Skip to content

Releases: rcalxrc08/FinancialToolbox.jl

v0.7.0

27 Aug 08:11
Compare
Choose a tag to compare

FinancialToolbox v0.7.0

Diff since v0.6.0

Merged pull requests:

Closed issues:

  • Add all second order greeks (#9)
  • Implied Volatility: Switch to Let's be Rational (#15)
  • Recover coverage: test frule for blimpv (#20)
  • blsimpv() reaches max iterations when vega approaches 0, resulting in NaN implied volatility. (#21)

v0.6.0

07 Jan 13:14
Compare
Choose a tag to compare

FinancialToolbox v0.6.0

Diff since v0.5.0

Merged pull requests:

  • Bump codecov/codecov-action from 1 to 3 (#16) (@dependabot[bot])
  • Bump actions/checkout from 2 to 4 (#17) (@dependabot[bot])
  • Bump actions/cache from 1 to 3 (#18) (@dependabot[bot])
  • CompatHelper: add new compat entry for MuladdMacro at version 0.2, (keep existing compat) (#22) (@github-actions[bot])

Closed issues:

  • Support for Dual/HyperDual/Complex in blsimpv (#3)

v0.5.0

20 Sep 22:31
Compare
Choose a tag to compare

FinancialToolbox v0.5.0

Diff since v0.4.2

Merged pull requests:

  • CompatHelper: add new compat entry for ChainRulesCore at version 1, (keep existing compat) (#13) (@github-actions[bot])

Closed issues:

  • Change Brent Method (#4)
  • [proposal] don't error for implied vol non-convergence (#6)
  • Support Zygote.jl and related AD packages for blsimpv (#11)
  • Poor Zygote.jl performances in blsprice (#12)

v0.4.2

17 Jun 09:20
Compare
Choose a tag to compare

FinancialToolbox v0.4.2

Diff since v0.4.1

v0.4.1

25 May 11:01
Compare
Choose a tag to compare

FinancialToolbox v0.4.1

Diff since v0.4.0

v0.4.0

24 May 11:36
Compare
Choose a tag to compare

FinancialToolbox v0.4.0

Diff since v0.3.0

Closed issues:

  • Update version (#7)

v0.3.0

04 Jan 12:02
Compare
Choose a tag to compare

FinancialToolbox v0.3.0

Diff since v0.2.3

Merged pull requests:

Proper support for Dual and HyperDual in blsimpv

01 May 17:01
Compare
Choose a tag to compare

Proper support for Dual and HyperDual in blsimpv

Second Release julia 1.0

07 Apr 21:18
Compare
Choose a tag to compare

recovered bug on hyper dual numbers,
better error management

First Release for Julia 1.0

13 Aug 21:10
Compare
Choose a tag to compare
v0.2.1

readme typo