Dcf

Latest version: v0.99

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0.99

* refactor all *yield curves* and *option pricing* mechanics
to Python project `yieldcurves <https://pypi.org/project/yieldcurves/>`_

* single style |CashFlowList| of type
`tslist <https://pypi.org/project/tslist/>`_
with multiple construction classmethods like
|CashFlowList.from_fixed_cashflows()|, |CashFlowList.from_rate_cashflows()|,
|CashFlowList.from_option_cashflows()|
and |CashFlowList.from_contingent_rate_cashflows()|

* restricting to only elementary cashflow types |FixedCashFlowPayOff|,
|RateCashFlowPayOff| and |OptionCashFlowPayOff|

* replacing `OptionStrategyCashFlowPayOff` and `ContingentRateCashFlowPayOff`

* more and short pricing functions like |ecf()|, |pv()|, |ytm()|, |iac()|,
|fair()|, |bpv()|, |delta()| and |fit()|

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*

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)

0.5

===========

Release date was November 22, 2021

* added *get_basis_point_value()*

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

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)

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