Release Notes

Rough Development Plan

The future development of rateslib is open to many avenues. Some possibilities are listed below. The author is very interested in any feedback and this can be given on the public Issues board at the project github repository: Rateslib Project, or by direct email contact through rateslib@gmail.com.

Feature	Description	Consideration	Timeframe
Vanilla FX options and volatility products	Adding option instruments and benchmark trades such as risk-reversals.	Highly likely (v2.0?)	By mid 2024
Vanilla Swaptions	Adding the instruments priced by a volatility input.	Likely (v2.0 or v3.0?)	By end 2024
SABR model for options	Adding the parameters to construct SABR vol surfaces/ cuves.	Possible, with dependencies to other developments. (v3.0?)	By end 2024
Optimization of code	Using C extensions, or rust, or re-writing certain blocks to improve performance.	Likely to some degree, depending upon community adoption and contributions.	no ETA
AD backend	Changing the AD implementation to another 3rd party (JAX, PyAudi)	Very unlikely, maturity of those libraries must increase and the performance improvements must be sufficient to warrant such a large codebase change.	no ETA

1.2.0 (not released)

This version uses Rust bindings. See getting started for notes about installation changes.

Feature	Description
Performance	The modules rateslib.dual and rateslib.splines have been ported to Rust instead of Python to improve calculation times.
Splines	New methods ppev_single_dual(), ppev_single_dual2(), ppdnev_single_dual(), and ppdnev_single_dual2() have been added to ensure correct handling of AD with regards to both x-axis and y-axis variables. See section on using AD with splines
Splines	Added evaluate() for automatically handling which ppdnev method to use based on the AD sensitivities of the given x value.
Instruments	Basic FX Volatility Instruments have been added, including FXCall, FXPut, FXRiskReversal, FXStraddle, FXStrangle, and FXOptionStrat. See user guide section for more information.
FX Volatility	A new pricing component FXDeltaVolSmile has been added to allow pricing of single expiry FX Options with a Smile interpolated over a Delta axis.
AD	Added dual_norm_pdf() for AD safe standard normal probability density.
AD	Added newton_root() and newton_multi_root() for AD safe Newton root solving in one or multiple dimensions.
Bug	“ActActICMA” convention now handles frequency of “Z”, asserting that of “A”, albeit with a UserWarning.

1.1.0 (20th Mar 2024)

Feature	Description
Automatic Differentiation	Breaking Change! Dual number gradient method is no longer calculable on the object. Instead of dual.gradient(vars) use the following call gradient(dual, vars), using the provided function rateslib.dual.gradient().
Instruments	Added argument metric to Value so that specific Curve values derived as calculated figures (e.g. continuously compounded zero rate, or index value) can be calibrated by Solvers.
Bug	delta() and gamma() now work directly with given npv when fx is not provided.
Bug	npv() now returns 0.0 for historical payment dates correctly when given the local argument.
Bug	cashflows() no longer prints dual numbers to tables.
Performance	Curve iterations in the Solver were amended in the way they handle Dual variables in order to reduce upcasting and increase the speed of basic operations.
Performance	bsplev_single introduced a short circuit based on the positivity and support property to greatly improve time needed to solve curves with splines.
Performance	Curve with splines are remapped to use float posix timestamps rather than datetimes for building splines. Operations with floats are much faster than their equivalents using timedeltas.

1.0.0 (1st Feb 2024)

Feature	Description
Bug	cashflows() now correctly identifies the DF at cash settled payment date.
Bug	fixings_table() now generates exact results (not in approximate mode) when RFR fixings are included in any period.

0.7.0 (29th Nov 2023)

Feature	Description
Legs	Refactor how the defaults.fixings object works. Breaking change. Explained in Working with Fixings.
Legs	Allow fixings as a 2-tuple to manually define the first FloatPeriod (say as IBOR stub) and determine the rest from a Series. Also allow fx_fixings as a 2-tuple for similar reason for MTM XCS.
Instruments	Fly and Spread now express rate in basis point terms and not percent.
Instruments	Added calc_mode to BondFuture to calculate CME US treasury conversion factors correctly.
Instruments	ctd_index can now optionally return the ordered set of CTD indexes instead of just the CTD.
Instruments	Added cms() to perform multi-security CTD analysis on BondFuture.
Solver	Add an attribute result that contains retrievable iteration success or failure information.
Bug	Update analytic_delta() for STIRFuture to match delta.
Bug	Add the spec argument functionality missing for IndexFixedRateBond.
Bug	CompositeCurve now returns zero for DF item lookups prior to the initial node date.
Bug	net_basis now deducts accrued from the result when the prices are provided dirty.

