0.16.1

Release/0.16.1 (#492)

• MAINT: Update lint, format GitHub Actions (#486)

• MAINT: Update epsilon to finfo.tiny (#487)

• MAINT: Refactor feature registrations using singleton (close #490) (#491)

0.16.0

Release/0.16.0 (#482)

• ENH: Add SVI model: svi_variance and SVIVariance (#406) (#410)

• ENH: Add Sobol quasirandom engine (#430) (#431) (#478)

• ENH: Support BSEuropeanBinary for put (#434) (#438)

• ENH: Enable customizing tqdm progress bar (#446)

• ENH: Add antithetic sampling of randn (close #449) (#450)

• DOC: Add an example of hedging variance swap using options (#426) (#435)

• DOC: Add autogreek.theta to documentation (#429)

• DOC: Add citation to Heston model (#447)

• DOC: Add an example of sticky strike and sticky delta (#479)

• TEST: Add tests for BSEuropean put (#439)

• TEST: Add tests for identity between vega and gamma (#441)

• MAINT: Update codecov action (#442)

0.15.0

Release/0.15.0 (#427)

• ENH: Support vega and theta for BS modules (#424) (#412)

• MAINT: Miscellaneous maintenance (#407) (#408)

• MAINT: torch requirement changed to 1.9.0 (#425)

• TEST: Add workflow to test that examples work (close #108) (#409)

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0.14.2

Release/0.14.2 (#404)

• MAINT: Fix default params in CIR and Heston stochastic process (#401) (Thank you, @masanorihirano !)

• TEST: Add and refactor tests (#400) (#394)

• DOC: Clean documentation (#396)

• DOC: Add example_heston_iv.py (#403)

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0.14.1

Release/0.14.1 (#392)

• BUG: Fix BSAmericanBinaryOption (#366) (#391)

• TEST: Add more tests to BS modules (#366) (#391)

• MAINT: Rename base classes to "Base*" (close #384) (#386)

  • Instrument, Primary, Derivative are deprecated. Use Base* instead.

• MAINT: Miscellaneous maintainances (#385) (#387) (#388) (#389)

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0.14.0

Release/0.14.0 (#382)

• ENH: Add entropic_risk_measure to nn.functional (close #352) (#372)

• ENH: Add value_at_risk to nn.functional (#371)

• MAINT: Add typing (#378)

• MAINT: Drop Python 3.6 (close #356) (#357)

  • Python 3.6 is no longer supported. Please update to >=3.7.

• CHORE: Support PyTorch 1.10 (#377)

• CHORE: Update README.md (#375)

• CHORE: Update pytest-cov requirement from ^2.8.1 to ^3.0.0 (#367)

• CHORE: Update Makefile (#381)

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0.13.2

Release/0.13.2 (#365)

• MAINT: Fix buffer key (#353)

• MAINT: Fix prevention of zero division (#359)

• DOC: Miscellaneous updates (#358) (#360) (#361) (#362)

• CHORE: Run CI and building documentation in Poetry environment (#363)

• TEST: Fix typo in test of spot (#354)

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0.13.1

Release/0.13.1 (#349)

• ENH: Add features spot and underlier_spot (#345)

• ENH: Additional Features feature (#343)

• MAINT: Update repr of clauses (#342)

• DOC: Minor updates (#339) (#340) (#344)

• DOC: Fix no-transaction band class for new implementation (#346)

• CHORE: Measure test coverage for Python 3.9 (#347)

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0.13.0

Release/0.13.0 (#334)

• ENH: Add Derivative.add_clause() (close #328) (#330)

  • See examples/example_knockout.py for an example to add a knock-out clause.

• MAINT: Prefer feature.get over feature.__getitem__ (#324)

• MAINT: Deprecate specifying derivative dinfo (#331)

• MAINT: Minor refactoring (#329)

• DOC: Minor updates (#332) (#325)

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0.12.3

Release/0.12.3 (#323)

• ENH: Add ncdf, npdf, d1, d2 to functional.py (#315)

• ENH: Add Variance feature (close #269) (#319)

• ENH: Add autogreek.vega (close #97) (#320)

• MAINT: Refine typing (#316) (#317)

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