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Releases: quants-net/PyFENG

v0.5.0

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@jaehyukchoi jaehyukchoi released this 26 May 00:23
c3e1681

What's changed

  • Use mathpf Mills-ratio kernels. Replace the in-house MathFuncs.mills_ratio (scipy erfcx wrapper) with the compiled mathpf kernels (millsratio / millsratio_d1 / millsratio_d3), called directly in bsm.py, norm.py, and sabr_int.py. Adds mathpf>=0.4.1 as a dependency.
  • Bsm.price_std: m0 = logk/sigma parameterization, sign -> theta, and a cancellation-free R'''-seeded Taylor expansion for the small-sigma branch.
  • Norm.price_vega_std -> Norm.price_std(type=-1/0/1) using millsratio_d1(m0).
  • Consistency renames in Bsm: vega2 -> vega_d2, d2_var -> var_d2, d3_var -> var_d3 (callers in garch.py/heston.py updated).
  • Bump requires-python to >=3.10.

Full Changelog: v0.4.1...v0.5.0

Various Improvement

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@jaehyukchoi jaehyukchoi released this 21 May 18:17
a45f521
Merge pull request #231 from PyFE/broadcast

Refactor numerical params: configure() API, per-instance RNG, BsmNdMc cleanup

Various code tightup

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@jaehyukchoi jaehyukchoi released this 11 May 17:31
afa0b17
Merge pull request #221 from PyFE/basket

Various changes / Clean up

heston model propereties added

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@jaehyukchoi jaehyukchoi released this 07 May 18:38
efc85d3
Merge pull request #205 from PyFE/opt_abs

All changes so far

Model class refactoring

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@jaehyukchoi jaehyukchoi released this 06 May 12:01
2f504cf

Defined xxxParams class for each model type and used them for defining models.

Ousv Benchmark Data update

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@jaehyukchoi jaehyukchoi released this 05 May 04:13
449618a
Merge pull request #200 from PyFE/ousv

Update ousv_benchmark.xlsx

Class name change

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@jaehyukchoi jaehyukchoi released this 27 Apr 17:09
de65aa1

New release for OUSV.

v0.3.2: Update pyproject.toml

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@jaehyukchoi jaehyukchoi released this 23 Apr 17:06

New version after migrating to project.toml and version automation

PyFENG 0.3.0

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@jaehyukchoi jaehyukchoi released this 20 Sep 05:37

Updates so far.

PyFENG 0.2.4

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@jaehyukchoi jaehyukchoi released this 13 Nov 06:30
c4f4cd7

Updates so far