v1.1.1

Full Changelog: v1.1.0...v1.1.1

v1.1.0

• Internal SIMD PRNG (xoshiro256++/xoshiro128++) for all float distributions
• Native i32x8 ziggurat for Normal and Exp — up to 5.2x faster than rand_distr
• ~30% improvement over v1.0.0 in Normal/Exp; composed distributions (LogNormal, Gamma, Beta, etc.) also benefit
• FGN/FBM: zero-copy Complex construction, in-place eigenvalue multiply

Full Changelog: v1.0.0...v1.1.0

v1.0.0

stochastic-rs v1.0.0

Added

• Full bindings via PyO3/maturin — 85 model classes with numpy integration, callable parameters (lambdas) for interest rate models, and custom jump distributions
• SIMD ziggurat normal and exponential distributions for faster sampling
• Benchmarks and visualization tooling
• sample_with_rng for reproducible sampling

Changed

• All distributions are now generic over T (f32/f64) instead of feature-flag based
• Trait unification: Sampling* → ProcessExt, simplified Process trait
• Updated rand to 0.9, ndarray to 0.17, rayon and other dependencies to latest
• statrs moved from git dependency to crates.io 0.18.0; copula sampling uses internal SIMD distributions
• Restructured copulas module
• Improved quant module API
• Improved FGN and FBM performance

Fixed

• Fractional diffusions, fractional noises, and fractional processes
• AR models, jump processes, volatility models, CGMY
• Numerical Malliavin, Poisson/CompoundPoisson
• CUDA feature compiler errors
• Clippy and formatter warnings

Removed

• Old sampling traits and test files
• portable-simd feature flag
• f32/f64 feature annotations (replaced by generics)
• impl_new macro

Full Changelog: v.0.16.0...v1.0.0

v.0.16.0

• Rewrite of FGN CUDA kernels and make generation more optimized and faster
• Add support for PhastFT generate fractional processes even faster on CPU

Full Changelog: v.0.15.4...v.0.16.0

v.0.15.4

Fixes:

• Fgn CUDA random seed

Full Changelog: v.0.15.3...v.0.15.4

v.0.15.1-3

Full Changelog: v.0.15.0...v.0.15.3

v.0.15.0

Release Notes

• stochastic module generic over T now supports f64 (better precision) and f32 (better performance)
• constraint bounds for Heston calibration
• updated distribution module for more performance

Full Changelog: v.0.14.0...v.0.15.0

v.0.14.0

🚀 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

v.0.13.3

📢 What’s New

• Simd Accelerated Distributions: link

Full Changelog: v.0.13.1...v.0.13.2

v.0.13.1

📢 What’s New

• Itô Formula Numerical Solver — Now supports both diffusion and jump-diffusion processes.
• General SDE Solver — Added support for Euler–Maruyama, Milstein, SRK2, and SRK4 (Runge–Kutta) schemes. Compatible with both ordinary and fractional noise.

🔗 Full Changelog: v.0.13.0...v.0.13.1