voly 0.0.86__py3-none-any.whl → 0.0.87__py3-none-any.whl

voly/core/charts.py

@@ -42,6 +42,7 @@ def plot_volatility_smile(x_array: np.ndarray,
     domain_labels = {
         'log_moneyness': 'Log Moneyness',
         'moneyness': 'Moneyness',
+        'returns': 'Returns',
         'strikes': 'Strike Price',
         'delta': 'Delta'
     }
@@ -63,7 +64,7 @@ def plot_volatility_smile(x_array: np.ndarray,
     if option_chain is not None and maturity is not None:
         maturity_data = option_chain[option_chain['maturity_name'] == maturity]
         if return_domain == 'delta':
-            maturity_data = maturity_data[maturity_data['option_type']=='C']
+            maturity_data = maturity_data[maturity_data['option_type'] == 'C']
 
         if not maturity_data.empty:
             # Add bid and ask IVs if available
@@ -79,7 +80,7 @@ def plot_volatility_smile(x_array: np.ndarray,
                         )
                     )
 
-            title = f'Vol Smile for {maturity} (DTM: {maturity_data["dtm"].iloc[0]:.1f})'
+            title = f'Vol Smile for {maturity}'
         else:
             title = f'Vol Smile for {maturity}'
     else:
@@ -151,7 +152,7 @@ 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}" for m in maturity_names]
 
     # Plot each parameter
     for i, param in enumerate(param_names):
@@ -214,7 +215,7 @@ 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})" for m in maturity_names]
+    tick_labels = [f"{m}" for m in maturity_names]
 
     # Plot each parameter
     for i, param in enumerate(param_names):
@@ -282,7 +283,7 @@ def plot_fit_performance(fit_results: pd.DataFrame) -> go.Figure:
     x_indices = list(range(len(maturity_names)))
 
     # Create hover labels
-    hover_labels = [f"{m} (DTE: {fit_results.loc[m, 'dtm']:.1f})" for m in maturity_names]
+    hover_labels = [f"{m}" for m in maturity_names]
 
     # Plot each metric
     for metric, config in metrics.items():
@@ -345,14 +346,15 @@ def plot_3d_surface(x_surface: Dict[str, np.ndarray],
     domain_labels = {
         'log_moneyness': 'Log Moneyness',
         'moneyness': 'Moneyness',
+        'returns': 'Returns',
         'strikes': 'Strike Price',
         'delta': 'Delta'
     }
 
-    # Get maturity names and sort by DTM
+    # Get maturity names and sort by YTM
     maturity_names = list(iv_surface.keys())
     if fit_results is not None:
-        maturity_values = [fit_results.loc[name, 'dtm'] for name in maturity_names]
+        maturity_values = [fit_results.loc[name, 't'] for name in maturity_names]
         # Sort by maturity
         sorted_indices = np.argsort(maturity_values)
         maturity_names = [maturity_names[i] for i in sorted_indices]
@@ -364,7 +366,7 @@ def plot_3d_surface(x_surface: Dict[str, np.ndarray],
     # 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)
+    x_grid = np.linspace(x_min, x_max, 400)
 
     # Create a matrix for the surface
     z_matrix = np.zeros((len(maturity_names), len(x_grid)))
@@ -411,512 +413,3 @@ def plot_3d_surface(x_surface: Dict[str, np.ndarray],
     )
 
