voly 0.0.99__tar.gz → 0.0.101__tar.gz

{voly-0.0.99/src/voly.egg-info → voly-0.0.101}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.99
+Version: 0.0.101
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.99 → voly-0.0.101}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.99"
+version = "0.0.101"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.99"
+python_version = "0.0.101"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.99 → voly-0.0.101}/src/voly/core/rnd.py

@@ -9,7 +9,8 @@ from typing import Dict, List, Tuple, Optional, Union, Any
 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 voly.formulas import bs, d1, d2, get_domain
+from scipy import stats
 
 
 # Breeden-Litzenberger Method
@@ -21,7 +22,7 @@ def breeden(domain_params, s, r, o, t, return_domain):
     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')
+    c = bs(s, K, r, o, t, option_type='call')
     c1 = np.gradient(c, K)
     c2 = np.gradient(c1, K)
 
@@ -35,8 +36,8 @@ def breeden(domain_params, s, r, o, t, return_domain):
     pdf_m = pdf_k * s
     pdf_r = pdf_lm / (1 + R)
 
-    n_d1 = stats.norm.pdf(voly.d1(s, K, r, o, t, option_type='call'))
-    dd_dK = n_d1 / (o * np.sqrt(t) * K)
+    pdf_d1 = stats.norm.pdf(d1(s, K, r, o, t, option_type='call'))
+    dd_dK = pdf_d1 / (o * np.sqrt(t) * K)
     pdf_d = pdf_k / dd_dK
 
     cdf = np.cumsum(pdf_lm) * dx
@@ -86,8 +87,8 @@ def rookley(domain_params, s, r, o, t, return_domain):
     rt = r * t
     ert = np.exp(rt)
 
-    d1 = (np.log(M) + (r + 1 / 2 * o ** 2) * t) / (o * st)
-    d2 = d1 - o * st
+    n_d1 = (np.log(M) + (r + 1 / 2 * o ** 2) * t) / (o * st)
+    n_d2 = n_d1 - o * st
 
     del_d1_M = 1 / (M * o * st)
     del_d2_M = del_d1_M
@@ -108,12 +109,12 @@ def rookley(domain_params, s, r, o, t, return_domain):
             + o1 * (2 * o1 * (np.log(M) + rt) / (o ** 3 * st) - 1 / (M * o ** 2 * st))
     )
 
-    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) / (
+    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) / (
                 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)
-            - 2 * stats.norm.cdf(d2) / (ert * M ** 3)
+            stats.norm.pdf(n_d1) * (dd_d1_M - n_d1 * d_d1_M ** 2)
+            - stats.norm.pdf(n_d2) / (ert * M) * (dd_d2_M - 2 / M * d_d2_M - n_d2 * d_d2_M ** 2)
+            - 2 * stats.norm.cdf(n_d2) / (ert * M ** 3)
     )
 
     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):
     pdf_m = pdf_k * s
     pdf_r = pdf_lm / (1 + R)
 
-    n_d1 = stats.norm.pdf(voly.d1(s, K, r, o, t, option_type='call'))
-    dd_dK = n_d1 / (o * np.sqrt(t) * K)
+    pdf_d1 = stats.norm.pdf(d1(s, K, r, o, t, option_type='call'))
+    dd_dK = pdf_d1 / (o * np.sqrt(t) * K)
     pdf_d = pdf_k / dd_dK
 
     cdf = np.cumsum(pdf_lm) * dx

{voly-0.0.99 → voly-0.0.101/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: voly
-Version: 0.0.99
+Version: 0.0.101
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT