1 May 2024 version 0.360 released
- Fixed all notebooks to ensure they all work with current version
- Unit tests complete with success
- Gradually removing underscore prefix from class member variable names
- Adjustments to accrued interest calculations for FRN (need a consistent interface)
19 February 2024 version 0.350 released
- A lot of various pep8 fixes - should all be nearly done soon
- Fixed a bug in gauss_approx_tranche_loss
9 December 2023 version 0.34 released
- A lot of various pep8 fixes - should all be nearly done soon
- Some minor bug fixes
10 November 2023 version 0.33 released
- Tidied up key rate code
- Fixed unit tests for pytest
- Fixed vectorisation of barrier options
- Various pep8 fixes
28 August 2023 - version 0.32 released
- Fixed bug in Bond OAS and ASW
24 August 2023 - Version 0.31 released
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Schedule
- Corrected bug in schedule generation
- Corrected bug in CDS protection leg integral
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Many Bond Classes have been amended
- Changed FULL price to DIRTY price in functions UPDATE YOUR CODE PLEASE. APOLS for inconvenience.
- Removed face amount from bond class - how much you buy is not intrinsic to a bond
- Made number of ex-dividend days a member of bond class
- Added adjustment for ex-dividend dates to yield calculations
- Revised accrued and principal functions to take face amount as input
- Updated document
29 May 2023 - Version 0.30 released
- Added PrettyPrint to required dependencies
22 Nov 22 Version 0.260 has been released and pushed to PyPI
- Create Date from python datetime
- Zero coupon bond class
- Fixed bug in bond payment date
31-Aug-2022 Version 0.240 has just been released and pushed to PyPI with changes
- Negative terms in date class
- Recovery rates do not default to standard value for CDS curves