     return fig
-
-
-@catch_exception
-def plot_rnd(moneyness_array: np.ndarray,
-             rnd_values: np.ndarray,
-             spot_price: float = 1.0) -> go.Figure:
-    """
-    Plot risk-neutral density (RND).
-
-    Parameters:
-    - moneyness_array: Grid of log-moneyness values
-    - rnd_values: RND values
-    - spot_price: Spot price for converting to absolute prices
-    - title: Plot title
-
-    Returns:
-    - Plotly figure
-    """
-    # Create figure
-    fig = go.Figure()
-
-    # Convert to prices and normalize RND
-    prices = spot_price * np.exp(moneyness_array)
-
-    # Normalize the RND to integrate to 1
-    dx = moneyness_array[1] - moneyness_array[0]
-    total_density = np.sum(rnd_values) * dx
-    normalized_rnd = rnd_values / total_density if total_density > 0 else rnd_values
-
-    # Add trace
-    fig.add_trace(
-        go.Scatter(
-            x=prices,
-            y=normalized_rnd,
-            mode='lines',
-            name='RND',
-            line=dict(color='#00FFC1', width=2),
-            fill='tozeroy',
-            fillcolor='rgba(0, 255, 193, 0.2)'
-        )
-    )
-
-    # Add vertical line at spot price
-    fig.add_shape(
-        type='line',
-        x0=spot_price, y0=0,
-        x1=spot_price, y1=max(normalized_rnd) * 1.1,
-        line=dict(color='red', width=2, dash='dash')
-    )
-
-    # Add annotation for spot price
-    fig.add_annotation(
-        x=spot_price,
-        y=max(normalized_rnd) * 1.15,
-        text=f"Spot: {spot_price}",
-        showarrow=False,
-        font=dict(color='red')
-    )
-
-    # Update layout
-    fig.update_layout(
-        title='Risk-Neutral Density',
-        xaxis_title='Price',
-        yaxis_title='Density',
-        template='plotly_dark',
-        showlegend=False
-    )
-
-    return fig
-
-
-@catch_exception
-def plot_rnd_all_expiries(moneyness_array: np.ndarray,
-                          rnd_surface: Dict[str, np.ndarray],
-                          fit_results: Dict[str, Any],
-                          spot_price: float = 1.0) -> go.Figure:
-    """
-    Plot risk-neutral densities for all expiries.
-
-    Parameters:
-    - moneyness_array: Grid of log-moneyness values
-    - rnd_surface: Dictionary mapping maturity names to RND arrays
-    - param_matrix: Matrix containing model parameters with maturity info
-    - spot_price: Spot price for converting to absolute prices
-
-    Returns:
-    - Plotly figure
-    """
-    # Get maturity information
-    dte_values = fit_results['fit_performance']['DTE']
-
-    # Create figure
-    fig = go.Figure()
-
-    # Get maturity names in order by DTE
-    maturity_names = sorted(rnd_surface.keys(), key=lambda x: dte_values[x])
-
-    # Create color scale from purple to green
-    n_maturities = len(maturity_names)
-    colors = [f'rgb({int(255 - i * 255 / n_maturities)}, {int(i * 255 / n_maturities)}, 255)'
-              for i in range(n_maturities)]
-
-    # Convert to prices
-    prices = spot_price * np.exp(moneyness_array)
-
-    # Add traces for each expiry
-    for i, maturity_name in enumerate(maturity_names):
-        rnd = rnd_surface[maturity_name]
-        dte = dte_values[maturity_name]
-
-        # Normalize the RND
-        dx = moneyness_array[1] - moneyness_array[0]
-        total_density = np.sum(rnd) * dx
-        normalized_rnd = rnd / total_density if total_density > 0 else rnd
-
-        # Add trace
-        fig.add_trace(
-            go.Scatter(
-                x=prices,
-                y=normalized_rnd,
-                mode='lines',
-                name=f"{maturity_name} (DTE: {dte:.1f})",
-                line=dict(color=colors[i], width=2),
-            )
-        )
-
-    # Add vertical line at spot price
-    fig.add_shape(
-        type='line',
-        x0=spot_price, y0=0,
-        x1=spot_price, y1=1,  # Will be scaled automatically
-        line=dict(color='red', width=2, dash='dash')
-    )
-
-    # Update layout
