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Kuwala Changelog

All notable changes across sequential milestones are documented in this file.

[0.5.0] - Relative-Value Research Layer & Backtest Bridges

Added

  • Volatility Risk Premium (VRP) signal engine: signals.vrp(surface, realized_window=20).
  • Realized Volatility Estimators: Close-to-Close, Parkinson (High-Low), Garman-Klass (OHLC), Rogers-Satchell.
  • Skew Relative-Value metrics: 90/110 slope, curvature, 25-delta Risk Reversal.
  • Term-structure roll-down and forward volatility curves.
  • Surface PCA decomposition (Level, Slope, Curvature).
  • Overfitting safeguards: Purged K-Fold Cross Validation with time-series embargo and expanding-window walk-forward validation harness.
  • Zero-copy backtest bridges to vectorbt and backtrader.

[0.4.0] - Dupire Local Volatility & Surface Analytics

Added

  • Discrete Dupire Local Volatility PDE extraction in total variance / log-moneyness coordinates.
  • Mathematical guard rails linking Durrleman butterfly arbitrage directly to local variance non-negativity.
  • Rich VolatilitySurface research object with surface.shock() scenario analysis and surface.greeks().

[0.3.0] - SSVI Arbitrage-Free Surface Calibration

Added

  • Gatheral & Jacquier (2014) Surface SVI (SSVI) power-law parameterization.
  • Multi-tenor global calibration with multi-start Differential Evolution and L-BFGS-B polishing.
  • Explicit surface.diagnostics() reporting butterfly violations ($g(k) < 0$) and calendar arbitrage with specific strikes/tenors.
  • 3D surface and 2D smile visualization.

[0.2.0] - Unified Data Pipeline & Out-of-Core Storage

Added

  • Data Adapters: Yahoo Finance, FRED macroeconomic yields, SEC EDGAR XBRL corporate actions, Dukascopy tick downloader, and Nasdaq Data Link.
  • Decoupled Tick-to-OHLCV aggregation.
  • Embedded DuckDB + Apache Arrow / Parquet out-of-core persistence engine (kuwala.data.store).
  • Data cleaning pipeline filtering crossed markets and zero bids.

[0.1.0] - Quantitative & Architectural Foundation

Added

  • Analytical Black-Scholes (1973) and Black-76 (1976) option pricers.
  • Complete 1st and 2nd order analytical Greeks (Delta, Gamma, Vega, Theta, Rho, Vanna, Volga/Vomma, Charm).
  • High-performance compiled Rust core (kuwala_core) via PyO3/Maturin.
  • Hybrid Halley / Brent-Dekker Implied Volatility solver reaching >1.36 million options/sec.
  • Normalized data models (OptionQuote, OptionChain, VolatilityObservation) with strict UTC ISO-8601 timestamps and ACT/365 day-count conventions.