Releases: ratesquant/ACQ
Releases · ratesquant/ACQ
v1.40
v1.40 (2021-12-31)(1.4.8035.227):
- Bachelier option pricing formulas (Price, Implied vol and Greeks): acq_options_bachelier_price, acq_options_bachelier_vol, acq_options_bachelier_greeks
- Bjerksund-Stensland(2002) approximation for American options: acq_options_bjerksund_price, acq_options_bjerksund_greeks
- Binomial (CRR) and Trinomial pricers for American options: acq_options_binomial_american_greeks, acq_options_trinomial_american_greeks
- Added weighted linear regression: acq_regression_linear_create, acq_regression_eval
- Added functions to
- count number of unique elements in excel range: acq_count_unique
- concatenate the elements to string: acq_join
- check if number is integer: acq_isinteger
- check if number is prime: acq_isprime
- check if year is a leap year: acq_isleap_year
- convert to string: acq_tostring
- compute max(x), min(x), max(abs(x)), min(abs(x)), mean(x) while ignoring non-numeric values: acq_max, acq_min, acq_absmax, acq_absmin, acq_mean
v1.30
v1.30 (2021-12-18):
1. Black Options Pricing formulas (Price, Implied vol and Greeks)
2. Black-Scholes Options Pricing formulas (Price, Implied vol and Greeks)
v1.10
v1.10 (2016-04-20)(1.1.5954.35227):
- 1D interpolation: HermiteQS, Multiquadrics
- 2D interpolation: BiLinear, BiCubic, BiHermite, BiAkima, BiSteffen
- Scattered Data Interpolation based on Radial basis functions: Linear, Cubic, Multiquadrics, Gaussian, Thinplate, InverseQuadratic, InverseMultiquadric
- Lowess smoothing based on locally-weighted linear regression (based on R code)
- Mersenne Twister - Random number generator based on MT19937 by Takuji Nishimura and Makoto Matsumoto.