A Rust library for probabilistic programming.

• The concrete use example can be found in gitee repository. Every pub fn has unit test code annotated by #[test] in corresponding rs file.

• 期权类模型计算结果都已和此网站校验过 model calibration website: https://www.barchart.com/options/options-calculator

• crate.io: https://docs.rs/rspp/0.1.1/rspp/all.html

• option price model include:

  • bsm
  • barone whaley
  • mont carlo
  • binomial tree

• others:

  • kalman filter
  • resample no put back
  • jacobin for mul-var vec