-    fig.update_layout(
-        title="Risk-Neutral Densities Across Expiries",
-        xaxis_title='Price',
-        yaxis_title='Density',
-        template='plotly_dark',
-        legend=dict(
-            yanchor="top",
-            y=0.99,
-            xanchor="left",
-            x=0.01
-        )
-    )
-
-    return fig
-
-
-@catch_exception
-def plot_rnd_3d(moneyness_array: np.ndarray,
-                rnd_surface: Dict[str, np.ndarray],
-                param_matrix: pd.DataFrame,
-                spot_price: float = 1.0) -> go.Figure:
-    """
-    Plot 3D surface of risk-neutral densities.
-
-    Parameters:
-    - moneyness_array: Grid of log-moneyness values
-    - rnd_surface: Dictionary mapping maturity names to RND arrays
-    - param_matrix: Matrix containing model parameters with maturity info
-    - spot_price: Spot price for converting to absolute prices
-
-    Returns:
-    - Plotly figure
-    """
-    # Get maturity information
-    dte_values = param_matrix.attrs['dte_values']
-
-    # Get maturity names in order by DTE
-    maturity_names = sorted(rnd_surface.keys(), key=lambda x: dte_values[x])
-
-    # Extract DTE values for z-axis
-    dte_list = [dte_values[name] for name in maturity_names]
-
-    # Convert to prices
-    prices = spot_price * np.exp(moneyness_array)
-
-    # Create z-data matrix and normalize RNDs
-    z_data = np.zeros((len(maturity_names), len(prices)))
-
-    for i, name in enumerate(maturity_names):
-        rnd = rnd_surface[name]
-
-        # Normalize the RND
-        dx = moneyness_array[1] - moneyness_array[0]
-        total_density = np.sum(rnd) * dx
-        normalized_rnd = rnd / total_density if total_density > 0 else rnd
-
-        z_data[i] = normalized_rnd
-
-    # Create mesh grid
-    X, Y = np.meshgrid(prices, dte_list)
-
-    # Create 3D surface
-    fig = go.Figure(data=[
-        go.Surface(
-            z=z_data,
-            x=X,
-            y=Y,
-            colorscale='Viridis',
-            showscale=True
-        )
-    ])
-
-    # Update layout
-    fig.update_layout(
-        title="3D Risk-Neutral Density Surface",
-        scene=dict(
-            xaxis_title="Price",
-            yaxis_title="Days to Expiry",
-            zaxis_title="Density"
-        ),
-        margin=dict(l=65, r=50, b=65, t=90),
-        template="plotly_dark"
-    )
-
-    return fig
-
-
-@catch_exception
-def plot_rnd_statistics(rnd_statistics: pd.DataFrame,
-                        rnd_probabilities: pd.DataFrame) -> Tuple[go.Figure, go.Figure]:
-    """
-    Plot RND statistics and probabilities.
-
-    Parameters:
-    - rnd_statistics: DataFrame with RND statistics
-    - rnd_probabilities: DataFrame with RND probabilities
-
-    Returns:
-    - Tuple of (statistics_fig, probabilities_fig)
-    """
-    # Create subplot figure for key statistics
-    stats_fig = make_subplots(
-        rows=1, cols=3,
-        subplot_titles=("Standard Deviation (%) vs. DTE",
-                        "Skewness vs. DTE",
-                        "Excess Kurtosis vs. DTE")
-    )
-
-    # Add traces for each statistic
-    stats_fig.add_trace(
-        go.Scatter(
-            x=rnd_statistics["dte"],
-            y=rnd_statistics["std_dev_pct"],
-            mode="lines+markers",
-            name="Standard Deviation (%)",
-            hovertemplate="DTE: %{x:.1f}<br>Std Dev: %{y:.2f}%"
-        ),
-        row=1, col=1
-    )
-
-    stats_fig.add_trace(
-        go.Scatter(
-            x=rnd_statistics["dte"],
-            y=rnd_statistics["skewness"],
-            mode="lines+markers",
-            name="Skewness",
-            hovertemplate="DTE: %{x:.1f}<br>Skewness: %{y:.4f}"
-        ),
-        row=1, col=2
-    )
-
-    stats_fig.add_trace(
-        go.Scatter(
-            x=rnd_statistics["dte"],
-            y=rnd_statistics["excess_kurtosis"],
-            mode="lines+markers",
-            name="Excess Kurtosis",
