Struct GeometricBrownianMotion

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pub struct GeometricBrownianMotion {
    pub initial_value: f64,
    pub current_value: f64,
    pub current_time: f64,
    pub mu: f64,
    pub sigma: f64,
    pub dt: f64,
}

Expand description

Implementation of a geometric Brownian motion using a Euler-Maruyama discretization scheme.

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§initial_value: f64

The initial value of the process.

§current_value: f64

The current value of the process.

§current_time: f64

The current time in the process, incremented with each step by the time step dt.

§mu: f64

The drift coefficient.

§sigma: f64

The volatility coefficient.

§dt: f64

The time step size used for advancing the process.

Implementations§

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impl GeometricBrownianMotion

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pub fn new(initial_value: f64, mu: f64, sigma: f64, dt: f64) -> Self

Public constructor function for a new GeometricBrownianMotion.

Trait Implementations§

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impl Debug for GeometricBrownianMotion

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fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter. Read more

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impl Feed for GeometricBrownianMotion

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fn current_value(&self) -> f64

Returns the current value of the feed.

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fn step(&mut self) -> f64

Advances the feed by one step and returns the new value.

Auto Trait Implementations§

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impl UnwindSafe for GeometricBrownianMotion

Blanket Implementations§

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impl<T> Any for T
where T: 'static + ?Sized,

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fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more

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impl<T> Borrow<T> for T
where T: ?Sized,

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fn borrow(&self) -> &T

Immutably borrows from an owned value. Read more

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impl<T> BorrowMut<T> for T
where T: ?Sized,

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fn borrow_mut(&mut self) -> &mut T

Mutably borrows from an owned value. Read more

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impl<T> From<T> for T

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fn from(t: T) -> T

Returns the argument unchanged.

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impl<T> Instrument for T

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fn instrument(self, span: Span) -> Instrumented<Self>

Instruments this type with the provided Span, returning an Instrumented wrapper. Read more

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fn in_current_span(self) -> Instrumented<Self>

Instruments this type with the current Span, returning an Instrumented wrapper. Read more

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impl<T, U> Into for T
where U: From<T>,

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fn into(self) -> U

Calls U::from(self).

That is, this conversion is whatever the implementation of From<T> for U chooses to do.

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impl<T> IntoEither for T

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fn into_either(self, into_left: bool) -> Either<Self, Self>

Converts self into a Left variant of Either<Self, Self> if into_left is true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more

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fn into_either_with<F>(self, into_left: F) -> Either<Self, Self>
where F: FnOnce(&Self) -> bool,

Converts self into a Left variant of Either<Self, Self> if into_left(&self) returns true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more

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