voly 0.0.97__py3-none-any.whl → 0.0.99__py3-none-any.whl

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/core/rnd.py

@@ -14,12 +14,12 @@ from voly.formulas import get_domain
 
 # Breeden-Litzenberger Method
 @catch_exception
-def breeden(domain_params, s, o, r, t, return_domain):
-    LM = get_domain(domain_params, s, o, r, t, 'log_moneyness')
-    M = get_domain(domain_params, s, o, r, t, 'moneyness')
-    R = get_domain(domain_params, s, o, r, t, 'returns')
-    K = get_domain(domain_params, s, o, r, t, 'strikes')
-    D = get_domain(domain_params, s, o, r, t, 'delta')
+def breeden(domain_params, s, r, o, t, return_domain):
+    LM = get_domain(domain_params, s, r, o, t, 'log_moneyness')
+    M = get_domain(domain_params, s, r, o, t, 'moneyness')
+    R = get_domain(domain_params, s, r, o, t, 'returns')
+    K = get_domain(domain_params, s, r, o, t, 'strikes')
+    D = get_domain(domain_params, s, r, o, t, 'delta')
 
     c = voly.bs(s, K, r, o, t, option_type='call')
     c1 = np.gradient(c, K)
@@ -72,12 +72,12 @@ def breeden(domain_params, s, o, r, t, return_domain):
 
 # Rookley's Method
 @catch_exception
-def rookley(domain_params, s, o, r, t, return_domain):
-    LM = get_domain(domain_params, s, o, r, t, 'log_moneyness')
-    M = get_domain(domain_params, s, o, r, t, 'moneyness')
-    R = get_domain(domain_params, s, o, r, t, 'returns')
-    K = get_domain(domain_params, s, o, r, t, 'strikes')
-    D = get_domain(domain_params, s, o, r, t, 'delta')
+def rookley(domain_params, s, r, o, t, return_domain):
+    LM = get_domain(domain_params, s, r, o, t, 'log_moneyness')
+    M = get_domain(domain_params, s, r, o, t, 'moneyness')
+    R = get_domain(domain_params, s, r, o, t, 'returns')
+    K = get_domain(domain_params, s, r, o, t, 'strikes')
+    D = get_domain(domain_params, s, r, o, t, 'delta')
 
     o1 = np.gradient(o, M)
     o2 = np.gradient(o1, M)
@@ -111,8 +111,8 @@ def rookley(domain_params, s, o, r, t, return_domain):
     d_c_M = stats.norm.pdf(d1) * d_d1_M - 1 / ert * stats.norm.pdf(d2) / M * d_d2_M + 1 / ert * stats.norm.cdf(d2) / (
                 M ** 2)
     dd_c_M = (
-            stats.norm.pdf(d1) * (dd_d1_M - d1 * (d_d1_M) ** 2)
-            - stats.norm.pdf(d2) / (ert * M) * (dd_d2_M - 2 / M * d_d2_M - d2 * (d_d2_M) ** 2)
+            stats.norm.pdf(d1) * (dd_d1_M - d1 * d_d1_M ** 2)
+            - stats.norm.pdf(d2) / (ert * M) * (dd_d2_M - 2 / M * d_d2_M - d2 * d_d2_M ** 2)
             - 2 * stats.norm.cdf(d2) / (ert * M ** 3)
     )
 
@@ -270,9 +270,9 @@ def get_rnd_surface(model_results: pd.DataFrame,
         o = np.sqrt(w / t)
 
         if method == 'rookley':
-            pdf, cdf, x, moments = rookley(domain_params, s, o, r, t, return_domain)
+            pdf, cdf, x, moments = rookley(domain_params, s, r, o, t, return_domain)
         else:
-            pdf, cdf, x, moments = breeden(domain_params, s, o, r, t, return_domain)
+            pdf, cdf, x, moments = breeden(domain_params, s, r, o, t, return_domain)
 
         pdf_surface[i] = pdf
         cdf_surface[i] = cdf

{voly-0.0.97.dist-info → voly-0.0.99.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.97
+Version: 0.0.99
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.97.dist-info → voly-0.0.99.dist-info}/RECORD

@@ -6,13 +6,13 @@ 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/core/rnd.py,sha256=jrvsfUdM4B-Dn9RHHmrxGjicqzfjhEE5yISqM6WGET0,10043
 voly/utils/__init__.py,sha256=E05mWatyC-PDOsCxQV1p5Xi1IgpOomxrNURyCx_gB-w,200
 voly/utils/logger.py,sha256=4-_2bVJmq17Q0d7Rd2mPg1AeR8gxv6EPvcmBDMFWcSM,1744
-voly-0.0.97.dist-info/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.97.dist-info/METADATA,sha256=6IuTDv_DuHFZqsjTHbUSKv8ZEB8hW8cqqWtZNhE5ovg,4092
-voly-0.0.97.dist-info/WHEEL,sha256=beeZ86-EfXScwlR_HKu4SllMC9wUEj_8Z_4FJ3egI2w,91
-voly-0.0.97.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.97.dist-info/RECORD,,
+voly-0.0.99.dist-info/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.99.dist-info/METADATA,sha256=MjPil3DVxqPJICtzkD48JZHVRAzcGqgDQcDhmKbmAdQ,4092
+voly-0.0.99.dist-info/WHEEL,sha256=beeZ86-EfXScwlR_HKu4SllMC9wUEj_8Z_4FJ3egI2w,91
+voly-0.0.99.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.99.dist-info/RECORD,,