-            hovertemplate="DTE: %{x:.1f}<br>Excess Kurtosis: %{y:.4f}"
-        ),
-        row=1, col=3
-    )
-
-    # Update layout
-    stats_fig.update_layout(
-        title="Risk-Neutral Density Statistics Across Expiries",
-        template="plotly_dark",
-        height=500,
-        showlegend=False
-    )
-
-    # Update axes
-    stats_fig.update_xaxes(title_text="Days to Expiry", row=1, col=1)
-    stats_fig.update_xaxes(title_text="Days to Expiry", row=1, col=2)
-    stats_fig.update_xaxes(title_text="Days to Expiry", row=1, col=3)
-
-    stats_fig.update_yaxes(title_text="Standard Deviation (%)", row=1, col=1)
-    stats_fig.update_yaxes(title_text="Skewness", row=1, col=2)
-    stats_fig.update_yaxes(title_text="Excess Kurtosis", row=1, col=3)
-
-    # Create a second figure for probability thresholds
-    prob_fig = go.Figure()
-
-    # Get probability columns (those starting with "p_")
-    prob_cols = [col for col in rnd_probabilities.columns if col.startswith("p_")]
-
-    # Sort the columns to ensure they're in order by threshold value
-    prob_cols_above = sorted([col for col in prob_cols if "above" in col],
-                             key=lambda x: float(x.split("_")[2]))
-    prob_cols_below = sorted([col for col in prob_cols if "below" in col],
-                             key=lambda x: float(x.split("_")[2]))
-
-    # Color gradients
-    green_colors = [
-        'rgba(144, 238, 144, 1)',  # Light green
-        'rgba(50, 205, 50, 1)',  # Lime green
-        'rgba(34, 139, 34, 1)',  # Forest green
-        'rgba(0, 100, 0, 1)'  # Dark green
-    ]
-
-    red_colors = [
-        'rgba(139, 0, 0, 1)',  # Dark red
-        'rgba(220, 20, 60, 1)',  # Crimson
-        'rgba(240, 128, 128, 1)',  # Light coral
-        'rgba(255, 182, 193, 1)'  # Light pink/red
-    ]
-
-    # Add lines for upside probabilities (green)
-    for i, col in enumerate(prob_cols_above):
-        threshold = float(col.split("_")[2])
-        label = f"P(X > {threshold})"
-
-        # Select color based on how far OTM
-        color_idx = min(i, len(green_colors) - 1)
-
-        prob_fig.add_trace(
-            go.Scatter(
-                x=rnd_probabilities["dte"],
-                y=rnd_probabilities[col] * 100,  # Convert to percentage
-                mode="lines+markers",
-                name=label,
-                line=dict(color=green_colors[color_idx], width=3),
-                marker=dict(size=8, color=green_colors[color_idx]),
-                hovertemplate="DTE: %{x:.1f}<br>" + label + ": %{y:.2f}%"
-            )
-        )
-
-    # Add lines for downside probabilities (red)
-    for i, col in enumerate(prob_cols_below):
-        threshold = float(col.split("_")[2])
-        label = f"P(X < {threshold})"
-
-        # Select color based on how far OTM
-        color_idx = min(i, len(red_colors) - 1)
-
-        prob_fig.add_trace(
-            go.Scatter(
-                x=rnd_probabilities["dte"],
-                y=rnd_probabilities[col] * 100,  # Convert to percentage
-                mode="lines+markers",
-                name=label,
-                line=dict(color=red_colors[color_idx], width=3),
-                marker=dict(size=8, color=red_colors[color_idx]),
-                hovertemplate="DTE: %{x:.1f}<br>" + label + ": %{y:.2f}%"
-            )
-        )
-
-    # Update layout
-    prob_fig.update_layout(
-        title="Probability Thresholds Across Expiries",
-        xaxis_title="Days to Expiry",
-        yaxis_title="Probability (%)",
-        template="plotly_dark",
-        legend=dict(
-            yanchor="top",
-            y=0.99,
-            xanchor="right",
-            x=0.99
-        )
-    )
-
-    return stats_fig, prob_fig
-
-
-@catch_exception
-def plot_cdf(moneyness_array: np.ndarray,
-             rnd_values: np.ndarray,
-             spot_price: float = 1.0,
-             title: str = 'Cumulative Distribution Function') -> go.Figure:
-    """