0.6.0 (19th Oct 2023)

Feature	Description
Instruments	Add a STIRFuture class
Instruments	Merge all XCS classes into one, adding new arguments, fixed, leg2_fixed and leg2_mtm to differentiate between types.
Curves	Separate MultiCsaCurve from CompositeCurve for increased transparency on its action.
Curves	Add the ability to supply curves in a dict for forecasting FloatPeriods to be able handle interpolated stub periods under an “ibor” fixing_method.
Solver	Added the methods jacobian() and market_movements() for coordinating multiple Solvers.
Bug	Instrument spec with method_param set to 2 day lag for certain IBOR instruments.
Bug	The npv() method on a Portfolio no longer allows mixed currency outputs to be aggregated into a single float value.
Bug	Now emit a warning if a discount factor or rate is requested on a curve with a spline outside of the rightmost boundary of the spline interval.

0.5.1 (11 Sep 2023)

Feature	Description
Instruments	Rename FloatRateBond to FloatRateNote and removed the alias Swap.
Instruments	Add a spec keyword argument to allow instruments to be pre-defined and follow market conventions without the user needing to input these directly, but preserving an ability to overwrite specific values.
Instruments	Add calc_mode to Bonds to provide mechanisms to perform YTM calculations under different conventions and geographies.
Periods	FloatPeriod now allows averaging methods for determining the rate.
Curves	The shift() operation for Curves now defaults to using a CompositeCurve approach to preserve a constant spread to the underlying Curve via a dynamic association. Shifted curves can also optionally add id and collateral tags.
Schedule	A Schedule now has the arguments eval_date and eval_mode allow a tenor-tenor effective-termination input.
Defaults	Change the default Solver algorithm to “levenberg_marquardt” because it is more robust for new users, even if slower in general.
Bug	FXExchange can now be imported from rateslib and has been added to __init__.
Bug	cashflows_table() no longer returns empty when no collateral information is available.
Bug	fixings_table() now properly represents published fixing values as having zero nominal exposure.
Bug	solver.fx attribute is now properly passed through to the rate calculation of multi-currency instruments when fx is None.

0.4.0 (12 Aug 2023)

Feature	Description
Instruments	Added split_notional to FXSwap to more accurately reflect the interbank traded product.
Instruments	Added FXExchange, to provide booking FX spot or FX forward trades.
Legs	Removed all LegExchange types, and replaced by adding initial_exchange and final_exchange as arguments to basic Legs.
Instruments	The payment_lag_exchange parameter for FXSwap was removed in favour of using payment_lag.
Defaults	Added historic fixing data until end July for ESTR, SOFR, SWESTR, SONIA and NOWA, for testing and validation.
Instruments	Collateral tags were added to Curves to permit the new method cashflows_table which tabulates future cashflows according to currency and collateral type.
Performance	Calendars are now cached which improves general performance by about 10%.
Bug	When performing operations on CompositeCurves the resultant curve now correctly inherits the multi_csa parameters.
Bug	FloatPeriod fixing exposure tables were marginally overestimated by ignoring discounting effects. This is corrected.
Bug	NumPy.float128 datatype is not available on Windows and caused loading errors.
Bug	The holiday calendars: ‘ldn’, ‘tgt’, ‘nyc’, ‘stk’, ‘osl’, and ‘zur’, have been reviewed and validated historic fixings against the historic fixing data. These are also now fully documented.
Bug	CompositeCurve can now be constructed from ProxyCurve and Curve combinations.

0.3.1 (29 Jul 2023)

Feature	Description
Legs	Added IndexFixedLeg, ZeroIndexLeg, and IndexFixedLegExchange.
Instruments	Added IndexFixedRateBond, IIRS, ZCIS.
Curves	Added CompositeCurve.

0.2.0 (15 May 2023)

Feature	Description
Instruments	Added BondFuture.
Curves	Added IndexCurve.

0.1.0 (24 Apr 2023)

Feature	Description
Automatic Differentiation	A toolset for making risk sensitivity and gradient based calculations.
Calendars	A toolset for handling dates and holiday calendars for schedules.
Schedule	A toolset for generating financial schedules of financial instruments.
Splines	A toolset for allowing spline interpolation.
Curves	Initial classes for DF bases and value based interest rate curves.
Periods	Initial classes for handling fixed periods, float periods and cashflows.
Legs	Initial classes for aggregating periods.
Instruments	Adding standard financial instruments such as securities: bonds and bills, and derivatives such as: IRS, SBS, FRA, XCS, FXSwap
Solver	A set of algorithms for iteratively determining interest rate curves.
FX	Initial classes for handling FX rates an Fx forwards.