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v0.5.0

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@jaehyukchoi jaehyukchoi released this 26 May 00:23
c3e1681

What's changed

  • Use mathpf Mills-ratio kernels. Replace the in-house MathFuncs.mills_ratio (scipy erfcx wrapper) with the compiled mathpf kernels (millsratio / millsratio_d1 / millsratio_d3), called directly in bsm.py, norm.py, and sabr_int.py. Adds mathpf>=0.4.1 as a dependency.
  • Bsm.price_std: m0 = logk/sigma parameterization, sign -> theta, and a cancellation-free R'''-seeded Taylor expansion for the small-sigma branch.
  • Norm.price_vega_std -> Norm.price_std(type=-1/0/1) using millsratio_d1(m0).
  • Consistency renames in Bsm: vega2 -> vega_d2, d2_var -> var_d2, d3_var -> var_d3 (callers in garch.py/heston.py updated).
  • Bump requires-python to >=3.10.

Full Changelog: v0.4.1...v0.5.0