.dist-info → voly-0.0.55.dist-info}/WHEEL +0 -0
  7. {voly-0.0.53.dist-info → voly-0.0.55.dist-info}/top_level.txt +0 -0
voly/core/data.py CHANGED
@@ -200,7 +200,7 @@ def process_option_chain(df: pd.DataFrame, currency: str) -> pd.DataFrame:
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  splits = df['instrument_name'].str.split('-')
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  df['currency'] = splits.str[0]
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  df['maturity_name'] = splits.str[1]
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- df['strike'] = splits.str[2]
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+ df['strike'] = splits.str[2].astype(float)
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  df['option_type'] = splits.str[3]
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  # Create maturity date at 8:00 AM UTC
voly/core/fit.py CHANGED
@@ -35,7 +35,7 @@ def calculate_residuals(params: List[float],
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  Returns:
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  - Array of residuals
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  """
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- # Filter market data for the specific time to expiry
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+ # Filter market data for the specific time to maturity
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  maturity_data = market_data[market_data['ytm'] == ytm]
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  # Calculate the total implied variance (w) using the model for filtered data
@@ -136,7 +136,7 @@ def fit_svi_parameters(market_data: pd.DataFrame,
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  mae = mean_absolute_error(iv_market, iv_model)
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  r2 = r2_score(iv_market, iv_model)
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  max_error = np.max(np.abs(iv_market - iv_model))
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- num_points = len(expiry_data)
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+ num_points = len(maturity_data)
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  # Add to fit data
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  fit_data['maturity'].append(maturity_name)
@@ -167,7 +167,7 @@ def fit_svi_parameters(market_data: pd.DataFrame,
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  @catch_exception
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  def create_parameters_matrix(params_dict: Dict[str, Dict]) -> Tuple[pd.DataFrame, pd.DataFrame]:
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  """
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- Create matrices of optimized parameters for each expiry.
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+ Create matrices of optimized parameters for each maturity.
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  Uses maturity names as column names.
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  Parameters:
@@ -206,7 +206,7 @@ def create_parameters_matrix(params_dict: Dict[str, Dict]) -> Tuple[pd.DataFrame
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  a, b, sigma, rho, m = result['params']
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  raw_params_matrix[maturity_name] = [a, b, sigma, rho, m]
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- # Get time to expiry
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+ # Get time to maturity
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  ytm = result['ytm']
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  ytm_values[maturity_name] = ytm
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  dtm_values[maturity_name] = result['dtm']
@@ -291,7 +291,7 @@ def get_iv_surface(fit_results: Dict[str, Any],
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  maturity_values = fit_results['fit_performance']['maturity_name']
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  raw_params_matrix = fit_results['raw_params_matrix']
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- # Generate implied volatility for each expiry
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+ # Generate implied volatility for each maturity
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  for maturity, ytm in zip(maturity_values, ytm_values):
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  svi_params = raw_params_matrix[maturity].values
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  w_svi = [SVIModel.svi(x, *svi_params) for x in log_moneyness_array]
{voly-0.0.53.dist-info → voly-0.0.55.dist-info}/METADATA RENAMED
@@ -1,6 +1,6 @@
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  Metadata-Version: 2.2
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  Name: voly
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- Version: 0.0.53
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+ Version: 0.0.55
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  Summary: Options & volatility research package
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  Author-email: Manu de Cara <manu.de.cara@gmail.com>
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  License: MIT
{voly-0.0.53.dist-info → voly-0.0.55.dist-info}/RECORD RENAMED
@@ -5,14 +5,14 @@ voly/formulas.py,sha256=Xgaq4lx1fNzRfu9W84fMNeH6GRJ0FNFNUUUYn5ffjjE,8843
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  voly/models.py,sha256=LXXIlpXZQEfXTuCngxC8Hd3bWtw6wdXDCSGxTLmHM-c,3659
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  voly/core/__init__.py,sha256=bu6fS2I1Pj9fPPnl-zY3L7NqrZSY5Zy6NY2uMUvdhKs,183
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  voly/core/charts.py,sha256=T8cogkiHj8NcFxfARumNvAjLJUAxsMlHUOVgshwjye8,26474
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- voly/core/data.py,sha256=pj4sRLthmg6cCajW6VP66FLzaVbX4HRW_XATPLip5Oc,8848
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- voly/core/fit.py,sha256=PCKedwjY2Xsl_Gv9t46dAnEnFbz0T1oJsZsb__GWCSw,9878
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+ voly/core/data.py,sha256=e8qBArubNqPkrfuIYB_q2WhRf7TKzA4Z3FhMC-xyLEE,8862
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+ voly/core/fit.py,sha256=lveUqOeZEpIxlWWCdll6VvrdeDD9DmqJz_sg75-nGBQ,9888
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  voly/core/interpolate.py,sha256=ztVIePJZOh-CIbn69wkh1JW2rKywNe2FEewRN0zcSAo,8185
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  voly/core/rnd.py,sha256=8FTU-Qp9epW9yE4XSOdiFGIRXrGyXqF6mVgZn1NMvxk,11813
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  voly/utils/__init__.py,sha256=E05mWatyC-PDOsCxQV1p5Xi1IgpOomxrNURyCx_gB-w,200
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  voly/utils/logger.py,sha256=4-_2bVJmq17Q0d7Rd2mPg1AeR8gxv6EPvcmBDMFWcSM,1744
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- voly-0.0.53.dist-info/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
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- voly-0.0.53.dist-info/METADATA,sha256=udC74lzJ0-IDx5Zgg_79q4VMLVd7Hdrdl_r6SxB4g-0,4092
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- voly-0.0.53.dist-info/WHEEL,sha256=52BFRY2Up02UkjOa29eZOS2VxUrpPORXg1pkohGGUS8,91
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- voly-0.0.53.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
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- voly-0.0.53.dist-info/RECORD,,
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+ voly-0.0.55.dist-info/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
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+ voly-0.0.55.dist-info/METADATA,sha256=b_RmP48CAiYUHg9HpU31h25YdDF9hJlTvN6gjTB13rg,4092
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+ voly-0.0.55.dist-info/WHEEL,sha256=52BFRY2Up02UkjOa29eZOS2VxUrpPORXg1pkohGGUS8,91
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+ voly-0.0.55.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
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+ voly-0.0.55.dist-info/RECORD,,
{voly-0.0.53.dist-info → voly-0.0.55.dist-info}/LICENSE RENAMED
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{voly-0.0.53.dist-info → voly-0.0.55.dist-info}/WHEEL RENAMED
File without changes