GeometricBrownianBridge

RustQuant::prelude

Struct GeometricBrownianBridge 

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pub struct GeometricBrownianBridge {
    pub mu: ModelParameter,
    pub sigma: ModelParameter,
    pub end_value: f64,
    pub end_time: f64,
}
Expand description

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.

Fields§

§mu: ModelParameter

The drift ($\mu$) in percentage.

§sigma: ModelParameter

The volatility ($\sigma$) in percentage.

§end_value: f64

The known end value of the process.

§end_time: f64

The known end time of the process.

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impl GeometricBrownianBridge

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pub fn new( mu: impl Into<ModelParameter>, sigma: impl Into<ModelParameter>, end_value: f64, end_time: f64, ) -> GeometricBrownianBridge

Create a new Geometric Brownian Bridge process.

§Arguments
  • mu - The drift ($\mu$) in percentage.
  • sigma - The volatility ($\sigma$) in percentage.
  • end_value - The known end value of the process.
  • end_time - The known end time of the process.

Trait Implementations§

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impl StochasticProcess for GeometricBrownianBridge

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fn drift(&self, x: f64, t: f64) -> f64

The drift function for the Geometric Brownian Bridge.

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fn diffusion(&self, x: f64, t: f64) -> f64

The diffusion function for the Geometric Brownian Bridge.

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fn jump(&self, _x: f64, _t: f64) -> Option<f64>

The jump function for the Geometric Brownian Bridge. As the Geometric Brownian Bridge does not have a jump term, this always returns None.

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fn parameters(&self) -> Vec<f64>

Return the model’s parameters as a Vec<f64>.
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fn euler_maruyama(&self, config: &StochasticProcessConfig) -> Trajectories

Euler-Maruyama discretisation scheme. Read more
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fn seedable_euler_maruyama( &self, x_0: f64, t_0: f64, t_n: f64, n_steps: usize, m_paths: usize, parallel: bool, seed: u64, ) -> Trajectories

Euler-Maruyama discretisation scheme with a choice of random seed. Read more

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