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RELEASE_NOTES_v1.2.0.md

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voltic v1.2.0

A typed-result API on the v1.1.0 fast kernel.

The legacy f64-returning entry points (implied_vol, implied_vol_fast, implied_vol_rational, implied_vol_explicit, implied_vol_with_context_batch, implied_vol_fully_vectorized) are byte-identical with v1.1.0. NaN counts on canonical grids are unchanged (CLY-3D 13 NaN, ATM-dense 288 NaN, wing v x Delta 2 NaN, Schadner cold 0 NaN), and throughput on the fast hot path is unchanged (Schadner cold 73.2 ns, wing v x Delta 81.6 ns). Callers on the legacy surface see no behavior change.

The new implied_vol_typed / implied_vol_typed_batch surface returns an ImpliedVolResult { value, status }. The status arm distinguishes seven outcomes the bare-NaN API conflates: Computed, BelowVolMin { computed }, AboveVolMax { computed }, BelowIntrinsic, AboveMaximum, NonFinite, FailedToConverge. BelowVolMin and AboveVolMax carry the sigma the iteration actually found, so a caller who wants to accept sub-VOL_MIN or super-VOL_MAX vols can.

Added

  • Typed result API (implied_vol_typed, implied_vol_typed_batch).
  • Householder-3 solver on the typed path (FlashIV eq. 6, AQFED.jl parity).
  • Three-term price-residual floor: inverse-mapping, price-scale, and Hart-Phi floor.
  • Sigma-resolution-aware classification gate. Rows landing within their own sigma-resolution of VOL_MIN or VOL_MAX classify by identifiability, not by hard-edge comparison.
  • Wide internal iteration bracket [1e-8, 50.0] so a true root below VOL_MIN (or above VOL_MAX) is found, not pinned.
  • Adversarial bench grid (bench/adversarial.rs), about 3000 rows tagged by regime, each with an expected typed-status assertion.
  • Typed verification tools: bench/spot_check.rs, bench/verify_301.rs, bench/full_cly3d_scan.rs.
  • PyO3 binding voltic.implied_vol_typed.

Verified

  • 97/97 lib + integration + doc tests pass under cargo +nightly test --release.
  • 200-bit mpmath truth on stratified samples confirms Computed sigma deviation inside the documented 1e-6 sigma-resolution budget: worst 3.41e-14 on CLY-3D (51,321 rows), worst 5.57e-8 on ATM-dense (48,831 rows).
  • HH3 algorithm cross-checked against AQFED.jl src/black/iv_solver_householder.jl and FlashIV eq. 6 (Le Floc'h and Healy, arxiv 2605.29102 sec. 3.1).
  • Independent verifier on 27 shifted-Computed sample rows: 0 contract violations against the mpmath truth.

Compatibility

  • MSRV unchanged (Rust 1.94 stable for non-SIMD callers; nightly required for the std::simd path, same as v1.1.0).
  • No public API removals. No behavior change on the legacy f64 surface.
  • Python wheel (voltic on PyPI) ships the new implied_vol_typed function alongside the existing exports.

CI

  • Pinned the nightly toolchain in .github/workflows/ci.yml to nightly-2026-05-12 so rustfmt and clippy rules stop drifting between runs.
  • Crate-level #![allow] attributes added with one-line reasons: improper_ctypes on src/norm.rs (Sleef SIMD FFI vector types are not Rust-FFI-safe by spec); clippy::excessive_precision on src/schadner_fast.rs (Chebyshev seed coefficients in the include!()-d seed file carry beyond-f64 digits as published); clippy::absurd_extreme_comparisons, clippy::assign_op_pattern, clippy::manual_clamp, clippy::manual_range_contains, and unused_imports/unused_variables/dead_code on src/schadner_fast.rs (protected hot path per v1.2 byte-identity rule); clippy::manual_clamp, clippy::manual_memcpy, clippy::manual_div_ceil, and non_snake_case on src/otm_context.rs (NaN-clamp semantics, manual SIMD copy paths, and SIMD mask type naming); clippy::excessive_precision on tests/wing_seed.rs (published mpmath-200-bit reference table).
  • Bench files passed clippy after small mechanical hygiene fixes (iterator-style loops, writeln!, copy_from_slice, range contains, type aliases).
  • cargo clippy --all-targets -- -D warnings runs clean.

More info: ryan@databa.ai