voly 0.0.67__tar.gz → 0.0.68__tar.gz

{voly-0.0.67/src/voly.egg-info → voly-0.0.68}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.67
+Version: 0.0.68
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.67 → voly-0.0.68}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.67"
+version = "0.0.68"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.67"
+python_version = "0.0.68"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.67 → voly-0.0.68}/src/voly/core/fit.py

@@ -53,22 +53,42 @@ def fit_model(option_chain: pd.DataFrame,
     initial_params = initial_params or SVIModel.DEFAULT_INITIAL_PARAMS
     param_bounds = param_bounds or SVIModel.DEFAULT_PARAM_BOUNDS
 
-    # Define column names for the result DataFrame
-    result_columns = [
-        's', 'u', 'maturity_date', 'dtm', 'ytm',
-        'a', 'b', 'rho', 'm', 'sigma',
-        'nu', 'psi', 'p', 'c', 'nu_tilde',
-        'oi', 'volume', 'r',
-        'fit_success', 'cost', 'optimality',
-        'rmse', 'mae', 'r2', 'max_error', 'n_points'
-    ]
+    # Define column names and their data types
+    column_dtypes = {
+        's': float,
+        'u': float,
+        'maturity_date': 'datetime64[ns]',
+        'dtm': float,
+        'ytm': float,
+        'a': float,
+        'b': float,
+        'rho': float,
+        'm': float,
+        'sigma': float,
+        'nu': float,
+        'psi': float,
+        'p': float,
+        'c': float,
+        'nu_tilde': float,
+        'oi': float,
+        'volume': float,
+        'r': float,
+        'fit_success': bool,
+        'cost': float,
+        'optimality': float,
+        'rmse': float,
+        'mae': float,
+        'r2': float,
+        'max_error': float,
+        'n_points': int
+    }
 
     # Get unique maturities and sort them
     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 DataFrame with maturity_names as index
-    results_df = pd.DataFrame(index=maturity_names, columns=result_columns)
+    # Store results in a dictionary first
+    results_data = {col: [] for col in column_dtypes.keys()}
 
     # ANSI color codes for terminal output
     GREEN, RED, RESET = '\033[32m', '\033[31m', '\033[0m'
@@ -119,21 +139,50 @@ def fit_model(option_chain: pd.DataFrame,
         # Calculate Jump-Wing parameters
         nu, psi, p, c, nu_tilde = SVIModel.raw_to_jw_params(a, b, sigma, rho, m, ytm)
 
-        # Store all results in the DataFrame
-        results_df.loc[maturity_name] = [
-            s, u, maturity_data['maturity_date'].iloc[0], dtm, ytm,
-            a, b, rho, m, sigma,
-            nu, psi, p, c, nu_tilde,
-            oi, volume, r,
-            result.success, result.cost, result.optimality,
-            rmse, mae, r2, max_error, len(maturity_data)
-        ]
+        # Store values in the results dictionary with proper types
+        results_data['s'].append(float(s))
+        results_data['u'].append(float(u))
+        results_data['maturity_date'].append(maturity_data['maturity_date'].iloc[0])
+        results_data['dtm'].append(float(dtm))
+        results_data['ytm'].append(float(ytm))
+        results_data['a'].append(float(a))
+        results_data['b'].append(float(b))
+        results_data['rho'].append(float(rho))
+        results_data['m'].append(float(m))
+        results_data['sigma'].append(float(sigma))
+        results_data['nu'].append(float(nu))
+        results_data['psi'].append(float(psi))
+        results_data['p'].append(float(p))
+        results_data['c'].append(float(c))
+        results_data['nu_tilde'].append(float(nu_tilde))
+        results_data['oi'].append(float(oi))
+        results_data['volume'].append(float(volume))
+        results_data['r'].append(float(r))
+        results_data['fit_success'].append(bool(result.success))
+        results_data['cost'].append(float(result.cost))
+        results_data['optimality'].append(float(result.optimality))
+        results_data['rmse'].append(float(rmse))
+        results_data['mae'].append(float(mae))
+        results_data['r2'].append(float(r2))
+        results_data['max_error'].append(float(max_error))
+        results_data['n_points'].append(int(len(maturity_data)))
 
         # Log result
         status = f'{GREEN}SUCCESS{RESET}' if result.success else f'{RED}FAILED{RESET}'
         logger.info(f'Optimization for {maturity_name}: {status}')
         logger.info('-------------------------------------')
 
+    # Create DataFrame with proper types
+    results_df = pd.DataFrame(results_data, index=maturity_names)
+
+    # Convert columns to appropriate types
+    for col, dtype in column_dtypes.items():
+        if col in results_df.columns:
+            try:
+                results_df[col] = results_df[col].astype(dtype)
+            except (ValueError, TypeError) as e:
+                logger.warning(f"Could not convert column {col} to {dtype}: {e}")
+
     return results_df
 
 

{voly-0.0.67 → voly-0.0.68/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.67
+Version: 0.0.68
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT