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avhz / RustQuant

Rust library for quantitative finance.
https://docs.rs/RustQuant
Apache License 2.0
969 stars 105 forks source link

chore: release v0.2.5 #220

Closed github-actions[bot] closed 2 months ago

github-actions[bot] commented 2 months ago

🤖 New release

Changelog

## [0.2.5](https://github.com/avhz/RustQuant/compare/v0.2.4...v0.2.5) - 2024-04-25 ### Other - 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](https://github.com/avhz/RustQuant/pull/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

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