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CHANGELOG.md

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Changelog

[1.3.1] - 2024-10-10

Added

  • Minor adjustments

[1.3.0] - 2024-09-22

Added

  • Optimal Transport for Model Calibration

[1.2.0] - 2024-09-22

Added

  • Seq2Seq PDE solvers

[1.0.0] - 2024-07-20

Added

  • Initial release of TorchQuantlib.
  • Core modules for asset pricing, risk management, and model calibration.
  • Support for various option pricing models including Black-Scholes-Merton, binomial tree, and Monte Carlo simulations.
  • Bond pricing models including zero-coupon, coupon, callable, putable, and convertible bonds.
  • Advanced options support including American, Bermudan, Asian, and barrier options.
  • Greeks calculation using Malliavin calculus.
  • Calibration for stochastic models like Heston and Vasicek.
  • Scenario analysis, market risk measures (VaR, Expected Shortfall), and valuation adjustments (CVA, DVA, MVA, FVA).
  • Implementation of local volatility models like Dupire.
  • Machine learning examples using PyTorch for regression and reinforcement learning.
  • Extensive unit tests for all core functionalities.