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Changelog

All notable changes to this project will be documented in this file.

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

[Unreleased]

0.0.45 - 2024-02-04

Other

  • moved references to separate .md file
  • Merge pull request #181 from maacl/patch-1
  • moved stochastic process models to models module.

0.0.44 - 2024-02-01

Added

  • Implied Volatility implementation (Let's Be Rational - Peter Jaeckel)

Other

  • Merge remote-tracking branch 'refs/remotes/origin/main'

0.0.43 - 2024-01-31

Added

  • improve fft fbm generator

Fixed

  • fix naming THRESHOLD
  • fix Gaussian cdf test, values as sympy and mpmath fix
  • missing docs
  • build error
  • resolve timedependent issues

Other

  • Slight re-factor of IV module.
  • Merge pull request #174 from lukaskiss222/feature/implied_volatility
  • separators
  • remove neg before comparator + new test case
  • solve most clippy issues
  • errorfunctions erfc for cdf
  • small fixes
  • must use
  • apply clippy
  • remove dbg
  • Add middle box test
  • documentation fix
  • documentation
  • extreme case precision 1e-13
  • ITM + extreme case price ~ 1e-19
  • OTM passed
  • sync merton jump
  • Merge pull request #171 from lukaskiss222/fix-inverse-gaussian-cdf
  • Merge pull request #146 from dancixx/main
  • Merge remote-tracking branch 'upstream'

0.0.42 - 2023-12-21

Fixed

  • update barrier pricing

0.0.41 - 2023-12-16

Other

  • implemented get quote for yahoo finance api

0.0.40 - 2023-12-13

Other

  • Merge branch 'main' into interpolation

0.0.39 - 2023-11-26

Fixed

  • denmark calender: general prayer day is no longer a public holiday from 2024

Other

  • Merge pull request #159 from robertchristensen/docs/fix-warnings
  • #142 - tests for denmark calendar
  • #142 - tests for calendars & update Hong Kong calendar
  • #142 - tests for calendars

0.0.38 - 2023-11-14

Other

  • #142 - Add more calendars (Czech Rep., Denmark, Finland, France, Germany, Hong Kong)
  • Fix some clippy lints.
  • Add ISO code implementations (ISO-4217, ISO-3166, ISO-10383)
  • #142 - Add calendar boilerplate
  • #142 - Add calendars (Argentina, Botswana, Brazil, Chile, China)

0.0.37 - 2023-11-12

Other

Change Log

October 26 2023

  • @avhz: Added Constant Elasticity of Variance (CEV) model process generator.

October 24 2023

  • @kinrezC: Added Merton Jump Diffusion and Brownian Bridge process generators.

October 23 2023

  • @autoparallel: Added TimeDependent parameters for all stochastic processes.

October 17 2023

  • @dancixx: Fractional Ornstein-Uhlenbeck process generator.

October 9 2023

  • @aatmunbaxi: KNN classifier.

4 October 2023

  • @avhz: Added 5% padding to the y-axis in the plot_vector macro.
  • @avhz: Updated the curves module.
  • @avhz: Included a yield curve interpolation example here with a plot output here

3 October 2023

  • @avhz: Added curves module for rate curves (work in progress).
    • Currently only supports linear interpolation, but will add more interpolation methods soon.

1 October 2023

  • @avhz: Added basic Portfolio interface. Work in progress.
  • @avhz: Added power option contract pricer.

17 September 2023

  • @avhz: More Greeks for BSM model: theta, rho, phi, zeta, strike-delta, strike-gamma.

17 September 2023

  • @avhz: More Greeks for BSM model: vega, vomma, ultima, vega bleed (adding more soon).

16 September 2023

  • @avhz: Greeks for BSM model: delta, vanna, charm, lambda, gamma, zomma, speed, colour (adding more soon).
  • @avhz: Clean up year fraction computation for some options.

15 September 2023

  • Generalised Black-Scholes-Merton option pricer by @avhz.
  • Bachelier and Modified Bachelier option pricers by @avhz.

14 September 2023

  • Added Result wrapping for statistics module.

13 September 2023

  • Re-licensing from GPL3 to dual Apache2/MIT licenses.

29 August 2023

  • plotting mod deprecated, plot_vector is now a macro.
  • Statistic trait for computing statistics on Vec<f64> objects.
  • Remove utilities module (macros and plotting are in root module now).

28 August 2023

  • Cashflows can now be added, subtracted, multiplied, and divided.
  • Legs are now available, which are collections of Cashflows.

27 August 2023

  • 150+ currencies added (definitions according to ISO 4217).
  • Basic arithmetic operations (addition, subtraction, multiplication, division) on Money objects.
  • Fractional Brownian Motion generator.

6 July 2023

  • Compute returns (simple, arithmetic, absolute) on Yahoo! Finance timeseries downloaded into Polars DataFrames.

27 June 2023

  • Moved options and bonds modules to the parent module instruments.
  • Moved cashflows, quotes and currencies modules to the parent module money.

21 June 2023

  • Updated regression to use QR or SVD decomposition.

20 June 2023

  • Simple linear regression using nalgebra.

12 June 2023

  • Gradient descent optimizer for functions $f: \mathbb{R}^n \rightarrow \mathbb{R}$.

5 June 2023

  • Additional stochastic process generators
    • Ho-Lee model
    • Hull-White model
    • Black-Derman-Toy model

26 May 2023

25 May 2023

Older

  • Arithmetic Brownian Motion generator.
  • Gamma, exponential, and chi-squared distributions.
  • Forward start option pricer (Rubinstein 1990 formula).
  • Gap option and cash-or-nothing option pricers (currently adding more binary options).
  • Asian option pricer (closed-form solution for continuous geometric average).
  • Heston Model option pricer (uses the tanh-sinh quadrature numerical integrator).
  • Tanh-sinh (double exponential) quadrature for evaluating integrals.
    • Plus other basic numerical integrators (midpoint, trapezoid, Simpson's 3/8).
  • Characteristic functions and density functions for common distributions:
    • Gaussian, Bernoulli, Binomial, Poisson, Uniform, Chi-Squared, Gamma, and Exponential.