stochastic-rs-stats 0.1.3

A Rust library for the statistical analysis of stochastic processes
Documentation 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63

/// Maximum likelihood estimation for Heston model
/// http://scis.scichina.com/en/2018/042202.pdf
///
/// # Arguments
/// s: Vec<f64> - stock prices
/// v: Vec<f64> - volatility
/// r: f64 - risk-free rate
///
/// # Returns
/// Vec<f64> - estimated parameters
pub fn nmle_heston(s: Vec<f64>, v: Vec<f64>, r: f64) -> Vec<f64> {
  let n = v.len();
  let delta = 1.0 / n as f64;
  let mut sum = [0.0; 3];

  for i in 1..n {
    // sum of (V_i / V_{i-1}
    sum[0] += v[i] / v[i - 1];

    // sum of V_i
    sum[1] += v[i];

    // sum of V_{i-1}
    sum[2] += v[i - 1];
  }

  let beta_hat1 = ((n as f64).powi(-2) * sum[1] * sum[2].powi(-1) - (n as f64).powi(-1) * sum[0])
    / ((n as f64).powi(-2) - 1.0);
  let beta_hat2 =
    ((n as f64).powi(-1) * sum[0] - beta_hat1) / ((1.0 - beta_hat1) * (n as f64).powi(-1) * sum[2]);

  let sum_beta_hat3 = {
    let mut sum = 0.0;
    for i in 1..n {
      sum +=
        (v[i] - v[i - 1] * beta_hat1 - beta_hat2 * (1.0 - beta_hat1).powi(2)) * (1.0 / v[i - 1])
    }
    sum
  };
  let beta_hat3 = (n as f64).powi(-1) * sum_beta_hat3;
  let kappa_hat = -(1.0 / delta) * beta_hat1.ln();
  let theta_hat = beta_hat2;
  let sigma_hat = (2.0 * kappa_hat * beta_hat3) / (1.0 - beta_hat1.powi(2)).sqrt();

  let mut sum_dw1dw2 = 0.0;
  for i in 1..n {
    let dw1_i = (s[i].ln() - s[i - 1].ln() - (r - 0.5 * v[i - 1]) * delta) / v[i - 1].sqrt();
    let dw2_i = (v[i] - v[i - 1] - kappa_hat * (theta_hat - v[i - 1]) * delta)
      / (sigma_hat * v[i - 1].sqrt());

    sum_dw1dw2 += dw1_i * dw2_i;
  }

  let rho_hat = sum_dw1dw2 / (n as f64 * delta);

  vec![
    v.first().unwrap().clone(),
    theta_hat,
    rho_hat,
    kappa_hat,
    sigma_hat,
  ]
}