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 elworthy

Or from a workspace checkout:

cargo install --path elworthy

Commands

gbm

Scalar Euler-Maruyama smoke test on geometric Brownian motion:

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

Use --backend interp to fall back to the tree-walking interpreter (slower; avoids the SELinux execmem constraint for Cranelift).

gbm-delta

Bismut-Elworthy-Li delta on GBM via the constant-flow Malliavin weight:

elworthy gbm-delta --paths 40000

Expected output at default parameters:

price   ~ 105.12xx (stderr 0.14xx) | closed form 105.1271
delta   ~   1.05xx (stderr 0.02xx) | closed form 1.0513

The delta is the headline Greek for the current workspace: one scalar SDE, one smooth payoff, BEL weight synthesised symbolically by elworthy-weight and elworthy-diff, then lowered to a Cranelift kernel.

SELinux note (Fedora / RHEL)

The JIT backend requires execmem permission so Cranelift can map newly generated code as executable. Under SELinux enforcing this is denied for ordinary user binaries:

Error: cranelift module error: Backend error: unable to make memory readable+executable

Workarounds:

• Run via cargo test (the test harness domain already grants execmem).
• Relax policy with sudo setsebool -P selinuxuser_execheap 1.
• Use --backend interp for a JIT-free run.

See the workspace README for full context, additional commands, and the Python API on PyPI.

Licence

Apache-2.0.