voly 0.0.73__tar.gz → 0.0.75__tar.gz

{voly-0.0.73/src/voly.egg-info → voly-0.0.75}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.73
+Version: 0.0.75
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.73 → voly-0.0.75}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.73"
+version = "0.0.75"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.73"
+python_version = "0.0.75"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.73 → voly-0.0.75}/src/voly/client.py

@@ -361,7 +361,7 @@ 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(
@@ -370,7 +370,7 @@ class VolyClient:
             return_domain=return_domain
         )
 
-        return {'iv_surface': iv_surface, 'x_surface': x_surface}
+        return iv_surface, x_surface
 
     @staticmethod
     def plot_model(fit_results: pd.DataFrame,

{voly-0.0.73 → voly-0.0.75}/src/voly/core/charts.py

@@ -19,38 +19,38 @@ pio.renderers.default = "browser"
 
 
 @catch_exception
-def plot_volatility_smile(x_domain: np.ndarray,
+def plot_volatility_smile(x_array: np.ndarray,
                           iv_array: np.ndarray,
                           option_chain: pd.DataFrame = None,
                           maturity: Optional[str] = None,
-                          domain_type: str = 'log_moneyness') -> go.Figure:
+                          return_domain: str = 'log_moneyness') -> go.Figure:
     """
     Plot volatility smile for a single expiry.
 
     Parameters:
-    - x_domain: Array of x-axis values (log_moneyness, moneyness, strikes, delta)
+    - x_array: 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
-    - domain_type: Type of x-domain ('log_moneyness', 'moneyness', 'strikes', 'delta')
+    - return_domain: Type of x-domain ('log_moneyness', 'moneyness', 'strikes', 'delta')
 
     Returns:
     - Plotly figure
     """
-    fig = go.Figure()
-
     # Map domain types to axis labels
     domain_labels = {
         'log_moneyness': 'Log Moneyness',
-        'moneyness': 'Moneyness (S/K)',
+        'moneyness': 'Moneyness',
         'strikes': 'Strike Price',
-        'delta': 'Call Delta'
+        'delta': 'Delta'
     }
 
+    fig = go.Figure()
+
     # Add model curve
     fig.add_trace(
         go.Scatter(
-            x=x_domain,
+            x=x_array,
             y=iv_array * 100,  # Convert to percentage
             mode='lines',
             name='Model',
@@ -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[return_domain],
+                            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} (DTM: {maturity_data["dtm"].iloc[0]:.1f})'
         else:
             title = f'Vol Smile for {maturity}'
     else:
@@ -102,7 +85,7 @@ def plot_volatility_smile(x_domain: np.ndarray,
     # Update layout
     fig.update_layout(
         title=title,
-        xaxis_title=domain_labels.get(domain_type, 'X Domain'),
+        xaxis_title=domain_labels.get(return_domain, 'X Domain'),
         yaxis_title='Implied Volatility (%)',
         template='plotly_dark',
         legend=dict(orientation='h', yanchor='bottom', y=1.02, xanchor='right', x=1)
@@ -115,7 +98,7 @@ def plot_volatility_smile(x_domain: np.ndarray,
 def plot_all_smiles(x_surface: Dict[str, np.ndarray],
                     iv_surface: Dict[str, np.ndarray],
                     option_chain: Optional[pd.DataFrame] = None,
-                    domain_type: str = 'log_moneyness') -> List[go.Figure]:
+                    return_domain: str = 'log_moneyness') -> List[go.Figure]:
     """
     Plot volatility smiles for all expiries.
 
@@ -123,18 +106,18 @@ def plot_all_smiles(x_surface: Dict[str, np.ndarray],
     - x_surface: Dictionary mapping maturity names to x-domain arrays
     - iv_surface: Dictionary mapping maturity names to IV arrays
     - option_chain: Optional market data for comparison
-    - domain_type: Type of x-domain ('log_moneyness', 'moneyness', 'strikes', 'delta')
+    - return_domain: Type of x-domain ('log_moneyness', 'moneyness', 'strikes', 'delta')
 
     Returns:
     - List of Plotly figures
     """
     return [
         plot_volatility_smile(
-            x_domain=x_surface[maturity],
+            x_array=x_surface[maturity],
             iv_array=iv_surface[maturity],
             option_chain=option_chain,
             maturity=maturity,
-            domain_type=domain_type
+            return_domain=return_domain
         )
         for maturity in iv_surface.keys()
     ]
@@ -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} (DTM: {fit_results.loc[m, 'dtm']:.1f}"
+                  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-0.0.73 → voly-0.0.75}/src/voly/core/data.py

@@ -224,7 +224,9 @@ def process_option_chain(df: pd.DataFrame, currency: str) -> pd.DataFrame:
     df['ask_iv'] = df['ask_iv'].replace({0: np.nan}) / 100
 
     # Calculate log-moneyness
-    df['log_moneyness'] = np.log(df['underlying_price'] / df['strike'])
+    df['log_moneyness'] = np.log(df['index_price'] / df['strike'])
+    # Calculate moneyness
+    df['moneyness'] = np.exp(df['log_moneyness'])
 
     logger.info(f"Processing complete!")
 

{voly-0.0.73 → voly-0.0.75/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.73
+Version: 0.0.75
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT