v.0.8.0

What's Changed

• feat: rework api and improve performance by @dancixx in #4
• feat: add rbergomi by @dancixx in #8

Full Changelog: v.0.7.1...v.0.8.0

v.0.7.1

The rand complex generation in the Fgn has changed to multithreaded. The purpose of this crate is to generate synthetic data as fast as possible. If you want to reduce the max performance, then you can use the env RAYON_NUM_THREADS to set the allowed thread count. More information is available here 👉 https://github.com/rayon-rs/rayon/blob/main/FAQ.md

What's Changed

• feat: make rand complex to multithread by @dancixx in #7

Full Changelog: v.0.7.0...v.0.7.1

v.0.7.0

What's Changed

• Feat/imporve fgn perf by @dancixx in #6

Full Changelog: v.0.6.3...v.0.7.0

v.0.6.3

Bug fixes

• Jump Fou noise generation

Full Changelog: v.0.6.2...v.0.6.3

v.0.6.2

Bug Fixes

• Correlated Brownian Motions
• Correlated Fractional Brownian Motions
• Bates Model

Additions

• Correlated Gaussian Noises
• Correlated Fractional Gaussian Noises

Full Changelog: v.0.6.1...v.0.6.2

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