voly 0.0.91__py3-none-any.whl → 0.0.93__py3-none-any.whl
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- voly/core/data.py +2 -0
- voly/formulas.py +1 -1
- {voly-0.0.91.dist-info → voly-0.0.93.dist-info}/METADATA +1 -1
- {voly-0.0.91.dist-info → voly-0.0.93.dist-info}/RECORD +7 -7
- {voly-0.0.91.dist-info → voly-0.0.93.dist-info}/LICENSE +0 -0
- {voly-0.0.91.dist-info → voly-0.0.93.dist-info}/WHEEL +0 -0
- {voly-0.0.91.dist-info → voly-0.0.93.dist-info}/top_level.txt +0 -0
voly/core/data.py
CHANGED
|
@@ -224,6 +224,8 @@ def process_option_chain(df: pd.DataFrame, currency: str) -> pd.DataFrame:
|
|
|
224
224
|
df['log_moneyness'] = np.log(df['index_price'] / df['strikes'])
|
|
225
225
|
# Calculate moneyness
|
|
226
226
|
df['moneyness'] = np.exp(df['log_moneyness'])
|
|
227
|
+
# Calculate returns
|
|
228
|
+
df['returns'] = df['moneyness'] - 1
|
|
227
229
|
|
|
228
230
|
logger.info(f"Processing complete!")
|
|
229
231
|
|
voly/formulas.py
CHANGED
|
@@ -343,7 +343,7 @@ def get_domain(domain_params: Tuple[float, float, int] = (-1.5, 1.5, 1000),
|
|
|
343
343
|
|
|
344
344
|
if len(o) != len(LM):
|
|
345
345
|
raise ValueError(
|
|
346
|
-
f"'o' must have the same length as the log-moneyness array ({len(
|
|
346
|
+
f"'o' must have the same length as the log-moneyness array ({len(LM)}).")
|
|
347
347
|
|
|
348
348
|
# Compute strikes
|
|
349
349
|
K = s / np.exp(LM)
|
|
@@ -1,18 +1,18 @@
|
|
|
1
1
|
voly/__init__.py,sha256=8xyDk7rFCn_MOD5hxuv5cxxKZvBVRiSIM7TgaMPpwpw,211
|
|
2
2
|
voly/client.py,sha256=M_XmGQAheVSPOBJPXVYJzm1s8ZOcBZ6keeZhb9Yu0R4,15367
|
|
3
3
|
voly/exceptions.py,sha256=PBsbn1vNMvKcCJwwJ4lBO6glD85jo1h2qiEmD7ArAjs,92
|
|
4
|
-
voly/formulas.py,sha256=
|
|
4
|
+
voly/formulas.py,sha256=yVPBl6oKBeISxtVJ1eB7wT1VIVEtQoPIJU7dYRTBhGk,11688
|
|
5
5
|
voly/models.py,sha256=Vs69QZYQ_Tt6hkaZ6Mfnq3II1dHDqQrZTzBNiaOIbwo,3516
|
|
6
6
|
voly/core/__init__.py,sha256=bu6fS2I1Pj9fPPnl-zY3L7NqrZSY5Zy6NY2uMUvdhKs,183
|
|
7
7
|
voly/core/charts.py,sha256=E21OZB5lTY4YL2flgaFJ6s5g3_ExtAQT2zryZZxLPyM,12735
|
|
8
|
-
voly/core/data.py,sha256=
|
|
8
|
+
voly/core/data.py,sha256=pDeuYhP0GX4RbtlqByvsE3rfHcIkix0BU5MLW8sKIeI,8935
|
|
9
9
|
voly/core/fit.py,sha256=VkvuFYE1e_CfdH4-zg32CNYtkhyKOEsZ3-RMWO16My0,9247
|
|
10
10
|
voly/core/interpolate.py,sha256=JkK172-FXyhesW3hY4pEeuJWG3Bugq7QZXbeKoRpLuo,5305
|
|
11
11
|
voly/core/rnd.py,sha256=yNkQuiiw--exiJLHa9Wd9zy5sZN5_QJ3itKmr04zg-Q,10047
|
|
12
12
|
voly/utils/__init__.py,sha256=E05mWatyC-PDOsCxQV1p5Xi1IgpOomxrNURyCx_gB-w,200
|
|
13
13
|
voly/utils/logger.py,sha256=4-_2bVJmq17Q0d7Rd2mPg1AeR8gxv6EPvcmBDMFWcSM,1744
|
|
14
|
-
voly-0.0.
|
|
15
|
-
voly-0.0.
|
|
16
|
-
voly-0.0.
|
|
17
|
-
voly-0.0.
|
|
18
|
-
voly-0.0.
|
|
14
|
+
voly-0.0.93.dist-info/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
|
|
15
|
+
voly-0.0.93.dist-info/METADATA,sha256=rYUf-nkXRXSEGId6_tCs1yZ4MFUssngjjTga_xAsKmU,4092
|
|
16
|
+
voly-0.0.93.dist-info/WHEEL,sha256=beeZ86-EfXScwlR_HKu4SllMC9wUEj_8Z_4FJ3egI2w,91
|
|
17
|
+
voly-0.0.93.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
|
|
18
|
+
voly-0.0.93.dist-info/RECORD,,
|
|
File without changes
|
|
File without changes
|
|
File without changes
|