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@simicd simicd released this 30 Jan 12:51
e8e9e0e
  • feature: Estimate convergence factor alpha. The parameter determines the convergence speed of the yield curve towards the Ultimate Forward Rate (UFR). The parameter is estimated by finding the smallest value such that the difference between forward rate at convergence maturity and UFR is smaller than 1bps.
  • docs: Add installation instruction
  • build: Publish package to pypi on release