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)
• New docs/mcp.md page covering the MCP server.
• 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

v0.7.0

What's Changed

• Add strategies by @lsbardel in #41
• DIVFM by @lsbardel in #42
• Sanitize Vol Surface forwards rates by @lsbardel in #43
• Outliers detection via SVI parametrization @lsbardel in #44

Full Changelog: v0.6.2...v0.7.0

v0.6.2

What's Changed

• Fix critical dependency bug in 0.6.1 (which is a bad release)

Full Changelog: v0.6.1...v0.6.2

v0.6.1

What's Changed

• Improved documentation
• Better implied vol by @lsbardel in #40

Full Changelog: v0.5.0...v0.6.1

v0.5.0

What's Changed

• Switch to uv by @lsbardel in #37
• Fix docker by @lsbardel in #38
• Add ai mcp server and remove cli by @lsbardel in #39
• Use pydantic rather than dataclass for Vol surface stack
• Add implied vol to option inputs

Full Changelog: v0.4.4...v0.5.0

v0.4.4

New documentation

• Removed jupyter-book & sphinx
• Using mkdocs and marimo

What's Changed

• New docs by @lsbardel in #33
• Docs image by @lsbardel in #34
• Fix docs by @lsbardel in #35
• Add double exponential by @lsbardel in #36

Full Changelog: v0.4.3...v0.4.4

v0.4.3

What's Changed

• py 3.14 by @lsbardel in #32

Full Changelog: v0.4.2...v0.4.3

v0.4.2

What's Changed

• Add maturity to options dataframe by @lsbardel in #31

Full Changelog: v0.4.1...v0.4.2