voly 0.0.82__py3-none-any.whl → 0.0.83__py3-none-any.whl

voly/core/fit.py

@@ -188,14 +188,16 @@ def fit_model(option_chain: pd.DataFrame,
 
 
 @catch_exception
-def get_iv_surface(fit_results: pd.DataFrame,
+def get_iv_surface(model_results: pd.DataFrame,
                    log_moneyness_params: Tuple[float, float, int] = (-1.5, 1.5, 1000),
                    return_domain: str = 'log_moneyness') -> Tuple[Dict[str, np.ndarray], Dict[str, np.ndarray]]:
     """
     Generate implied volatility surface using optimized SVI parameters.
 
+    Works with both regular fit_results and interpolated_results dataframes.
+
     Parameters:
-    - fit_results: DataFrame from fit_model() with maturity names as index
+    - model_results: DataFrame from fit_model() or interpolate_model()
     - log_moneyness_params: Tuple of (min, max, num_points) for the moneyness grid
     - return_domain: Domain for x-axis values ('log_moneyness', 'moneyness', 'strikes', 'delta')
 
@@ -204,6 +206,11 @@ def get_iv_surface(fit_results: pd.DataFrame,
       iv_surface: Dictionary mapping maturity names to IV arrays
       x_surface: Dictionary mapping maturity names to requested x domain arrays
     """
+    # Check if required columns are present
+    required_columns = ['a', 'b', 'rho', 'm', 'sigma', 'ytm']
+    missing_columns = [col for col in required_columns if col not in model_results.columns]
+    if missing_columns:
+        raise VolyError(f"Required columns missing in model_results: {missing_columns}")
 
     # Generate implied volatility surface in log-moneyness domain
     min_m, max_m, num_points = log_moneyness_params
@@ -213,16 +220,16 @@ def get_iv_surface(fit_results: pd.DataFrame,
     x_surface = {}
 
     # Process each maturity
-    for maturity in fit_results.index:
+    for i in model_results.index:
         # Calculate SVI total implied variance and convert to IV
         params = [
-            fit_results.loc[maturity, 'a'],
-            fit_results.loc[maturity, 'b'],
-            fit_results.loc[maturity, 'sigma'],
-            fit_results.loc[maturity, 'rho'],
-            fit_results.loc[maturity, 'm']
+            fit_results.loc[i, 'a'],
+            fit_results.loc[i, 'b'],
+            fit_results.loc[i, 'sigma'],
+            fit_results.loc[i, 'rho'],
+            fit_results.loc[i, 'm']
         ]
-        ytm = fit_results.loc[maturity, 'ytm']
+        ytm = fit_results.loc[i, 'ytm']
 
         # Calculate implied volatility
         w_svi = np.array([SVIModel.svi(x, *params) for x in log_moneyness_array])
@@ -233,8 +240,8 @@ def get_iv_surface(fit_results: pd.DataFrame,
         x_surface[maturity] = get_x_domain(
             log_moneyness_params=log_moneyness_params,
             return_domain=return_domain,
-            s=fit_results.loc[maturity, 's'],
-            r=fit_results.loc[maturity, 'r'],
+            s=fit_results.loc[i, 's'],
+            r=fit_results.loc[i, 'r'],
             iv_array=iv_array,
             ytm=ytm
         )

voly/core/interpolate.py

@@ -88,6 +88,9 @@ def interpolate_model(fit_results: pd.DataFrame,
 
     # Sort fit_results by ytm
     sorted_fit_results = fit_results.iloc[sorted_indices]
+    recent_row = sorted_fit_results.iloc[-1]
+    interpolated_df['s'] = recent_row['s']
+    interpolated_df['r'] = recent_row['r']
 
     # Interpolate model parameters
     for param in param_columns:
@@ -117,8 +120,8 @@ def interpolate_model(fit_results: pd.DataFrame,
                 interpolated_df[param] = f(target_years)
 
     # Ensure consistent ordering of columns with expected structure
-    expected_columns = ['u', 'maturity_date', 'dtm', 'ytm', 'a', 'b', 'rho', 'm', 'sigma',
-                        'nu', 'psi', 'p', 'c', 'nu_tilde']
+    expected_columns = ['s', 'u', 'maturity_date', 'dtm', 'ytm', 'a', 'b', 'rho', 'm', 'sigma',
+                        'nu', 'psi', 'p', 'c', 'nu_tilde', 'r']
 
     # Create final column order based on available columns
     column_order = [col for col in expected_columns if col in interpolated_df.columns]

{voly-0.0.82.dist-info → voly-0.0.83.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.82
+Version: 0.0.83
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.82.dist-info → voly-0.0.83.dist-info}/RECORD

@@ -6,13 +6,13 @@ voly/models.py,sha256=LXXIlpXZQEfXTuCngxC8Hd3bWtw6wdXDCSGxTLmHM-c,3659
 voly/core/__init__.py,sha256=bu6fS2I1Pj9fPPnl-zY3L7NqrZSY5Zy6NY2uMUvdhKs,183
 voly/core/charts.py,sha256=ycZgbPeROYVRMO61auVXCGLmKZA2NwS3vLOsQ9wqCyo,27526
 voly/core/data.py,sha256=JCPD44UDSJqh83jjapAtXVpJEHm8Hq4JC8lVhl5Zb4A,8935
-voly/core/fit.py,sha256=lDlw4z5lehJSgpT4-J7NLq3wf42sQQM-0GHSlaATGKA,9223
-voly/core/interpolate.py,sha256=7FBx7EmbgET1I1-MD6o-nxCyGlAqcQJulCXYvzATisU,5243
+voly/core/fit.py,sha256=g6slA9rBC2_Pys5ipAYZNzfCdHdaZF8To8c4HBGHviQ,9549
+voly/core/interpolate.py,sha256=BzLwEuE-PIf0k0oVka7gH6NASlaEdtZAo7zUVwarkoQ,5384
 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-0.0.82.dist-info/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.82.dist-info/METADATA,sha256=uV23GWgeNRpVdmu6psFoJdeJJ7v1CwpoBL-C720BJnQ,4092
-voly-0.0.82.dist-info/WHEEL,sha256=52BFRY2Up02UkjOa29eZOS2VxUrpPORXg1pkohGGUS8,91
-voly-0.0.82.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.82.dist-info/RECORD,,
+voly-0.0.83.dist-info/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.83.dist-info/METADATA,sha256=3Cg0LlfzBCr4ndTbluDuP_mGboM7igJZIs8ak9PXsoU,4092
+voly-0.0.83.dist-info/WHEEL,sha256=52BFRY2Up02UkjOa29eZOS2VxUrpPORXg1pkohGGUS8,91
+voly-0.0.83.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.83.dist-info/RECORD,,