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

v.0.6.1

Full Changelog: v.0.6.0...v.0.6.1

v.0.6.0

Breaking Change

Migration Guide: Refactoring Functions

Before

pub fn jump_fou(
  hurst: f64,
  mu: f64,
  sigma: f64,
  theta: f64,
  lambda: f64,
  n: usize,
  x0: Option<f64>,
  t: Option<f64>,
  jump_distr: impl Distribution<f64> + Copy,
) -> Array1<f64>

After

#[derive(Default)]
pub struct JumpFou {
  pub hurst: f64,
  pub mu: f64,
  pub sigma: f64,
  pub theta: f64,
  pub lambda: f64,
  pub n: usize,
  pub x0: Option<f64>,
  pub t: Option<f64>,
}

pub fn jump_fou(params: &JumpFou, jump_distr: impl Distribution<f64> + Copy) -> Array1<f64>

Bug fixes

• Jumps part of jump diffusions (still unstable)

Full Changelog: v.0.5.3...v.0.5.4
Full Changelog: v.0.5.4...v.0.5.5
Full Changelog: v.0.5.5...v.0.5.6
Full Changelog: v.0.5.6...v.0.6.0