Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

chore: release v0.2.5 #236

Merged
merged 1 commit into from
Jun 30, 2024
Merged

chore: release v0.2.5 #236

merged 1 commit into from
Jun 30, 2024

Conversation

github-actions[bot]
Copy link
Contributor

🤖 New release

  • RustQuant: 0.2.4 -> 0.2.5 (✓ API compatible changes)
Changelog

0.2.5 - 2024-06-28

Other

  • 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


This PR was generated with release-plz.

Signed-off-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
@avhz avhz merged commit 6d0ef24 into main Jun 30, 2024
@avhz avhz deleted the release-plz-2024-06-28T19-36-33Z branch June 30, 2024 12:59
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
None yet
Projects
None yet
Development

Successfully merging this pull request may close these issues.

1 participant