voly 0.0.87__tar.gz → 0.0.90__tar.gz

{voly-0.0.87/src/voly.egg-info → voly-0.0.90}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.87
+Version: 0.0.90
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.87 → voly-0.0.90}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.87"
+version = "0.0.90"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.87"
+python_version = "0.0.90"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.87 → voly-0.0.90}/src/voly/client.py

@@ -19,12 +19,11 @@ from voly.formulas import (
 )
 from voly.core.data import fetch_option_chain, process_option_chain
 from voly.core.fit import fit_model, get_iv_surface
-from voly.core.rnd import get_rnd_surface, calculate_pdf, calculate_cdf, calculate_strike_probability
+from voly.core.rnd import get_rnd_surface
 from voly.core.interpolate import interpolate_model
 from voly.core.charts import (
     plot_all_smiles, plot_raw_parameters, plot_jw_parameters, plot_fit_performance, plot_3d_surface,
-    plot_fit_performance, plot_rnd, plot_pdf, plot_cdf, plot_rnd_all_expiries,
-    plot_rnd_3d, plot_rnd_statistics, plot_interpolated_surface
+    plot_fit_performance
 )
 
 

{voly-0.0.87 → voly-0.0.90}/src/voly/core/fit.py

@@ -11,7 +11,7 @@ from typing import List, Tuple, Dict, Optional, Union, Any
 from scipy.optimize import least_squares
 from sklearn.metrics import mean_squared_error, mean_absolute_error, r2_score
 from voly.utils.logger import logger, catch_exception
-from voly.formulas import get_x_domain
+from voly.formulas import get_domain
 from voly.exceptions import VolyError
 from voly.models import SVIModel
 import warnings

{voly-0.0.87 → voly-0.0.90}/src/voly/core/rnd.py

@@ -9,7 +9,7 @@ from typing import Dict, List, Tuple, Optional, Union, Any
 from voly.utils.logger import logger, catch_exception
 from voly.exceptions import VolyError
 from voly.models import SVIModel
-from voly.formulas import get_all_domains
+from voly.formulas import get_domain
 
 
 # Breeden-Litzenberger Method

{voly-0.0.87 → voly-0.0.90}/src/voly/models.py

@@ -5,10 +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
-
 class SVIModel:
     """
     Stochastic Volatility Inspired (SVI) model.

{voly-0.0.87 → voly-0.0.90/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.87
+Version: 0.0.90
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.87 → voly-0.0.90}/src/voly.egg-info/SOURCES.txt

@@ -19,5 +19,4 @@ src/voly/core/fit.py
 src/voly/core/interpolate.py
 src/voly/core/rnd.py
 src/voly/utils/__init__.py
-src/voly/utils/logger.py
-tests/test_client.py
+src/voly/utils/logger.py

