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Fix numpy array #21

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Fix numpy array #21

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fa74ba2
fix too many args
marcdemers Dec 2, 2024
b30af5e
fix numpy arrays not being propagated
marcdemers Dec 2, 2024
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10 changes: 5 additions & 5 deletions py_vollib_vectorized/api.py
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Original file line number Diff line number Diff line change
Expand Up @@ -135,9 +135,9 @@ def price_dataframe(df, *, flag_col=None, underlying_price_col=None, strike_col=
raise ValueError("Model must be one of: `black`, `black_scholes`, `black_scholes_merton`")

if inplace:
df["Price"] = price
df["Price"] = price.to_numpy() if not isinstance(price, np.ndarray) else price
else:
output_df["Price"] = price
output_df["Price"] = price.to_numpy() if not isinstance(price, np.ndarray) else price

if _iv_calc:
if model == "black":
Expand All @@ -164,16 +164,16 @@ def price_dataframe(df, *, flag_col=None, underlying_price_col=None, strike_col=
raise ValueError("Model must be one of: `black`, `black_scholes`, `black_scholes_merton`")

if inplace:
df["IV"] = sigma
df["IV"] = sigma.to_numpy() if not isinstance(sigma, np.ndarray) else sigma
else:
output_df["IV"] = sigma
output_df["IV"] = sigma.to_numpy() if not isinstance(sigma, np.ndarray) else sigma

if _greek_calc:
greeks = get_all_greeks(flag, S, K, t, r, sigma, q, model=model, return_as="dataframe")

for col in greeks:
if inplace:
df[col] = greeks[col]
df[col] = greeks[col].to_numpy()
else:
output_df[col] = greeks[col]

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10 changes: 5 additions & 5 deletions py_vollib_vectorized/greeks.py
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Original file line number Diff line number Diff line change
Expand Up @@ -44,7 +44,7 @@ def delta(flag, S, K, t, r, sigma, q=None, *, model="black_scholes", return_as="

if model == "black":
b = 0
delta = numerical_delta_black(flag, S, K, t, r, sigma, b)
delta = numerical_delta_black(flag, S, K, t, r, sigma)
elif model == "black_scholes":
b = r
delta = numerical_delta_black_scholes(flag, S, K, t, r, sigma, b)
Expand Down Expand Up @@ -106,7 +106,7 @@ def theta(flag, S, K, t, r, sigma, q=None, *, model="black_scholes", return_as=

if model == "black":
b = 0
theta = numerical_theta_black(flag, S, K, t, r, sigma, b)
theta = numerical_theta_black(flag, S, K, t, r, sigma)

elif model == "black_scholes":
b = r
Expand Down Expand Up @@ -167,7 +167,7 @@ def vega(flag, S, K, t, r, sigma, q=None, *, model="black_scholes", return_as="d

if model == "black":
b = 0
vega = numerical_vega_black(flag, S, K, t, r, sigma, b)
vega = numerical_vega_black(flag, S, K, t, r, sigma)

elif model == "black_scholes":
b = r
Expand Down Expand Up @@ -229,7 +229,7 @@ def rho(flag, S, K, t, r, sigma, q=None, *, model="black_scholes", return_as="da

if model == "black":
b = 0
rho = numerical_rho_black(flag, S, K, t, r, sigma, b)
rho = numerical_rho_black(flag, S, K, t, r, sigma)

elif model == "black_scholes":
b = r
Expand Down Expand Up @@ -291,7 +291,7 @@ def gamma(flag, S, K, t, r, sigma, q=None, *, model="black_scholes", return_as=
if model == "black":
b = 0
# black scholes, it calls the black_scholes function and not the black function.
gamma = numerical_gamma_black(flag, S, K, t, r, sigma, b)
gamma = numerical_gamma_black(flag, S, K, t, r, sigma)
elif model == "black_scholes":
b = r
gamma = numerical_gamma_black_scholes(flag, S, K, t, r, sigma, b)
Expand Down