PyFENG 0.3.0

Updates so far.

PyFENG 0.2.4

Updates so far

PyFENG 0.2.3

Merge pull request #141 from PyFE/heston-mc

Various changes in the SV/SABR models.

PyFENG 0.2.2

Include Excel data files for reference parameter sets

PyFENG 0.2.1

• SumBSM (Choi2018) implemented
• Ball & Roma (1994) implemented for the uncorrelated Heston and OUSV models
• More excel files added for OUSV and Heston

PyFeng 0.2.0

Glasserman-Kim's gamma expansion / Tse-Wan's IG method for the Heston model
Choi's now OUSV Exact simulation
Fourier Transform method
Discontinuity-free Characteristic functions for SV models

PyFeng 0.1.9

Various stochastic volatility models on experimental mode (pyex)

PyFeng 0.1.8

RiskParity added

pyfeng 0.1.7

Black coding style
SabrCondQuad in pfex
OusvIFT, OusvCondMC moved to pf

pyfeng 0.1.6

Include excel data for SABR benchmark
Implemented BsmNd1Bm
Implemented InvGam distribution