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
  • sabr iv

• robertics

• particle filter

• kalman

• gussian grid map

• forword kinametics

• stochastic process

  • gbm
  • heston
  • jump diffusion
  • square root diffusion

• others:

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