voly 0.0.73__py3-none-any.whl → 0.0.74__py3-none-any.whl

voly/client.py

@@ -361,16 +361,16 @@ class VolyClient:
             - return_domain: str Domain for x-axis values ('log_moneyness', 'moneyness', 'strikes', 'delta')
 
         Returns:
-        - Tuple of (iv_surface, x_surface)
+        - Surface. Dict composed of (iv_surface, x_surface)
         """
         # Generate the surface
-        iv_surface, x_surface = get_iv_surface(
+        surface = get_iv_surface(
             fit_results=fit_results,
             log_moneyness_params=log_moneyness_params,
             return_domain=return_domain
         )
 
-        return {'iv_surface': iv_surface, 'x_surface': x_surface}
+        return surface
 
     @staticmethod
     def plot_model(fit_results: pd.DataFrame,
@@ -393,7 +393,11 @@ class VolyClient:
         plots = {}
 
         # Generate IV surface and domain
-        iv_surface, x_surface = get_iv_surface(fit_results, log_moneyness_params, return_domain)
+        surface = get_iv_surface(fit_results, log_moneyness_params, return_domain)
+
+        # Get iv_surface and x_surface from the return value
+        iv_surface = surface['iv_surface']
+        x_surface = surface['x_surface']
 
         # Plot volatility smiles
         plots['smiles'] = plot_all_smiles(

voly/core/charts.py

@@ -28,7 +28,7 @@ def plot_volatility_smile(x_domain: np.ndarray,
     Plot volatility smile for a single expiry.
 
     Parameters:
-    - x_domain: Array of x-axis values (log_moneyness, moneyness, strikes, delta)
+    - x_domain: Array of x-axis values in the specified domain
     - iv_array: Implied volatility values
     - option_chain: Optional market data for comparison
     - maturity: Maturity name for filtering market data
@@ -37,8 +37,6 @@ def plot_volatility_smile(x_domain: np.ndarray,
     Returns:
     - Plotly figure
     """
-    fig = go.Figure()
-
     # Map domain types to axis labels
     domain_labels = {
         'log_moneyness': 'Log Moneyness',
@@ -47,6 +45,8 @@ def plot_volatility_smile(x_domain: np.ndarray,
         'delta': 'Call Delta'
     }
 
+    fig = go.Figure()
+
     # Add model curve
     fig.add_trace(
         go.Scatter(
@@ -63,37 +63,20 @@ def plot_volatility_smile(x_domain: np.ndarray,
         maturity_data = option_chain[option_chain['maturity_name'] == maturity]
 
         if not maturity_data.empty:
-            # For market data, use log_moneyness by default as x-axis
-            market_x = maturity_data['log_moneyness']
-
-            # If domain is not log_moneyness, convert market data to match the domain
-            if domain_type == 'moneyness':
-                market_x = np.exp(market_x)
-            elif domain_type == 'strikes':
-                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 - skip market data for this domain
-                market_x = None
-
-            # Add bid and ask IVs if the domain type allows
-            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(
-                            go.Scatter(
-                                x=market_x,
-                                y=maturity_data[iv_type] * 100,  # Convert to percentage
-                                mode='markers',
-                                name=iv_type.replace('_', ' ').upper(),
-                                marker=dict(size=8, symbol='circle', opacity=0.7)
-                            )
+            # Add bid and ask IVs if available
+            for iv_type in ['bid_iv', 'ask_iv']:
+                if iv_type in maturity_data.columns:
+                    fig.add_trace(
+                        go.Scatter(
+                            x=maturity_data['log_moneyness'],
+                            y=maturity_data[iv_type] * 100,  # Convert to percentage
+                            mode='markers',
+                            name=iv_type.replace('_', ' ').upper(),
+                            marker=dict(size=8, symbol='circle', opacity=0.7)
                         )
+                    )
 
-            dte_value = maturity_data['dtm'].iloc[0]
-
-            # Update layout with DTE
-            title = f'Vol Smile for {maturity} (DTE: {dte_value:.1f})'
+            title = f'Vol Smile for {maturity} (DTE: {maturity_data["dtm"].iloc[0]:.1f})'
         else:
             title = f'Vol Smile for {maturity}'
     else:
@@ -165,8 +148,8 @@ def plot_raw_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}"
-                   for m in maturity_names]
+    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
     for i, param in enumerate(param_names):
@@ -230,7 +213,7 @@ def plot_jw_parameters(fit_results: pd.DataFrame) -> go.Figure:
 
     # Create hover text with maturity info
     tick_labels = [f"{m} (DTE: {fit_results.loc[m, 'dtm']:.1f}, YTE: {fit_results.loc[m, 'ytm']:.4f})"
-                   for m in maturity_names]
+                  for m in maturity_names]
 
     # Plot each parameter
     for i, param in enumerate(param_names):
@@ -378,53 +361,31 @@ def plot_3d_surface(x_surface: Dict[str, np.ndarray],
         # Default to sequential values
         maturity_values = list(range(len(maturity_names)))
 
-    # 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
-                )
-            )
-        ])
+    # Create 3D surface using lines for each maturity
+    fig = go.Figure()
 
