elworthy (CLI)

Command-line entry point for the elworthy Monte Carlo toolchain.

Part of the elworthy workspace: a Rust JIT compiler that specialises Bismut-Elworthy-Li formulas into SIMD kernels for unbiased Monte Carlo Greeks on non-stationary SDEs.

Install

cargo install --path elworthy

Commands

gbm

Scalar Euler-Maruyama smoke test on geometric Brownian motion:

elworthy gbm --r 0.05 --sigma 0.2 --x0 100 --t 1.0 --paths 20000

Output:

E[X_T] ~ 105.1203 (stderr 0.1473) | closed form 105.1271

This confirms the symbolic-expression -> interpreter -> Monte Carlo pipeline is wired correctly and that the driver reproduces the analytic mean of GBM within statistical tolerance.

More commands

Heston delta via Bismut-Elworthy-Li, benchmark suite, and kernel-cache introspection land in subsequent revisions.

Licence

Apache-2.0.