CHANGELOG.md

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]

0.2.9 - 2024-10-27

Added

• All variants of Generalised BSM model impl'd for vanilla option.

0.2.8 - 2024-10-16

Added

• BarrierOption Payoff and Monte-Carlo

Fixed

• fix discount factor for Bachelier backend

Other

• (#271) temp fix for Polars/hashbrown issue
• Merge pull request #268 from broadhed/267-bachelier-options-pricer-issue
• Merge pull request #266 from avhz/dependabot/cargo/plotly-0.10.0
• Merge pull request #265 from avhz/dependabot/cargo/polars-0.43.1
• Merge pull request #261 from avhz/dependabot/cargo/ndarray-0.16.1
• add tests, fix impl
• Add Netherlands calendar
• monte-carlo example
• vanilla option monte-carlo
• vanilla option monte-carlo
• market data
• fix some comments

0.2.7 - 2024-08-05

Added

• SpotCurve, DiscountCurve, ForwardCurve

Fixed

• underscored whitespace between badges
• curves module progress #96
• curves module progress #96
• adjust currencies macro

Other

• Update README.md
• Add license scan report and status
• update module table and fix badge whitespaces, resolves #249
• Update README.md
• Curve struct and impl, with placeholder modules for various curves.
• Merge remote-tracking branch 'MeetThePatel/strongly-typed-currencies' into strongly-typed-currencies
• Merge branch 'avhz:main' into strongly-typed-currencies
• re-working Curve and Surface. Again..
• re-working Curve and Surface. Again..

0.2.6 - 2024-07-04

Other

• Merge pull request #221 from yfnaji/finite_difference_pricer_adjustments
• Amend function name from matrix_multiply_vector to general_matrix_multiply_vector
• Amend tridiagonal_matrix_multiply_vector() by removing match statement and manually add first and final entries outside loop
• Amend schemes to incorporate newly created tridiagonal_matrix_multiply_vector() and amendment in invert_tridiagonal_matrix()
• Introduce function exclusively for multiplication between tridiagonal matrix and vector + amend invert_tridiagonal_matrix() to return matrix representation using only diagonal and sub/super diagonals arguments
• Amend error threshold and target values for unit tests
• Remove now obsolete time_structure()
• Remove obsolete diagonal functions + amend condition functions
• Amend schemes to approximate transformed Black-Scholes equation
• Amend argument datatype from functions to f64 and amending create_tridiagonal_matrix() accordingly
• Adjustments in crank_nicolson()
• Adjustments in implicit()
• Adjustments in explicit()
• Refactor in create_tridiagonal_matrix()
• Correct error in implementation for call/put boundary conditions + remove unnecessary argument for boundary_condition_at_time_n()
• Remove unnecessary parameter from create_tridiagonal_matrix()

0.2.5 - 2024-06-28

Other

• Cleanup from the exponential interpolation commit.
• Fixed exponential interpolator.
• minor clippy lints.
• Merge branch 'main' into fix/remove_warnings
• Fixing tests.
• Merge pull request #223 from avhz/dependabot/cargo/statrs-0.17.1
• Update README.md (expired Discord link)
• Finite-Difference Pricer unit tests: ITM and OTM options
• Finite-Difference Pricer unit tests: ATM options
• Finite-Difference Pricer unit tests: ATM options
• Merge pull request #211 from yfnaji/finite_difference_pricer_with_vec
• Take variable declaration outside of loop
• Separate unit tests for each method and amend according to previous changes on the branch
• Interpolate for odd number price_steps + encapsulate some functions
• Ignore clippy's "too_many_arguments" warning
• Remove rounding to 2 decimal places
• Formatting + add data type annotation
• Formatting in invert_tridiagonal_matrix()
• Amend logic for the construction for the inverse of a tridiagonal matrix to use match + avoid indexing
• Amend for loop in matrix_multiply_vector() to avoid indexing
• Change match to if statement for american time stop step
• Amend matrix_multiply_vector to use slice as data type of argument
• Minor amendment to unit test
• Amend Unit tests
• Reformat TypeFlag match
• Rewrite constructor to use assert macros
• Amend explicit(), implicit() and crank_nicolson() to utilise time_steps and price_steps attribute + import Duration for unit tests
• Remove time_steps() and price_steps()
• Set time_steps and price_steps attributes in constructor
• Add two attributes: time_steps and price_steps
• Use T variable in implicit()
• Introduce T variable to represent time to maturity and amend call/put_boundary functions + minor formatting
• Introduce year_fraction() function + amend time steps calculation to use Date objects
• Utilise new arguments in constructor
• Replace time_to_maturity argument with evaluation_date and expiration_date
• Import relevant time structs + functions
• Refactor method names
• Condense matrix multiplication methods into one method + only have one method to produce tridiagonal matrix
• Rewrite invert_tridiagonal_matrix() to take "trimmed" tridiagonal matrix data structure
• Amend function names create_tridiagonal_matrix_without_zeros -> create_trimmed_tridiagonal_matrix and tridiagonal_matrix_multiply_vector -> trimmed_tridiagonal_matrix_multiply_vector + formatting
• Amend explicit() and crank_nicolson() to utilise create_tridiagonal_matrix_without_zeros()
• Amend tridiagonal_matrix_multiply_vector() to handle new "no-outer zeros" representation of matrix
• Create new method to represent tridiagonal matrix without storing outer zeros
• Remove 'get' from function names
• Add finite_difference_pricer_mod
• Code for FiniteDifferencePricer struct + tests

0.2.4 - 2024-04-24

Other

• Update dependencies.
• Merge pull request #205 from y5/portfolio_getweights
• GitHub actions (fix failing tests)
• GitHub actions (split test actions: unit, doc, examples)
• GitHub actions (test)

0.2.3 - 2024-03-15

Other

• update plotters dep to GitHub repo (attempt to fix docs building issue #191)
• fix some tests
• minor book edit, CI edits.
• cargo_build, cargo_test
• deploy book, again.
• deploy book, again.
• deploy book
• cargo_test
• Create mdbook.yml

0.2.2 - 2024-03-13

Other

• fix exponential distribution constructor doc comment

0.2.1 - 2024-03-13

Added

• started an mdBook

0.2.0 - 2024-03-12

Added

• Rootfinding routines (Bisection, Brent, Newton-Raphson) and fixed unit/doc-test failures.

Fixed

• restructure Money module into Instruments and Cashflows

Other

• minor doc edits

0.1.1 - 2024-03-04

Other

• clippy lints.

0.0.49 - 2024-02-25

Other

• Merge branch 'main' of github.com:avhz/RustQuant
• remove more unused dependencies.

0.0.48 - 2024-02-24

Other

• remove unused dependencies.

0.0.46 - 2024-02-24

Added

• added derive_builder crate.

Other

• remove feature flags, move curves into data module.
• day counting submodule split into files.
• OffsetDateTime refactored to Date
• Merge branch 'main' of github.com:avhz/RustQuant
• working progress: exponential interpolator

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

• (#150) Fix gitignore problem.
• (#150) Re-added correct logo.
• (#150) Added Release-plz workflow.
• (#150) Added Release-plz workflow.

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

• Download time series data from Yahoo! Finance.

25 May 2023

• Read (write) from (to) .csv, .json, and .parquet files, using Polars DataFrames.

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.