RustQuant

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`autodiff`: add support for nalgebra matrices/vectors.

10

avhz

Tests: Increase coverage to 90% +.

1

avhz

Implement calibration module using `argmin` crate.

5

All pricing models should be able to be calibrated to market prices. A nice Crate called `argmin` available [here](https://crates.io/crates/argmin) looks like it can achieve this, using Brent method or something...

avhz

Decrease compile time.

8

Compile time increased quite substantially after adding Polars as a dependency. Should look into reducing the compile time a bit if possible.

avhz

avhz

Caps/floors are a series of caplets/floorlets (basically call/put options) on something like an interest rate or inflation rate. Pricing is discussed in detail in _Interest Rate Models_ by Brigo and...

avhz

## 🤖 New release * `RustQuant`: 0.2.7 -> 0.2.8 (✓ API compatible changes) Changelog ## [0.2.8](https://github.com/avhz/RustQuant/compare/v0.2.7...v0.2.8) - 2024-08-11 ### Added - BarrierOption Payoff and Monte-Carlo ### Other - monte-carlo example...

github-actions[bot]

Implementation of the Milstein Scheme + a Monte Carlo Engine

2

## Background There are two traits in the Stochastics module, `StochasticProcess` and `StochasticVolatilityProcess`. The two traits utilise the Euler-Maruyama scheme through methods `euler_maruyama()` and `seedable_euler_maruyama()` to approximate solutions to stochastic...

yfnaji

avhz

Pricers: Re-work `instruments::options` module.

2

Backends to-do: - [ ] Asian (with `BlackScholes73`) - [x] Bachelier - [ ] Binary (with `BlackScholes73`) - [ ] Forward start (with `BlackScholes73`) - [x] Heston - [ ]...

avhz