Ecosyste.ms: Issues

An open API service for providing issue and pull request metadata for open source projects.

GitHub / pfnet-research/pfhedge issues and pull requests

#624 - Minor typo in generate_geometric_brownian documentation

Issue - State: open - Opened by rawias about 1 year ago

#623 - Release/0.21.1

Pull Request - State: closed - Opened by masanorihirano about 1 year ago - 1 comment

#622 - Bumping version from 0.21.0 to 0.21.1

Pull Request - State: closed - Opened by github-actions[bot] about 1 year ago

#621 - Release/0.21.0

Pull Request - State: closed - Opened by masanorihirano about 1 year ago - 1 comment

#620 - Bumping version from 0.20.0 to 0.21.0

Pull Request - State: closed - Opened by github-actions[bot] about 1 year ago

#619 - [WIP] Add notebook CI

Pull Request - State: open - Opened by masanorihirano about 1 year ago - 7 comments

#618 - Cumulative updates

Pull Request - State: closed - Opened by masanorihirano over 1 year ago - 1 comment

#617 - Update functional.py

Pull Request - State: closed - Opened by Hannibal046 over 1 year ago - 2 comments

#616 - update the description of the release process

Pull Request - State: closed - Opened by masanorihirano over 1 year ago - 1 comment

#615 - Autorelease by github action

Pull Request - State: closed - Opened by masanorihirano over 1 year ago - 6 comments

#614 - remove assert_allclose and use assert_close instead

Pull Request - State: closed - Opened by masanorihirano over 1 year ago - 1 comment

#613 - drop python37 support

Pull Request - State: closed - Opened by masanorihirano over 1 year ago - 1 comment

#612 - Pytorch 2.0 support

Pull Request - State: closed - Opened by masanorihirano over 1 year ago - 6 comments

#611 - [Do not merge] Pytorch 2.0

Pull Request - State: closed - Opened by masanorihirano over 1 year ago

#610 - fix Poetry issue 609

Pull Request - State: closed - Opened by masanorihirano over 1 year ago - 1 comment

#609 - poetry 1.4.1 shows WheelFileValidationError

Issue - State: open - Opened by masanorihirano over 1 year ago - 1 comment

#608 - drop support python 3.7

Issue - State: closed - Opened by masanorihirano over 1 year ago - 1 comment

#606 - Supporting pytroch 2.0

Issue - State: closed - Opened by masanorihirano over 1 year ago - 2 comments

#605 - Supporting python 3.10 and 3.11 in GHA

Pull Request - State: closed - Opened by masanorihirano over 1 year ago - 1 comment

#604 - Added gpu tests

Pull Request - State: closed - Opened by masanorihirano over 1 year ago - 5 comments

#603 - Introducing flex ci

Pull Request - State: closed - Opened by masanorihirano over 1 year ago - 3 comments

#602 - Gpu test

Pull Request - State: closed - Opened by masanorihirano over 1 year ago

#601 - Flex ci 2

Pull Request - State: closed - Opened by masanorihirano over 1 year ago

#600 - Flex ci update

Pull Request - State: closed - Opened by masanorihirano over 1 year ago

#599 - Flex ci test

Pull Request - State: closed - Opened by masanorihirano over 1 year ago

#598 - Flex ci test

Pull Request - State: closed - Opened by masanorihirano over 1 year ago

#597 - [Do not merge] Flex ci gpu test

Pull Request - State: closed - Opened by masanorihirano over 1 year ago - 5 comments

#596 - PEP 585: Change some Typing to collections.abc

Pull Request - State: closed - Opened by masanorihirano over 1 year ago - 1 comment

#595 - Introduce Pysen

Pull Request - State: closed - Opened by masanorihirano over 1 year ago - 1 comment

#594 - ENH: Supporting clip_grad_norm_ in hedger.fit

Issue - State: open - Opened by masanorihirano over 1 year ago

#593 - Introducing pysen

Issue - State: closed - Opened by masanorihirano over 1 year ago

#592 - How to add constraints in my model

Issue - State: closed - Opened by river7816 over 1 year ago - 1 comment

#591 - How to extract the optimal hedging paths (post model fitting)?

