v.0.11.0

Release Notes

• Heston Model Calibration Updates:

  • Refined Heston calibrator with improvements for stability and accuracy in parameter estimation.
  • Updated calibration process for better integration with volatility surfaces and implied volatility computations.

• Jump Process Enhancements:

  • Reworked various jump processes, including the introduction of Merton jump pricer and KOU model for enhanced modeling capabilities in stochastic environments.

• New Stochastic Processes:

  • Added support for CGMY and tempered stable processes, expanding the library's modeling scope for heavy-tailed and Lévy-driven processes.
  • Introduced the ADG and 2-factor CIR models, providing advanced options for interest rate modeling.

• Mallinavin Derivatives and Isonormal Generator:

  • Implemented improved calculations for Malliavin derivatives, allowing for enhanced sensitivity analysis in stochastic calculus applications.
  • Added isonormal generator, facilitating the generation of Gaussian noise for various processes.

• Option Pricing Extensions:

  • Added finite differences pricer and Asian option pricer, enhancing the library’s range of pricing models.
  • Implemented Black-Scholes implied volatility calculation and integrated it within the Heston pricer for cohesive volatility analysis.

• Versioning and Documentation:

  • Regular version bumps and documentation updates for improved clarity and usability.
  • Organized and refined calibration logic, enhancing code readability and maintainability.

• CI/CD and Code Quality:

  • Updated rust.yml to support continuous integration and testing.
  • Integrated Codecov for improved test coverage monitoring, ensuring consistent code quality.

Full Changelog: v.0.10.0...v.0.11.0