Releases: PyFE/PyFENG
Releases · PyFE/PyFENG
v0.5.0
What's changed
- Use mathpf Mills-ratio kernels. Replace the in-house
MathFuncs.mills_ratio(scipyerfcxwrapper) with the compiled mathpf kernels (millsratio/millsratio_d1/millsratio_d3), called directly inbsm.py,norm.py, andsabr_int.py. Addsmathpf>=0.4.1as a dependency. Bsm.price_std:m0 = logk/sigmaparameterization,sign->theta, and a cancellation-freeR'''-seeded Taylor expansion for the small-sigma branch.Norm.price_vega_std->Norm.price_std(type=-1/0/1)usingmillsratio_d1(m0).- Consistency renames in
Bsm:vega2->vega_d2,d2_var->var_d2,d3_var->var_d3(callers ingarch.py/heston.pyupdated). - Bump
requires-pythonto>=3.10.
Full Changelog: v0.4.1...v0.5.0
Various Improvement
Merge pull request #231 from PyFE/broadcast Refactor numerical params: configure() API, per-instance RNG, BsmNdMc cleanup
Various code tightup
Merge pull request #221 from PyFE/basket Various changes / Clean up
heston model propereties added
Merge pull request #205 from PyFE/opt_abs All changes so far
Model class refactoring
Defined xxxParams class for each model type and used them for defining models.
Ousv Benchmark Data update
Merge pull request #200 from PyFE/ousv Update ousv_benchmark.xlsx
Class name change
New release for OUSV.
v0.3.2: Update pyproject.toml
New version after migrating to project.toml and version automation
PyFENG 0.3.0
Updates so far.
PyFENG 0.2.4
Updates so far