v.0.11.0

Release Notes

• Heston Model Calibration Updates:

  • Refined Heston calibrator with improvements for stability and accuracy in parameter estimation.
  • Updated calibration process for better integration with volatility surfaces and implied volatility computations.

• Jump Process Enhancements:

  • Reworked various jump processes, including the introduction of Merton jump pricer and KOU model for enhanced modeling capabilities in stochastic environments.

• New Stochastic Processes:

  • Added support for CGMY and tempered stable processes, expanding the library's modeling scope for heavy-tailed and Lévy-driven processes.
  • Introduced the ADG and 2-factor CIR models, providing advanced options for interest rate modeling.

• Mallinavin Derivatives and Isonormal Generator:

  • Implemented improved calculations for Malliavin derivatives, allowing for enhanced sensitivity analysis in stochastic calculus applications.
  • Added isonormal generator, facilitating the generation of Gaussian noise for various processes.

• Option Pricing Extensions:

  • Added finite differences pricer and Asian option pricer, enhancing the library’s range of pricing models.
  • Implemented Black-Scholes implied volatility calculation and integrated it within the Heston pricer for cohesive volatility analysis.

• Versioning and Documentation:

  • Regular version bumps and documentation updates for improved clarity and usability.
  • Organized and refined calibration logic, enhancing code readability and maintainability.

• CI/CD and Code Quality:

  • Updated rust.yml to support continuous integration and testing.
  • Integrated Codecov for improved test coverage monitoring, ensuring consistent code quality.

Full Changelog: v.0.10.0...v.0.11.0

v.0.10.0

What's news?

The stochastic module has been refactored to provide a cleaner and more user-friendly API.

Full Changelog: v.0.9.2...v.0.10.0

v.0.9.2

What's new?

• CEV process was added
• Malliavin derivate of CEV, GBM and vol of SABR
• Docs improvements

What's Changed

• Add license scan report and status by @fossabot in #10

New Contributors

• @fossabot made their first contribution in #10

Full Changelog: v.0.9.0...v.0.9.2

v.0.9.0

Stochastic Updates:

• General Multithreaded Process Generation: Enhanced performance and efficiency in stochastic process simulations.
• Improved FGN-based Models Data Generation: Better data generation from Fractional Gaussian Noise models.
• Hull-White One-Factor Model: Newly implemented for more accurate interest rate modeling.
• Hull-White Two-Factor Model: Added for advanced interest rate predictions.
• Heston 3/2 Model: Integrated into our suite for sophisticated volatility modeling.

Quantitative Finance:

• Heston Pricing Model: Implemented for pricing options under the Heston model assumptions.
• Heston Model Calibration: Tools for calibrating the Heston model to market data.
• Yahoo API module: Tool for retrieve data for testing

Options:

• BSM (Black-Scholes-Merton Model): Enhanced implementation of this fundamental option pricing model.

Bonds:

• CIR (Cox-Ingersoll-Ross Model): Updated with new analytical methods.
• Vasicek Model: Improved stability and performance.
• Hull-White Model: Note that this implementation is currently unstable and should be used with caution.

AI Module:

• FOU-LSTM: A combination of Fractional Ornstein-Uhlenbeck processes with Long Short-Term Memory networks (under construction).
• FOU-VAE: Integration of Fractional Ornstein-Uhlenbeck processes with Variational Autoencoders (under construction).

Statistical Tools:

• Fractal Dimension Analysis: New methods such as Higuchi and variogram approaches added.
• NMLE for Heston Parameters Estimation: Nonlinear Maximum Likelihood Estimation methods implemented for parameter estimation in the Heston model.
• CIR Future Value, PDF, and Asymptotic PDF: New analytical tools for deeper insights into the Cox-Ingersoll-Ross model.

Breaking Changes:

• Finalized Library Structure and Naming Conventions: This release includes breaking changes to the library structure and naming conventions. Please see the migration guide attached for instructions on updating your existing codebase to work with the new version.

stochastic-rs v.0.8.2

Bug fixes 🐞

• Fix: Cir based models to avoid negative values
• Fix: Correlated models rho condition
• Fix: Correlated Cgns return value

Full Changelog: v.0.8.0...v.0.8.2

v.0.8.0

What's Changed

• feat: rework api and improve performance by @dancixx in #4
• feat: add rbergomi by @dancixx in #8

Full Changelog: v.0.7.1...v.0.8.0

v.0.7.1

The rand complex generation in the Fgn has changed to multithreaded. The purpose of this crate is to generate synthetic data as fast as possible. If you want to reduce the max performance, then you can use the env RAYON_NUM_THREADS to set the allowed thread count. More information is available here 👉 https://github.com/rayon-rs/rayon/blob/main/FAQ.md

What's Changed

• feat: make rand complex to multithread by @dancixx in #7

Full Changelog: v.0.7.0...v.0.7.1

v.0.7.0

What's Changed

• Feat/imporve fgn perf by @dancixx in #6

Full Changelog: v.0.6.3...v.0.7.0

v.0.6.3

Bug fixes

• Jump Fou noise generation

Full Changelog: v.0.6.2...v.0.6.3

v.0.6.2

Bug Fixes

• Correlated Brownian Motions
• Correlated Fractional Brownian Motions
• Bates Model

Additions

• Correlated Gaussian Noises
• Correlated Fractional Gaussian Noises

Full Changelog: v.0.6.1...v.0.6.2