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Releases: factorpricingmodel/factor-pricing-model-risk-model

v2024.0.0

26 Jul 08:31
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Feature

  • Add a get method for rolling cov estimator (da29453)

Documentation

  • Add example notebook of alpha sizing rules (220ba02)

v2023.8.0

13 Dec 21:58
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Feature

Fix

  • Use validity in rolling fit (087939b)

Documentation

  • Update numpy backend engine notebook (5037603)

v2023.7.2

26 Sep 21:04
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Fix

  • Convert y into numpy engine array (e92fc34)

v2023.7.1

26 Sep 20:59
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Feature

  • Support setting the backend engine with environment variable (a40ee5c)

v2023.7.0

26 Sep 20:25
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Feature

  • Support pytorch in engine (1d9eb07)

v2023.6.5

22 Sep 07:09
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Fix

  • Use engine linalg in WLS (98ea2ed)

Documentation

v2023.6.4

19 Aug 15:55
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Fix

  • Revert forcing numpy array conversion (6676fef)

v2023.6.3

17 Aug 12:59
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Fix

  • Ensure to_numpy converts with the numpy engine array (cd014ce)

v2023.6.2

14 Aug 20:52
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Fix

  • Remove the type check to support multiple engines (dd0d8a8)

v2023.6.1

26 Jul 21:29
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v2023.6.1