voly 0.0.96__py3-none-any.whl → 0.0.98__py3-none-any.whl

voly/client.py

@@ -87,231 +87,69 @@ class VolyClient:
     # -------------------------------------------------------------------------
 
     @staticmethod
-    def svi(log_moneyness_array: float, a: float, b: float, sigma: float, rho: float, m: float) -> float:
-        return SVIModel.svi(log_moneyness_array, a, b, sigma, rho, m)
-
-    @staticmethod
-    def svi_d(log_moneyness_array: float, a: float, b: float, sigma: float, rho: float, m: float) -> float:
-        return SVIModel.svi_d(log_moneyness_array, a, b, sigma, rho, m)
-
-    @staticmethod
-    def svi_dd(log_moneyness_array: float, a: float, b: float, sigma: float, rho: float, m: float) -> float:
-        return SVIModel.svi_dd(log_moneyness_array, a, b, sigma, rho, m)
-
-    @staticmethod
-    def d1(s: float, k: float, r: float, vol: float, t: float,
+    def d1(s: float, K: float, r: float, o: float, t: float,
            option_type: str = 'call') -> float:
-        return d1(s, k, r, vol, t, option_type)
+        return d1(s, K, r, o, t, option_type)
 
     @staticmethod
-    def d2(s: float, k: float, r: float, vol: float, t: float,
+    def d2(s: float, K: float, r: float, o: float, t: float,
            option_type: str = 'call') -> float:
-        return d2(s, k, r, vol, t, option_type)
+        return d2(s, K, r, o, t, option_type)
 
     @staticmethod
-    def bs(s: float, k: float, r: float, vol: float, t: float,
+    def bs(s: float, K: float, r: float, o: float, t: float,
            option_type: str = 'call') -> float:
-        """
-        Calculate Black-Scholes option price.
-
-        Parameters:
-        - s: Underlying price
-        - k: Strike price
-        - r: Risk-free rate
-        - vol: Volatility
-        - t: Time to expiry in years
-        - option_type: 'call' or 'put'
-
-        Returns:
-        - Option price
-        """
-        return bs(s, k, r, vol, t, option_type)
+        return bs(s, K, r, o, t, option_type)
 
     @staticmethod
-    def delta(s: float, k: float, r: float, vol: float, t: float,
+    def delta(s: float, K: float, r: float, o: float, t: float,
               option_type: str = 'call') -> float:
-        """
-        Calculate option delta.
-
-        Parameters:
-        - s: Underlying price
-        - k: Strike price
-        - r: Risk-free rate
-        - vol: Volatility
-        - t: Time to expiry in years
-        - option_type: 'call' or 'put'
-
-        Returns:
-        - Delta value
-        """
-        return delta(s, k, r, vol, t, option_type)
+        return delta(s, K, r, o, t, option_type)
 
     @staticmethod
-    def gamma(s: float, k: float, r: float, vol: float, t: float,
+    def gamma(s: float, K: float, r: float, o: float, t: float,
               option_type: str = 'call') -> float:
-        """
-        Calculate option gamma.
-
-        Parameters:
-        - s: Underlying price
-        - k: Strike price
-        - r: Risk-free rate
-        - vol: Volatility
-        - t: Time to expiry in years
-
-        Returns:
-        - Gamma value
-        """
-        return gamma(s, k, r, vol, t, option_type)
+        return gamma(s, K, r, o, t, option_type)
 
     @staticmethod
-    def vega(s: float, k: float, r: float, vol: float, t: float,
+    def vega(s: float, K: float, r: float, o: float, t: float,
              option_type: str = 'call') -> float:
-        """
-        Calculate option vega.
-
-        Parameters:
-        - s: Underlying price
-        - k: Strike price
-        - r: Risk-free rate
-        - vol: Volatility
-        - t: Time to expiry in years
-
-        Returns:
-        - Vega value (for 1% change in volatility)
-        """
-        return vega(s, k, r, vol, t, option_type)
+        return vega(s, K, r, o, t, option_type)
 
