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Release Notes

This page is the source of truth for quantflow release notes. Each section below maps to a tagged release on GitHub. When a new tag is pushed, the matching section is extracted by .github/workflows/release.yml and published as the GitHub Release body.

v1.0.0

First major release, consolidating the API for the 1.x series: a new distributions package, a rewritten Kalman filtering module, an expanded interest-rate toolkit and leaner naming across the options API. Several modules were renamed, reworked or removed: see Breaking changes before upgrading.

Breaking changes

  • New quantflow.dists package: Marginal1D moved there from quantflow.utils.marginal, and the 1D distributions from quantflow.utils.distributions; update imports accordingly (#80).
  • implied_vol/implied_vols fields and arguments renamed to iv across the options surface, calibration and plotting APIs (#67).
  • Kalman filtering rewritten: the old quantflow.ta.kalman module was removed and replaced by a state-space API with LinearGaussianModel, KalmanFilter and UnscentedKalmanFilter (#76, #79).
  • Options inputs and strategies reworked, with moneyness utilities moved into the new quantflow.options.moneyness module (#68).
  • Interest-rate package overhaul: CIR and Vasicek models expanded, Nelson-Siegel slimmed down, new no-discount curve (#74).
  • The quantflow.ai package was removed (#75).
  • EWMA alpha/period conversion corrected; results change for code relying on the previous formula (#73).

New features

  • Interpolated yield curves (#81).
  • Historical calibration of interest-rate models (#77).
  • Yield-curve fitting of forward and discount factors (#63).
  • Yahoo Finance volatility-surface loader (#61).

Improvements and fixes

  • Increased test coverage across the package, the app and the CIR curves (#69, #70, #71).
  • Documentation examples are now built once in CI and shared by the multi-arch image builds (#82).
  • Dependency updates, including aio-fluid (#78).

Documentation and assets

  • Docs improvements: plotly charts, example fixtures relocated, frontend moved, CIR and Vasicek rates API pages (#62, #64, #65, #66, #72).
  • Code of conduct added (#83).

Full changelog

v0.9.0

Pricing-engine and calibration overhaul. MaturityPricer now evaluates call prices and Greeks lazily at arbitrary log-strikes instead of carrying a precomputed grid, Fourier pricers take a moneyness-based truncation parameter, and the volatility-surface calibration can fit Black implied vols directly. This release contains several API changes: see Breaking changes below.

Breaking changes

MaturityPricer reworked. (#59)

  • The precomputed std, log_strike and call arrays are gone. A MaturityPricer now holds a single pricing field (an OptionPricingResult) that evaluates call prices and Greeks on demand at any log-strike.
  • moneyness is now a method, moneyness(log_strikes), not a cached array property. The time_value and intrinsic_value array properties and the interp(...) helper were removed; use prices(log_strikes) to get a DataFrame of prices and implied vols on a chosen log-strike grid.

Fourier pricing truncation: max_log_strike → moneyness parameters. (#59)

  • Marginal1D.call_option, call_option_carr_madan and call_option_lewis take max_moneyness (a multiple of the marginal standard deviation) instead of max_log_strike. The COS path takes cos_moneyness_std_precision instead.
  • OptionPricingResult.call_at(...) is renamed call_price(...), the method field is removed, and a new abstract call_greeks(log_strike) returns a Greeks namedtuple (price, delta, gamma).

OptionPricerBase.call_price → call_prices. (#59) The method is now vectorised: it takes arrays of times-to-maturity and log-strikes and prices them in a single maturity-grouped call.

DIVFMPricer no longer builds a fixed moneyness grid. (#59) The max_moneyness_ttm and n fields are removed; the fitted IV surface is evaluated on demand through OptionPricingResultDIVFM.

