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@joaquinbejar joaquinbejar released this 12 Jun 10:34
· 81 commits to main since this release
v0.5.4
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Release Notes: Version 0.5.4 - Enhanced Delta Neutrality Validation

Summary

This release focuses on refining the delta neutrality logic for strategy validation, improving internal utilities, and ensuring cleaner project structure. Key improvements target more accurate strike selection for neutral strategies like ShortStrangle.

What's New

  • Version Bump: Upgraded project version to 0.5.4, with updates to Cargo.toml, documentation, and README.

Enhancements

  • Improved delta neutrality logic in the utils module:
    • Enhanced validation checks for non-zero and opposite-sign deltas.
    • Enforced stricter criteria to ensure better neutrality in strategy setup.
    • Improved error messages for better debugging and understanding of delta constraints.
  • Refined the short_strangle strategy logic to match strictear neutrality definitions.
  • Removed trailing whitespace across files to improve code cleanliness and consistency.

Bug Fixes

  • Fixed delta validation logic in the ShortStrangle implementation:
    • Ensures correct strike selection by validating that the put delta is negative and below the negative target, while the call delta is positive and above the positive target.
    • Prevents use of zero delta values which can cause non-neutral configurations.

Documentation Updates

  • Updated the README and internal documentation to reflect changes in version 0.5.4 and improvements in delta neutrality enforcement.

Migration Notes

  • No breaking changes introduced. Existing users can update to this version safely.
  • Recommended for users relying on precise delta-neutral strategies to ensure better positioning.
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