Release History

Initial release (2026-09-28)

This first documented release of quantplus introduces the package as a small, performance-oriented option-pricing library built around the Cox-Ross-Rubinstein (CRR) binomial model.

Included features

  • CRR option pricing for European and American options

  • Black-Scholes closed-form pricing for benchmarking

  • tree-output utilities for inspecting terminal stock and option states

  • optional stock-price threshold pruning at expiry or every tree step

  • an interactive tree plot with draggable thresholds and live repricing

  • Cython-based Python bindings around a native C++ implementation

  • regression tests covering correctness and convergence behavior

Project goals

The package is intentionally focused on a narrow but important problem: pricing vanilla options with transparent numerical methods and a simple API. The design is meant to be easy for users to understand while still leveraging native code for performance-critical computations.

Future direction

Possible future additions include:

  • more option types and payoff structures

  • more advanced Greeks calculations

  • additional numerical benchmarks and validation examples

  • additional documentation and usage examples for quantitative finance workflows

The current release is deliberately small and readable, making it a solid base for future extension without increasing conceptual complexity.