All notable changes to this project will be documented in this file.
- European option pricing model (Monte-Carlo and Black-Scholes)
- directory with tutorials to root
- graphs for select models to README and Index
- documentation for functions and objects to models
- graphs into Index and README
- structure of the project into quantfin/ directory
- models are executable from shell (if name=="main")
- relevant parts of calibration module migrated to HoltWinters, ARIMA respectively
- Linear asset pricing model (YTM-IRR)
- configuration of the environment to configs/*.yaml
- .gitignore file with the list of cache files
- optimization and tsa branches
- structure of the project into resources/ directory
- paths to applications in Index and README, minor edits
- correct date of the last commit in CHANGELOG
- SARIMA configurations from configs/
- python and jupyter-notebook cache files
- save/load SARIMA configurations function
- GJR-GARCH model with unsupervised optimization algorithm
- ARIMA unsupervised trend and seasonality detection
- CHANGELOG section for tracking project development
- Directory ./configs/ for storing parameters of models
- Methods to save/load SARIMA configuration from *.csv and *.p files
- Seasonal ARIMA model resources, optimization algorithm
- Enhanced graphs of ARIMA
- Appended README and Index with GARCH model application
- Newest on top arrangement of models in Index
- ARIMA pickle config files from root directory
- ^TNX.csv from data due to corrupted data
- Seasonal ARIMA model
- Holt-Winters model
- Exponential smoothing methods
- TSA resources to data directory for training models
- MIT license, README section with Index to applications