voly 0.0.69__tar.gz → 0.0.71__tar.gz

{voly-0.0.69/src/voly.egg-info → voly-0.0.71}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.69
+Version: 0.0.71
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.69 → voly-0.0.71}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.69"
+version = "0.0.71"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.69"
+python_version = "0.0.71"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.69 → voly-0.0.71}/src/voly/client.py

@@ -373,41 +373,50 @@ class VolyClient:
         return {'iv_surface': iv_surface, 'x_surface': x_surface}
 
     @staticmethod
-    def plot_model(fit_results: Dict[str, Any],
+    def plot_model(fit_results: pd.DataFrame,
                    option_chain: pd.DataFrame = None,
-                   moneyness_params: Tuple[float, float, int] = (-2, 2, 500)
-                   ) -> Dict[str, go.Figure]:
+                   log_moneyness_params: Tuple[float, float, int] = (-2, 2, 500),
+                   return_domain: str = 'log_moneyness',
+                   ) -> Dict[str, Any]:
         """
-        Generate all plots for the fitted model and RND results.
+        Generate all plots for the fitted model.
 
         Parameters:
-        - fit_results: Dictionary with fitting results from fit_model()
+        - fit_results: DataFrame with fitting results from fit_model()
         - option_chain: Optional market data for comparison
-        - moneyness_params: Grid of log-moneyness values
+        - log_moneyness_params: Grid of log-moneyness values
+        - return_domain: Domain for x-axis values ('log_moneyness', 'moneyness', 'strikes', 'delta')
 
         Returns:
         - Dictionary of plot figures
         """
         plots = {}
 
-        moneyness_array, iv_surface = get_iv_surface(fit_results, moneyness_params)
-
-        # Extract data from fit results
-        raw_param_matrix = fit_results['raw_param_matrix']
-        jw_param_matrix = fit_results['jw_param_matrix']
-        fit_performance = fit_results['fit_performance']
+        # Generate IV surface and domain
+        iv_surface, x_surface = get_iv_surface(fit_results, log_moneyness_params, return_domain)
 
         # Plot volatility smiles
-        plots['smiles'] = plot_all_smiles(moneyness_array, iv_surface, option_chain)
-
-        # Plot 3D surface
-        plots['surface_3d'] = plot_3d_surface(moneyness_array, iv_surface)
+        plots['smiles'] = plot_all_smiles(
+            x_surface=x_surface,
+            iv_surface=iv_surface,
+            option_chain=option_chain,
+            domain_type=return_domain
+        )
 
         # Plot parameters
-        plots['raw_params'], plots['jw_params'] = plot_parameters(raw_param_matrix, jw_param_matrix)
+        plots['raw_params'] = plot_parameters(fit_results)
+        plots['jw_params'] = plot_jw_parameters(fit_results)
+
+        # Plot fit statistics
+        plots['fit_performance'] = plot_fit_performance(fit_results)
 
-        # Plot fit statistics if available
-        plots['fit_performance'] = plot_fit_performance(fit_performance)
+        # Plot 3D surface
+        plots['surface_3d'] = plot_3d_surface(
+            x_surface=x_surface,
+            iv_surface=iv_surface,
+            fit_results=fit_results,
+            domain_type=return_domain
+        )
 
         return plots
 

{voly-0.0.69 → voly-0.0.71}/src/voly/core/charts.py

@@ -73,11 +73,11 @@ def plot_volatility_smile(x_domain: np.ndarray,
                 s = maturity_data['underlying_price'].iloc[0]
                 market_x = s / np.exp(market_x)
             elif domain_type == 'delta':
-                # For delta, we'd need more complex conversion - only show model curve
-                pass
+                # For delta, we'd need more complex conversion - skip market data for this domain
+                market_x = None
 
