From 03920a679c64eddc6fe0ac9b0f70b10c153df6f3 Mon Sep 17 00:00:00 2001 From: semantic-release Date: Sun, 12 Feb 2023 22:38:56 +0000 Subject: [PATCH] 2023.1.0 Automatically generated by python-semantic-release --- CHANGELOG.md | 14 ++++++++++++++ pyproject.toml | 2 +- src/fpm_risk_model/__init__.py | 2 +- 3 files changed, 16 insertions(+), 2 deletions(-) diff --git a/CHANGELOG.md b/CHANGELOG.md index a15ccba..f97d40c 100644 --- a/CHANGELOG.md +++ b/CHANGELOG.md @@ -4,6 +4,20 @@ All noteable changes to this project will be documented in this file. +## v2023.1.0 (2023-02-12) +### Feature +* Introduce cov half life ([`92d96dc`](https://github.com/factorpricingmodel/factor-pricing-model-risk-model/commit/92d96dc5449e01dca49f0dce2d159891e082022e)) +* Add cov halflife into the accuracy functions ([`cd20be4`](https://github.com/factorpricingmodel/factor-pricing-model-risk-model/commit/cd20be4bb91bd61435cfc1ff1791111f36424ce2)) +* Support exponential weighted factor covariance ([`ffac512`](https://github.com/factorpricingmodel/factor-pricing-model-risk-model/commit/ffac512c0012aa372cc8ed7fed98f48df2c1e747)) +* Support exponential weighted least square ([`db4ae53`](https://github.com/factorpricingmodel/factor-pricing-model-risk-model/commit/db4ae5360892c4d941fe3f815cfd0a26269012b4)) + +### Fix +* Ewm in cov ([`f34ddbf`](https://github.com/factorpricingmodel/factor-pricing-model-risk-model/commit/f34ddbfeb4c2409bed1f3ecddda2f1bdccd6bb60)) + +### Documentation +* Fix example config ([`149a660`](https://github.com/factorpricingmodel/factor-pricing-model-risk-model/commit/149a6607b008af0a7e19569e2302b4e5318f11f3)) +* Fix grammar ([`cb4a456`](https://github.com/factorpricingmodel/factor-pricing-model-risk-model/commit/cb4a45625d2bb26b552fadead498f3ebe3059dd9)) + ## v2023.0.0 (2023-01-12) ### Feature * Add value at risk accuracy ([`7034a8e`](https://github.com/factorpricingmodel/factor-pricing-model-risk-model/commit/7034a8e2455c1709d7ef63ae71d98cf50c272cb7)) diff --git a/pyproject.toml b/pyproject.toml index 090b8ed..809908f 100644 --- a/pyproject.toml +++ b/pyproject.toml @@ -1,6 +1,6 @@ [tool.poetry] name = "factor-pricing-model-risk-model" -version = "2023.0.0" +version = "2023.1.0" description = "Package to build risk models for factor pricing model" authors = ["Factor Pricing Model "] license = "MIT" diff --git a/src/fpm_risk_model/__init__.py b/src/fpm_risk_model/__init__.py index 794f461..c823aac 100644 --- a/src/fpm_risk_model/__init__.py +++ b/src/fpm_risk_model/__init__.py @@ -1 +1 @@ -__version__ = "2023.0.0" +__version__ = "2023.1.0"