v0.8.0
Volatility-surface calibration overhaul. This release adds a two-factor BNS
model, a double-Heston model (with optional jumps), Lewis and COS pricing
methods, and reworks the calibration package layout. Several module renames
and signature changes were made along the way: see Breaking changes below.
Breaking changes
Module renames.
quantflow.sp.weineris nowquantflow.sp.wiener(typo fix). Update
imports.quantflow.options.calibrationis now a package, not a single module.
Top-level imports keep working through the package__init__.py
re-exports. Code reaching into the oldquantflow.options.heston_calibration
must switch toquantflow.options.calibration.heston.
ModelOptionPrice field rename. (#47)
ModelOptionPrice.moneynesspreviously meantlog(K/F). It now means
standardised moneynesslog(K/F) / sqrt(ttm), and the raw log-strike is
exposed as a new fieldlog_strike. Code readingoption.moneynessand
expecting a log-strike must switch tooption.log_strike.get_intrinsic_value(moneyness=...)argument renamed tolog_strike=....
New features
BNS2: two-factor Barndorff-Nielsen & Shephard stochastic-volatility
model with a single Brownian motion driving a convex combination of
independent Gamma-OU variances and per-factor leverage. New section in the
BNS calibration tutorial. (#54)DoubleHestonandDoubleHestonJ: two-factor Heston (with optional
log-price jumps) and matchingDoubleHestonCalibration/
DoubleHestonJCalibration. (#46)- Lewis and COS option-pricing methods: selectable via
OptionPricingMethod, alongside the existing Carr-Madan / FFT path. (#47) - CIR tutorial with PDF comparison example. (#49)
Improvements and fixes
- Heston calibration convergence fixes. (#45, #49)
- BNS calibration: dedicated
BNSCalibrationclass extracted, characteristic
exponent derivation cleaned up, broader test coverage. (#50, #51) - OU module reworked: clearer Gamma-OU API, stronger tests for moments and
the integrated Laplace transform. (#51) pricing_method_comparisonexample simplified; redundant time-comparison
code removed. (#48)
Documentation and assets
- New logo set (favicon, lockup, marks, social banners) under
docs/assets/logos/. (#53) - New
docs/mcp.mdpage covering the MCP server. - Bibliography rebuilt from BibTeX via
docs/bib2md.py; glossary expanded;
mathjax tweaks for inline rendering. (#47, #49) - Tutorial-writing instructions added at
.github/instructions/tutorial.instructions.md.