Releases

These changes are listed in decreasing version number order.

Release 0.99.1

Release date was Friday, 25 April 2025

• introduced optional dcf.pricer.INCLUDE_VALUATION_DATE to either include or exclude cashflows at valuation date in dcf.pricer.ecf() and consequently in dcf.pv(), … too.

• added dataframe conversion for dcf.payoffs.CashFlowList and dcf.details.DetailsList

• added compounding_frequency to dcf.ytm() as argument

Release 0.99

Release date was Monday, 31 March 2025

Release 0.99 incorporates major changes focusing and simplifying

• refactor all yield curves and option pricing mechanics to Python project yieldcurves

• single style dcf.payoffs.CashFlowList of type tslist with multiple construction classmethods like dcf.payoffs.CashFlowList.from_fixed_cashflows(), dcf.payoffs.CashFlowList.from_rate_cashflows(), dcf.payoffs.CashFlowList.from_option_cashflows() and dcf.payoffs.CashFlowList.from_contingent_rate_cashflows()

• restricting to only elementary cashflow types dcf.payoffs.FixedCashFlowPayOff, dcf.payoffs.RateCashFlowPayOff and dcf.payoffs.OptionCashFlowPayOff

• replacing OptionStrategyCashFlowPayOff and ContingentRateCashFlowPayOff

• more and short pricing functions like dcf.pricer.ecf(), dcf.pv(), dcf.ytm(), dcf.pricer.iac(), dcf.pricer.fair(), dcf.pricer.bpv(), dcf.pricer.delta() and dcf.pricer.fit()

Release 0.7

Release date was Tuesday, 31 May 2022

• added Curve().kwargs to clone and persist object

• added ForwardCurve() for asset forwards like stocks or commodities

• added FxForwardCurve() for fx forwards rates

• added CashFlowList().kwargs to clone and persist object

• added dcf.cashflows.contingent for option pricing

• added various standard option pricing formulas dcf.models incl. digital or binary versions like

  • Bachelier as NormalOptionPayOffModel()

  • Black-Scholes resp. Black76 as LogNormalOptionPayOffModel()

  • displaced Black76 as DisplacedLogNormalOptionPayOffModel()

  • as well as an intrinsic version IntrinsicOptionPayOffModel()

• modified get_present_value() to word with OptionPayOffModel()

• removed get_fair_rate() alias get_par_rate()

• removed submodules dcf.data

• added submodules dcf.cashflows.payoffs

• added pricer routine get_curve_fit()

• added RateCurve().spread

Release 0.6

Release date was Friday, 14 January 2022

• added FixedCashFlowList().table and RateCashFlowList().table

• added new module dcf.daycount and updated day_count()

  to default to year fractions in case of simple float inputs

• added get_bucketed_delta()

• added submodules dcf.data, dcf.cashflows.products and dcf.curves.plot (under construction)

Release 0.5

Release date was November 22, 2021

• added get_basis_point_value()

Release 0.4

Release date was October 11, 2020

• dropping support for python 2 incl. 2.7

• new casting concept for curves, old curve_instance.cast(TypeToCastTo) is replaced by TypeToCastTo(curve_instance)

• restructuring cashflow lists, see dcf.cashflows.cashflow

• adding payment plans, see dcf.plans

• adding pricing functions, e.g. get_present_value(), get_yield_to_maturity(), get_par_rate(), …

• more docs

• more tests

Release 0.3

Release date was September 18, 2019

• migration to python 3.4, 3.5, 3.6 and 3.7

• automated code review

• more docs

• supporting third party (e.g.) interpolation

• adding travis ci

• update for auxilium tools

• replaced assert stmt by if not stmt: raise AssertionError() (bandit recommendation)

Release 0.2

Release date was March 3, 2017

Release 0.1

Release date was December 31, 2016