voly 0.0.7__tar.gz → 0.0.9__tar.gz

{voly-0.0.7/src/voly.egg-info → voly-0.0.9}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.7
+Version: 0.0.9
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.7 → voly-0.0.9}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.7"
+version = "0.0.9"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -61,12 +61,8 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.7"
+python_version = "0.0.9"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true
 disallow_incomplete_defs = true
-
-[tool.pytest.ini_options]
-testpaths = ["tests"]
-python_files = "test_*.py"

{voly-0.0.7 → voly-0.0.9}/src/voly/client.py

@@ -286,7 +286,7 @@ class VolyClient:
         Returns:
         - Implied volatility
         """
-        return iv(option_price, s, k, r, vol=None, t=t, option_type=option_type)
+        return iv(option_price, s, k, r, t, option_type)
 
     # -------------------------------------------------------------------------
     # Model Fitting

{voly-0.0.7 → voly-0.0.9/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.7
+Version: 0.0.9
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

voly-0.0.9/tests/test_client.py

@@ -0,0 +1,91 @@
+"""
+Tests for the VolyClient class using Python's built-in unittest framework.
+"""
+
+import unittest
+import numpy as np
+from voly import VolyClient
+
+
+class TestVolyClient(unittest.TestCase):
+    """Test cases for the VolyClient class."""
+
+    def setUp(self):
+        """Set up test fixtures."""
+        self.voly = VolyClient()
+
+    def test_voly_initialization(self):
+        """Test that the voly initializes correctly."""
+        self.assertIsNotNone(self.voly)
+
+    def test_bs_pricing(self):
+        """Test Black-Scholes pricing function."""
+        # Test call price
+        call_price = self.voly.bs(s=100, k=100, r=0.05, vol=0.2, t=1, option_type='call')
+        self.assertGreater(call_price, 0)
+        self.assertLess(call_price, 20)  # Sanity check
+
+        # Test put price
+        put_price = self.voly.bs(s=100, k=100, r=0.05, vol=0.2, t=1, option_type='put')
+        self.assertGreater(put_price, 0)
+        self.assertLess(put_price, 20)  # Sanity check
+
+        # Test put-call parity (approximately)
+        parity_diff = abs(call_price - put_price - 100 + 100 * np.exp(-0.05))
+        self.assertLess(parity_diff, 1e-10)
+
+    def test_greeks_calculation(self):
+        """Test that all Greeks are calculated correctly."""
+        # Calculate all Greeks
+        greeks = self.voly.greeks(s=100, k=100, r=0.05, vol=0.2, t=1, option_type='call')
+
+        # Check that all expected Greeks are present
+        expected_keys = ['price', 'delta', 'gamma', 'vega', 'theta', 'rho', 'vanna', 'volga', 'charm']
+        for key in expected_keys:
+            self.assertIn(key, greeks)
+            self.assertIsInstance(greeks[key], float)
+
+        # Basic sanity checks
+        self.assertGreater(greeks['delta'], 0)  # Call delta positive
+        self.assertLess(greeks['delta'], 1)  # Call delta less than 1
+        self.assertGreater(greeks['gamma'], 0)  # Gamma always positive
+        self.assertGreater(greeks['vega'], 0)  # Vega always positive
+        self.assertLess(greeks['theta'], 0)  # Call theta typically negative
+
+    def test_delta_values(self):
+        """Test delta values for different moneyness levels."""
+        # Deep ITM call should have delta close to 1
+        itm_delta = self.voly.delta(s=100, k=50, r=0.05, vol=0.2, t=1, option_type='call')
+        self.assertGreater(itm_delta, 0.95)
+
+        # Deep OTM call should have delta close to 0
+        otm_delta = self.voly.delta(s=100, k=200, r=0.05, vol=0.2, t=1, option_type='call')
+        self.assertLess(otm_delta, 0.05)
+
+        # Deep ITM put should have delta close to -1
+        itm_put_delta = self.voly.delta(s=100, k=200, r=0.05, vol=0.2, t=1, option_type='put')
+        self.assertLess(itm_put_delta, -0.95)
+
+        # Deep OTM put should have delta close to 0
+        otm_put_delta = self.voly.delta(s=100, k=50, r=0.05, vol=0.2, t=1, option_type='put')
+        self.assertGreater(otm_put_delta, -0.05)
+
+    def test_implied_volatility(self):
+        """Test implied volatility calculation."""
+        # Calculate option price with known volatility
+        vol = 0.2
+        s = 100
+        k = 100
+        r = 0.05
+        t = 1
+        option_price = self.voly.bs(s=s, k=k, r=r, vol=vol, t=t, option_type='call')
+
+        # Calculate implied volatility from the price
+        implied_vol = self.voly.iv(option_price=option_price, s=s, k=k, r=r, t=t, option_type='call')
+
+        # Verify that the implied volatility is close to the original volatility
+        self.assertAlmostEqual(vol, implied_vol, places=4)
+
+
+if __name__ == '__main__':
+    unittest.main()

voly-0.0.7/tests/test_client.py

@@ -1,52 +0,0 @@
-"""
-Tests for the VolyClient class.
-"""
-
-import pytest
-import numpy as np
-from voly import VolyClient
-
-
-def test_client_initialization():
-    """Test that the client initializes correctly."""
-    client = VolyClient()
-    assert client is not None
-
-
-def test_bs_pricing():
-    """Test Black-Scholes pricing function."""
-    client = VolyClient()
-
-    # Test call price
-    call_price = client.bs(s=100, k=100, r=0.05, vol=0.2, t=1, option_type='call')
-    assert call_price > 0
-    assert call_price < 20  # Sanity check
-
-    # Test put price
-    put_price = client.bs(s=100, k=100, r=0.05, vol=0.2, t=1, option_type='put')
-    assert put_price > 0
-    assert put_price < 20  # Sanity check
-
-    # Test put-call parity (approximately)
-    parity_diff = abs(call_price - put_price - 100 + 100 * np.exp(-0.05))
-    assert parity_diff < 1e-10
-
-
-def test_greeks_calculation():
-    """Test that all Greeks are calculated correctly."""
-    client = VolyClient()
-
-    # Calculate all Greeks
-    greeks = client.greeks(s=100, k=100, r=0.05, vol=0.2, t=1, option_type='call')
-
-    # Check that all expected Greeks are present
-    expected_keys = ['price', 'delta', 'gamma', 'vega', 'theta', 'rho', 'vanna', 'volga', 'charm']
-    for key in expected_keys:
-        assert key in greeks
-        assert isinstance(greeks[key], float)
-
-    # Basic sanity checks
-    assert 0 < greeks['delta'] < 1  # Call delta between 0 and 1
-    assert greeks['gamma'] > 0  # Gamma always positive
-    assert greeks['vega'] > 0  # Vega always positive
-    assert greeks['theta'] < 0  # Call theta typically negative