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

v.0.5.3

What's Changed

• refactor: move to ndarray array by @dancixx in #5

Full Changelog: v.0.5.2...v.0.5.3

v.0.5.2

Good to Know

There was an issue in the generation of the Compound Poisson process, which caused further issues in the jump process module. The jumps module is flagged as unstable now until all the processes are tested well. Please use it carefully.

Bug fixes

• Resolved issues in the generation of the Compound Poisson process.
• Addressed related bugs in the jump process module to ensure correct jump sizes at specified time intervals.

News

• Fractional Ornstein-Uhlenbeck process with Jumps (still flagged as unstable)
• Performance improvements for the generation of the Fractional processes (30%)
• Improved documentation for the library has been added.
• SABR model (unstable)
• Duffie-Kan Two Factor model (unstable)

Full Changelog: v.0.5.0...v.0.5.1
Full Changelog: v.0.5.1...v.0.5.2

v.0.5.0

Full Changelog: v.0.4.2...v.0.5.0

v.0.4.2

Full Changelog: v.0.4.1...v.0.4.2

Features

• improve Poisson process generation

v.0.4.1

Full Changelog: v.0.4.0...v.0.4.1

v.0.4.0

Jumps and Levy processes

• Poisson process
• Compound Poisson process
• Levy jump diffusion
• Inverse Gaussian
• Normal Inverse Gaussian
• Variance Gamma

Stochastic models

• Merton model
• Bates model

Full Changelog: v.0.3.7...v.0.4.0

v.0.3.7

Full Changelog: v.0.3.6...v.0.3.7

v.0.3.6

Full Changelog: v.0.3.4...v.0.3.6