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;