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v0.3.0 - Pricing & Risk Engine

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@CodeRockerr CodeRockerr released this 31 May 04:28
· 132 commits to main since this release
v0.3.0
b11a8b2
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Learn about vigilant mode.
  • Black-Scholes options pricer (calls + puts)
  • Greeks engine (Delta, Gamma, Vega, Theta, Rho)
  • Implied volatility via Newton-Raphson
  • VaR + CVaR (historical, parametric, Monte Carlo)
  • Mean-variance portfolio optimiser + efficient frontier
  • 30+ unit tests, put-call parity verified
Assets 2
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