voly 0.0.98__py3-none-any.whl → 0.0.100__py3-none-any.whl

voly/core/rnd.py

@@ -10,16 +10,17 @@ from voly.utils.logger import logger, catch_exception
 from voly.exceptions import VolyError
 from voly.models import SVIModel
 from voly.formulas import get_domain
+from scipy import stats
 
 
 # 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 +73,12 @@ 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 +112,8 @@ 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 +271,9 @@ 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-0.0.98.dist-info → voly-0.0.100.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.98
+Version: 0.0.100
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.98.dist-info → voly-0.0.100.dist-info}/RECORD

@@ -8,11 +8,11 @@ voly/core/charts.py,sha256=E21OZB5lTY4YL2flgaFJ6s5g3_ExtAQT2zryZZxLPyM,12735
 voly/core/data.py,sha256=pDeuYhP0GX4RbtlqByvsE3rfHcIkix0BU5MLW8sKIeI,8935
 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=2LPVlX6ShlOrhDmk9BS-TlexgdBg5fySHZ0WGedWBWU,10067
 voly/utils/__init__.py,sha256=E05mWatyC-PDOsCxQV1p5Xi1IgpOomxrNURyCx_gB-w,200
 voly/utils/logger.py,sha256=4-_2bVJmq17Q0d7Rd2mPg1AeR8gxv6EPvcmBDMFWcSM,1744
-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,,
+voly-0.0.100.dist-info/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.100.dist-info/METADATA,sha256=PJ_b07hFVi1mAo7wjTWbx1QpTYecyLDsZwjxktLnYuA,4093
+voly-0.0.100.dist-info/WHEEL,sha256=beeZ86-EfXScwlR_HKu4SllMC9wUEj_8Z_4FJ3egI2w,91
+voly-0.0.100.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.100.dist-info/RECORD,,