voly 0.0.60__tar.gz → 0.0.62__tar.gz

{voly-0.0.60/src/voly.egg-info → voly-0.0.62}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.60
+Version: 0.0.62
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.60 → voly-0.0.62}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.60"
+version = "0.0.62"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.60"
+python_version = "0.0.62"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.60 → voly-0.0.62}/src/voly/client.py

@@ -319,7 +319,7 @@ class VolyClient:
     # -------------------------------------------------------------------------
 
     @staticmethod
-    def fit_model(market_data: pd.DataFrame,
+    def fit_model(option_chain: pd.DataFrame,
                   model_name: str = 'svi',
                   initial_params: Optional[List[float]] = None,
                   param_bounds: Optional[Tuple] = None) -> Dict[str, Any]:
@@ -327,19 +327,19 @@ class VolyClient:
         Fit a volatility model to market data.
 
         Parameters:
-        - market_data: DataFrame with market data
+        - option_chain: DataFrame with option market data
         - model_name: Name of model to fit (default: 'svi')
         - initial_params: Optional initial parameters for optimization
         - param_bounds: Optional parameter bounds for optimization
 
         Returns:
-        - Dictionary with fitting results and optional plots
+        - Tuple of (fit_results, fit_performance)
         """
         logger.info(f"Fitting {model_name.upper()} model to market data")
 
         # Fit the model
         fit_results, fit_performance = fit_model(
-            market_data=market_data,
+            option_chain=option_chain,
             model_name=model_name,
             initial_params=initial_params,
             param_bounds=param_bounds
@@ -377,7 +377,7 @@ class VolyClient:
 
     @staticmethod
     def plot_model(fit_results: Dict[str, Any],
-                   market_data: pd.DataFrame = None,
+                   option_chain: pd.DataFrame = None,
                    moneyness_params: Tuple[float, float, int] = (-2, 2, 500)
                    ) -> Dict[str, go.Figure]:
         """
@@ -385,7 +385,7 @@ class VolyClient:
 
         Parameters:
         - fit_results: Dictionary with fitting results from fit_model()
-        - market_data: Optional market data for comparison
+        - option_chain: Optional market data for comparison
         - moneyness_params: Grid of log-moneyness values
 
         Returns:
@@ -401,7 +401,7 @@ class VolyClient:
         fit_performance = fit_results['fit_performance']
 
         # Plot volatility smiles
-        plots['smiles'] = plot_all_smiles(moneyness_array, iv_surface, market_data)
+        plots['smiles'] = plot_all_smiles(moneyness_array, iv_surface, option_chain)
 
         # Plot 3D surface
         plots['surface_3d'] = plot_3d_surface(moneyness_array, iv_surface)

{voly-0.0.60 → voly-0.0.62}/src/voly/core/charts.py

@@ -21,7 +21,7 @@ pio.renderers.default = "browser"
 @catch_exception
 def plot_volatility_smile(moneyness_array: np.ndarray,
                           iv_array: np.ndarray,
-                          market_data: pd.DataFrame = None,
+                          option_chain: pd.DataFrame = None,
                           maturity: Optional[str] = None) -> go.Figure:
     """Plot volatility smile for a single expiry."""
     fig = go.Figure()
@@ -38,8 +38,8 @@ def plot_volatility_smile(moneyness_array: np.ndarray,
     )
 
     # Add market data if provided
-    if market_data is not None and maturity is not None:
-        maturity_data = market_data[market_data['maturity_name'] == maturity]
+    if option_chain is not None and maturity is not None:
+        maturity_data = option_chain[option_chain['maturity_name'] == maturity]
 
         if not maturity_data.empty:
             # Add bid and ask IVs
@@ -72,13 +72,13 @@ def plot_volatility_smile(moneyness_array: np.ndarray,
 @catch_exception
 def plot_all_smiles(moneyness_array: np.ndarray,
                     iv_surface: Dict[str, np.ndarray],
-                    market_data: Optional[pd.DataFrame] = None) -> List[go.Figure]:
+                    option_chain: Optional[pd.DataFrame] = None) -> List[go.Figure]:
     """Plot volatility smiles for all expiries."""
     return [
         plot_volatility_smile(
             moneyness_array=moneyness_array,
             iv_array=iv_surface[maturity],
-            market_data=market_data,
+            option_chain=option_chain,
             maturity=maturity
         )
         for maturity in iv_surface.keys()

{voly-0.0.60 → voly-0.0.62}/src/voly/core/fit.py

@@ -19,17 +19,17 @@ warnings.filterwarnings("ignore")
 
 
 @catch_exception
-def calculate_residuals(params: List[float], ytm: float, market_data: pd.DataFrame,
+def calculate_residuals(params: List[float], ytm: float, option_chain: pd.DataFrame,
                         model: Any = SVIModel) -> np.ndarray:
     """Calculate residuals between market and model implied volatilities."""
-    maturity_data = market_data[market_data['ytm'] == ytm]
+    maturity_data = option_chain[option_chain['ytm'] == ytm]
     w = np.array([model.svi(x, *params) for x in maturity_data['log_moneyness']])
     iv_actual = maturity_data['mark_iv'].values
     return iv_actual - np.sqrt(w / ytm)
 
 
 @catch_exception
-def fit_model(market_data: pd.DataFrame,
+def fit_model(option_chain: pd.DataFrame,
               model_name: str = 'svi',
               initial_params: Optional[List[float]] = None,
               param_bounds: Optional[Tuple] = None) -> Tuple[pd.DataFrame, pd.DataFrame]:
@@ -56,8 +56,8 @@ def fit_model(market_data: pd.DataFrame,
                          'rmse', 'mae', 'r2', 'max_error', 'n_points']
 
     # Get unique maturities and sort them
-    unique_ytms = sorted(market_data['ytm'].unique())
-    maturity_names = [market_data[market_data['ytm'] == ytm]['maturity_name'].iloc[0] for ytm in unique_ytms]
+    unique_ytms = sorted(option_chain['ytm'].unique())
+    maturity_names = [option_chain[option_chain['ytm'] == ytm]['maturity_name'].iloc[0] for ytm in unique_ytms]
 
     # Create empty DataFrames
     fit_results_df = pd.DataFrame(index=results_index, columns=maturity_names)
@@ -68,7 +68,7 @@ def fit_model(market_data: pd.DataFrame,
 
     for ytm in unique_ytms:
         # Get data for this maturity
-        maturity_data = market_data[market_data['ytm'] == ytm]
+        maturity_data = option_chain[option_chain['ytm'] == ytm]
         maturity_name = maturity_data['maturity_name'].iloc[0]
         dtm = maturity_data['dtm'].iloc[0]
 
@@ -79,7 +79,7 @@ def fit_model(market_data: pd.DataFrame,
             result = least_squares(
                 calculate_residuals,
                 initial_params,
-                args=(ytm, market_data, SVIModel),
+                args=(ytm, option_chain, SVIModel),
                 bounds=param_bounds,
                 max_nfev=1000
             )

{voly-0.0.60 → voly-0.0.62/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.60
+Version: 0.0.62
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT