Releases | Open Source Science

(https://github.com/avhz/RustQuant/pull/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

- Rust
Published by github-actions[bot] over 1 year ago

https://github.com/avhz/rustquant - v0.2.7

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..

- Rust
Published by github-actions[bot] over 1 year ago

https://github.com/avhz/rustquant - v0.2.6

Other

Merge pull request #221 from yfnaji/finitedifferencepricer_adjustments
Amend function name from matrixmultiplyvector to generalmatrixmultiply_vector
Amend tridiagonalmatrixmultiply_vector() by removing match statement and manually add first and final entries outside loop
Amend schemes to incorporate newly created tridiagonalmatrixmultiplyvector() and amendment in inverttridiagonal_matrix()
Introduce function exclusively for multiplication between tridiagonal matrix and vector + amend inverttridiagonalmatrix() 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 createtridiagonalmatrix() accordingly
Adjustments in crank_nicolson()
Adjustments in implicit()
Adjustments in explicit()
Refactor in createtridiagonalmatrix()
Correct error in implementation for call/put boundary conditions + remove unnecessary argument for boundaryconditionattimen()
Remove unnecessary parameter from createtridiagonalmatrix()

- Rust
Published by github-actions[bot] over 1 year ago

https://github.com/avhz/rustquant - v0.2.5

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/finitedifferencepricerwithvec
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 "toomanyarguments" warning
Remove rounding to 2 decimal places
Formatting + add data type annotation
Formatting in inverttridiagonalmatrix()
Amend logic for the construction for the inverse of a tridiagonal matrix to use match + avoid indexing
Amend for loop in matrixmultiplyvector() to avoid indexing
Change match to if statement for american time stop step
Amend matrixmultiplyvector 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 cranknicolson() to utilise timesteps and price_steps attribute + import Duration for unit tests
Remove timesteps() and pricesteps()
Set timesteps and pricesteps attributes in constructor
Add two attributes: timesteps and pricesteps
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 timetomaturity argument with evaluationdate and expirationdate
Import relevant time structs + functions
Refactor method names
Condense matrix multiplication methods into one method + only have one method to produce tridiagonal matrix
Rewrite inverttridiagonalmatrix() to take "trimmed" tridiagonal matrix data structure
Amend function names createtridiagonalmatrixwithoutzeros -> createtrimmedtridiagonalmatrix and tridiagonalmatrixmultiplyvector -> trimmedtridiagonalmatrixmultiplyvector + formatting
Amend explicit() and cranknicolson() to utilise createtridiagonalmatrixwithout_zeros()
Amend tridiagonalmatrixmultiply_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 finitedifferencepricer_mod
Code for FiniteDifferencePricer struct + tests

- Rust
Published by github-actions[bot] over 1 year ago

https://github.com/avhz/rustquant - v0.2.4

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)

- Rust
Published by github-actions[bot] almost 2 years ago

https://github.com/avhz/rustquant - v0.2.3

Other

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

- Rust
Published by github-actions[bot] almost 2 years ago

https://github.com/avhz/rustquant - v0.2.2

Other

fix exponential distribution constructor doc comment

- Rust
Published by github-actions[bot] almost 2 years ago

https://github.com/avhz/rustquant - v0.2.1

Added

started an mdBook

- Rust
Published by github-actions[bot] almost 2 years ago

https://github.com/avhz/rustquant - v0.2.0

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

- Rust
Published by github-actions[bot] almost 2 years ago

https://github.com/avhz/rustquant - v0.1.1

Other

clippy lints.

- Rust
Published by github-actions[bot] almost 2 years ago

https://github.com/avhz/rustquant - v0.1.0

Other

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

- Rust
Published by github-actions[bot] almost 2 years ago

https://github.com/avhz/rustquant - v0.0.49

Other

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

- Rust
Published by github-actions[bot] almost 2 years ago

https://github.com/avhz/rustquant - v0.0.48

Other

remove unused dependencies.

- Rust
Published by github-actions[bot] almost 2 years ago

https://github.com/avhz/rustquant - v0.0.47

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

- Rust
Published by github-actions[bot] almost 2 years ago

https://github.com/avhz/rustquant - v0.0.46

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

- Rust
Published by github-actions[bot] almost 2 years ago

https://github.com/avhz/rustquant - v0.0.45

Other

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

- Rust
Published by github-actions[bot] about 2 years ago

https://github.com/avhz/rustquant - v0.0.44

Added

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

Other

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

- Rust
Published by github-actions[bot] about 2 years ago

https://github.com/avhz/rustquant - v0.0.43

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'

- Rust
Published by github-actions[bot] about 2 years ago

https://github.com/avhz/rustquant - v0.0.42

Fixed

update barrier pricing

- Rust
Published by github-actions[bot] about 2 years ago

https://github.com/avhz/rustquant - v0.0.41

Other

implemented get quote for yahoo finance api

- Rust
Published by github-actions[bot] about 2 years ago

https://github.com/avhz/rustquant - v0.0.40

Other

Merge branch 'main' into interpolation

- Rust
Published by github-actions[bot] about 2 years ago

https://github.com/avhz/rustquant - v0.0.39

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

- Rust
Published by github-actions[bot] about 2 years ago

https://github.com/avhz/rustquant - v0.0.38

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)

- Rust
Published by github-actions[bot] over 2 years ago

https://github.com/avhz/rustquant - v0.0.37

Other

(https://github.com/avhz/RustQuant/pull/150) Fix gitignore problem.
(https://github.com/avhz/RustQuant/pull/150) Re-added correct logo.
(https://github.com/avhz/RustQuant/pull/150) Added Release-plz workflow.
(https://github.com/avhz/RustQuant/pull/150) Added Release-plz workflow.

- Rust
Published by github-actions[bot] over 2 years ago

https://github.com/avhz/rustquant - v0.0.32

- Rust
Published by avhz over 2 years ago

https://github.com/avhz/rustquant - v0.0.24

- Rust
Published by avhz over 2 years ago

https://github.com/avhz/rustquant - v0.0.21

- Rust
Published by avhz over 2 years ago

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