CHANGELOG.md

Change Log

6 July 2023

• Compute returns (simple, arithmetic, absolute) on Yahoo! Finance timeseries downloaded into Polars DataFrames.

27 June 2023

• Moved options and bonds modules to the parent module instruments.
• Moved cashflows, quotes and currencies modules to the parent module money.

21 June 2023

• Updated regression to use QR or SVD decomposition.

20 June 2023

• Simple linear regression using nalgebra.

12 June 2023

• Gradient descent optimizer for functions $f: \mathbb{R}^n \rightarrow \mathbb{R}$.

5 June 2023

• Additional stochastic process generators
  • Ho-Lee model
  • Hull-White model
  • Black-Derman-Toy model

26 May 2023

• Download time series data from Yahoo! Finance.

25 May 2023

• Read (write) from (to) .csv, .json, and .parquet files, using Polars DataFrames.

Older

• Arithmetic Brownian Motion generator.
• Gamma, exponential, and chi-squared distributions.
• Forward start option pricer (Rubinstein 1990 formula).
• Gap option and cash-or-nothing option pricers (currently adding more binary options).
• Asian option pricer (closed-form solution for continuous geometric average).
• Heston Model option pricer (uses the tanh-sinh quadrature numerical integrator).
• Tanh-sinh (double exponential) quadrature for evaluating integrals.
  • Plus other basic numerical integrators (midpoint, trapezoid, Simpson's 3/8).
• Characteristic functions and density functions for common distributions:
  • Gaussian, Bernoulli, Binomial, Poisson, Uniform, Chi-Squared, Gamma, and Exponential.