             # Add bid and ask IVs if the domain type allows
-            if domain_type != 'delta':
+            if domain_type != 'delta' and market_x is not None:
                 for iv_type in ['bid_iv', 'ask_iv']:
                     if iv_type in maturity_data.columns:
                         fig.add_trace(
@@ -92,14 +92,21 @@ def plot_volatility_smile(x_domain: np.ndarray,
 
             dte_value = maturity_data['dtm'].iloc[0]
 
-            # Update layout
-            fig.update_layout(
-                title=f'Vol Smile for {maturity} (DTE: {dte_value:.1f})',
-                xaxis_title=domain_labels.get(domain_type, 'X Domain'),
-                yaxis_title='Implied Volatility (%)',
-                template='plotly_dark',
-                legend=dict(orientation='h', yanchor='bottom', y=1.02, xanchor='right', x=1)
-            )
+            # Update layout with DTE
+            title = f'Vol Smile for {maturity} (DTE: {dte_value:.1f})'
+        else:
+            title = f'Vol Smile for {maturity}'
+    else:
+        title = 'Volatility Smile'
+
+    # Update layout
+    fig.update_layout(
+        title=title,
+        xaxis_title=domain_labels.get(domain_type, 'X Domain'),
+        yaxis_title='Implied Volatility (%)',
+        template='plotly_dark',
+        legend=dict(orientation='h', yanchor='bottom', y=1.02, xanchor='right', x=1)
+    )
 
     return fig
 
@@ -158,7 +165,7 @@ def plot_parameters(fit_results: pd.DataFrame) -> go.Figure:
     maturity_names = fit_results.index
 
     # Create hover text with maturity info
-    tick_labels = [f"{m} (DTE: {fit_results.loc[m, 'dtm']:.1f})"
+    tick_labels = [f"{m} (DTE: {fit_results.loc[m, 'dtm']:.1f}, YTE: {fit_results.loc[m, 'ytm']:.4f})"
                    for m in maturity_names]
 
     # Plot each parameter
@@ -191,7 +198,8 @@ def plot_parameters(fit_results: pd.DataFrame) -> go.Figure:
     fig.update_layout(
         title='Raw SVI Parameters Across Expiries',
         template='plotly_dark',
-        showlegend=False
+        showlegend=False,
+        height=800
     )
 
     return fig
@@ -222,7 +230,7 @@ def plot_jw_parameters(fit_results: pd.DataFrame) -> go.Figure:
     maturity_names = fit_results.index
 
     # Create hover text with maturity info
-    tick_labels = [f"{m} (DTE: {fit_results.loc[m, 'dtm']:.1f})"
+    tick_labels = [f"{m} (DTE: {fit_results.loc[m, 'dtm']:.1f}, YTE: {fit_results.loc[m, 'ytm']:.4f})"
                    for m in maturity_names]
 
     # Plot each parameter
@@ -255,7 +263,8 @@ def plot_jw_parameters(fit_results: pd.DataFrame) -> go.Figure:
     fig.update_layout(
         title='Jump-Wing Parameters Across Expiries',
         template='plotly_dark',
-        showlegend=False
+        showlegend=False,
+        height=800
     )
 
     return fig
@@ -326,7 +335,8 @@ def plot_fit_performance(fit_results: pd.DataFrame) -> go.Figure:
     fig.update_layout(
         title='Model Fitting Accuracy Statistics',
         template='plotly_dark',
-        showlegend=False
+        showlegend=False,
+        height=700
     )
 
     return fig
@@ -354,7 +364,7 @@ def plot_3d_surface(x_surface: Dict[str, np.ndarray],
         'log_moneyness': 'Log Moneyness',
         'moneyness': 'Moneyness (S/K)',
         'strikes': 'Strike Price',
-        'delta': 'Delta'
+        'delta': 'Call Delta'
     }
 
     # Define custom colorscale
@@ -371,57 +381,54 @@ def plot_3d_surface(x_surface: Dict[str, np.ndarray],
         # Default to sequential values
         maturity_values = list(range(len(maturity_names)))
 