New features

  • Implied-vol calibration residuals. New ResidualKind enum and a residual_kind field on VolModelCalibration: set it to ResidualKind.IV to fit the model to Black implied vols (recovered by inverting the model price) rather than to forward-space prices. The IV residual is naturally well-scaled across moneyness, so moneyness_weight is not applied in that mode. (#59)
  • Greeks from the pricing result. OptionPricingCosResult.call_greeks returns closed-form price, delta and gamma from the COS expansion; the transform-based result derives delta and gamma by differentiating the call grid; DIVFM uses finite differences on the fitted surface. (#59)
  • COS truncation control on OptionPricer. New cos_moneyness_std_precision field (default 12) sets the width of the COS integration interval in standard deviations. (#59)

Improvements and fixes

  • Calibration residuals are now computed in a single vectorised pricing call. Deep-wing strikes where the model price falls outside the no-arbitrage band (so Newton fails to invert it) are masked out instead of poisoning the fit, and a parameter set that fails to invert on more than half the options is rejected with a large penalty. (#59)
  • Calibration plots now evaluate the model on a fresh moneyness grid; plot(max_moneyness=...) no longer accepts None. (#59)
  • OptionEntry.mid_price() no longer caches through a private attribute. (#59)
  • Stale Jupytext notebook mirrors under notebooks/ removed. (#59)

Documentation and assets

  • New GitHub social-preview banner under docs/assets/logos/png/. (#59)
  • docs/api/options/black.md and the volatility-surface calibration examples updated for the new pricer API. (#59)
  • The release procedure moved out of .github/copilot-instructions.md into its own .github/instructions/release.instructions.md.

Full changelog

v0.8.0

Volatility-surface calibration overhaul. This release adds a two-factor BNS model, a double-Heston model (with optional jumps), Lewis and COS pricing methods, and reworks the calibration package layout. Several module renames and signature changes were made along the way: see Breaking changes below.

Breaking changes

Module renames.

  • quantflow.sp.weiner is now quantflow.sp.wiener (typo fix). Update imports.
  • quantflow.options.calibration is now a package, not a single module. Top-level imports keep working through the package __init__.py re-exports. Code reaching into the old quantflow.options.heston_calibration must switch to quantflow.options.calibration.heston.

ModelOptionPrice field rename. (#47)

  • ModelOptionPrice.moneyness previously meant log(K/F). It now means standardised moneyness log(K/F) / sqrt(ttm), and the raw log-strike is exposed as a new field log_strike. Code reading option.moneyness and expecting a log-strike must switch to option.log_strike.
  • get_intrinsic_value(moneyness=...) argument renamed to log_strike=....

New features

  • BNS2: two-factor Barndorff-Nielsen & Shephard stochastic-volatility model with a single Brownian motion driving a convex combination of independent Gamma-OU variances and per-factor leverage. New section in the BNS calibration tutorial. (#54)
  • DoubleHeston and DoubleHestonJ: two-factor Heston (with optional log-price jumps) and matching DoubleHestonCalibration / DoubleHestonJCalibration. (#46)
  • Lewis and COS option-pricing methods: selectable via OptionPricingMethod, alongside the existing Carr-Madan / FFT path. (#47)
  • CIR tutorial with PDF comparison example. (#49)

Improvements and fixes

  • Heston calibration convergence fixes. (#45, #49)
  • BNS calibration: dedicated BNSCalibration class extracted, characteristic exponent derivation cleaned up, broader test coverage. (#50, #51)
  • OU module reworked: clearer Gamma-OU API, stronger tests for moments and the integrated Laplace transform. (#51)
  • pricing_method_comparison example simplified; redundant time-comparison code removed. (#48)

Documentation and assets

  • New logo set (favicon, lockup, marks, social banners) under docs/assets/logos/. (#53)
  • Bibliography rebuilt from BibTeX via docs/bib2md.py; glossary expanded; mathjax tweaks for inline rendering. (#47, #49)
  • Tutorial-writing instructions added at .github/instructions/tutorial.instructions.md.

Full changelog