Add maturity to options dataframe (#31)

Author: lsbardel

.vscode/launch.json

@@ -14,7 +14,7 @@
             "args": [
                 "-x",
                 "-vvv",
-                "quantflow_tests/test_jump_diffusion.py",
+                "quantflow_tests/test_vault.py",
             ]
         },
     ]

poetry.lock

@@ -1,6 +1,6 @@
 [project]
 name = "quantflow"
-version = "0.4.1"
+version = "0.4.2"
 description = "quantitative analysis"
 authors = [{ name = "Luca Sbardella", email = "[email protected]" }]
 license = "BSD-3-Clause"
@@ -49,7 +49,7 @@ optional = true
 [tool.poetry.group.book.dependencies]
 jupyter-book = "^1.0.0"
 jupytext = "^1.13.8"
-plotly = "^5.20.0"
+plotly = "^6.2.0"
 jupyterlab = "^4.0.2"
 sympy = "^1.12"
 ipywidgets = "^8.0.7"

pyproject.toml

@@ -196,7 +196,7 @@ def plot(
                 max_moneyness_ttm=max_moneyness_ttm, support=support
             )
         return plot.plot_vol_surface(
-            pd.DataFrame([d._asdict() for d in options]),
+            pd.DataFrame([d.info_dict() for d in options]),
             model=model.df,
             **kwargs,
         )

quantflow/options/calibration.py

@@ -260,10 +260,11 @@ def calculate_price(self) -> OptionPrice:
         )
         return self
 
-    def _asdict(self) -> dict[str, Any]:
+    def info_dict(self) -> dict[str, Any]:
         return dict(
             strike=float(self.strike),
             forward=float(self.forward),
+            maturity=self.maturity,
             moneyness=self.moneyness,
             moneyness_ttm=self.moneyness / np.sqrt(self.ttm),
             ttm=self.ttm,
@@ -595,7 +596,7 @@ def options_df(
             initial_vol=initial_vol,
             converged=converged,
         )
-        return pd.DataFrame([d._asdict() for d in data])
+        return pd.DataFrame([d.info_dict() for d in data])
 
     def as_array(
         self,

quantflow/options/surface.py

@@ -0,0 +1,34 @@
+import tempfile
+from pathlib import Path
+
+import pytest
+
+from quantflow.data.vault import Vault
+
+
+@pytest.fixture
+def vault():
+    with tempfile.TemporaryDirectory() as temp_dir:
+        yield Vault(Path(temp_dir) / "test_vault")
+
+
+def test_vault(vault: Vault) -> None:
+    assert vault.path
+    assert not vault.data
+    vault.add("hello", "world")
+    assert vault.data
+    assert vault.get("hello") == "world"
+
+    v2 = Vault(vault.path)
+    assert v2.path == vault.path
+    assert v2.data == vault.data
+    assert v2.get("hello") == "world"
+
+    assert vault.keys() == ["hello"]
+
+    vault.add("foo", "bar")
+    assert vault.keys() == ["foo", "hello"]
+    assert vault.delete("foo")
+    assert vault.keys() == ["hello"]
+    assert not vault.delete("foo")
+    assert vault.keys() == ["hello"]