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released this 08 Feb 00:29
· 21 commits to main since this release
0.16.0
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Release/0.16.0 (#482)

  • ENH: Add SVI model: svi_variance and SVIVariance (#406) (#410)

  • ENH: Add Sobol quasirandom engine (#430) (#431) (#478)

  • ENH: Support BSEuropeanBinary for put (#434) (#438)

  • ENH: Enable customizing tqdm progress bar (#446)

  • ENH: Add antithetic sampling of randn (close #449) (#450)

  • DOC: Add an example of hedging variance swap using options (#426) (#435)

  • DOC: Add autogreek.theta to documentation (#429)

  • DOC: Add citation to Heston model (#447)

  • DOC: Add an example of sticky strike and sticky delta (#479)

  • TEST: Add tests for BSEuropean put (#439)

  • TEST: Add tests for identity between vega and gamma (#441)

  • MAINT: Update codecov action (#442)

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