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@github-actions github-actions released this 30 Jun 13:02
· 21 commits to main since this release
v0.2.5
6d0ef24
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  • Cleanup from the exponential interpolation commit.
  • Fixed exponential interpolator.
  • minor clippy lints.
  • Merge branch 'main' into fix/remove_warnings
  • Fixing tests.
  • Merge pull request #223 from avhz/dependabot/cargo/statrs-0.17.1
  • Update README.md (expired Discord link)
  • 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 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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