Issue - State: closed - Opened by XiaoqiDong96 over 1 year ago - 1 comment

#589 - gpu bug in functional.py

Issue - State: closed - Opened by zxem almost 2 years ago - 5 comments

#588 - implement quadratic CVaR

Pull Request - State: closed - Opened by masanorihirano almost 2 years ago - 4 comments

#587 - Costume Input Clarification

Issue - State: open - Opened by tjrs almost 2 years ago

#586 - Fix a typo

Pull Request - State: closed - Opened by nakashima-hikaru almost 2 years ago

#585 - implement Merton Jump-diffusion Model

Pull Request - State: closed - Opened by masanorihirano almost 2 years ago - 2 comments

#584 - ENH: Support for multi-asset derivatives

Issue - State: open - Opened by arcturius-gh about 2 years ago

#583 - implement rBergomi (#448)

Pull Request - State: closed - Opened by masanorihirano about 2 years ago - 8 comments

#582 - gpu test support of #581

Pull Request - State: closed - Opened by masanorihirano about 2 years ago - 3 comments

#581 - bug fix for #580

Pull Request - State: closed - Opened by masanorihirano about 2 years ago - 1 comment

#579 - Introducing flex ci

Pull Request - State: closed - Opened by masanorihirano about 2 years ago - 3 comments

#578 - Added gpu tests

Pull Request - State: closed - Opened by masanorihirano about 2 years ago - 3 comments

#577 - bug fix for #576

Pull Request - State: closed - Opened by masanorihirano about 2 years ago - 2 comments

#576 - Error in gpu usage

Issue - State: closed - Opened by masanorihirano about 2 years ago - 2 comments

#575 - Add DataHedger and DeepHedger

Pull Request - State: closed - Opened by justinhou95 about 2 years ago - 5 comments

#574 - Develop

Pull Request - State: closed - Opened by justinhou95 about 2 years ago - 1 comment

#573 - Bumping version from 0.19.2 to 0.20.0

Pull Request - State: closed - Opened by github-actions[bot] over 2 years ago

#572 - Release/0.20.0

Pull Request - State: closed - Opened by simaki over 2 years ago

#571 - ENH: Suppprt multiple hedges in `nn.functional.pl`

Pull Request - State: closed - Opened by simaki over 2 years ago

#570 - ENH: Multiple hedges in `terminal_value`

Issue - State: closed - Opened by simaki over 2 years ago - 1 comment

#569 - ENH: Use `input` and `target` in hedging loss (#568)

Pull Request - State: closed - Opened by simaki over 2 years ago - 1 comment

#568 - ENH: Use `input` and `target` in hedging loss

Issue - State: closed - Opened by simaki over 2 years ago - 1 comment

#567 - MAINT: Use `cast_state`

Pull Request - State: closed - Opened by simaki over 2 years ago - 1 comment

#566 - DOC: Add examples to Black-Scholes functional

Pull Request - State: closed - Opened by simaki over 2 years ago - 1 comment

#565 - Release/0.19.2

Pull Request - State: closed - Opened by simaki over 2 years ago - 1 comment

#564 - DOC: Update example in README.md

Pull Request - State: closed - Opened by simaki over 2 years ago

#563 - Bumping version from 0.19.1 to 0.19.2

Pull Request - State: closed - Opened by github-actions[bot] over 2 years ago

#562 - Directly compute greeks and fix bugs

Pull Request - State: closed - Opened by simaki over 2 years ago - 1 comment

#561 - DOC: Fix typo

Pull Request - State: closed - Opened by simaki over 2 years ago - 1 comment

#560 - DOC: Fix typo in list()

Pull Request - State: closed - Opened by simaki over 2 years ago

#559 - Bumping version from 0.19.0 to 0.19.1

Pull Request - State: closed - Opened by github-actions[bot] over 2 years ago

#558 - Release/0.19.1

Pull Request - State: closed - Opened by simaki over 2 years ago - 1 comment

#557 - DOC: Fix notebook and clear outputs (close #402)

Pull Request - State: closed - Opened by simaki over 2 years ago - 1 comment

#556 - DOC: Add notes on analytic formulas of price and greeks

Pull Request - State: closed - Opened by simaki over 2 years ago - 1 comment

#555 - MAINT: Add calculation notes of exotic option prices/greeks

Issue - State: open - Opened by simaki over 2 years ago

#554 - ENH: Analytical BS American binary formula (#437)

