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Tags: simicd/smith-wilson-py

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v0.2.0

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feature: Estimate convergence factor alpha Estimate convergence factor alpha. The parameter determines the convergence speed of the yield curve towards the Ultimate Forward Rate (UFR). The parameter is estimated by finding the smallest value such that the difference between forward rate at convergence maturity and UFR is smaller than 1bps. Closes PR #4

v0.1.0

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build: Set up CI pipeline Set up GitHub Action pipeline for testing, building, and publishing the package Closes PR #3