voly 0.0.74__tar.gz → 0.0.76__tar.gz

{voly-0.0.74/src/voly.egg-info → voly-0.0.76}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.74
+Version: 0.0.76
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.74 → voly-0.0.76}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.74"
+version = "0.0.76"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.74"
+python_version = "0.0.76"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.74 → voly-0.0.76}/src/voly/client.py

@@ -364,13 +364,13 @@ class VolyClient:
         - Surface. Dict composed of (iv_surface, x_surface)
         """
         # Generate the surface
-        surface = get_iv_surface(
+        iv_surface, x_surface = get_iv_surface(
             fit_results=fit_results,
             log_moneyness_params=log_moneyness_params,
             return_domain=return_domain
         )
 
-        return surface
+        return iv_surface, x_surface
 
     @staticmethod
     def plot_model(fit_results: pd.DataFrame,
@@ -393,18 +393,14 @@ class VolyClient:
         plots = {}
 
         # Generate IV surface and 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']
+        iv_surface, x_surface = get_iv_surface(fit_results, log_moneyness_params, return_domain)
 
         # Plot volatility smiles
         plots['smiles'] = plot_all_smiles(
             x_surface=x_surface,
             iv_surface=iv_surface,
             option_chain=option_chain,
-            domain_type=return_domain
+            return_domain=return_domain
         )
 
         # Plot parameters

{voly-0.0.74 → voly-0.0.76}/src/voly/core/charts.py

@@ -19,20 +19,20 @@ 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 in the specified domain
+    - 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
@@ -40,9 +40,9 @@ def plot_volatility_smile(x_domain: np.ndarray,
     # 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()
@@ -50,7 +50,7 @@ def plot_volatility_smile(x_domain: np.ndarray,
     # 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',
@@ -68,7 +68,7 @@ def plot_volatility_smile(x_domain: np.ndarray,
                 if iv_type in maturity_data.columns:
                     fig.add_trace(
                         go.Scatter(
-                            x=maturity_data['log_moneyness'],
+                            x=maturity_data[return_domain],
                             y=maturity_data[iv_type] * 100,  # Convert to percentage
                             mode='markers',
                             name=iv_type.replace('_', ' ').upper(),
@@ -76,7 +76,7 @@ def plot_volatility_smile(x_domain: np.ndarray,
                         )
                     )
 
-            title = f'Vol Smile for {maturity} (DTE: {maturity_data["dtm"].iloc[0]:.1f})'
+            title = f'Vol Smile for {maturity} (DTM: {maturity_data["dtm"].iloc[0]:.1f})'
         else:
             title = f'Vol Smile for {maturity}'
     else:
@@ -85,7 +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)
@@ -98,7 +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.
 
@@ -106,18 +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()
     ]
@@ -148,7 +148,7 @@ 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}, YTE: {fit_results.loc[m, 'ytm']:.4f})"
+    tick_labels = [f"{m} (DTM: {fit_results.loc[m, 'dtm']:.1f}"
                   for m in maturity_names]
 
     # Plot each parameter

{voly-0.0.74 → voly-0.0.76}/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-0.0.74 → voly-0.0.76}/src/voly/core/fit.py

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

{voly-0.0.74 → voly-0.0.76/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.74
+Version: 0.0.76
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT