CHANGELOG.md

Python PyPI Package Releases

1.0.1

• Update pythonnet dependency from 2.4.0 to 2.5.1 (allows use of Python 3.8).

1.0.2

Update .NET Cmdty.TimeSeries reference to avoid clash with cmdty-storage package.

1.0.3

• Update pythonnet dependency from 2.5.1 to 2.5.2 (allows use of Python 3.9 in latest Anaconda).

1.1.0

• Updates bootstrapper algorithm:
  • Change from least-squares solution to find a solution that is closest to a target curve, rather than zero. Each point on the target curve is derived as the price of the smallest contract that each period is within.
  • Zero price is used as piecewise flat price for curve points in gaps. This fixes a bug, where the last price not in a gap is filled in.

1.2.0

• Update pythonnet dependency from 2.5.1 to 3.0.1 to allow compatibility with Python up to version 3.11.

1.3.0

• .NET binaries included in Python package target .NET Standard, not .NET Framework, hence compatible with more .NET types.
• For non-Windows OS default to trying .NET (Core), rather than Mono as default runtime.

2.0.0 (not yet released)

• Add return_spline_coeff parameter to max_smooth_interp function.
• Include target_curve parameter to bootstrap_contracts function.
• Added return_target_curve parameter to bootstrap_contracts function.
• Add tension parameter to maximum smoothness spline.
• Add hyberbolic_tension_spline function.