v.0.14.0

dancixx released this 29 Oct 22:15

· 36 commits to main since this release

5154007

🚀 Release Notes

🌟 Highlights

Multivariate copulas (b5ffab4)
Local vols (Dupire, Breeden–Litzenberger) (a880cf6)
SIMD accelerated distributions (experimental) (fb6bb66)
SIMD uniform RNG (ad23ebc), (1996c09)
Fractional Brownian sheet (8b87a34)
Simple order book (f830f26)

💥 Breaking Changes

Rename Sampling* → Sampling*Ext
(API change; update imports/usages) (298f994)
Removed portable-simd feature and macOS BLAS support
(91e22b1), (d8e6ba4), (2ce548e)

✨ Added

🧩 Fixed

Heston model calibration & derivatives (4065ca4), (abe41e1)
BSM calibrator (9de0367)
Negative price issue (cc5e7ed)
Bonds pricing fix (04383f9)
Build error (a83d715)

Full Changelog: v.0.13.3...v.0.14.0

Assets 2