voly-0.0.87/tests/test_client.py

@@ -1,244 +0,0 @@
-"""
-Comprehensive tests for the VolyClient class with detailed output.
-This file demonstrates expected values and provides informative output.
-"""
-
-import unittest
-import numpy as np
-from voly import VolyClient
-import sys
-
-
-class VolyClientTestCase(unittest.TestCase):
-    """
-    Test cases for the VolyClient class with expected values and detailed output.
-    """
-
-    def setUp(self):
-        """Set up test fixtures."""
-        self.voly = VolyClient()
-        # Add a divider line before each test for clearer output
-        print("\n" + "=" * 80)
-
-    def test_bs_pricing_with_expected_values(self):
-        """Test Black-Scholes pricing with expected values."""
-        print("\nTEST: Black-Scholes Pricing")
-
-        # Test parameters
-        s = 100.0
-        k = 100.0
-        r = 0.05
-        vol = 0.2
-        t = 1.0
-
-        # Expected values (pre-calculated)
-        expected_call = 10.45
-        expected_put = 5.57
-
-        # Calculate actual values
-        actual_call = self.voly.bs(s=s, k=k, r=r, vol=vol, t=t, option_type='call')
-        actual_put = self.voly.bs(s=s, k=k, r=r, vol=vol, t=t, option_type='put')
-
-        # Print actual vs expected
-        print(f"Parameters: S={s}, K={k}, r={r}, vol={vol}, t={t}")
-        print(
-            f"Call Price: Actual={actual_call:.4f}, Expected={expected_call:.4f}, Diff={abs(actual_call - expected_call):.6f}")
-        print(
-            f"Put Price: Actual={actual_put:.4f}, Expected={expected_put:.4f}, Diff={abs(actual_put - expected_put):.6f}")
-
-        # Check put-call parity
-        pcp_diff = actual_call - actual_put - s + k * np.exp(-r * t)
-        print(f"Put-Call Parity Check: {pcp_diff:.8f} (should be close to 0)")
-
-        # Assertions with tolerance
-        self.assertAlmostEqual(actual_call, expected_call, delta=0.01,
-                               msg=f"Call price {actual_call:.4f} doesn't match expected {expected_call:.4f}")
-        self.assertAlmostEqual(actual_put, expected_put, delta=0.01,
-                               msg=f"Put price {actual_put:.4f} doesn't match expected {expected_put:.4f}")
-        self.assertAlmostEqual(pcp_diff, 0, delta=1e-10,
-                               msg="Put-call parity violated")
-
-    def test_delta_values_across_moneyness(self):
-        """Test delta values across different moneyness levels."""
-        print("\nTEST: Delta Values Across Moneyness")
-
-        # Test parameters
-        s = 100.0
-        r = 0.05
-        vol = 0.2
-        t = 1.0
-
-        # Define test cases: strike, expected call delta, expected put delta
-        test_cases = [
-            (50.0, 0.9999, -0.0001),  # Deep ITM call / Deep OTM put
-            (75.0, 0.9631, -0.0369),  # ITM call / OTM put
-            (100.0, 0.6368, -0.3632),  # ATM
-            (125.0, 0.2219, -0.7781),  # OTM call / ITM put
-            (150.0, 0.0467, -0.9533)  # Deep OTM call / Deep ITM put
-        ]
-
-        print(f"Parameters: S={s}, r={r}, vol={vol}, t={t}")
-        print("\nDelta Values:")
-        print(f"{'Strike':<10} {'Call Delta':<15} {'Expected':<15} {'Put Delta':<15} {'Expected':<15}")
-        print("-" * 70)
-
-        for strike, exp_call_delta, exp_put_delta in test_cases:
-            call_delta = self.voly.delta(s=s, k=strike, r=r, vol=vol, t=t, option_type='call')
-            put_delta = self.voly.delta(s=s, k=strike, r=r, vol=vol, t=t, option_type='put')
-
-            print(f"{strike:<10.1f} {call_delta:<15.4f} {exp_call_delta:<15.4f} "
-                  f"{put_delta:<15.4f} {exp_put_delta:<15.4f}")
-
-            # Check deltas are within expected range
-            self.assertAlmostEqual(call_delta, exp_call_delta, delta=0.01,
-                                   msg=f"Call delta for K={strike} incorrect")
-            self.assertAlmostEqual(put_delta, exp_put_delta, delta=0.01,
-                                   msg=f"Put delta for K={strike} incorrect")
-
-            # Check put-call delta relationship: call_delta - put_delta = 1
-            self.assertAlmostEqual(call_delta - put_delta, 1.0, delta=1e-10,
-                                   msg="Delta relationship violated")
-
-    def test_all_greeks_values(self):
-        """Test all Greeks calculation with expected values."""
-        print("\nTEST: All Greeks Values")
-
-        # Test parameters
-        s = 100.0
-        k = 100.0
-        r = 0.05
-        vol = 0.2
-        t = 1.0
-
-        # Calculate all Greeks for a call
-        call_greeks = self.voly.greeks(s=s, k=k, r=r, vol=vol, t=t, option_type='call')
-
-        # Expected values (calculated using standard Black-Scholes formulas)
-        expected_greeks = {
-            'price': 10.45,
-            'delta': 0.637,
-            'gamma': 0.019,
-            'vega': 0.375,
-            'theta': -0.018,
-            'rho': 0.52,
-        }
-
-        print(f"Parameters: S={s}, K={k}, r={r}, vol={vol}, t={t}")
-        print("\nCall Option Greeks:")
-        print(f"{'Greek':<10} {'Actual':<15} {'Expected':<15} {'Diff':<15}")
-        print("-" * 55)
-
-        for greek, expected in expected_greeks.items():
-            actual = call_greeks[greek]
-            print(f"{greek.capitalize():<10} {actual:<15.6f} {expected:<15.6f} {abs(actual - expected):<15.6f}")
-
