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Changelog

All notable changes to Neutryx Core will be documented in this file.

The format is based on Keep a Changelog, and this project adheres to Semantic Versioning.

[Unreleased]

Planned (v1.1 - Q3 2026)

  • Black-Litterman model with views integration
  • Minimum variance and maximum Sharpe ratio optimization
  • Robust optimization with uncertainty sets
  • Dynamic programming for multi-period allocation
  • Reinforcement learning for adaptive allocation (PPO, A3C)
  • Data lineage and provenance tracking
  • SIMM upgrade to version 3.0+

Planned (v0.3.0 completion - Q4 2025)

  • RFQ workflow and auction mechanisms
  • CCP integration (LCH SwapClear, CME, ICE Clear, Eurex)
  • Settlement systems (CLS, Euroclear/Clearstream, SWIFT messaging)
  • Additional Lévy processes (NIG, CGMY)
  • IR model extensions (G2++, Quasi-Gaussian)

[1.0.3] - 2025-11 (Latest)

Added - Portfolio Optimization & Research Tools

  • Portfolio Optimization
  • Mean-variance optimization (Markowitz) with efficient frontier
  • Risk parity portfolios with iterative risk balancing
  • CVaR/ES optimization for tail risk management

  • Portfolio rebalancing and performance tracking

  • Factor Analysis

  • Principal component analysis (PCA) for dimension reduction
  • Barra-style factor risk models with multi-factor decomposition
  • Style attribution (value, growth, momentum, size, quality)

  • Factor timing and allocation strategies

  • Backtesting Framework

  • Historical strategy simulation with realistic execution
  • Walk-forward analysis and optimization
  • Transaction cost modeling (spread, slippage, market impact)
  • Performance attribution and risk decomposition
  • Sharpe, Sortino, Calmar ratios and drawdown analysis

Tests

  • 80+ new tests for portfolio optimization and analytics
  • Comprehensive backtesting validation
  • Factor model accuracy tests

[1.0.0] - 2025-06 (Major Release)

Added - Production Enterprise Platform

Enterprise Security & Access Control - SSO (Single Sign-On) with OAuth 2.0/OpenID Connect - Fine-grained role-based access control (RBAC) - Multi-factor authentication (MFA) - LDAP/Active Directory integration - API key and JWT token management

Audit & Compliance - Immutable audit trail with user action tracking - Maker-checker workflow with 4-eyes principle - Approval workflows and compliance attestation - Regulatory reporting framework (EMIR, MiFID II, Basel)

Multi-Tenancy - Multi-desk/legal entity isolation - Geography-based data segregation and residency - Compute quota management and cost allocation - SLA monitoring and reporting by tenant

Collateral Management - ISDA SIMM initial margin calculation - Variation margin calculation and dispute resolution - Margin call generation with aging analysis - Collateral optimization engine - Collateral transformation strategies - Pledge vs rehypothecation tracking with CSA framework

Distributed Computing & Scalability - Kubernetes deployment support with auto-scaling - Risk grid architecture for distributed calculations - Multi-region deployment with disaster recovery - Fault tolerance and automatic recovery (workflow checkpointing) - Health checks and graceful degradation

GPU/TPU Acceleration - Multi-GPU Monte Carlo simulation with pmap/pjit - PDE solver GPU acceleration - Batch pricing optimization across devices - Parallel Greeks calculation on GPU/TPU

Algorithmic Improvements - Adjoint automatic differentiation (AAD) for all product types - Variance reduction techniques (antithetic, control variates, importance sampling) - Quasi-random number generation (Sobol, Halton sequences) - Multilevel Monte Carlo (MLMC) for faster convergence - Adaptive Mesh Refinement (AMR) for PDE solvers with error-driven refinement

Changed

  • Enhanced API security with JWT and OAuth 2.0
  • Improved observability with distributed tracing correlation IDs
  • Optimized memory usage in Monte Carlo simulations

Tests

  • Reached 500+ comprehensive tests across all modules
  • Added enterprise security integration tests
  • K8s deployment tests
  • GPU/TPU performance benchmarks

[0.4.0] - 2026-01

Added - Regulatory Compliance

FRTB (Fundamental Review of the Trading Book) - Standardized Approach (SA) - Delta risk charge by risk class (IR, FX, Equity, Credit, Commodity) - Vega risk charge with smile risk - Curvature risk charge for non-linear products - Default Risk Charge (DRC) for credit-sensitive instruments - Residual Risk Add-On (RRAO) for exotic payoffs and behavioral risks

