RustQuant 0.0.4

#![deny(missing_docs)]

use crate::stochastics::*;

/// Struct containin the Geometric Brownian Motion parameters.
#[derive(Debug)]
pub struct BrownianMotion {}

impl Default for BrownianMotion {
    fn default() -> Self {
        Self::new()
    }
}

impl BrownianMotion {
    /// Create a new Geometric Brownian Motion process.
    pub fn new() -> Self {
        Self {}
    }
}

impl StochasticProcess for BrownianMotion {
    fn drift(&self, _x: f64) -> f64 {
        0_f64
    }

    fn diffusion(&self, _x: f64) -> f64 {
        1_f64
    }
}

// ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
// TESTS
// ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

#[cfg(test)]
mod tests {
    // use std::time::Instant;

    use super::*;
    use crate::helpers::*;

    #[test]
    fn test_brownian_motion() -> Result<(), Box<dyn std::error::Error>> {
        let bm = BrownianMotion::new();

        // AT LEAST 100 PATHS BEFORE PARALLEL IS WORTH IT.
        // for _steps in [1, 10, 100, 1000] {
        //     for paths in [1, 10, 100, 1000] {
        //         let start_serial = Instant::now();
        //         (&bm).euler_maruyama(10.0, 0.0, 0.5, 1000, paths, false);
        //         let duration_serial = start_serial.elapsed();

        //         let start_parallel = Instant::now();
        //         (&bm).euler_maruyama(10.0, 0.0, 0.5, 1000, paths, true);
        //         let duration_parallel = start_parallel.elapsed();

        //         println!(
        //             "{},{},{:?},{:?}",
        //             1000,
        //             paths,
        //             duration_serial.as_micros(),
        //             duration_parallel.as_micros()
        //         );
        //     }
        // }
        // assert!(1 == 2);

        let output_serial = (&bm).euler_maruyama(10.0, 0.0, 0.5, 100, 1000, false);
        let output_parallel = (&bm).euler_maruyama(10.0, 0.0, 0.5, 100, 1000, true);

        let file1 = "./Images/BM1.png";
        plot_vector((&output_serial.trajectories[0]).clone(), file1).unwrap();

        let file2 = "./Images/BM2.png";
        plot_vector((&output_serial.trajectories[1]).clone(), file2).unwrap();

        let file2 = "./Images/BM3_parallel.png";
        plot_vector((&output_parallel.trajectories[0]).clone(), file2)
    }
}