Change Log

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.