0.23.0

New features:

• Kou's jump model (#633 ) @rhandal-pfn
• Support python 3.12

Fix:

• Change the calculation method of the Marton Jump model (#625 ) @rhandal-pfn
• fix a typo in a document (#631 )

Maintenance:

• fix codecov ci issues (#634 )

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#636

0.22.0

maintanance:

• drop pysen (#627 )

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#629

0.21.1

New Features:

• Quadratic CVaR (#588 )
• Merton Jump Diffusion (#585 )

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Please see the pull request for more details.
#623

0.21.0

New Features:

• Support for python 3.10 and 3.11 (#605 )
• Drop support for python 3.7 (#613 )
• Support torch 2.0 (#612 )
• Implemented rBergomi (#583 )

Bug fix:

• Bug fix for GPU usage (#577 )
• More accurate calculation for some extreame values (#581 )
• Replaced assert_allclose to assert_close for future removal (#614 )

Maintenance:

• Introduced Pysen for lint (#595 )
• Added tests on GPU (#604 )
• Added workaround for poetry 1.4.1 hash incompatible issue (#610 )
• Introduced flex ci (#603 )
• Added new auto release CI (#615 )
• Updated some description (#616 )

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#621

0.20.0

Release/0.20.0 (#572)

• ENH: Support PyTorch builtin loss functions for hedging loss (#568) (#569)

  • You can now use PyTorch built-in loss function modules as criterion of Hedger.

  • For instance, with MSELoss, criterion measures mean-squared error between the payoff of a contingent claim and its replicating portfolio.

  • Migration guide: If you have defined your own HedgeLoss, please modify the signatures of its methods as forward(self, input) -> forward(self, input, target=0.0) and cash(self, input) -> cash(self, input, target=0.0).

• ENH: Suppprt multiple hedges in nn.functional.pl (#571)

• DOC: Add examples to Black-Scholes functionals (#566)

• MAINT: Use cast_state (#567)

• Bumping version from 0.19.2 to 0.20.0 (#573)

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0.19.2

Release/0.19.2 (#565)

• MAINT: Directly compute greeks and fix bugs (#562)

• DOC: fix typo (#560) (#561)

• DOC: Update example in README.md (#564)

• Bumping version from 0.19.1 to 0.19.2 (#563)

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0.19.1

• ENH: Add autogreek.gamma_from_delta (close #397) (#552)

• ENH: Analytical BS European binary formulas (#437) (#553)

• ENH: Analytical BS American binary formulas (#437) (#554)

• DOC: Add notes on analytic formulas of price and greeks (#556)

• DOC: Fix notebook and clear outputs (close #402) (#557)

• DOC: Fix typo in generate_local_volatility_process (#551)

• Bumping version from 0.19.0 to 0.19.1 (#559)

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0.19.0

Release/0.19.0 (#545)

• ENH: Add box_muller (#534)

• ENH: Add VasicekRate (close #505) (#538)

• ENH: Add LocalVolatilityStock (#539)

• DOC: Add documentation of features (#541)

• DOC: Miscellaneous updates (#537) (#547) (#542) (#543) (#548)

• MAINT: Fix primary spot typing (#530) (#533)

• MAINT: Add extra_repr to SVIVariance (#535)

• MAINT: Reimplement looking ahead to multiple underliers (#536)

• MAINT: Add OptionMixin and deprecate BaseOption (#544)

  • BaseOption is deprecated. Inherit BaseDerivative and OptionMixin instead.

• MAINT: Bumping version from 0.18.0 to 0.19.0 (#546)

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0.18.0

Release/0.18.0 (#531)

• ENH: Add pfhedge.__version__ support (#514)

• ENH: Add Black-Scholes formulas as functional (#489) (#506)

• ENH: Add end_index to forward start payoff functional (#518)

• ENH: Add clauses, named_clauses to derivative (#520)

• ENH: implicit args for Black-Scholes modules (#516)

• ENH: Add bilinear interpolation function bilerp (close #523) (#527)

• ENH: Add .float16(), .float32(), .float64() to Instrument (#524)

• BUG: Stop assigning arbitrary strike to autogreek.delta (#517)

• DOC: Update functional documentations (#508)

• DOC: Add note on discrete/continuous monitoring (#513)

• DOC: Add note on adding clause (#515)

• DOC: Elaborate documentation on payoff (#519)

• MAINT: Refactor BlackScholes module using factory (close #509) (#510)

• MAINT: Miscellaneous refactoring (#507) (#521) (#525)

• CHORE: Run Publish action on release (#504)

• Bumping version from 0.17.0 to 0.18.0 (#532)

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0.17.0

Release/0.17.0 (#501)

• ENH: Add is_listed (close #274) (#495)

• ENH: Add drift to generate_brownian and BrownianStock (close #112) (#497) (#500)

• ENH: Add Derivative.delist() (#496)

• ENH: Add EuropeanForwardStartOption (#443) (#498)

• BUG: Fix 0/0 issue in d1, d2, and other functions (close #484) (#494)

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