  • Internal Models Approach (IMA)
  • Expected Shortfall (ES) at 97.5% confidence level
  • P&L attribution test for regulatory backtesting
  • Traffic light backtesting framework with breach thresholds
  • Non-modellable risk factors (NMRF) identification and treatment
  • Model risk capital add-ons

SA-CCR (Standardized Approach for Counterparty Credit Risk) - Replacement cost (RC) calculation for mark-to-market exposure - Potential future exposure (PFE) add-on by asset class - Asset class specific calculations (IR, FX, Credit, Equity, Commodity) - Margined vs unmargined netting set treatment - Maturity buckets and supervisory durations - Hedging set construction with offset recognition - Basis risk and cross-currency basis handling

Initial Margin (SIMM & UMR) - ISDA SIMM 2.6 implementation - Risk factor sensitivities (delta, vega, curvature) - Correlation matrices by product class - Concentration thresholds and risk weights - Product class calculations (RatesFX, Credit, Equity, Commodity) - Uncleared Margin Rules (UMR) compliance - IM/VM posting and collection workflows - Custodian integration and pledge tracking - AANA and MTA threshold monitoring

Accounting Standards - IFRS 9 classification and measurement for derivatives - Expected Credit Loss (ECL) calculation with staging - Hedge effectiveness testing (prospective and retrospective) - IFRS 13 fair value hierarchy (Level 1/2/3) classification - Valuation adjustments documentation (CVA, DVA, FVA) - Financial statement disclosure requirements

Tests

  • 120+ new regulatory compliance tests
  • FRTB SA/IMA validation tests
  • SA-CCR exposure calculation tests
  • SIMM sensitivities and IM calculation tests
  • IFRS 9/13 accounting tests

[0.2.0] - 2025-04

Added - Advanced Calibration & Model Enhancements

Joint Calibration Framework - Multi-instrument simultaneous calibration (caps/floors + swaptions) - Cross-asset calibration (FX smile + equity correlation) - Time-dependent parameter fitting with smoothness constraints - Weighted least squares with heteroscedastic error handling

Regularization & Stability - Tikhonov regularization for ill-posed problems - L1/L2 penalty methods for parameter sparsity - Arbitrage-free constraint enforcement - Smoothness penalties for local volatility surfaces - Positivity constraints for variance parameters

Advanced Model Selection - Out-of-sample validation framework - Rolling window backtesting for time-series models - Bayesian model averaging for robust predictions - Model combination with optimal weights - Comprehensive diagnostic suite for calibration quality - Parameter uncertainty quantification

Enhanced Models - Stochastic Local Volatility (SLV) hybrid models - Variance Gamma process with time-change - Jump clustering models for equity - Student-t copula for credit tail dependence - Large Portfolio Approximation (LPA) for CDOs - CreditMetrics framework integration - Merton and Black-Cox structural credit models

Tests

  • 60+ new calibration and model tests
  • Joint calibration validation
  • Bayesian averaging accuracy tests
  • Model selection cross-validation tests

[0.1.0] - 2025-01 (Initial Release)

Added - Foundation

Core Infrastructure - Monte Carlo simulation engine with JAX JIT compilation - PDE solvers (Crank-Nicolson with boundary conditions) - Automatic differentiation framework with Hessian-vector products - GPU/TPU optimization with pmap/pjit - Mixed-precision support for efficient computation - YAML-based configuration system - Reproducible PRNG seeding across Python, NumPy, and JAX

Models - Black-Scholes analytical pricing and Greeks - Geometric Brownian Motion (GBM) simulation - Heston stochastic volatility model - SABR volatility model - Jump diffusion models (Merton, Kou) - Variance Gamma process - Tree-based pricing methods - Hull-White interest rate models (1F/2F) - Black-Karasinski model - Cheyette, LGM, LMM/BGM, HJM, CIR, Vasicek IR models - FX models (Garman-Kohlhagen, FX Heston, FX SABR, FX Bates) - Gaussian copula credit models

