Module stochastics 

The stochastics module.

Modules

arithmetic_brownian_motion

Arithmetic Brownian Motion.

black_derman_toy

Black-Derman-Toy short rate model.

brownian_motion

Standard Brownian Motion.

constant_elasticity_of_variance

Constant Elasticity of Variance process.

cox_ingersoll_ross

Cox-Ingersoll-Ross process.

curve_model

Curve model trait. Curves models module.

extended_vasicek

Extended Vasicek process.

fractional_brownian_motion

Fractional Brownian Motion.

fractional_cox_ingersoll_ross

Fractional Cox-Ingersoll-Ross process.

fractional_ornstein_uhlenbeck

Fractional Ornstein-Uhlenbeck process.

geometric_brownian_bridge

Geometric brownian bridge process.

geometric_brownian_motion

Geometric Brownian Motion.

heston

Heston model process.

ho_lee

Ho-Lee process.

hull_white

Hull-White model process.

merton_jump_diffusion

Merton jump diffusion process.

model_parameter

Model parameter struct.

nelson_siegel_svensson

Nelson-Siegel-Svensson model process.

ornstein_uhlenbeck

Ornstein-Uhlenbeck process.

process

Defines Trajectories and StochasticProcess. Trajectories is the return type of all the stochastic processes. StochasticProcess is the base trait for all the stochastic processes.

sabr

SABR model process.

Structs

ArithmeticBrownianMotion

Struct containing the Arithmetic Brownian Motion parameters.

BlackDermanToy

Struct containing the Black-Derman-Toy process parameters.

BrownianMotion

Struct containing the Geometric Brownian Motion parameters.

ConstantElasticityOfVariance

Struct containing the CEV process parameters.

CoxIngersollRoss

Struct containing the Ornstein-Uhlenbeck process parameters.

ExtendedVasicek

Struct containing the extended Vasicek process parameters.

FractionalBrownianMotion

Struct containing the Fractional Brownian Motion parameters.

FractionalCoxIngersollRoss

Struct containing the Ornstein-Uhlenbeck process parameters.

FractionalOrnsteinUhlenbeck

Struct containing the Ornstein-Uhlenbeck process parameters.

GeometricBrownianBridge

Struct containing the Geometric Brownian Bridge parameters. The Geometric Brownian Bridge is a stochastic process that models a path-dependent option. It is a modification of the Geometric Brownian Motion where the end value is known.

GeometricBrownianMotion

Struct containing the Geometric Brownian Motion parameters.

Heston

Struct containing the Heston model parameters.

HoLee

Struct containing the Ho-Lee process parameters.

HullWhite

Struct containing the Hull-White process parameters.

MertonJumpDiffusion

Struct containing the Merton Jump Diffusion parameters. The Merton Jump Diffusion is a stochastic process that models a path-dependent option. It is a modification of the Geometric Brownian Motion where the end value is known.

ModelParameter

A struct that wraps constants and functions into a single type in order to allow for all processes to have time-dependent parameters.

NelsonSiegelSvensson

Nelson-Siegel-Svensson (1994) model parameters.

OrnsteinUhlenbeck

Struct containing the Ornstein-Uhlenbeck process parameters.

SABR

Struct containing the Heston model parameters.

StochasticProcessConfig

Configuration parameters for simulating a stochastic process.

Trajectories

Struct to contain the time points and path values of the process.

Enums

FractionalProcessGeneratorMethod

Method used to generate the Fractional Brownian Motion.

Traits

CurveModel

A trait for curve models.

StochasticProcess

Trait to implement stochastic processes.

StochasticVolatilityProcess

Trait to implement stochastic volatility processes.