voly 0.0.86__py3-none-any.whl → 0.0.89__py3-none-any.whl

voly/formulas.py

@@ -254,7 +254,7 @@ def iv(option_price: float, s: float, k: float, r: float, t: float,
     for _ in range(max_iterations):
         # Calculate option price and vega with current volatility
         price = bs(s, k, r, vol, t, option_type)
-        v = vega(s, k, r, vol, t)
+        v = vega(s, k, r, vol, t, option_type)
 
         # Calculate price difference
         price_diff = price - option_price
@@ -279,31 +279,31 @@ def iv(option_price: float, s: float, k: float, r: float, t: float,
 
 
 @catch_exception
-def get_x_domain(log_moneyness_params: Tuple[float, float, int] = (-1.5, 1.5, 1000),
-                 return_domain: str = 'log_moneyness',
-                 s: float = None,
-                 r: float = None,
-                 iv_array: np.ndarray = None,
-                 ytm: float = None) -> np.ndarray:
+def get_domain(domain_params: Tuple[float, float, int] = (-1.5, 1.5, 1000),
+               s: float = None,
+               r: float = None,
+               o: np.ndarray = None,
+               t: float = None,
+               return_domain: str = 'log_moneyness') -> np.ndarray:
     """
     Compute the x-domain for a given return type (log-moneyness, moneyness, strikes, or delta).
 
     Parameters:
     -----------
-    log_moneyness_params : Tuple[float, float, int],
+    domain_params : Tuple[float, float, int],
         Parameters for log-moneyness domain: (min_log_moneyness, max_log_moneyness, num_points).
         Default is (-1.5, 1.5, 1000).
-    return_domain : str, optional
-        The desired domain to return. Options are 'log_moneyness', 'moneyness', 'strikes', or 'delta'.
-        Default is 'log_moneyness'.
     s : float, optional
         Spot price of the underlying asset. Required for 'strikes' and 'delta' domains.
     r : float, optional
         Risk-free interest rate. Required for 'delta' domain.
-    iv_array : np.ndarray, optional
+    o : np.ndarray, optional
         Array of implied volatilities. Required for 'delta' domain.
-    ytm : float, optional
+    t : float, optional
         Time to maturity in years. Required for 'delta' domain.
+    return_domain : str, optional
+        The desired domain to return. Options are 'log_moneyness', 'moneyness', 'returns' 'strikes', or 'delta'.
+        Default is 'log_moneyness'.
 
     Returns:
     --------
@@ -317,43 +317,41 @@ def get_x_domain(log_moneyness_params: Tuple[float, float, int] = (-1.5, 1.5, 10
     """
 
     # Extract log-moneyness parameters and generate array
-    min_m, max_m, num_points = log_moneyness_params
-    log_moneyness = np.linspace(min_m, max_m, num_points)
+    LM = np.linspace(domain_params[0], domain_params[1], domain_params[2])
 
     # Handle different return domains
     if return_domain == 'log_moneyness':
-        return log_moneyness
+        return LM
 
     elif return_domain == 'moneyness':
-        return np.exp(log_moneyness)
+        return np.exp(LM)
+
+    elif return_domain == 'returns':
+        return np.exp(LM) - 1
 
     elif return_domain == 'strikes':
         if s is None:
             raise ValueError("Spot price 's' is required for return_domain='strikes'.")
-        return s / np.exp(log_moneyness)  # K = S/exp(log_moneyness)
+        return s / np.exp(LM)
 
     elif return_domain == 'delta':
         # Check for required parameters
-        required_params = {'s': s, 'r': r, 'iv_array': iv_array, 'ytm': ytm}
+        required_params = {'s': s, 'o': o, 'r': r, 't': t}
         missing_params = [param for param, value in required_params.items() if value is None]
         if missing_params:
             raise ValueError(f"The following parameters are required for return_domain='delta': {missing_params}")
 
-        if len(iv_array) != len(log_moneyness):
+        if len(o) != len(LM):
             raise ValueError(
-                f"iv_array must have the same length as the log-moneyness array ({len(log_moneyness)}).")
+                f"'o' must have the same length as the log-moneyness array ({len(log_moneyness)}).")
 