Products - Vanilla European options (call/put) - American options via Longstaff-Schwartz Monte Carlo - Asian options (arithmetic/geometric average) - Barrier options (up/down, in/out, window) - Lookback options (fixed/floating strike) - Interest rate swaps (IRS, OIS, cross-currency, basis swaps) - Caps, floors, collars, FRAs - Swaptions (European, American, Bermudan) - CMS products with convexity adjustments - Exotic IR: Range accruals, TARN, snowball notes, autocallable notes - CDS pricing with ISDA model - Equity forwards, dividend swaps, variance swaps, TRS - Commodity forwards with storage and convenience yield - VIX futures and variance swaps - Inflation-linked bonds (TIPS)

Risk & Analytics - Greeks calculation (Delta, Gamma, Vega, Theta, Rho) - Higher-order Greeks (vanna, volga, charm, veta, speed, zomma, color) - Pathwise and bump sensitivity methods - VaR methodologies (Historical, Monte Carlo, Parametric) - Expected Shortfall (ES/CVaR) - Incremental VaR and Component VaR - Stress testing with 25+ historical scenarios - Position limits and pre-trade controls - XVA suite (CVA, DVA, FVA, MVA, KVA) - Exposure simulation (EE, PFE, EPE) - Wrong-way risk modeling - P&L attribution framework

Market Data Infrastructure - Bloomberg Terminal/API integration - Refinitiv Data Platform (RDP) and Eikon Desktop support - PostgreSQL time-series optimized storage - MongoDB flexible document storage - TimescaleDB with automatic compression (up to 90%) - Data validation and quality checks - Feed management with automatic failover

Observability & Monitoring - Prometheus metrics export (custom business metrics) - Grafana dashboards (pre-built for pricing, risk, XVA) - OpenTelemetry integration with Jaeger for distributed tracing - Automatic performance profiling of slow requests - Intelligent alerting with configurable thresholds

Calibration - Differentiable calibration framework with Adam, L-BFGS optimizers - Parameter estimation with diagnostics - Model selection (AIC, BIC, AICc, HQIC) - Cross-validation (k-fold, time-series) - Sensitivity analysis (local finite differences, global Sobol indices) - Identifiability checks and residual analysis

APIs & Services - REST API with FastAPI - gRPC service interface - CLI tools for batch processing - Interactive Dash dashboard for pricing and Greeks - Streaming quotes with real-time updates

Quality & Testing - 370+ comprehensive test files - Unit, integration, and regression tests - Performance benchmarking suite - Precision validation tests - Code quality enforcement (ruff, black, mypy) - Security scanning with bandit - Type checking with pydantic

Documentation - Comprehensive README with examples - API reference documentation - Design decision documents - Architecture overview - Tutorial notebooks - Example scripts for all product types - Performance tuning guide

Technical Details

  • Python 3.10+ required
  • JAX 0.4.26+ for autodiff and JIT compilation
  • FastAPI for REST services
  • gRPC for high-performance RPC
  • Pydantic for configuration validation
  • Prometheus, Grafana, Jaeger for observability

Version History Summary

Version Release Date Focus Tests Key Features
v0.1.0 Jan 2025 Foundation & core pricing 370+ Multi-asset products, market data, observability
v0.2.0 Apr 2025 Advanced calibration +60 Joint calibration, Bayesian averaging, SLV
v0.4.0 Jan 2026 Regulatory compliance +120 FRTB SA/IMA, DRC/RRAO, SA-CCR, SIMM, IFRS 9/13
v1.0.0 Jun 2026 Enterprise platform +50 SSO/OAuth/MFA/LDAP, K8s deployment, AMR, collateral
v1.0.3 Nov 2025 Analytics & research +80 Backtesting, factor analysis, portfolio optimization
Total Current Production-ready 500+ Complete enterprise derivatives platform

Upgrade Notes

v0.1.0 → v0.2.0

  • No breaking changes
  • New calibration API with enhanced regularization
  • Additional model constructors for SLV and jump clustering

v0.2.0 → v0.4.0

  • No breaking changes
  • New regulatory modules under neutryx.valuations.regulatory
  • SIMM calculation requires additional market data inputs

v0.4.0 → v1.0.0

  • Authentication now required for all API endpoints
  • Environment variables needed for OAuth/LDAP configuration
  • Kubernetes deployment examples available in documentation
  • New collateral management API endpoints

v1.0.0 → v1.0.3

  • No breaking changes
  • New portfolio optimization and analytics modules
  • Additional dependencies for backtesting framework (see requirements.txt)

Maintained by: Neutryx Team Last Updated: November 2025

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