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ChangeLog

PLEASE NOTE THAT THE API OF TRANSITION MATRIX IS STILL UNSTABLE AS MORE USE CASES / FEATURES ARE ADDED REGULARLY

v0.5.1 (29-09-2023)

  • Installation:
    • Bump python dependency to 3.10

v0.5.0 (21-02-2022)

  • Installation:
    • Bump python dependency to 3.7
    • PyPI release update

v0.4.9 (04-05-2021)

  • Refactoring: All non-core functionality moved to separate directories/sub-packages
    • credit curve stuff moved to credit ratings modules
    • data generators moved to generators modules
    • etc.
  • Documentation: Major expansion (Still incomplete)
    • Expanded Data Formats
    • Rating Scales, CQS etc
    • Listing all datasets and examples
  • Testing / Training: An interesting use case raised as issue #20
    • Added an end-to-end example of estimating a credit rating matrix from raw data
    • Includes various data preprocessing examples
  • Datasets:
    • rating_data.csv (cleaned up credit data)
    • synthetic_data10.csv Credit Rating Migrations in Long Format / Compact Form (for testing)
    • deterministic generator (replicate given trajectories)
  • Tests:
    • test_roundtrip.py testing via roundtriping methods

v0.4.8 (07-02-2021)

  • Documentation: Pulled all rst files in docs
  • Refactoring: credit rating data moved into separate module

v0.4.7 (29-09-2020)

  • Documentation: Expanded and updated description of classes
  • Documentation: Including Open Risk Academy code examples
  • Feature: logarithmic sankey visualization

v0.4.6 (22-05-2019)

  • Feature: Update of CQS Mappings, addition of new rating scales
  • Documentation: Documentation of rating scale structure and mappings
  • Training: Example of mapping portfolio data to CQS

v0.4.5 (21-04-2019)

  • Training: Monthly_from_Annual.ipynb (a Jupyter notebook illustrating how to obtain interpolate transition rates on monthly intervals)
  • Datasets: generic_monthly.json
  • Feature: print_matrix function for generic matrix pretty printing
  • Feature: matrix_exponent function for obtaining arbitrary integral matrices from a given generator

v0.4.4 (03-04-2019)

  • Documentation: Cleanup of docs following separation of threshold / portfolio models
  • Datasets: generic_multiperiod.json
  • Feature: CreditCurve class for holding credit curves

v0.4.3 (29-03-2019)

  • Refactoring: Significant rearrangement of code (the threshold models package moved to portfolioAnalytics for more consistent structure of the code base / functionality)

v0.4.2 (29-01-2019)

  • Feature: converter function in transitionMatrix.utils.converters to convert long form dataframes into canonical float form
  • Datasets: synthetic_data9.csv (datetime in string format)
  • Training: new data generator in examples/generate_synthetic_data.py to generate long format with string dates
  • Training: Additional example (=3) in examples/empirical_transition_matrix.py to process long format with string dates
  • Documentation: More detailed explanation of Long Data Formats with links to Open Risk Manual
  • Documentation: Enabled sphinx.ext.autosectionlabel for easy internal links / removed duplicate labels

v0.4.1 (31-10-2018)

  • Feature: Added functionality for conditioning multi-period transition matrices
  • Training: Example calculation and visualization of conditional matrices
  • Datasets: State space description and CGS mappings for top-6 credit rating agencies

v0.4.0 (23-10-2018)

  • Installation: First PyPI and wheel installation options
  • Feature: Added Aalen-Johansen Duration Estimator
  • Documentation: Major overhaul of documentation, now targeting ReadTheDocs distribution
  • Training: Streamlining of all examples
  • Datasets: Synthetic Datasets in long format

v0.3.1 (21-09-2018)

  • Feature: Expanded functionality to compute and visualize credit curves

v0.3 (27-08-2018)

  • Feature: Addition of portfolio models (formerly portfolio_analytics_library) for data generation and testing
  • Training: Added examples in jupyter notebook format

v0.2 (05-06-2018)

  • Feature: Addition of threshold generation algorithms

v0.1.3 (04-05-2018)

  • Documentation: Sphinx based documentation
  • Training: Additional visualization examples

v0.1.2 (05-12-2017)

  • Refactoring: Dataset paths
  • Bugfix: Correcting requirement dependencies (missing matplotlib)
  • Documentation: More detailed instructions

v0.1.1 (03-12-2017)

  • Feature: TransitionMatrix model: new methods to merge States, fix problematic probability matrices, I/O API's
  • Feature: TransitionMatrixSet mode: json and csv readers, methods for set-wise manipulations
  • Datasets: Additional multiperiod datasets (Standard and Poors historical corporate rating transition rates)
  • Feature: Enhanced matrix comparison functionality
  • Training: Three additional example workflows
    • fixing multiperiod matrices (completing State Space)
    • adjusting matrices for withdrawn entries
    • generating full multi-period sets from limited observations

v0.1.0 (11-11-2017)

  • First public release of the package