         # Compute strikes
-        strikes = s / np.exp(log_moneyness)
+        K = s / np.exp(LM)
 
         # Compute deltas
-        delta_values = np.array([
-            delta(s, k, r, vol, ytm, 'call')
-            for k, vol in zip(strikes, iv_array)
-        ])
-
-        return delta_values
+        D = np.array([delta(s, K, r, o, t, 'call') for K, o in zip(K, o)])
+        return D
 
     else:
         raise ValueError(
-            f"Invalid return_domain: {return_domain}. Must be one of ['log_moneyness', 'moneyness', 'strikes', 'delta'].")
+            f"Invalid return_domain: {return_domain}. Must be one of ['log_moneyness', 'moneyness', 'returns', 'strikes', 'delta'].")

voly/models.py

@@ -5,12 +5,6 @@ Volatility models for the Voly package.
 import numpy as np
 from typing import Tuple, Dict, List, Optional, Union
 
-# Configuration settings
-DEFAULT_MONEYNESS_RANGE = (-2, 2)
-DEFAULT_MONEYNESS_POINTS = 500
-MIN_DTE = 2.0  # Minimum days to expiry to include
-
-
 class SVIModel:
     """
     Stochastic Volatility Inspired (SVI) model.

{voly-0.0.86.dist-info → voly-0.0.89.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.86
+Version: 0.0.89
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

voly-0.0.89.dist-info/RECORD

@@ -0,0 +1,18 @@
+voly/__init__.py,sha256=8xyDk7rFCn_MOD5hxuv5cxxKZvBVRiSIM7TgaMPpwpw,211
+voly/client.py,sha256=M_XmGQAheVSPOBJPXVYJzm1s8ZOcBZ6keeZhb9Yu0R4,15367
+voly/exceptions.py,sha256=PBsbn1vNMvKcCJwwJ4lBO6glD85jo1h2qiEmD7ArAjs,92
+voly/formulas.py,sha256=6T0CuCtJpDp8nq0MUJ_3fA_su8nL4yfCU2H3m3_Sc_s,11699
+voly/models.py,sha256=Vs69QZYQ_Tt6hkaZ6Mfnq3II1dHDqQrZTzBNiaOIbwo,3516
+voly/core/__init__.py,sha256=bu6fS2I1Pj9fPPnl-zY3L7NqrZSY5Zy6NY2uMUvdhKs,183
+voly/core/charts.py,sha256=5PgunB8oVPoD5R9eIjc9efCbc6d9C5yswO2yG1qj8uo,12734
+voly/core/data.py,sha256=OzWbzmMQN4CEG8lUdwMK2RrnvEjkJrNcMDMv4JDRewA,8871
+voly/core/fit.py,sha256=rMYXuiDOWlyR5FbgK1nc8h_wSc9r6CBQS6b6DI6ZsYc,9252
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+voly/core/rnd.py,sha256=fZpwoPo64YvR7g0tgOW_uk88gnZ0N0hL4FlCECARZco,10052
+voly/utils/__init__.py,sha256=E05mWatyC-PDOsCxQV1p5Xi1IgpOomxrNURyCx_gB-w,200
+voly/utils/logger.py,sha256=4-_2bVJmq17Q0d7Rd2mPg1AeR8gxv6EPvcmBDMFWcSM,1744
+voly-0.0.89.dist-info/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.89.dist-info/METADATA,sha256=aTaX34vQn5u1TRt2DBkLH4sBlpUsCYGiVGl1RaZsvL8,4092
+voly-0.0.89.dist-info/WHEEL,sha256=beeZ86-EfXScwlR_HKu4SllMC9wUEj_8Z_4FJ3egI2w,91
+voly-0.0.89.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.89.dist-info/RECORD,,

{voly-0.0.86.dist-info → voly-0.0.89.dist-info}/WHEEL

@@ -1,5 +1,5 @@
 Wheel-Version: 1.0
-Generator: setuptools (76.0.0)
+Generator: setuptools (76.1.0)
 Root-Is-Purelib: true
 Tag: py3-none-any
 

voly-0.0.86.dist-info/RECORD

@@ -1,18 +0,0 @@
-voly/__init__.py,sha256=8xyDk7rFCn_MOD5hxuv5cxxKZvBVRiSIM7TgaMPpwpw,211
-voly/client.py,sha256=ABScTJhB-KXjv3ddJ6XEoSIt9DB4Z40TzH8GGalrox8,21859
-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=ycZgbPeROYVRMO61auVXCGLmKZA2NwS3vLOsQ9wqCyo,27526
-voly/core/data.py,sha256=JCPD44UDSJqh83jjapAtXVpJEHm8Hq4JC8lVhl5Zb4A,8935
-voly/core/fit.py,sha256=voWB2KAoeWf1j5PHoBif-4ZB0tF6V2qDXgkhdYT-fbc,9599
-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-0.0.86.dist-info/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.86.dist-info/METADATA,sha256=BgXv50AoaUgr8fngU3tkvuBHvdYwaoBc5O7dzBNGbxI,4092
-voly-0.0.86.dist-info/WHEEL,sha256=52BFRY2Up02UkjOa29eZOS2VxUrpPORXg1pkohGGUS8,91
-voly-0.0.86.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.86.dist-info/RECORD,,