     @staticmethod
-    def theta(s: float, k: float, r: float, vol: float, t: float,
+    def theta(s: float, K: float, r: float, o: float, t: float,
               option_type: str = 'call') -> float:
-        """
-        Calculate option theta.
-
-        Parameters:
-        - s: Underlying price
-        - k: Strike price
-        - r: Risk-free rate
-        - vol: Volatility
-        - t: Time to expiry in years
-        - option_type: 'call' or 'put'
-
-        Returns:
-        - Theta value (per day)
-        """
-        return theta(s, k, r, vol, t, option_type)
+        return theta(s, K, r, o, t, option_type)
 
     @staticmethod
-    def rho(s: float, k: float, r: float, vol: float, t: float,
+    def rho(s: float, K: float, r: float, o: float, t: float,
             option_type: str = 'call') -> float:
-        """
-        Calculate option rho.
-
-        Parameters:
-        - s: Underlying price
-        - k: Strike price
-        - r: Risk-free rate
-        - vol: Volatility
-        - t: Time to expiry in years
-        - option_type: 'call' or 'put'
-
-        Returns:
-        - Rho value (for 1% change in interest rate)
-        """
-        return rho(s, k, r, vol, t, option_type)
+        return rho(s, K, r, o, t, option_type)
 
     @staticmethod
-    def vanna(s: float, k: float, r: float, vol: float, t: float,
+    def vanna(s: float, K: float, r: float, o: float, t: float,
               option_type: str = 'call') -> float:
-        """
-        Calculate option vanna.
-
-        Parameters:
-        - s: Underlying price
-        - k: Strike price
-        - r: Risk-free rate
-        - vol: Volatility
-        - t: Time to expiry in years
-
-        Returns:
-        - Vanna value
-        """
-        return vanna(s, k, r, vol, t, option_type)
+        return vanna(s, K, r, o, t, option_type)
 
     @staticmethod
-    def volga(s: float, k: float, r: float, vol: float, t: float,
+    def volga(s: float, K: float, r: float, o: float, t: float,
               option_type: str = 'call') -> float:
-        """
-        Calculate option volga (vomma).
-
-        Parameters:
-        - s: Underlying price
-        - k: Strike price
-        - r: Risk-free rate
-        - vol: Volatility
-        - t: Time to expiry in years
-
-        Returns:
-        - Volga value
-        """
-        return volga(s, k, r, vol, t, option_type)
+        return volga(s, K, r, o, t, option_type)
 
     @staticmethod
-    def charm(s: float, k: float, r: float, vol: float, t: float,
+    def charm(s: float, K: float, r: float, o: float, t: float,
               option_type: str = 'call') -> float:
-        """
-        Calculate option charm (delta decay).
-
-        Parameters:
-        - s: Underlying price
-        - k: Strike price
-        - r: Risk-free rate
-        - vol: Volatility
-        - t: Time to expiry in years
-        - option_type: 'call' or 'put'
-
-        Returns:
-        - Charm value (per day)
-        """
-        return charm(s, k, r, vol, t, option_type)
+        return charm(s, K, r, o, t, option_type)
 
     @staticmethod
-    def greeks(s: float, k: float, r: float, vol: float, t: float,
+    def greeks(s: float, K: float, r: float, o: float, t: float,
                option_type: str = 'call') -> Dict[str, float]:
-        """
-        Calculate all option Greeks.
-
-        Parameters:
-        - s: Underlying price
-        - k: Strike price
-        - r: Risk-free rate
-        - vol: Volatility
-        - t: Time to expiry in years
-        - option_type: 'call' or 'put'
-
-        Returns:
-        - Dictionary with all Greeks (price, delta, gamma, vega, theta, rho, vanna, volga, charm)
-        """
-        return greeks(s, k, r, vol, t, option_type)
+        return greeks(s, K, r, o, t, option_type)
 
     @staticmethod
-    def iv(option_price: float, s: float, k: float, r: float, t: float,
+    def iv(option_price: float, s: float, K: float, r: float, t: float,
            option_type: str = 'call') -> float:
-        """
-        Calculate implied volatility.
-
-        Parameters:
-        - option_price: Market price of the option
-        - s: Underlying price
-        - k: Strike price
-        - r: Risk-free rate
-        - t: Time to expiry in years
-        - option_type: 'call' or 'put'
-
-        Returns:
-        - Implied volatility
-        """
-        return iv(option_price, s, k, r, t, option_type)
+        return iv(option_price, s, K, r, t, option_type)
 
