From 1472cc85ce767e7800b57fcd5163879c4dfe2cf1 Mon Sep 17 00:00:00 2001 From: semantic-release Date: Fri, 30 Dec 2022 13:49:52 +0000 Subject: [PATCH] 2022.1.0 Automatically generated by python-semantic-release --- CHANGELOG.md | 25 +++++++++++++++++++++++++ pyproject.toml | 2 +- src/fpm_risk_model/__init__.py | 2 +- 3 files changed, 27 insertions(+), 2 deletions(-) diff --git a/CHANGELOG.md b/CHANGELOG.md index 6717a1f..1602337 100644 --- a/CHANGELOG.md +++ b/CHANGELOG.md @@ -4,4 +4,29 @@ All noteable changes to this project will be documented in this file. +## 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] diff --git a/pyproject.toml b/pyproject.toml index 10cbad8..de73fe0 100644 --- a/pyproject.toml +++ b/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 "] license = "MIT" diff --git a/src/fpm_risk_model/__init__.py b/src/fpm_risk_model/__init__.py index f8f0b65..eacd752 100644 --- a/src/fpm_risk_model/__init__.py +++ b/src/fpm_risk_model/__init__.py @@ -1 +1 @@ -__version__ = "2022.0.0" +__version__ = "2022.1.0"