voly 0.0.97__tar.gz → 0.0.99__tar.gz

{voly-0.0.97/src/voly.egg-info → voly-0.0.99}/PKG-INFO

@@ -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 → voly-0.0.99}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.97"
+version = "0.0.99"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.97"
+python_version = "0.0.99"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.97 → voly-0.0.99}/src/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-0.0.97 → voly-0.0.99}/src/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 → voly-0.0.99/src/voly.egg-info}/PKG-INFO

@@ -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