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Releases: PyFE/PyFENG

PyFENG 0.2.4

13 Nov 06:30
@jaehyukchoi jaehyukchoi
v.0.2.4
c4f4cd7
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PyFENG 0.2.3

26 Sep 17:06
@jaehyukchoi jaehyukchoi
v.0.2.3
39265ec
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PyFENG 0.2.3 
Merge pull request #141 from PyFE/heston-mc

Various changes in the SV/SABR models.
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PyFENG 0.2.2

24 Aug 08:16
@jaehyukchoi jaehyukchoi
v.0.2.2
4e4d544
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PyFENG 0.2.2

Include Excel data files for reference parameter sets

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PyFENG 0.2.1

28 May 16:25
@jaehyukchoi jaehyukchoi
v.0.2.1
be1a59d
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PyFENG 0.2.1
  • SumBSM (Choi2018) implemented
  • Ball & Roma (1994) implemented for the uncorrelated Heston and OUSV models
  • More excel files added for OUSV and Heston
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PyFeng 0.2.0

20 May 15:14
@jaehyukchoi jaehyukchoi
v0.2.0
3599b99
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PyFeng 0.2.0

Glasserman-Kim's gamma expansion / Tse-Wan's IG method for the Heston model
Choi's now OUSV Exact simulation
Fourier Transform method
Discontinuity-free Characteristic functions for SV models

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PyFeng 0.1.9

13 Mar 13:08
@jaehyukchoi jaehyukchoi
v0.1.9
04868f5
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PyFeng 0.1.9

Various stochastic volatility models on experimental mode (pyex)

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PyFeng 0.1.8

21 Dec 17:20
@jaehyukchoi jaehyukchoi
v0.1.8
8f055e0
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PyFeng 0.1.8

RiskParity added

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pyfeng 0.1.7

20 Nov 18:52
@jaehyukchoi jaehyukchoi
v0.1.7
f45fa18
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pyfeng 0.1.7

Black coding style
SabrCondQuad in pfex
OusvIFT, OusvCondMC moved to pf

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pyfeng 0.1.6

21 Apr 01:11
@jaehyukchoi jaehyukchoi
v0.1.6
023e123
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pyfeng 0.1.6

Include excel data for SABR benchmark
Implemented BsmNd1Bm
Implemented InvGam distribution

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pyfeng 0.1.5

08 Apr 08:00
@jaehyukchoi jaehyukchoi
v0.1.5
5f0f76e
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pyfeng 0.1.5

PyPI package version 0.1.5

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