-    # 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()
-
-        # 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])
-
-            # Add a line for this maturity
-            fig.add_trace(go.Scatter3d(
-                x=x_values,
-                y=y_values,
-                z=z_values,
-                mode='lines',
-                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
-            ))
+    # Add a line for each maturity
+    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])
+
+        # Color based on maturity (blue to light blue gradient)
+        color_intensity = i / max(1, len(maturity_names) - 1)
+        color = f'rgb({int(30 + 170*color_intensity)}, {int(120 + 80*color_intensity)}, {int(220 - 120*color_intensity)})'
+
+        # Add trace
+        fig.add_trace(go.Scatter3d(
+            x=x_values,
+            y=y_values,
+            z=z_values,
+            mode='lines',
+            name=maturity,
+            line=dict(
+                color=color,
+                width=5
+            )
+        ))
 
     # Update layout
     fig.update_layout(
@@ -433,12 +394,7 @@ def plot_3d_surface(x_surface: Dict[str, np.ndarray],
         scene=dict(
             xaxis_title=domain_labels.get(domain_type, 'X Domain'),
             yaxis_title='Days to Expiry',
-            zaxis_title='Implied Volatility (%)',
-            aspectmode='manual',
-            aspectratio=dict(x=1.5, y=1, z=1),
-            camera=dict(
-                eye=dict(x=1.5, y=-1.5, z=1)
-            )
+            zaxis_title='Implied Volatility (%)'
         ),
         margin=dict(l=65, r=50, b=65, t=90)
     )

voly/core/fit.py

@@ -238,4 +238,4 @@ def get_iv_surface(fit_results: pd.DataFrame,
             ytm=ytm
         )
 
-    return iv_surface, x_surface
+    return {'iv_surface': iv_surface, 'x_surface': x_surface}

{voly-0.0.73.dist-info → voly-0.0.74.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.73
+Version: 0.0.74
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.73.dist-info → voly-0.0.74.dist-info}/RECORD

@@ -1,18 +1,18 @@
 voly/__init__.py,sha256=8xyDk7rFCn_MOD5hxuv5cxxKZvBVRiSIM7TgaMPpwpw,211
-voly/client.py,sha256=IUV9rRtuXiZ4uS2AgfIF_tNKfQXPhv8vGE1fUT5qfM0,20753
+voly/client.py,sha256=aH9pvH99Y4vp7HRizxnMt6fDs0imyd3Tc7JX-mmeklw,20845
 voly/exceptions.py,sha256=PBsbn1vNMvKcCJwwJ4lBO6glD85jo1h2qiEmD7ArAjs,92
 voly/formulas.py,sha256=wSbGAH6GuQThT9QyQY4Ud2eUf9fo1YFHglUmP6fNris,11871
 voly/models.py,sha256=LXXIlpXZQEfXTuCngxC8Hd3bWtw6wdXDCSGxTLmHM-c,3659
 voly/core/__init__.py,sha256=bu6fS2I1Pj9fPPnl-zY3L7NqrZSY5Zy6NY2uMUvdhKs,183
-voly/core/charts.py,sha256=idzwUJ6iVJ35lUZT0VQySqPdskEDgJaJ83MM2lfdlr0,28936
+voly/core/charts.py,sha256=EQzGohu2NabNCnD7bUskhRG1uF9-7_AfDl3xdxZ2yZ4,27103
 voly/core/data.py,sha256=e8qBArubNqPkrfuIYB_q2WhRf7TKzA4Z3FhMC-xyLEE,8862
-voly/core/fit.py,sha256=JOr2XjM-I9HtfbyEN0tdGuNCZimQ2ttm4lNUpF-tKb4,9226
+voly/core/fit.py,sha256=Zi-LlIobYec8spdJ4uk1g69XQPofWusAAQszugF5QkM,9255
 voly/core/interpolate.py,sha256=ztVIePJZOh-CIbn69wkh1JW2rKywNe2FEewRN0zcSAo,8185
 voly/core/rnd.py,sha256=8FTU-Qp9epW9yE4XSOdiFGIRXrGyXqF6mVgZn1NMvxk,11813
 voly/utils/__init__.py,sha256=E05mWatyC-PDOsCxQV1p5Xi1IgpOomxrNURyCx_gB-w,200
 voly/utils/logger.py,sha256=4-_2bVJmq17Q0d7Rd2mPg1AeR8gxv6EPvcmBDMFWcSM,1744
-voly-0.0.73.dist-info/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.73.dist-info/METADATA,sha256=MYhNq9kj9mjiY8Ivx7uw-NbM-A9EU_YfPfepvB8yMRM,4092
-voly-0.0.73.dist-info/WHEEL,sha256=52BFRY2Up02UkjOa29eZOS2VxUrpPORXg1pkohGGUS8,91
-voly-0.0.73.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.73.dist-info/RECORD,,
+voly-0.0.74.dist-info/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.74.dist-info/METADATA,sha256=MqjvGpGORU71xnNLZJJVAYflEMDS6gWcIOWXLvCr1Eo,4092
+voly-0.0.74.dist-info/WHEEL,sha256=52BFRY2Up02UkjOa29eZOS2VxUrpPORXg1pkohGGUS8,91
+voly-0.0.74.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.74.dist-info/RECORD,,