Module RustQuant::models

Module containing all models (e.g. Black-Scholes, Heston, etc). Also a Model trait is defined here for all models to implement.

Re-exports

• pub use model::*;
• pub use arithmetic_brownian_motion::*;
• pub use black_derman_toy::*;
• pub use brownian_motion::*;
• pub use constant_elasticity_of_variance::*;
• pub use cox_ingersoll_ross::*;
• pub use extended_vasicek::*;
• pub use fractional_brownian_motion::*;
• pub use fractional_cox_ingersoll_ross::*;
• pub use fractional_ornstein_uhlenbeck::*;
• pub use geometric_brownian_bridge::*;
• pub use geometric_brownian_motion::*;
• pub use heston::*;
• pub use ho_lee::*;
• pub use hull_white::*;
• pub use merton_jump_diffusion::*;
• pub use model_parameter::*;
• pub use nelson_siegel::*;
• pub use nelson_siegel_svensson::*;
• pub use ornstein_uhlenbeck::*;
• pub use sabr::*;

Modules

• arithmetic_brownian_motion
  Arithmetic Brownian Motion.
• black_derman_toy
  Black-Derman-Toy.
• brownian_motion
  Brownian Motion.
• constant_elasticity_of_variance
  Constant Elasticity of Variance.
• cox_ingersoll_ross
  Cox-Ingersoll-Ross.
• extended_vasicek
  Extended Vasicek.
• fractional_brownian_motion
  Fractional Brownian Motion.
• fractional_cox_ingersoll_ross
  Fractional Cox-Ingersoll-Ross.
• fractional_ornstein_uhlenbeck
  Fractional Ornstein-Uhlenbeck.
• geometric_brownian_bridge
  Geometric Brownian Bridge.
• geometric_brownian_motion
  Geometric Brownian Motion.
• heston
  Heston stochastic volatility model.
• ho_lee
  Ho-Lee.
• hull_white
  Hull-White.
• merton_jump_diffusion
  Merton Jump Diffusion.
• model
  Model trait.
• model_parameter
  Model parameters.
• nelson_siegel
  Nelson-Siegel model.
• nelson_siegel_svensson
  Nelson-Siegel-Svensson model.
• ornstein_uhlenbeck
  Ornstein-Uhlenbeck.
• sabr
  SABR: Stochastic Alpha, Beta, Rho.