voly 0.0.54__tar.gz → 0.0.56__tar.gz

{voly-0.0.54/src/voly.egg-info → voly-0.0.56}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.54
+Version: 0.0.56
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.54 → voly-0.0.56}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.54"
+version = "0.0.56"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.54"
+python_version = "0.0.56"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.54 → voly-0.0.56}/src/voly/core/fit.py

@@ -35,7 +35,7 @@ def calculate_residuals(params: List[float],
     Returns:
     - Array of residuals
     """
-    # Filter market data for the specific time to expiry
+    # Filter market data for the specific time to maturity
     maturity_data = market_data[market_data['ytm'] == ytm]
 
     # Calculate the total implied variance (w) using the model for filtered data
@@ -136,10 +136,10 @@ def fit_svi_parameters(market_data: pd.DataFrame,
         mae = mean_absolute_error(iv_market, iv_model)
         r2 = r2_score(iv_market, iv_model)
         max_error = np.max(np.abs(iv_market - iv_model))
-        num_points = len(expiry_data)
+        num_points = len(maturity_data)
 
         # Add to fit data
-        fit_data['maturity'].append(maturity_name)
+        fit_data['maturity_name'].append(maturity_name)
         fit_data['dtm'].append(dtm)
         fit_data['ytm'].append(ytm)
         fit_data['fit_success'].append(result.success)
@@ -167,7 +167,7 @@ def fit_svi_parameters(market_data: pd.DataFrame,
 @catch_exception
 def create_parameters_matrix(params_dict: Dict[str, Dict]) -> Tuple[pd.DataFrame, pd.DataFrame]:
     """
-    Create matrices of optimized parameters for each expiry.
+    Create matrices of optimized parameters for each maturity.
     Uses maturity names as column names.
 
     Parameters:
@@ -178,7 +178,7 @@ def create_parameters_matrix(params_dict: Dict[str, Dict]) -> Tuple[pd.DataFrame
       1. Raw SVI parameters (a, b, sigma, rho, m)
       2. Jump-Wing parameters (nu, psi, p, c, nu_tilde)
     """
-    # Get maturity names in order by DTE
+    # Get maturity names in order by dtm
     maturity_names = sorted(params_dict.keys(),
                             key=lambda x: params_dict[x]['dtm'])
 
@@ -206,7 +206,7 @@ def create_parameters_matrix(params_dict: Dict[str, Dict]) -> Tuple[pd.DataFrame
         a, b, sigma, rho, m = result['params']
         raw_params_matrix[maturity_name] = [a, b, sigma, rho, m]
 
-        # Get time to expiry
+        # Get time to maturity
         ytm = result['ytm']
         ytm_values[maturity_name] = ytm
         dtm_values[maturity_name] = result['dtm']
@@ -291,7 +291,7 @@ def get_iv_surface(fit_results: Dict[str, Any],
     maturity_values = fit_results['fit_performance']['maturity_name']
     raw_params_matrix = fit_results['raw_params_matrix']
 
-    # Generate implied volatility for each expiry
+    # Generate implied volatility for each maturity
     for maturity, ytm in zip(maturity_values, ytm_values):
         svi_params = raw_params_matrix[maturity].values
         w_svi = [SVIModel.svi(x, *svi_params) for x in log_moneyness_array]

{voly-0.0.54 → voly-0.0.56/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.54
+Version: 0.0.56
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT