diff --git a/Cargo.toml b/Cargo.toml index 6cf5ed73..8651d4cf 100644 --- a/Cargo.toml +++ b/Cargo.toml @@ -10,7 +10,7 @@ [workspace.package] authors = ["avhz "] description = "A Rust library for quantitative finance." -version = "0.4.0" +version = "0.5.0" edition = "2021" readme = "README.md" repository = "https://github.com/avhz/RustQuant" @@ -65,22 +65,22 @@ rustdoc-args = ["--html-in-header", "katex.html", "--cfg", "docsrs"] [workspace.dependencies] ## RustQuant Crates -RustQuant_autodiff = { version = "0.4.0", path = "crates/RustQuant_autodiff" } -RustQuant_cashflows = { version = "0.4.0", path = "crates/RustQuant_cashflows" } -RustQuant_data = { version = "0.4.0", path = "crates/RustQuant_data" } -RustQuant_enums = { version = "0.4.0", path = "crates/RustQuant_enums" } -RustQuant_error = { version = "0.4.0", path = "crates/RustQuant_error" } -RustQuant_instruments = { version = "0.4.0", path = "crates/RustQuant_instruments" } -RustQuant_iso = { version = "0.4.0", path = "crates/RustQuant_iso" } -RustQuant_math = { version = "0.4.0", path = "crates/RustQuant_math" } -RustQuant_models = { version = "0.4.0", path = "crates/RustQuant_models" } -RustQuant_ml = { version = "0.4.0", path = "crates/RustQuant_ml" } -RustQuant_portfolios = { version = "0.4.0", path = "crates/RustQuant_portfolios" } -RustQuant_pricing = { version = "0.4.0", path = "crates/RustQuant_pricing" } -RustQuant_stochastics = { version = "0.4.0", path = "crates/RustQuant_stochastics" } -RustQuant_time = { version = "0.4.0", path = "crates/RustQuant_time" } -RustQuant_trading = { version = "0.4.0", path = "crates/RustQuant_trading" } -RustQuant_utils = { version = "0.4.0", path = "crates/RustQuant_utils" } +RustQuant_autodiff = { version = "0.5.0", path = "crates/RustQuant_autodiff" } +RustQuant_cashflows = { version = "0.5.0", path = "crates/RustQuant_cashflows" } +RustQuant_data = { version = "0.5.0", path = "crates/RustQuant_data" } +RustQuant_enums = { version = "0.5.0", path = "crates/RustQuant_enums" } +RustQuant_error = { version = "0.5.0", path = "crates/RustQuant_error" } +RustQuant_instruments = { version = "0.5.0", path = "crates/RustQuant_instruments" } +RustQuant_iso = { version = "0.5.0", path = "crates/RustQuant_iso" } +RustQuant_math = { version = "0.5.0", path = "crates/RustQuant_math" } +RustQuant_models = { version = "0.5.0", path = "crates/RustQuant_models" } +RustQuant_ml = { version = "0.5.0", path = "crates/RustQuant_ml" } +RustQuant_portfolios = { version = "0.5.0", path = "crates/RustQuant_portfolios" } +RustQuant_pricing = { version = "0.5.0", path = "crates/RustQuant_pricing" } +RustQuant_stochastics = { version = "0.5.0", path = "crates/RustQuant_stochastics" } +RustQuant_time = { version = "0.5.0", path = "crates/RustQuant_time" } +RustQuant_trading = { version = "0.5.0", path = "crates/RustQuant_trading" } +RustQuant_utils = { version = "0.5.0", path = "crates/RustQuant_utils" } ## External Crates argmin = "0.10.0" # https://docs.rs/argmin/latest/argmin/ diff --git a/bindings/CHANGELOG.md b/bindings/CHANGELOG.md new file mode 100644 index 00000000..e6f95258 --- /dev/null +++ b/bindings/CHANGELOG.md @@ -0,0 +1,25 @@ +# Changelog + +All notable changes to this project will be documented in this file. + +The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/), +and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html). + +## [Unreleased] + +## [0.1.0](https://github.com/avhz/RustQuant/releases/tag/RustQuant_pyo3-v0.1.0) - 2025-09-01 + +### Added + +- PyO3 bindings initial work +- add Heston and Bachelier models to AnalyticOptionPricer + +### Fixed + +- pyo3 test/example errors on MacOS + +### Other + +- katex header in sub-crates +- Fixing tests. +- `models` diff --git a/crates/RustQuant/CHANGELOG.md b/crates/RustQuant/CHANGELOG.md index 47c1a966..358bd237 100644 --- a/crates/RustQuant/CHANGELOG.md +++ b/crates/RustQuant/CHANGELOG.md @@ -1,4 +1,12 @@ # Changelog + +All notable changes to this project will be documented in this file. + +The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/), +and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html). + +## [Unreleased] +# Changelog All notable changes to this project will be documented in this file. The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/), diff --git a/crates/RustQuant_autodiff/CHANGELOG.md b/crates/RustQuant_autodiff/CHANGELOG.md index 534ad220..513f88db 100644 --- a/crates/RustQuant_autodiff/CHANGELOG.md +++ b/crates/RustQuant_autodiff/CHANGELOG.md @@ -1,4 +1,18 @@ # Changelog + +All notable changes to this project will be documented in this file. + +The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/), +and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html). + +## [Unreleased] + +## [0.5.0](https://github.com/avhz/RustQuant/compare/RustQuant_autodiff-v0.4.0...RustQuant_autodiff-v0.5.0) - 2025-09-01 + +### Other + +- remove unused deps +# Changelog All notable changes to this project will be documented in this file. The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/), diff --git a/crates/RustQuant_cashflows/CHANGELOG.md b/crates/RustQuant_cashflows/CHANGELOG.md index d6380f49..91155cca 100644 --- a/crates/RustQuant_cashflows/CHANGELOG.md +++ b/crates/RustQuant_cashflows/CHANGELOG.md @@ -1,4 +1,24 @@ # Changelog + +All notable changes to this project will be documented in this file. + +The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/), +and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html). + +## [Unreleased] + +## [0.5.0](https://github.com/avhz/RustQuant/compare/RustQuant_cashflows-v0.4.0...RustQuant_cashflows-v0.5.0) - 2025-09-01 + +### Fixed + +- fix reset function, add documentation + +### Other + +- correct import in doc tests +- small doc adaptation according to the fix +- documentation improvement of set_value +# Changelog All notable changes to this project will be documented in this file. The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/), diff --git a/crates/RustQuant_data/CHANGELOG.md b/crates/RustQuant_data/CHANGELOG.md index 0a2aa4d0..aefbb085 100644 --- a/crates/RustQuant_data/CHANGELOG.md +++ b/crates/RustQuant_data/CHANGELOG.md @@ -1,4 +1,12 @@ # Changelog + +All notable changes to this project will be documented in this file. + +The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/), +and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html). + +## [Unreleased] +# Changelog All notable changes to this project will be documented in this file. The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/), diff --git a/crates/RustQuant_enums/CHANGELOG.md b/crates/RustQuant_enums/CHANGELOG.md new file mode 100644 index 00000000..23b6dd53 --- /dev/null +++ b/crates/RustQuant_enums/CHANGELOG.md @@ -0,0 +1,170 @@ +# Changelog + +All notable changes to this project will be documented in this file. + +The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/), +and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html). + +## [Unreleased] + +## [0.5.0](https://github.com/avhz/RustQuant/compare/RustQuant_enums-v0.4.0...RustQuant_enums-v0.5.0) - 2025-09-01 + +### Fixed + +- pyo3 test/example errors on MacOS +- underscored whitespace between badges +- restructure `Money` module into `Instruments` and `Cashflows` +- fixed gbm paths + +### Other + +- update README.md +- update readme +- Update README.md +- Add license scan report and status +- update module table and fix badge whitespaces, resolves #249 +- Update README.md +- Update README.md (expired Discord link) +- remove more unused dependencies. +- moved references to separate .md file +- Add ISO code implementations (ISO-4217, ISO-3166, ISO-10383) +- Pre-publish commit: v0.0.34 +- Update README.md +- Update README.md +- Update README.md +- Update readme +- Update readme +- Update readme +- Update readme +- Update readme +- Update readme +- Update readme +- Update readme +- Update readme +- Update readme +- Update README.md +- Target `v0.1.0` rather than `v1.0.0` +- spelling fixes with typos +- Pre-publish commit: v0.0.28 +- Update README and CHANGELOG. +- Update README +- Update README +- Update README +- Update README +- Pre-publish commit: v0.0.27 +- Shields update. +- Shields update. +- Shields update. +- Shields update. +- Slight re-structure (remove utilities mod), statistics for Vec +- Working on `Cashflow` and `Leg`. +- 150+ currencies added. +- Added 150+ ISO 4217 currencies. +- Update readme. +- Update readme. +- Update readme. +- Update readme. +- Update README +- Compute returns in Polars `DataFrame` ([#37](https://github.com/avhz/RustQuant/pull/37)) +- Update readme. +- Update readme. +- Update README.md +- Update readme. +- Update readme. +- Update readme. +- Update readme. +- Update README. +- Update README. +- Update README +- Closed #55 (`autodiff` Graphviz update); working on logistic regression. +- Update readme +- Pre-publish commit: v0.0.20 +- Add CHANGELOG and update readme. +- Readme and simple linear regression example. +- Update readme. +- Added examples. +- update readme +- update readme +- update readme +- Gradient Descent. Needs work. +- Update readme badges. +- Update README (cleaning up the stochastic process notation). +- Update README (cleaning up the stochastic process notation). +- Update readme (dynamics for HW and EV models) +- Update readme badges +- Merge pull request #45 from aatmunbaxi/impl-ho-lee +- Update README +- Update README.md +- Closing #27: download price history from Yahoo! Finance. +- Update readme. +- Update readme. +- Update readme. +- Update readme. +- Update readme. +- Update readmme +- Update readmme +- Update Readme +- Update Readme +- Readme +- Readme +- Readme +- Readme +- Readme +- Readme +- Readme +- Readme +- Readme +- Added gamma, chi-squared, exponential distributions. +- Currencies +- Update readme +- Update readme. +- Pre-publish commit. +- Pre-publish commit. +- Update Readme +- Update readme. +- Pre-publish commit v0.0.11 +- Added tanh-sinh quadrature. +- Pre-publish commit v0.0.9 +- Update readme +- .... +- .... +- ... +- Lookback floating strike Monte Carlo pricer +- updated README.md +- updated README.md +- updated README.md +- updated README.md +- updated README.md +- updated README.md +- updated README.md +- need to do some short rate models +- need to do some short rate models +- need to do some short rate models +- need to do some short rate models +- norm dist struct +- norm dist struct +- norm dist struct +- update readme +- update readme +- update readme +- update readme +- update readme +- GitHub re-up +- ... +- ... +- ... +- ... +- ... +- Added tests for Greeks (still need Theta) +- updated readme +- Update readme +- Updated readme, added normpdf tests +- Updated readme, added normpdf tests +- Updated readme, added normpdf tests +- updated readme +- updated readme +- Added CRR, wrote some docs. +- Completed barrier option pricer, all tests pass. +- Update LICENSE +- Added option pricer files (need to complete). +- Updated README diff --git a/crates/RustQuant_error/CHANGELOG.md b/crates/RustQuant_error/CHANGELOG.md index 987177d1..9524d1a3 100644 --- a/crates/RustQuant_error/CHANGELOG.md +++ b/crates/RustQuant_error/CHANGELOG.md @@ -1,4 +1,29 @@ # Changelog + +All notable changes to this project will be documented in this file. + +The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/), +and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html). + +## [Unreleased] + +## [0.5.0](https://github.com/avhz/RustQuant/compare/RustQuant_error-v0.4.0...RustQuant_error-v0.5.0) - 2025-09-01 + +### Added + +- PyO3 bindings initial work + +### Fixed + +- pyo3 test/example errors on MacOS + +### Other + +- remove unused deps +- remove plotters and polars deps +- remove plotters and polars deps +- Define errors specific to B-Spline implementation +# Changelog All notable changes to this project will be documented in this file. The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/), diff --git a/crates/RustQuant_instruments/CHANGELOG.md b/crates/RustQuant_instruments/CHANGELOG.md index 1f2c364d..ab5d72d9 100644 --- a/crates/RustQuant_instruments/CHANGELOG.md +++ b/crates/RustQuant_instruments/CHANGELOG.md @@ -1,4 +1,12 @@ # Changelog + +All notable changes to this project will be documented in this file. + +The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/), +and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html). + +## [Unreleased] +# Changelog All notable changes to this project will be documented in this file. The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/), diff --git a/crates/RustQuant_iso/CHANGELOG.md b/crates/RustQuant_iso/CHANGELOG.md index 7bab419d..a4bf0173 100644 --- a/crates/RustQuant_iso/CHANGELOG.md +++ b/crates/RustQuant_iso/CHANGELOG.md @@ -1,4 +1,12 @@ # Changelog + +All notable changes to this project will be documented in this file. + +The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/), +and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html). + +## [Unreleased] +# Changelog All notable changes to this project will be documented in this file. The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/), diff --git a/crates/RustQuant_math/CHANGELOG.md b/crates/RustQuant_math/CHANGELOG.md index 4323832b..a06a764f 100644 --- a/crates/RustQuant_math/CHANGELOG.md +++ b/crates/RustQuant_math/CHANGELOG.md @@ -1,4 +1,29 @@ # Changelog + +All notable changes to this project will be documented in this file. + +The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/), +and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html). + +## [Unreleased] + +## [0.5.0](https://github.com/avhz/RustQuant/compare/RustQuant_math-v0.4.0...RustQuant_math-v0.5.0) - 2025-09-01 + +### Added + +- PyO3 bindings initial work + +### Other + +- remove plotters and polars deps +- Amend unit tests to ensure correct error message is prompted +- Remove unnecessary cloning in tests +- Create b_spline submodule + make struct publicly accessible +- Amend traits to utilise AddAssign operation + provide ability to display InterpolationIndex (for BSplineOutsideOfRange error) +- Unit tests +- Implement Interpolator trait for BSplineInterpolator struct +- Define B-Spline struct, constructor + method for the Cox de Boor algorithm +# Changelog All notable changes to this project will be documented in this file. The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/), diff --git a/crates/RustQuant_ml/CHANGELOG.md b/crates/RustQuant_ml/CHANGELOG.md index f7a81c1e..ac897ef7 100644 --- a/crates/RustQuant_ml/CHANGELOG.md +++ b/crates/RustQuant_ml/CHANGELOG.md @@ -1,4 +1,12 @@ # Changelog + +All notable changes to this project will be documented in this file. + +The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/), +and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html). + +## [Unreleased] +# Changelog All notable changes to this project will be documented in this file. The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/), diff --git a/crates/RustQuant_models/CHANGELOG.md b/crates/RustQuant_models/CHANGELOG.md new file mode 100644 index 00000000..35644960 --- /dev/null +++ b/crates/RustQuant_models/CHANGELOG.md @@ -0,0 +1,170 @@ +# Changelog + +All notable changes to this project will be documented in this file. + +The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/), +and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html). + +## [Unreleased] + +## [0.5.0](https://github.com/avhz/RustQuant/compare/RustQuant_models-v0.4.0...RustQuant_models-v0.5.0) - 2025-09-01 + +### Fixed + +- underscored whitespace between badges +- restructure `Money` module into `Instruments` and `Cashflows` +- fixed gbm paths + +### Other + +- #303 - refactored Calendar trait to struct +- update README.md +- update readme +- Update README.md +- Add license scan report and status +- update module table and fix badge whitespaces, resolves #249 +- Update README.md +- Update README.md (expired Discord link) +- remove more unused dependencies. +- moved references to separate .md file +- Add ISO code implementations (ISO-4217, ISO-3166, ISO-10383) +- Pre-publish commit: v0.0.34 +- Update README.md +- Update README.md +- Update README.md +- Update readme +- Update readme +- Update readme +- Update readme +- Update readme +- Update readme +- Update readme +- Update readme +- Update readme +- Update readme +- Update README.md +- Target `v0.1.0` rather than `v1.0.0` +- spelling fixes with typos +- Pre-publish commit: v0.0.28 +- Update README and CHANGELOG. +- Update README +- Update README +- Update README +- Update README +- Pre-publish commit: v0.0.27 +- Shields update. +- Shields update. +- Shields update. +- Shields update. +- Slight re-structure (remove utilities mod), statistics for Vec +- Working on `Cashflow` and `Leg`. +- 150+ currencies added. +- Added 150+ ISO 4217 currencies. +- Update readme. +- Update readme. +- Update readme. +- Update readme. +- Update README +- Compute returns in Polars `DataFrame` ([#37](https://github.com/avhz/RustQuant/pull/37)) +- Update readme. +- Update readme. +- Update README.md +- Update readme. +- Update readme. +- Update readme. +- Update readme. +- Update README. +- Update README. +- Update README +- Closed #55 (`autodiff` Graphviz update); working on logistic regression. +- Update readme +- Pre-publish commit: v0.0.20 +- Add CHANGELOG and update readme. +- Readme and simple linear regression example. +- Update readme. +- Added examples. +- update readme +- update readme +- update readme +- Gradient Descent. Needs work. +- Update readme badges. +- Update README (cleaning up the stochastic process notation). +- Update README (cleaning up the stochastic process notation). +- Update readme (dynamics for HW and EV models) +- Update readme badges +- Merge pull request #45 from aatmunbaxi/impl-ho-lee +- Update README +- Update README.md +- Closing #27: download price history from Yahoo! Finance. +- Update readme. +- Update readme. +- Update readme. +- Update readme. +- Update readme. +- Update readmme +- Update readmme +- Update Readme +- Update Readme +- Readme +- Readme +- Readme +- Readme +- Readme +- Readme +- Readme +- Readme +- Readme +- Added gamma, chi-squared, exponential distributions. +- Currencies +- Update readme +- Update readme. +- Pre-publish commit. +- Pre-publish commit. +- Update Readme +- Update readme. +- Pre-publish commit v0.0.11 +- Added tanh-sinh quadrature. +- Pre-publish commit v0.0.9 +- Update readme +- .... +- .... +- ... +- Lookback floating strike Monte Carlo pricer +- updated README.md +- updated README.md +- updated README.md +- updated README.md +- updated README.md +- updated README.md +- updated README.md +- need to do some short rate models +- need to do some short rate models +- need to do some short rate models +- need to do some short rate models +- norm dist struct +- norm dist struct +- norm dist struct +- update readme +- update readme +- update readme +- update readme +- update readme +- GitHub re-up +- ... +- ... +- ... +- ... +- ... +- Added tests for Greeks (still need Theta) +- updated readme +- Update readme +- Updated readme, added normpdf tests +- Updated readme, added normpdf tests +- Updated readme, added normpdf tests +- updated readme +- updated readme +- Added CRR, wrote some docs. +- Completed barrier option pricer, all tests pass. +- Update LICENSE +- Added option pricer files (need to complete). +- Updated README diff --git a/crates/RustQuant_portfolios/CHANGELOG.md b/crates/RustQuant_portfolios/CHANGELOG.md index 404bde34..8a6758ef 100644 --- a/crates/RustQuant_portfolios/CHANGELOG.md +++ b/crates/RustQuant_portfolios/CHANGELOG.md @@ -1,4 +1,12 @@ # Changelog + +All notable changes to this project will be documented in this file. + +The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/), +and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html). + +## [Unreleased] +# Changelog All notable changes to this project will be documented in this file. The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/), diff --git a/crates/RustQuant_pricing/CHANGELOG.md b/crates/RustQuant_pricing/CHANGELOG.md new file mode 100644 index 00000000..70cfd0bc --- /dev/null +++ b/crates/RustQuant_pricing/CHANGELOG.md @@ -0,0 +1,170 @@ +# Changelog + +All notable changes to this project will be documented in this file. + +The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/), +and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html). + +## [Unreleased] + +## [0.5.0](https://github.com/avhz/RustQuant/compare/RustQuant_pricing-v0.4.0...RustQuant_pricing-v0.5.0) - 2025-09-01 + +### Fixed + +- pyo3 test/example errors on MacOS +- underscored whitespace between badges +- restructure `Money` module into `Instruments` and `Cashflows` +- fixed gbm paths + +### Other + +- update README.md +- update readme +- Update README.md +- Add license scan report and status +- update module table and fix badge whitespaces, resolves #249 +- Update README.md +- Update README.md (expired Discord link) +- remove more unused dependencies. +- moved references to separate .md file +- Add ISO code implementations (ISO-4217, ISO-3166, ISO-10383) +- Pre-publish commit: v0.0.34 +- Update README.md +- Update README.md +- Update README.md +- Update readme +- Update readme +- Update readme +- Update readme +- Update readme +- Update readme +- Update readme +- Update readme +- Update readme +- Update readme +- Update README.md +- Target `v0.1.0` rather than `v1.0.0` +- spelling fixes with typos +- Pre-publish commit: v0.0.28 +- Update README and CHANGELOG. +- Update README +- Update README +- Update README +- Update README +- Pre-publish commit: v0.0.27 +- Shields update. +- Shields update. +- Shields update. +- Shields update. +- Slight re-structure (remove utilities mod), statistics for Vec +- Working on `Cashflow` and `Leg`. +- 150+ currencies added. +- Added 150+ ISO 4217 currencies. +- Update readme. +- Update readme. +- Update readme. +- Update readme. +- Update README +- Compute returns in Polars `DataFrame` ([#37](https://github.com/avhz/RustQuant/pull/37)) +- Update readme. +- Update readme. +- Update README.md +- Update readme. +- Update readme. +- Update readme. +- Update readme. +- Update README. +- Update README. +- Update README +- Closed #55 (`autodiff` Graphviz update); working on logistic regression. +- Update readme +- Pre-publish commit: v0.0.20 +- Add CHANGELOG and update readme. +- Readme and simple linear regression example. +- Update readme. +- Added examples. +- update readme +- update readme +- update readme +- Gradient Descent. Needs work. +- Update readme badges. +- Update README (cleaning up the stochastic process notation). +- Update README (cleaning up the stochastic process notation). +- Update readme (dynamics for HW and EV models) +- Update readme badges +- Merge pull request #45 from aatmunbaxi/impl-ho-lee +- Update README +- Update README.md +- Closing #27: download price history from Yahoo! Finance. +- Update readme. +- Update readme. +- Update readme. +- Update readme. +- Update readme. +- Update readmme +- Update readmme +- Update Readme +- Update Readme +- Readme +- Readme +- Readme +- Readme +- Readme +- Readme +- Readme +- Readme +- Readme +- Added gamma, chi-squared, exponential distributions. +- Currencies +- Update readme +- Update readme. +- Pre-publish commit. +- Pre-publish commit. +- Update Readme +- Update readme. +- Pre-publish commit v0.0.11 +- Added tanh-sinh quadrature. +- Pre-publish commit v0.0.9 +- Update readme +- .... +- .... +- ... +- Lookback floating strike Monte Carlo pricer +- updated README.md +- updated README.md +- updated README.md +- updated README.md +- updated README.md +- updated README.md +- updated README.md +- need to do some short rate models +- need to do some short rate models +- need to do some short rate models +- need to do some short rate models +- norm dist struct +- norm dist struct +- norm dist struct +- update readme +- update readme +- update readme +- update readme +- update readme +- GitHub re-up +- ... +- ... +- ... +- ... +- ... +- Added tests for Greeks (still need Theta) +- updated readme +- Update readme +- Updated readme, added normpdf tests +- Updated readme, added normpdf tests +- Updated readme, added normpdf tests +- updated readme +- updated readme +- Added CRR, wrote some docs. +- Completed barrier option pricer, all tests pass. +- Update LICENSE +- Added option pricer files (need to complete). +- Updated README diff --git a/crates/RustQuant_stochastics/CHANGELOG.md b/crates/RustQuant_stochastics/CHANGELOG.md index 3fd63487..bc18c49e 100644 --- a/crates/RustQuant_stochastics/CHANGELOG.md +++ b/crates/RustQuant_stochastics/CHANGELOG.md @@ -1,4 +1,23 @@ # Changelog + +All notable changes to this project will be documented in this file. + +The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/), +and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html). + +## [Unreleased] + +## [0.5.0](https://github.com/avhz/RustQuant/compare/RustQuant_stochastics-v0.4.0...RustQuant_stochastics-v0.5.0) - 2025-09-01 + +### Other + +- #303 - refactored Calendar trait to struct +- Amend all references to monte_carlo(): +- Amend stochastic processes to utilise dedicate Monte-Carlo engine +- Move fractional stochastic functionalities to a dedicated module + amend logic to keep same functionality with easier intuition +- Centralise Monte-Carlo engine in a separate module +- Major overhaul: monte_carlo() to become the standard simulation method, replacing euler_maruyama() +# Changelog All notable changes to this project will be documented in this file. The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/), diff --git a/crates/RustQuant_time/CHANGELOG.md b/crates/RustQuant_time/CHANGELOG.md index 269386da..c4fa3cc1 100644 --- a/crates/RustQuant_time/CHANGELOG.md +++ b/crates/RustQuant_time/CHANGELOG.md @@ -1,4 +1,27 @@ # Changelog + +All notable changes to this project will be documented in this file. + +The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/), +and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html). + +## [Unreleased] + +## [0.5.0](https://github.com/avhz/RustQuant/compare/RustQuant_time-v0.4.0...RustQuant_time-v0.5.0) - 2025-09-01 + +### Added + +- PyO3 bindings initial work + +### Fixed + +- pyo3 test/example errors on MacOS + +### Other + +- #303 - refactored Calendar trait to struct +- added italy calendar +# Changelog All notable changes to this project will be documented in this file. The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/), diff --git a/crates/RustQuant_trading/CHANGELOG.md b/crates/RustQuant_trading/CHANGELOG.md index b4ea4c27..23640784 100644 --- a/crates/RustQuant_trading/CHANGELOG.md +++ b/crates/RustQuant_trading/CHANGELOG.md @@ -1,4 +1,12 @@ # Changelog + +All notable changes to this project will be documented in this file. + +The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/), +and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html). + +## [Unreleased] +# Changelog All notable changes to this project will be documented in this file. The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/), diff --git a/crates/RustQuant_utils/CHANGELOG.md b/crates/RustQuant_utils/CHANGELOG.md index b62798a7..a6807182 100644 --- a/crates/RustQuant_utils/CHANGELOG.md +++ b/crates/RustQuant_utils/CHANGELOG.md @@ -1,4 +1,20 @@ # Changelog + +All notable changes to this project will be documented in this file. + +The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/), +and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html). + +## [Unreleased] + +## [0.5.0](https://github.com/avhz/RustQuant/compare/RustQuant_utils-v0.4.0...RustQuant_utils-v0.5.0) - 2025-09-01 + +### Other + +- remove plotters and polars deps +- #303 - refactored Calendar trait to struct +- Expand plot_vector macro to plot multiple vectors +# Changelog All notable changes to this project will be documented in this file. The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/),