     # -------------------------------------------------------------------------
     # Model Fitting

voly/core/fit.py

@@ -225,8 +225,8 @@ def get_iv_surface(model_results: pd.DataFrame,
             model_results.loc[i, 'rho'],
             model_results.loc[i, 'm']
         ]
-        s = model_results.loc[i, 's'],
-        r = model_results.loc[i, 'r'],
+        s = model_results.loc[i, 's']
+        r = model_results.loc[i, 'r']
         t = model_results.loc[i, 't']
 
         # Calculate implied volatility
@@ -235,7 +235,7 @@ def get_iv_surface(model_results: pd.DataFrame,
         iv_surface[i] = o
 
         # Calculate x domain for this maturity/dtm
-        x = get_domain(domain_params, s, o, r, t, return_domain)
+        x = get_domain(domain_params, s, r, o, t, return_domain)
         x_surface[i] = x
 
     return iv_surface, x_surface

{voly-0.0.96.dist-info → voly-0.0.98.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.96
+Version: 0.0.98
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.96.dist-info → voly-0.0.98.dist-info}/RECORD

@@ -1,18 +1,18 @@
 voly/__init__.py,sha256=8xyDk7rFCn_MOD5hxuv5cxxKZvBVRiSIM7TgaMPpwpw,211
-voly/client.py,sha256=M_XmGQAheVSPOBJPXVYJzm1s8ZOcBZ6keeZhb9Yu0R4,15367
+voly/client.py,sha256=kHb357sFOlJ_x17vc0UqIXeJ43SRTcNP-7pIuZ01jkI,11314
 voly/exceptions.py,sha256=PBsbn1vNMvKcCJwwJ4lBO6glD85jo1h2qiEmD7ArAjs,92
 voly/formulas.py,sha256=6yuu0-vO6TkV7p94W8d_akuC_byySs02-yhy62W8eA4,11575
 voly/models.py,sha256=Vs69QZYQ_Tt6hkaZ6Mfnq3II1dHDqQrZTzBNiaOIbwo,3516
 voly/core/__init__.py,sha256=bu6fS2I1Pj9fPPnl-zY3L7NqrZSY5Zy6NY2uMUvdhKs,183
 voly/core/charts.py,sha256=E21OZB5lTY4YL2flgaFJ6s5g3_ExtAQT2zryZZxLPyM,12735
 voly/core/data.py,sha256=pDeuYhP0GX4RbtlqByvsE3rfHcIkix0BU5MLW8sKIeI,8935
-voly/core/fit.py,sha256=VkvuFYE1e_CfdH4-zg32CNYtkhyKOEsZ3-RMWO16My0,9247
+voly/core/fit.py,sha256=Tb9eeG7e_2dQTcqt6aqEwFrZdy6jR9rSNqe6tzOdVhQ,9245
 voly/core/interpolate.py,sha256=JkK172-FXyhesW3hY4pEeuJWG3Bugq7QZXbeKoRpLuo,5305
 voly/core/rnd.py,sha256=yNkQuiiw--exiJLHa9Wd9zy5sZN5_QJ3itKmr04zg-Q,10047
 voly/utils/__init__.py,sha256=E05mWatyC-PDOsCxQV1p5Xi1IgpOomxrNURyCx_gB-w,200
 voly/utils/logger.py,sha256=4-_2bVJmq17Q0d7Rd2mPg1AeR8gxv6EPvcmBDMFWcSM,1744
-voly-0.0.96.dist-info/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.96.dist-info/METADATA,sha256=235T9rVu_SsCzwKU9dK1ZEwdBI_4-ztB5akF-A-tS7E,4092
-voly-0.0.96.dist-info/WHEEL,sha256=beeZ86-EfXScwlR_HKu4SllMC9wUEj_8Z_4FJ3egI2w,91
-voly-0.0.96.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.96.dist-info/RECORD,,
+voly-0.0.98.dist-info/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.98.dist-info/METADATA,sha256=mHlrJLV7uW3nZfFW4Q4qP8nHBOel7Immivvu68XX5BU,4092
+voly-0.0.98.dist-info/WHEEL,sha256=beeZ86-EfXScwlR_HKu4SllMC9wUEj_8Z_4FJ3egI2w,91
+voly-0.0.98.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.98.dist-info/RECORD,,