voly 0.0.98__tar.gz → 0.0.99__tar.gz
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-0.0.98/src/voly.egg-info → voly-0.0.99}/PKG-INFO +1 -1
- {voly-0.0.98 → voly-0.0.99}/pyproject.toml +2 -2
- {voly-0.0.98 → voly-0.0.99}/src/voly/core/rnd.py +16 -16
- {voly-0.0.98 → voly-0.0.99/src/voly.egg-info}/PKG-INFO +1 -1
- {voly-0.0.98 → voly-0.0.99}/LICENSE +0 -0
- {voly-0.0.98 → voly-0.0.99}/README.md +0 -0
- {voly-0.0.98 → voly-0.0.99}/setup.cfg +0 -0
- {voly-0.0.98 → voly-0.0.99}/setup.py +0 -0
- {voly-0.0.98 → voly-0.0.99}/src/voly/__init__.py +0 -0
- {voly-0.0.98 → voly-0.0.99}/src/voly/client.py +0 -0
- {voly-0.0.98 → voly-0.0.99}/src/voly/core/__init__.py +0 -0
- {voly-0.0.98 → voly-0.0.99}/src/voly/core/charts.py +0 -0
- {voly-0.0.98 → voly-0.0.99}/src/voly/core/data.py +0 -0
- {voly-0.0.98 → voly-0.0.99}/src/voly/core/fit.py +0 -0
- {voly-0.0.98 → voly-0.0.99}/src/voly/core/interpolate.py +0 -0
- {voly-0.0.98 → voly-0.0.99}/src/voly/exceptions.py +0 -0
- {voly-0.0.98 → voly-0.0.99}/src/voly/formulas.py +0 -0
- {voly-0.0.98 → voly-0.0.99}/src/voly/models.py +0 -0
- {voly-0.0.98 → voly-0.0.99}/src/voly/utils/__init__.py +0 -0
- {voly-0.0.98 → voly-0.0.99}/src/voly/utils/logger.py +0 -0
- {voly-0.0.98 → voly-0.0.99}/src/voly.egg-info/SOURCES.txt +0 -0
- {voly-0.0.98 → voly-0.0.99}/src/voly.egg-info/dependency_links.txt +0 -0
- {voly-0.0.98 → voly-0.0.99}/src/voly.egg-info/requires.txt +0 -0
- {voly-0.0.98 → voly-0.0.99}/src/voly.egg-info/top_level.txt +0 -0
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@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
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[project]
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name = "voly"
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version = "0.0.
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version = "0.0.99"
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description = "Options & volatility research package"
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readme = "README.md"
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authors = [
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@@ -60,7 +60,7 @@ line_length = 100
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multi_line_output = 3
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[tool.mypy]
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python_version = "0.0.
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python_version = "0.0.99"
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warn_return_any = true
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warn_unused_configs = true
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disallow_untyped_defs = true
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@@ -14,12 +14,12 @@ from voly.formulas import get_domain
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# Breeden-Litzenberger Method
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@catch_exception
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def breeden(domain_params, s,
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LM = get_domain(domain_params, s,
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M = get_domain(domain_params, s,
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R = get_domain(domain_params, s,
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K = get_domain(domain_params, s,
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D = get_domain(domain_params, s,
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def breeden(domain_params, s, r, o, t, return_domain):
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LM = get_domain(domain_params, s, r, o, t, 'log_moneyness')
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M = get_domain(domain_params, s, r, o, t, 'moneyness')
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R = get_domain(domain_params, s, r, o, t, 'returns')
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K = get_domain(domain_params, s, r, o, t, 'strikes')
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D = get_domain(domain_params, s, r, o, t, 'delta')
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c = voly.bs(s, K, r, o, t, option_type='call')
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c1 = np.gradient(c, K)
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@@ -72,12 +72,12 @@ def breeden(domain_params, s, o, r, t, return_domain):
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# Rookley's Method
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@catch_exception
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def rookley(domain_params, s,
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LM = get_domain(domain_params, s,
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M = get_domain(domain_params, s,
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R = get_domain(domain_params, s,
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K = get_domain(domain_params, s,
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D = get_domain(domain_params, s,
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def rookley(domain_params, s, r, o, t, return_domain):
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LM = get_domain(domain_params, s, r, o, t, 'log_moneyness')
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M = get_domain(domain_params, s, r, o, t, 'moneyness')
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R = get_domain(domain_params, s, r, o, t, 'returns')
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K = get_domain(domain_params, s, r, o, t, 'strikes')
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D = get_domain(domain_params, s, r, o, t, 'delta')
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o1 = np.gradient(o, M)
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o2 = np.gradient(o1, M)
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@@ -111,8 +111,8 @@ def rookley(domain_params, s, o, r, t, return_domain):
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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) / (
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M ** 2)
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dd_c_M = (
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stats.norm.pdf(d1) * (dd_d1_M - d1 *
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- stats.norm.pdf(d2) / (ert * M) * (dd_d2_M - 2 / M * d_d2_M - d2 *
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stats.norm.pdf(d1) * (dd_d1_M - d1 * d_d1_M ** 2)
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- stats.norm.pdf(d2) / (ert * M) * (dd_d2_M - 2 / M * d_d2_M - d2 * d_d2_M ** 2)
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- 2 * stats.norm.cdf(d2) / (ert * M ** 3)
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)
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@@ -270,9 +270,9 @@ def get_rnd_surface(model_results: pd.DataFrame,
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o = np.sqrt(w / t)
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if method == 'rookley':
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pdf, cdf, x, moments = rookley(domain_params, s,
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pdf, cdf, x, moments = rookley(domain_params, s, r, o, t, return_domain)
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else:
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pdf, cdf, x, moments = breeden(domain_params, s,
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pdf, cdf, x, moments = breeden(domain_params, s, r, o, t, return_domain)
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pdf_surface[i] = pdf
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cdf_surface[i] = cdf
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