-            # Assert with appropriate tolerance
-            self.assertAlmostEqual(actual, expected, delta=max(0.01, expected * 0.05),
-                                   msg=f"{greek.capitalize()} value incorrect")
-
-        # Additional checks for other Greeks
-        print("\nAdditional Greeks:")
-        for greek in ['vanna', 'volga', 'charm']:
-            if greek in call_greeks:
-                print(f"{greek.capitalize():<10} {call_greeks[greek]:<15.6f}")
-
-        # Check basic relationships
-        # Gamma should be positive for both calls and puts
-        self.assertGreater(call_greeks['gamma'], 0, "Gamma should be positive")
-
-        # Vega should be positive for both calls and puts
-        self.assertGreater(call_greeks['vega'], 0, "Vega should be positive")
-
-        # Theta is typically negative for calls and puts (time decay)
-        self.assertLess(call_greeks['theta'], 0, "Theta should be negative for calls")
-
-    def test_implied_volatility_calculation(self):
-        """Test implied volatility calculation with known prices."""
-        print("\nTEST: Implied Volatility Calculation")
-
-        # Define test cases
-        test_cases = [
-            # S, K, r, vol, t
-            (100.0, 100.0, 0.05, 0.2, 1.0),  # ATM
-            (100.0, 90.0, 0.05, 0.25, 0.5),  # ITM
-            (100.0, 110.0, 0.05, 0.3, 0.25)  # OTM
-        ]
-
-        print(f"{'S':<8} {'K':<8} {'r':<8} {'t':<8} {'Input Vol':<12} {'Option Price':<15} "
-              f"{'Implied Vol':<15} {'Diff':<10}")
-        print("-" * 90)
-
-        for s, k, r, vol, t in test_cases:
-            # Calculate option price with known volatility
-            call_price = self.voly.bs(s=s, k=k, r=r, vol=vol, t=t, option_type='call')
-
-            # Calculate implied volatility from the price
-            try:
-                implied_vol = self.voly.iv(option_price=call_price, s=s, k=k, r=r, t=t, option_type='call')
-                vol_diff = abs(vol - implied_vol)
-                print(f"{s:<8.1f} {k:<8.1f} {r:<8.3f} {t:<8.2f} {vol:<12.4f} {call_price:<15.6f} "
-                      f"{implied_vol:<15.6f} {vol_diff:<10.6f}")
-
-                # Assert implied vol matches input vol
-                self.assertAlmostEqual(vol, implied_vol, delta=0.0001,
-                                       msg=f"Implied volatility {implied_vol:.6f} doesn't match input {vol:.6f}")
-            except Exception as e:
-                print(f"{s:<8.1f} {k:<8.1f} {r:<8.3f} {t:<8.2f} {vol:<12.4f} {call_price:<15.6f} "
-                      f"ERROR: {str(e)}")
-                self.fail(f"Implied volatility calculation failed: {str(e)}")
-
-    def test_bs_pricing_extreme_cases(self):
-        """Test Black-Scholes pricing under extreme conditions."""
-        print("\nTEST: Black-Scholes Pricing - Extreme Cases")
-
-        # Test zero volatility
-        zero_vol_call = self.voly.bs(s=100, k=90, r=0.05, vol=0, t=1, option_type='call')
-        zero_vol_put = self.voly.bs(s=100, k=110, r=0.05, vol=0, t=1, option_type='put')
-
-        print("Zero Volatility:")
-        print(f"Call (S=100, K=90): {zero_vol_call:.4f} (should equal intrinsic value 10)")
-        print(f"Put (S=100, K=110): {zero_vol_put:.4f} (should equal intrinsic value 10)")
-
-        self.assertAlmostEqual(zero_vol_call, 10.0, delta=0.01,
-                               msg="Zero vol ITM call should equal intrinsic value")
-        self.assertAlmostEqual(zero_vol_put, 10.0, delta=0.01,
-                               msg="Zero vol ITM put should equal intrinsic value")
-
-        # Test zero time to expiry
-        zero_time_call = self.voly.bs(s=100, k=90, r=0.05, vol=0.2, t=0, option_type='call')
-        zero_time_put = self.voly.bs(s=100, k=110, r=0.05, vol=0.2, t=0, option_type='put')
-
-        print("\nZero Time to Expiry:")
-        print(f"Call (S=100, K=90): {zero_time_call:.4f} (should equal intrinsic value 10)")
-        print(f"Put (S=100, K=110): {zero_time_put:.4f} (should equal intrinsic value 10)")
-
-        self.assertAlmostEqual(zero_time_call, 10.0, delta=0.01,
-                               msg="Zero time ITM call should equal intrinsic value")
-        self.assertAlmostEqual(zero_time_put, 10.0, delta=0.01,
-                               msg="Zero time ITM put should equal intrinsic value")
-
-        # Test deep ITM and OTM
-        deep_itm_call = self.voly.bs(s=100, k=50, r=0.05, vol=0.2, t=1, option_type='call')
-        deep_otm_call = self.voly.bs(s=100, k=200, r=0.05, vol=0.2, t=1, option_type='call')
-
-        print("\nDeep ITM/OTM:")
-        print(f"Deep ITM Call (S=100, K=50): {deep_itm_call:.4f}")
-        print(f"Deep OTM Call (S=100, K=200): {deep_otm_call:.4f}")
-
-        self.assertGreater(deep_itm_call, 50.0,
-                           msg="Deep ITM call should be greater than intrinsic value")
-        self.assertGreater(deep_otm_call, 0.0,
-                           msg="Deep OTM call should have positive value")
-        self.assertLess(deep_otm_call, 5.0,
-                        msg="Deep OTM call should have small value")
-
-
-if __name__ == '__main__':
-    # More detailed output
-    print("\nVOLY CLIENT DETAILED TEST SUITE")
-    print("=" * 80)
-    print(f"Testing against expected values for options pricing and Greeks")
-    print("-" * 80)
-
-    # Run tests with more verbose output
-    unittest.main(verbosity=2)