Pull Request - State: closed - Opened by simaki over 2 years ago - 1 comment

#553 - ENH: Analytical BS European binary formulas (#437)

Pull Request - State: closed - Opened by simaki over 2 years ago - 1 comment

#552 - ENH: Add `autogreek.gamma_from_delta` (close #397)

Pull Request - State: closed - Opened by simaki over 2 years ago - 1 comment

#551 - DOC: Fix typo in `generate_local_volatility_process`

Pull Request - State: closed - Opened by simaki over 2 years ago

#550 - Patch/typo

Pull Request - State: closed - Opened by simaki over 2 years ago

#549 - DOC: Add note on creating user-defined features

Issue - State: open - Opened by simaki over 2 years ago

#548 - Add examples of features

Pull Request - State: closed - Opened by simaki over 2 years ago

#547 - ignore docs/source/notes/generated

Pull Request - State: closed - Opened by simaki over 2 years ago

#546 - Bumping version from 0.18.0 to 0.19.0

Pull Request - State: closed - Opened by github-actions[bot] over 2 years ago

#545 - Release/0.19.0

Pull Request - State: closed - Opened by simaki over 2 years ago - 1 comment

#540 - MAINT: Make `BaseOption` mixin class

Issue - State: closed - Opened by simaki over 2 years ago - 1 comment

#530 - Primary spot typing

Issue - State: closed - Opened by masanorihirano over 2 years ago - 3 comments

#528 - BSEuropeanBinaryOption.gamma returns nan

Issue - State: open - Opened by masanorihirano over 2 years ago - 7 comments
Labels: bug, black-scholes

#505 - ENH: Vasicek model

Issue - State: closed - Opened by simaki over 2 years ago
Labels: enhancement, model

#489 - ENH: Provide BS formulas as functional

Issue - State: closed - Opened by ghost over 2 years ago
Labels: enhancement

#448 - ENH: Rough Bergomi model

Issue - State: closed - Opened by simaki over 2 years ago - 1 comment
Labels: enhancement, model

#445 - ENH: Raise warning when `maturity / dt` is not an (almost) integer

Issue - State: closed - Opened by simaki over 2 years ago - 1 comment
Labels: enhancement

#443 - ENH: Cliquet

Issue - State: closed - Opened by ghost over 2 years ago - 1 comment
Labels: enhancement

#437 - ENH: Analytically calculate greeks in BS modules

Issue - State: open - Opened by simaki over 2 years ago - 3 comments
Labels: enhancement, black-scholes, arithmetic

#433 - ENH: Inplace operations

Issue - State: closed - Opened by simaki over 2 years ago
Labels: enhancement

#402 - DOC: example_readme.ipynb gets TypeError

Issue - State: closed - Opened by simaki over 2 years ago - 3 comments
Labels: help wanted

#397 - ENH: Add gamma_from_delta to autogreek

Issue - State: closed - Opened by simaki over 2 years ago
Labels: enhancement, autogreek

#384 - MAINT: Rename base classes to "Base*"

Issue - State: closed - Opened by ghost over 2 years ago

#376 - CHORE: Support PyTorch 1.10

Issue - State: closed - Opened by ghost over 2 years ago - 1 comment

#374 - ENH: Make expected_shortfall smooth wrt p

Issue - State: closed - Opened by simaki over 2 years ago - 1 comment
Labels: enhancement

#370 - ENH: Add value_at_risk

Issue - State: closed - Opened by ghost over 2 years ago - 1 comment
Labels: enhancement

#368 - MAINT: Support Python 3.10

Issue - State: closed - Opened by simaki almost 3 years ago

#356 - MAINT: Drop Python 3.6

Issue - State: closed - Opened by ghost almost 3 years ago

#352 - ENH: Add `entropic_risk_measure` to nn.functional

Issue - State: closed - Opened by ghost almost 3 years ago
Labels: enhancement, good first issue

#351 - DOC: Example to plot time evolution of the distribution of delta through hedging

Issue - State: closed - Opened by simaki almost 3 years ago - 1 comment
Labels: documentation