voly 0.0.78__py3-none-any.whl → 0.0.80__py3-none-any.whl

voly/core/charts.py

@@ -7,6 +7,7 @@ risk-neutral densities, and model fitting results.
 
 import numpy as np
 import pandas as pd
+from scipy import interpolate
 from typing import Dict, List, Tuple, Optional, Union, Any
 from voly.utils.logger import logger, catch_exception
 from voly.models import SVIModel
@@ -150,8 +151,7 @@ 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} (DTM: {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):
@@ -214,8 +214,7 @@ 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}, YTE: {fit_results.loc[m, 'ytm']:.4f})"
-                  for m in maturity_names]
+    tick_labels = [f"{m} (DTE: {fit_results.loc[m, 'dtm']:.1f})" for m in maturity_names]
 
     # Plot each parameter
     for i, param in enumerate(param_names):
@@ -227,7 +226,7 @@ def plot_jw_parameters(fit_results: pd.DataFrame) -> go.Figure:
                 y=fit_results[param],
                 mode='lines+markers',
                 name=param,
-                line=dict(width=2, color='rgb(0, 180, 180)'),
+                line=dict(width=2),
                 marker=dict(size=8),
                 text=tick_labels,
                 hovertemplate="%{text}<br>%{y:.4f}"
@@ -328,7 +327,7 @@ def plot_fit_performance(fit_results: pd.DataFrame) -> go.Figure:
 def plot_3d_surface(x_surface: Dict[str, np.ndarray],
                     iv_surface: Dict[str, np.ndarray],
                     fit_results: pd.DataFrame = None,
-                    domain_type: str = 'log_moneyness') -> go.Figure:
+                    return_domain: str = 'log_moneyness') -> go.Figure:
     """
     Plot 3D implied volatility surface.
 
@@ -336,69 +335,79 @@ def plot_3d_surface(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
     - fit_results: Optional DataFrame with maturity information
-    - 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
     """
+
     # 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'
     }
 
-    # Define custom colorscale
-    custom_blue_scale = [[0, '#60AEFC'], [1, '#002040']]
-
-    # Get maturity names
+    # Get maturity names and sort by DTM
     maturity_names = list(iv_surface.keys())
-
-    # Get z-axis values (days to expiry)
     if fit_results is not None:
-        # Use DTM values from fit_results
         maturity_values = [fit_results.loc[name, 'dtm'] for name in maturity_names]
+        # Sort by maturity
+        sorted_indices = np.argsort(maturity_values)
+        maturity_names = [maturity_names[i] for i in sorted_indices]
+        maturity_values = [maturity_values[i] for i in sorted_indices]
     else:
-        # Default to sequential values
         maturity_values = list(range(len(maturity_names)))
 
-    # Create 3D surface using lines for each maturity
-    fig = go.Figure()
+    # Create a common x-grid for all maturities
+    # Use 100 points between the min and max x-values across all maturities
+    all_x = np.concatenate([x_surface[m] for m in maturity_names])
+    x_min, x_max = np.min(all_x), np.max(all_x)
+    x_grid = np.linspace(x_min, x_max, 100)
+
+    # Create a matrix for the surface
+    z_matrix = np.zeros((len(maturity_names), len(x_grid)))
 
-    # Add a line for each maturity
+    # Fill the matrix with interpolated IV values
     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
-            )
-        ))
+        iv_values = iv_surface[maturity] * 100  # Convert to percentage
+
+        # Create interpolation function
+        f = interpolate.interp1d(x_values, iv_values, kind='cubic',
+                                 bounds_error=False, fill_value='extrapolate')
+
+        # Generate interpolated values for the common x-grid
+        z_matrix[i] = f(x_grid)
+
+    # Create figure with the surface
+    fig = go.Figure(data=[go.Surface(
+        z=z_matrix,
+        x=x_grid,
+        y=maturity_values,
+        colorscale='Plotly3'
+    )])
+
+    # Add contours
+    fig.update_traces(contours_z=dict(
+        show=True,
+        usecolormap=True,
+        highlightcolor="white",
+        project_z=True
+    ))
 
     # Update layout
     fig.update_layout(
-        title='Implied Volatility 3D Surface',
+        title='Implied Volatility Surface',
         template='plotly_dark',
         scene=dict(
-            xaxis_title=domain_labels.get(domain_type, 'X Domain'),
+            xaxis_title=domain_labels.get(return_domain, 'X Domain'),
             yaxis_title='Days to Expiry',
-            zaxis_title='Implied Volatility (%)'
+            zaxis_title='Implied Volatility (%)',
+            aspectratio=dict(x=1, y=1, z=0.7)
         ),
-        margin=dict(l=65, r=50, b=65, t=90)
+        scene_camera_eye=dict(x=1, y=-2, z=0.5)
     )
 
     return fig

{voly-0.0.78.dist-info → voly-0.0.80.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.78
+Version: 0.0.80
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.78.dist-info → voly-0.0.80.dist-info}/RECORD

@@ -4,15 +4,15 @@ 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=4LrpN14DXeqhcO6JitKY_wHYAAJqcf2z9CvKdvu5Q5c,27175
+voly/core/charts.py,sha256=ycZgbPeROYVRMO61auVXCGLmKZA2NwS3vLOsQ9wqCyo,27526
 voly/core/data.py,sha256=JCPD44UDSJqh83jjapAtXVpJEHm8Hq4JC8lVhl5Zb4A,8935
 voly/core/fit.py,sha256=JOr2XjM-I9HtfbyEN0tdGuNCZimQ2ttm4lNUpF-tKb4,9226
 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-0.0.78.dist-info/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.78.dist-info/METADATA,sha256=e5sEfgeHuswinGxYlluMgcoe84IorOWwfFO67ZqV58c,4092
-voly-0.0.78.dist-info/WHEEL,sha256=52BFRY2Up02UkjOa29eZOS2VxUrpPORXg1pkohGGUS8,91
-voly-0.0.78.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.78.dist-info/RECORD,,
+voly-0.0.80.dist-info/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.80.dist-info/METADATA,sha256=nEYbdurZWjd781ZJaCFQgFMxN65_2GRKBk8T5uipNgA,4092
+voly-0.0.80.dist-info/WHEEL,sha256=52BFRY2Up02UkjOa29eZOS2VxUrpPORXg1pkohGGUS8,91
+voly-0.0.80.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.80.dist-info/RECORD,,