v0.7.0

DiffFusion v0.7.0

Diff since v0.6.0

Merged pull requests:

Modelling:

• Add Single Barrier option pricing and scanario calculation. (#88) (@sschlenkrich)
• Add parallel scenario generation and tests (#92) (@sschlenkrich)

Maintainance:

• Update to GitHub actions for node 20 (#72) (@sschlenkrich)
• Add permissions to Documentation workflow (#89) (@sschlenkrich)
• Workaround QuadGK and Zygote error (#91) (@sschlenkrich)
• Switch CI action runtests to julia-actions (#93) (@sschlenkrich)
• Add unittests to increase test coverage (#94) (@sschlenkrich)
• Update documentation for new methods (#95) (@sschlenkrich)

v0.6.0

DiffFusion v0.6.0

Diff since v0.5.0

Merged pull requests:

Modelling:

• Add Brownian increments to simulation (#76) (@sschlenkrich)
• Avoid BLAS calls for small matrix operations (#78) (@sschlenkrich)
• Add a new asset model using CEV process (#79) (@sschlenkrich)
• Add CoxIngersollRossModel (#80) (@sschlenkrich)
• Add hybrid DiagonalModel (#81) (@sschlenkrich)
• Add diagonal_simulation and model simulation tests (#83) (@sschlenkrich)
• Add reference rate volatility and correlation calculation (#84) (@sschlenkrich)
• Generalise HJM volatility scaling methods (#85) (@sschlenkrich)
• Add calibrated real-world model to Examples module (#86) (@sschlenkrich)

Maintainance:

• Add more serialised examples (#77) (@sschlenkrich)
• Update runtest for with_test_arg_v4 (#82) (@sschlenkrich)
• Update and refactor documentation (#87) (@sschlenkrich)

v0.5.0

DiffFusion v0.5.0

Diff since v0.4.0

Merged pull requests:

Modelling

• Add functions for Vanilla asset option simulation (#66) (@sschlenkrich)
• Add AssetModel volatility and calibration functions (#65) (@sschlenkrich)
• Add functions for Year-on-Year coupons with convexity adjustments (#69) (@sschlenkrich)
• Add Exp and Log payoffs (#64) (@sschlenkrich)
• Re-factor numeraire curve key handling (#73) (@sschlenkrich) - this PR includes breaking changes

Maintenance

• Fix Zygote errors with correlation sensitivities (#68) (@sschlenkrich)
• Add package compilation via PrecompileTools (#62, #70) (@sschlenkrich)
• Add Julia 1.10 to CI workflows (#67) (@sschlenkrich)
• Re-factor unittests and componenttests suite (#71) (@sschlenkrich)
• Add serialisation for remote call Future objects (#74) (@sschlenkrich)
• Update documentation (#75) (@sschlenkrich)

v0.4.0

DiffFusion v0.4.0

Diff since v0.3.0

Merged pull requests:

• Update AMC regression (#51) (@sschlenkrich)
• Add LinearZeroCurve (#52) (@sschlenkrich)
• Refactor sensitivity calculation for AMC payoffs (#53) (@sschlenkrich)
• Amend correlation holder and add tests (#55) (@sschlenkrich)
• Add European and Bermudan swaptions to Example generation (#56) (@sschlenkrich)
• Add collateral modelling and CVA/DVA calculation (#57) (@sschlenkrich)
• Add broadcast operators (#58) (@sschlenkrich)
• Add more views, dots and specialised model functions (#59) (@sschlenkrich)
• Add bermudan regression based on exercise trigger (#60) (@sschlenkrich)
• Update and re-organise documentation (#61) (@sschlenkrich)

v0.3.0

DiffFusion v0.3.0

Diff since v0.2.0

Merged pull requests:

• Add Caplet and Floorlet pricing (#41) (@sschlenkrich)
• Add Swaption pricing (#43) (@sschlenkrich)
• Add rates model calibration to European swaption vols (#44) (@sschlenkrich)
• Add Bermudan swaption pricing (#46) (@sschlenkrich)
• Add Bermudan vs European test case for Expected Exposure (#47) (@sschlenkrich)
• Update documentation for new methods (#48) (@sschlenkrich)
• Amend path handling for Examples module (#49) (@sschlenkrich)

v0.2.0

DiffFusion v0.2.0

Diff since v0.1.0

Merged pull requests:

• Add seralisation and de-serialisation (#28) (@sschlenkrich)
• Add model and termstructure rebuild (#29) (@sschlenkrich)
• Update makedocs for Documenter v1.0.0 (#30) (@sschlenkrich)
• Add example framework (#31) (@sschlenkrich)
• Add American Monte Carlo payoffs and regression methods (#32) (@sschlenkrich)
• Add test_arg for runtest (#33) (@sschlenkrich)
• Add Delta and Vega via Automatic Differentiation (#34) (@sschlenkrich)
• Add methods to read TermStructures from CSV files (#38) (@sschlenkrich)
• Update documentation (#40) (@sschlenkrich)

v0.1.0

DiffFusion v0.1.0

Merged pull requests:

• Add Term structures (#1) (@sschlenkrich)
• Add simulation framework specification (#2) (@sschlenkrich)
• Add models for rates and tradeable assets (#6) (@sschlenkrich)
• Add simple monte-carlo simulation (#8) (@sschlenkrich)
• Add state-independend hybrid model (#12) (@sschlenkrich)
• Add Markov future price model (#13) (@sschlenkrich)
• Add modelling context (#14) (@sschlenkrich)
• Add Monte-Carlo Path and methods (#15) (@sschlenkrich)
• Add payoff scripting framework (#16) (@sschlenkrich)
• Add CashFlows and RatesCupons (#17) (@sschlenkrich)
• Add cash flow legs (#18) (@sschlenkrich)
• Add scenario analytics (#19) (@sschlenkrich)
• Add missing unit tests (#20) (@sschlenkrich)
• Add simulation examples (#21) (@sschlenkrich)
• Extend and update documentation and README (#25) (@sschlenkrich)
• Add module dependencies (#26) (@sschlenkrich)