-    # Create a mesh grid for each maturity to handle different x domains
-    X = []
-    Y = []
-    Z = []
-
-    for i, m in enumerate(maturity_names):
-        x_values = x_surface[m]
-        z_values = iv_surface[m] * 100  # Convert to percentage
-        y_value = maturity_values[i]
-
-        # Add to point lists
-        for j in range(len(x_values)):
-            X.append(x_values[j])
-            Y.append(y_value)
-            Z.append(z_values[j])
-
-    # Create 3D scatter plot with lines connecting points within each maturity
-    fig = go.Figure()
+    # For domains with uniform x values across maturities (like log_moneyness, moneyness)
+    # we can use standard surface plot
+    if domain_type in ['log_moneyness', 'moneyness']:
+        # Create mesh grid
+        X, Y = np.meshgrid(list(x_surface.values())[0], maturity_values)
+        Z = np.array([iv_surface[m] * 100 for m in maturity_names])  # Convert to percentage
+
+        # Create figure
+        fig = go.Figure(data=[
+            go.Surface(
+                z=Z,
+                x=X,
+                y=Y,
+                colorscale=custom_blue_scale,
+                contours_z=dict(
+                    show=True,
+                    usecolormap=True,
+                    highlightcolor="#0080FF",
+                    project_z=True
+                )
+            )
+        ])
 
-    # Add data as a 3D scatter plot
-    fig.add_trace(go.Scatter3d(
-        x=X, y=Y, z=Z,
-        mode='markers',
-        marker=dict(
-            size=3,
-            color=Z,
-            colorscale=custom_blue_scale,
-            opacity=0.8
-        ),
-        hovertemplate="<b>%{y:.1f} days</b><br>X: %{x:.4f}<br>IV: %{z:.2f}%"
-    ))
+    # For domains that might have different x values per maturity (like strikes, delta)
+    # we need to use a different approach
+    else:
+        # Create a 3D scatter plot with lines
+        fig = go.Figure()
 
-    # Add lines connecting points for each maturity
-    cumulative_index = 0
-    for i, m in enumerate(maturity_names):
-        points_count = len(x_surface[m])
-        indices = list(range(cumulative_index, cumulative_index + points_count))
+        # For each maturity, create a curve
+        for i, maturity in enumerate(maturity_names):
+            x_values = x_surface[maturity]
+            z_values = iv_surface[maturity] * 100  # Convert to percentage
+            y_values = np.full_like(x_values, maturity_values[i])
 
-        if len(indices) > 1:
+            # Add a line for this maturity
             fig.add_trace(go.Scatter3d(
-                x=[X[j] for j in indices],
-                y=[Y[j] for j in indices],
-                z=[Z[j] for j in indices],
+                x=x_values,
+                y=y_values,
+                z=z_values,
                 mode='lines',
-                line=dict(color='blue', width=3),
-                showlegend=False,
-                hoverinfo='none'
+                line=dict(
+                    color=f'rgb({30 + 225 * (i / len(maturity_names))}, {30 + 150 * (i / len(maturity_names))}, {200 - 170 * (i / len(maturity_names))})',
+                    width=5
+                ),
+                name=maturity
             ))
 
-        cumulative_index += points_count
-
     # Update layout
     fig.update_layout(
         title='Implied Volatility 3D Surface',
@@ -431,7 +438,10 @@ def plot_3d_surface(x_surface: Dict[str, np.ndarray],
             yaxis_title='Days to Expiry',
             zaxis_title='Implied Volatility (%)',
             aspectmode='manual',
-            aspectratio=dict(x=1.5, y=1, z=1)
+            aspectratio=dict(x=1.5, y=1, z=1),
+            camera=dict(
+                eye=dict(x=1.5, y=-1.5, z=1)
+            )
         ),
         margin=dict(l=65, r=50, b=65, t=90)
     )

{voly-0.0.69 → voly-0.0.71/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.69
+Version: 0.0.71
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT