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Releases: PyFE/PyFENG

PyFENG 0.3.0

20 Sep 05:37
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Updates so far.

PyFENG 0.2.4

13 Nov 06:30
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Updates so far

PyFENG 0.2.3

26 Sep 17:06
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Merge pull request #141 from PyFE/heston-mc

Various changes in the SV/SABR models.

PyFENG 0.2.2

24 Aug 08:16
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Include Excel data files for reference parameter sets

PyFENG 0.2.1

28 May 16:25
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  • SumBSM (Choi2018) implemented
  • Ball & Roma (1994) implemented for the uncorrelated Heston and OUSV models
  • More excel files added for OUSV and Heston

PyFeng 0.2.0

20 May 15:14
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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

PyFeng 0.1.9

13 Mar 13:08
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Various stochastic volatility models on experimental mode (pyex)

PyFeng 0.1.8

21 Dec 17:20
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RiskParity added

pyfeng 0.1.7

20 Nov 18:52
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Black coding style
SabrCondQuad in pfex
OusvIFT, OusvCondMC moved to pf

pyfeng 0.1.6

21 Apr 01:11
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Include excel data for SABR benchmark
Implemented BsmNd1Bm
Implemented InvGam distribution