NEWS.md

In Reckziegel/FFP: Fully Flexible Probabilities for Stress Testing and Portfolio Construction

ffp (development version)

ffp 0.2.2

• Added relative_entropy() to compute the relative entropy between two distributions;
• entropy-pooling() runs about to 30-60% faster (#19);
• view_on_marginal_distribution() restricts just the first two moments of the distribution;
• Small changes in the documentation files.

ffp 0.2.1

• Bug fix in entropy_pooling() when dealing with multiple inequalities constraints;
• Small changes in the documentation files.

ffp 0.2.0

New Features

• A new class (ffp_views) was added to help the user to input views on the market for portfolio construction and simulation purposes. See the view_*() family of functions;
• entropy_pooling() is now exported and can be used with three different solvers (nlminb, solnl, and nloptr);
• bind_views() allows the user to "glue" multiple views into the same object;
• ffp_moments() computes the location and dispersion parameters under flexible probabilities.

Minor improvements and fixes

• bind_probs() now returns the user call in the third column instead the old arbitrary key column (#13);

ffp 0.1.0

• CRAN release.

ffp 0.0.1

• The package now is built upon S3 vctrs, instead of tibbles;
• Functions bootstrap_scenarios(), scenario_density() and bind_probs() only accepts objects of ffp class;
• Added ffp method to ggplot2::autoplot();
• Exponential Smoothing is now computed with exp_decay().

ffp 0.0.9000

• First release of the development version of ffp.

Reckziegel/FFP documentation built on Oct. 2, 2022, 3:40 a.m.