2022.1.0

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CHANGELOG.md

@@ -4,4 +4,29 @@ All noteable changes to this project will be documented in this file.
 
 <!--next-version-placeholder-->
 
+## v2022.1.0 (2022-12-30)
+### Feature
+* Add equal weight portfolio pipeline ([`a2a7db6`](https://github.com/factorpricingmodel/factor-pricing-model-risk-model/commit/a2a7db6a01c92e7819d0c5d5ee4800bd250913f9))
+* Add bias statistics ([`efe3f46`](https://github.com/factorpricingmodel/factor-pricing-model-risk-model/commit/efe3f46f4305ce77833e445cf7529558c5e6b2d5))
+* Add standardized returns in bias check ([`128c3f2`](https://github.com/factorpricingmodel/factor-pricing-model-risk-model/commit/128c3f20383e6d62e91f3ad30fc11b3adc23b7d5))
+* Get covariance and correlation from risk model ([`02b606d`](https://github.com/factorpricingmodel/factor-pricing-model-risk-model/commit/02b606dc9f95320e83943a019c1a35ab315cb6b7))
+* Support transforming rolling factor risk model ([`77810b0`](https://github.com/factorpricingmodel/factor-pricing-model-risk-model/commit/77810b0867ff37e2a64c02f9acc9f07222d804d3))
+* Support exporting rolling factor risk model ([`5da7006`](https://github.com/factorpricingmodel/factor-pricing-model-risk-model/commit/5da7006de46fa278e086881743fc8adc5822f479))
+* Support factor risk model transformer ([`e26b61c`](https://github.com/factorpricingmodel/factor-pricing-model-risk-model/commit/e26b61c59b8515ab4853c2adecd16d60b8177eee))
+* Support factor risk model transformer ([`770ba6a`](https://github.com/factorpricingmodel/factor-pricing-model-risk-model/commit/770ba6a619e937c78a0f308a33990dd509e5d169))
+* Add factor covariance attribute in risk model ([`0b15a40`](https://github.com/factorpricingmodel/factor-pricing-model-risk-model/commit/0b15a401897e6f5e87a8300aed85fc59e6a15709))
+* Add WLS regressors ([`2b8d60b`](https://github.com/factorpricingmodel/factor-pricing-model-risk-model/commit/2b8d60b8ba00a719d1a8d5d2721719636a3f3f1d))
+* Change risk model input format to indexed on date / time rather than instruments ([`267d9a4`](https://github.com/factorpricingmodel/factor-pricing-model-risk-model/commit/267d9a4e1809e3709c57d67f1661655353314ee6))
+* Add parameter to show progress in rolling PCA ([`35fc9e3`](https://github.com/factorpricingmodel/factor-pricing-model-risk-model/commit/35fc9e3130805ebf1b2cb9fd955e17187938a3b1))
+* Add statistical risk model Rolling PCA ([`603344c`](https://github.com/factorpricingmodel/factor-pricing-model-risk-model/commit/603344cafcaed8179d075e8fcfe2e9975a931c29))
+* Add the first statistical model PCA ([`4da36f7`](https://github.com/factorpricingmodel/factor-pricing-model-risk-model/commit/4da36f7987e8876bc615b721aa41d1b9462f003c))
+
+### Fix
+* Incorrect mapping of factor exposures ([`4bc0028`](https://github.com/factorpricingmodel/factor-pricing-model-risk-model/commit/4bc00285f5dbb38e644d67c0c245c988e5e614e0))
+
+### Documentation
+* Add accuracy example configuration ([`f8b104a`](https://github.com/factorpricingmodel/factor-pricing-model-risk-model/commit/f8b104a26028f66947569c5fc2ef54fd24f8e7b0))
+* Correct typo ([`46d3202`](https://github.com/factorpricingmodel/factor-pricing-model-risk-model/commit/46d32028c22ff58349c478927c9abbe6145a984c))
+* Update PCA documentation ([`9523197`](https://github.com/factorpricingmodel/factor-pricing-model-risk-model/commit/952319735778302aae950a0e1160b659960650ae))
+
 ## [Unreleased]

pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "factor-pricing-model-risk-model"
-version = "2022.0.0"
+version = "2022.1.0"
 description = "Package to build risk models for factor pricing model"
 authors = ["Factor Pricing Model <factor.pricing.model@gmail.com>"]
 license = "MIT"

src/fpm_risk_model/__init__.py

@@ -1 +1 @@
-__version__ = "2022.0.0"
+__version__ = "2022.1.0"