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sample_paths

rustyqlib::core::montecarlo::paths

Function sample_paths 

Source 
pub fn sample_paths<P: StochasticProcess>(
    process: &P,
    x0: &[f64],
    cfg: &SampleConfig,
) -> MultiPaths
Expand description

Simulate paths of an N-state process from the state x0. The stepping scheme is the process’s own evolve (multi-factor schemes are process-owned — e.g. Heston full-truncation or QE); dw carries independent increments, any factor correlation lives inside the process.