voly 0.0.99__py3-none-any.whl → 0.0.101__py3-none-any.whl

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Files changed (6) hide show
  1. voly/core/rnd.py +13 -12
  2. {voly-0.0.99.dist-info → voly-0.0.101.dist-info}/METADATA +1 -1
  3. {voly-0.0.99.dist-info → voly-0.0.101.dist-info}/RECORD +6 -6
  4. {voly-0.0.99.dist-info → voly-0.0.101.dist-info}/LICENSE +0 -0
  5. {voly-0.0.99.dist-info → voly-0.0.101.dist-info}/WHEEL +0 -0
  6. {voly-0.0.99.dist-info → voly-0.0.101.dist-info}/top_level.txt +0 -0
voly/core/rnd.py CHANGED
@@ -9,7 +9,8 @@ from typing import Dict, List, Tuple, Optional, Union, Any
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  from voly.utils.logger import logger, catch_exception
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  from voly.exceptions import VolyError
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  from voly.models import SVIModel
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- from voly.formulas import get_domain
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+ from voly.formulas import bs, d1, d2, get_domain
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+ from scipy import stats
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  # Breeden-Litzenberger Method
@@ -21,7 +22,7 @@ def breeden(domain_params, s, r, o, t, return_domain):
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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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+ c = bs(s, K, r, o, t, option_type='call')
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  c1 = np.gradient(c, K)
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  c2 = np.gradient(c1, K)
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@@ -35,8 +36,8 @@ def breeden(domain_params, s, r, o, t, return_domain):
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  pdf_m = pdf_k * s
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  pdf_r = pdf_lm / (1 + R)
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- n_d1 = stats.norm.pdf(voly.d1(s, K, r, o, t, option_type='call'))
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- dd_dK = n_d1 / (o * np.sqrt(t) * K)
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+ pdf_d1 = stats.norm.pdf(d1(s, K, r, o, t, option_type='call'))
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+ dd_dK = pdf_d1 / (o * np.sqrt(t) * K)
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  pdf_d = pdf_k / dd_dK
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  cdf = np.cumsum(pdf_lm) * dx
@@ -86,8 +87,8 @@ def rookley(domain_params, s, r, o, t, return_domain):
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  rt = r * t
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  ert = np.exp(rt)
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- d1 = (np.log(M) + (r + 1 / 2 * o ** 2) * t) / (o * st)
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- d2 = d1 - o * st
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+ n_d1 = (np.log(M) + (r + 1 / 2 * o ** 2) * t) / (o * st)
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+ n_d2 = n_d1 - o * st
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  del_d1_M = 1 / (M * o * st)
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  del_d2_M = del_d1_M
@@ -108,12 +109,12 @@ def rookley(domain_params, s, r, o, t, return_domain):
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  + o1 * (2 * o1 * (np.log(M) + rt) / (o ** 3 * st) - 1 / (M * o ** 2 * st))
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  )
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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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+ d_c_M = stats.norm.pdf(n_d1) * d_d1_M - 1 / ert * stats.norm.pdf(n_d2) / M * d_d2_M + 1 / ert * stats.norm.cdf(n_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 * 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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+ stats.norm.pdf(n_d1) * (dd_d1_M - n_d1 * d_d1_M ** 2)
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+ - stats.norm.pdf(n_d2) / (ert * M) * (dd_d2_M - 2 / M * d_d2_M - n_d2 * d_d2_M ** 2)
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+ - 2 * stats.norm.cdf(n_d2) / (ert * M ** 3)
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  )
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  dd_c_K = dd_c_M * (M / K) ** 2 + 2 * d_c_M * (M / K ** 2)
@@ -128,8 +129,8 @@ def rookley(domain_params, s, r, o, t, return_domain):
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  pdf_m = pdf_k * s
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  pdf_r = pdf_lm / (1 + R)
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- n_d1 = stats.norm.pdf(voly.d1(s, K, r, o, t, option_type='call'))
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- dd_dK = n_d1 / (o * np.sqrt(t) * K)
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+ pdf_d1 = stats.norm.pdf(d1(s, K, r, o, t, option_type='call'))
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+ dd_dK = pdf_d1 / (o * np.sqrt(t) * K)
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  pdf_d = pdf_k / dd_dK
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  cdf = np.cumsum(pdf_lm) * dx
{voly-0.0.99.dist-info → voly-0.0.101.dist-info}/METADATA RENAMED
@@ -1,6 +1,6 @@
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  Metadata-Version: 2.2
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  Name: voly
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- Version: 0.0.99
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+ Version: 0.0.101
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  Summary: Options & volatility research package
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  Author-email: Manu de Cara <manu.de.cara@gmail.com>
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  License: MIT
{voly-0.0.99.dist-info → voly-0.0.101.dist-info}/RECORD RENAMED
@@ -8,11 +8,11 @@ voly/core/charts.py,sha256=E21OZB5lTY4YL2flgaFJ6s5g3_ExtAQT2zryZZxLPyM,12735
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  voly/core/data.py,sha256=pDeuYhP0GX4RbtlqByvsE3rfHcIkix0BU5MLW8sKIeI,8935
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  voly/core/fit.py,sha256=Tb9eeG7e_2dQTcqt6aqEwFrZdy6jR9rSNqe6tzOdVhQ,9245
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  voly/core/interpolate.py,sha256=JkK172-FXyhesW3hY4pEeuJWG3Bugq7QZXbeKoRpLuo,5305
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- voly/core/rnd.py,sha256=jrvsfUdM4B-Dn9RHHmrxGjicqzfjhEE5yISqM6WGET0,10043
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+ voly/core/rnd.py,sha256=VKM8ojLBziB9nxOEsKO5z_9Z1BSOVNxg0OQPx-Sp80I,10094
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  voly/utils/__init__.py,sha256=E05mWatyC-PDOsCxQV1p5Xi1IgpOomxrNURyCx_gB-w,200
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  voly/utils/logger.py,sha256=4-_2bVJmq17Q0d7Rd2mPg1AeR8gxv6EPvcmBDMFWcSM,1744
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- voly-0.0.99.dist-info/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
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- voly-0.0.99.dist-info/METADATA,sha256=MjPil3DVxqPJICtzkD48JZHVRAzcGqgDQcDhmKbmAdQ,4092
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- voly-0.0.99.dist-info/WHEEL,sha256=beeZ86-EfXScwlR_HKu4SllMC9wUEj_8Z_4FJ3egI2w,91
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- voly-0.0.99.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
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- voly-0.0.99.dist-info/RECORD,,
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+ voly-0.0.101.dist-info/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
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+ voly-0.0.101.dist-info/METADATA,sha256=qd0vAWOTSpC5uApD_edSl8JKILnAKVSJ7mMSE7q3kls,4093
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+ voly-0.0.101.dist-info/WHEEL,sha256=beeZ86-EfXScwlR_HKu4SllMC9wUEj_8Z_4FJ3egI2w,91
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+ voly-0.0.101.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
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+ voly-0.0.101.dist-info/RECORD,,
{voly-0.0.99.dist-info → voly-0.0.101.dist-info}/WHEEL RENAMED
File without changes