Pfhedge

Latest version: v0.22.0

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0.22.0

maintanance:
- drop pysen (627 )

This release is automatically generated.
Please see the pull request for more details.
[https://github.com/pfnet-research/pfhedge/pull/629](https://github.com/pfnet-research/pfhedge/pull/629)

0.21.1

New Features:
- Quadratic CVaR (588 )
- Merton Jump Diffusion (585 )

This release is automatically generated.
Please see the pull request for more details.
[https://github.com/pfnet-research/pfhedge/pull/623](https://github.com/pfnet-research/pfhedge/pull/623)

0.21.0

New Features:
- Support for python 3.10 and 3.11 (605 )
- Drop support for python 3.7 (613 )
- Support torch 2.0 (612 )
- Implemented rBergomi (583 )

Bug fix:
- Bug fix for GPU usage (577 )
- More accurate calculation for some extreame values (581 )
- Replaced assert_allclose to assert_close for future removal (614 )

Maintenance:
- Introduced Pysen for lint (595 )
- Added tests on GPU (604 )
- Added workaround for poetry 1.4.1 hash incompatible issue (610 )
- Introduced flex ci (603 )
- Added new auto release CI (615 )
- Updated some description (616 )

This release is automatically generated.
Please see the pull request for more details.
[https://github.com/pfnet-research/pfhedge/pull/621](https://github.com/pfnet-research/pfhedge/pull/621)

0.20.0

* ENH: Support PyTorch builtin loss functions for hedging loss (568) (569)

* You can now use PyTorch built-in loss function modules as `criterion` of `Hedger`.

* For instance, with `MSELoss`, criterion measures mean-squared error between the payoff of a contingent claim and its replicating portfolio.

* Migration guide: If you have defined your own `HedgeLoss`, please modify the signatures of its methods as `forward(self, input) -> forward(self, input, target=0.0)` and `cash(self, input) -> cash(self, input, target=0.0)`.

* ENH: Suppprt multiple hedges in `nn.functional.pl` (571)

* DOC: Add examples to Black-Scholes functionals (566)

* MAINT: Use `cast_state` (567)

* Bumping version from 0.19.2 to 0.20.0 (573)

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0.19.2

* MAINT: Directly compute greeks and fix bugs (562)

* DOC: fix typo (560) (561)

* DOC: Update example in README.md (564)

* Bumping version from 0.19.1 to 0.19.2 (563)

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0.19.1

* ENH: Add `autogreek.gamma_from_delta` (close 397) (552)

* ENH: Analytical BS European binary formulas (437) (553)

* ENH: Analytical BS American binary formulas (437) (554)

* DOC: Add notes on analytic formulas of price and greeks (556)

* DOC: Fix notebook and clear outputs (close 402) (557)

* DOC: Fix typo in `generate_local_volatility_process` (551)

* Bumping version from 0.19.0 to 0.19.1 (559)

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