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v.0.12.0

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@dancixx dancixx released this 20 Feb 23:07
· 101 commits to main since this release
v.0.12.0
64352e3

🚀 New Features

  • Heston Calibration using AI: Improved calibration process leveraging AI for better accuracy.
  • Neural Network for Heston Calibration: Enhanced the calibration process with a more effective neural network approach.
  • Fractional Ornstein-Uhlenbeck (FOU) Parameter Estimator: Introduced multiple FOU estimators for better modeling flexibility.
  • FOU Estimator with Custom Jumps: Added support for jump processes in FOU estimation.
  • Fractional Gaussian Noise (FGN) Speed Test: Implemented performance benchmarking for FGN simulation.
  • Copula Analysis Module: Added support for Clayton, Gumbel, and empirical Gaussian copulas.
  • Kendall’s Tau & Spearman Correlation for Copulas: Introduced statistical tools for dependency analysis.
  • Multivariate Copula Interface: in progress...
  • Gaussian Kernel Density Estimator (KDE): Added a KDE implementation for density estimation.
  • Loss Score for Heston Pricing: Introduced loss-based scoring to improve Heston model pricing.
  • Calibration History for Heston & BSM Pricers: Added tracking of past calibration attempts for better diagnostics.

🔧 Fixes & Improvements

  • Improved Batching for Heston NN Calibration: Optimized neural network calibration with better data batching.
  • Fixed Initial Parameters in Heston Calibration: Addressed issues with incorrect parameter initialization.
  • Optional Delta for FOU Estimator: Improved flexibility in parameter estimation.
  • Reworked Copula Implementations: Refactored Clayton, Frank, Gumbel, and independence copulas for better accuracy.
  • Added Missing Bivariate Implementations: Ensured more complete support for bivariate modeling.
  • Updated Plotting Features: Improved visualization for model outputs.
  • Reorganized Correlation Module: Better structured for easier use.
  • Refactored Calibration Metrics: Enhanced tracking and reporting of calibration errors.
  • Reexported iTransformer Interfaces: Improved usability of transformation components.

⚠️ Known Issues

  • Heston Calibration Unexpected Behavior: Users may encounter inconsistencies in Heston calibration. Details and discussion can be found #14

Let us know if you encounter any issues or have feature requests! 🚀

Full Changelog: v.0.11.0...v.0.12.0

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