theGreekLab v2.3.0

theGreekLab v2.3.0

This release adds curve-aware European option pricing, volatility-surface
support, optional JavaFX visualization, and cross-platform native runtime
validation.

Highlights

• Curve market-data API with flat and log-linearly interpolated discount and
  forward curves.
• Nominal FundingCurve and DividendYieldCurve types to prevent accidental
  curve-role swaps.
• Curve-aware ForwardBlack76 pricing using equity forward and funding curves.
• VolatilitySurface and FlatVolatilitySurface, with surface-aware
  ForwardBlack76 constructors.
• Optional thegreeklab-visualization artifact with validated surface sampling
  and a resizable JavaFX implied-volatility heatmap.
• Native pbivnorm runtime support and CI validation for:
  • Windows x86-64
  • Linux x86-64
  • macOS Intel
  • macOS Apple Silicon

Compatibility

• No intended breaking changes to the existing Black-Scholes API.
• BlackScholes and ForwardBlack76 now share the same internal $d_1$
  calculation.

Artifacts

Core library:

<dependency>
  <groupId>io.github.iamchorchos</groupId>
  <artifactId>thegreeklab</artifactId>
  <version>2.3.0</version>
</dependency>

Optional JavaFX visualization module:

<dependency>
  <groupId>io.github.iamchorchos</groupId>
  <artifactId>thegreeklab-visualization</artifactId>
  <version>2.3.0</version>
</dependency>

theGreekLab v2.2.0

theGreekLab v2.2.0

Version 2.2.0 introduces universal implied-volatility calibration, Roll–Geske–Whaley pricing and a consolidated architecture for numerical Greeks.

Highlights

Universal implied volatility

• Added model-independent implied-volatility calibration through VolatilityPricer.
• Added immutable ImpliedVolatilityResult diagnostics with:
  • convergence status,
  • calibrated volatility,
  • reproduced model price,
  • residual pricing error,
  • iteration count.
• Added explicit handling of trial points outside a model's valid numerical domain.
• Supported calibration across European, American, lattice and discrete-dividend pricing models.
• Preserved the existing OptionalDouble API as a compatibility view.

Roll–Geske–Whaley model

• Added Roll–Geske–Whaley pricing for American calls with a single discrete cash dividend.
• Added immutable bump scenarios.
• Added delta, gamma, vega, theta and rho.
• Added implied-volatility calibration support.
• Added validation for contracts, dividend dates and numerical model domains.

Numerical Greeks

• Consolidated bump-and-revalue calculations in a shared implementation.
• Removed duplicated Greek calculations across supported pricing models.
• Consolidated reusable numerical test fixtures and assertions.
• Preserved public API overridability and source/binary compatibility with 2.1.0.

Compatibility

Volatility analytics now use the dedicated package:

import com.thegreeklab.math.volatility.VolatilityCalculator;
import com.thegreeklab.math.volatility.ImpliedVolatilityResult;
import com.thegreeklab.math.volatility.VolatilityPricer;

theGreekLab v2.1.0

Adds European option pricing with deterministic discrete cash dividends through Simple, Haug-Haug, Bos-Gairat-Shepeleva and Bos-Vandermark approximations. Includes adjusted pricing inputs, numerical standard Greeks, immutable dividend schedules, reference tests and complete mathematical documentation.

theGreekLab v2.0.1

• Introduces explicit DayCountConvention support with ACT_365F and ACT_360.
• Fixes Maven Central publication by generating and validating a resolved consumer POM.
• Adds API compatibility checks and Windows CI validation for the bundled native library.

theGreekLab v2.0.0

TheGreekLab 2.0.0 introduces an explicit day-count convention API, a production-ready trinomial tree model with first- and second-order Greeks, and immutable bumpable pricing models. This release also adds API compatibility checks, Windows CI with bundled native-library validation, and signed publishing to Maven Central. It contains breaking API changes requiring users to select a DayCountConvention explicitly.

theGreekLab v1.0.3

• Adds a recombining trinomial-tree model for European and American vanilla options.
• Provides standard Greeks and immutable bump-and-revalue scenario pricing.
• Includes robust validation, numerical tests, Javadocs, and updated documentation.

theGreekLab v1.0.2

• Greeks implemented for Bjerksund-Stensland (2002)
• architecture improvements
• benchmarks + testing for new implementations

theGreekLab v1.0.1

• added Bjerksund Stensland (2002)
• added Project Panama API (FORTRAN CBND library)

theGreekLab v1.0.0

MATH.md correction