-    Plot the cumulative distribution function (CDF) from RND values.
-
-    Parameters:
-    - moneyness_array: Grid of log-moneyness values
-    - rnd_values: RND values
-    - spot_price: Spot price for converting to absolute prices
-    - title: Plot title
-
-    Returns:
-    - Plotly figure
-    """
-    # Convert to prices and normalize RND
-    prices = spot_price * np.exp(moneyness_array)
-
-    # Normalize the RND
-    dx = moneyness_array[1] - moneyness_array[0]
-    total_density = np.sum(rnd_values) * dx
-    normalized_rnd = rnd_values / total_density if total_density > 0 else rnd_values
-
-    # Calculate CDF
-    cdf = np.cumsum(normalized_rnd) * dx
-
-    # Create figure
-    fig = go.Figure()
-
-    # Add CDF trace
-    fig.add_trace(
-        go.Scatter(
-            x=prices,
-            y=cdf,
-            mode='lines',
-            name='CDF',
-            line=dict(color='#00FFC1', width=2)
-        )
-    )
-
-    # Add vertical line at spot price
-    fig.add_shape(
-        type='line',
-        x0=spot_price, y0=0,
-        x1=spot_price, y1=1,
-        line=dict(color='red', width=2, dash='dash')
-    )
-
-    # Add horizontal line at CDF=0.5 (median)
-    fig.add_shape(
-        type='line',
-        x0=prices[0], y0=0.5,
-        x1=prices[-1], y1=0.5,
-        line=dict(color='orange', width=2, dash='dash')
-    )
-
-    # Add annotation for spot price
-    fig.add_annotation(
-        x=spot_price,
-        y=1.05,
-        text=f"Spot: {spot_price}",
-        showarrow=False,
-        font=dict(color='red')
-    )
-
-    # Update layout
-    fig.update_layout(
-        title=title,
-        xaxis_title='Price',
-        yaxis_title='Cumulative Probability',
-        template='plotly_dark',
-        yaxis=dict(range=[0, 1.1]),
-        showlegend=False
-    )
-
-    return fig
-
-
-@catch_exception
-def plot_pdf(moneyness_array: np.ndarray,
-             rnd_values: np.ndarray,
-             spot_price: float = 1.0,
-             title: str = 'Probability Density Function') -> go.Figure:
-    """
-    Plot the probability density function (PDF) from RND values.
-
-    Parameters:
-    - moneyness_array: Grid of log-moneyness values
-    - rnd_values: RND values
-    - spot_price: Spot price for converting to absolute prices
-    - title: Plot title
-
-    Returns:
-    - Plotly figure
-    """
-    # This is essentially the same as plot_rnd but with a different title
-    return plot_rnd(moneyness_array, rnd_values, spot_price, title)
-
-
-@catch_exception
-def plot_interpolated_surface(
-        interp_results: Dict[str, Any],
-        title: str = 'Interpolated Implied Volatility Surface'
-) -> go.Figure:
-    """
-    Plot interpolated implied volatility surface.
-
-    Parameters:
-    - interp_results: Dictionary with interpolation results
-    - title: Plot title
-
-    Returns:
-    - Plotly figure
-    """
-    # Extract data from interpolation results
-    moneyness_array = interp_results['moneyness_array']
-    target_expiries_years = interp_results['target_expiries_years']
-    iv_surface = interp_results['iv_surface']
-
-    # Create a 3D surface plot
-    fig = plot_3d_surface(
-        moneyness=moneyness_array,
-        expiries=target_expiries_years,
-        iv_surface=iv_surface,
-        title=title
-    )
-
-    return fig
-

voly/core/data.py

@@ -212,11 +212,8 @@ def process_option_chain(df: pd.DataFrame, currency: str) -> pd.DataFrame:
     # Get reference time from timestamp
     reference_time = dt.datetime.fromtimestamp(df['timestamp'].iloc[0] / 1000)
 
-    # Calculate days to expiry (DTE)
-    df['dtm'] = (df['maturity_date'] - reference_time).dt.total_seconds() / (24 * 60 * 60)
-
     # Calculate time to expiry in years
-    df['ytm'] = df['dtm'] / 365.25
+    df['t'] = ((df['maturity_date'] - reference_time).dt.total_seconds() / (24 * 60 * 60)) / 365.25
 
     # Calculate implied volatility (convert from percentage)
     df['mark_iv'] = df['mark_iv'] / 100