A Rust library for probabilistic programming.

• 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

• option price model include:

  • bsm
  • barone whaley
  • mont carlo
  • binomial tree

• others:

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