Enum WalkType 

pub enum WalkType {
    Brownian {
        dt: Positive,
        drift: Decimal,
        volatility: Positive,
    },
    GeometricBrownian {
        dt: Positive,
        drift: Decimal,
        volatility: Positive,
    },
    LogReturns {
        dt: Positive,
        expected_return: Decimal,
        volatility: Positive,
        autocorrelation: Option<Decimal>,
    },
    MeanReverting {
        dt: Positive,
        volatility: Positive,
        speed: Positive,
        mean: Positive,
    },
    JumpDiffusion {
        dt: Positive,
        drift: Decimal,
        volatility: Positive,
        intensity: Positive,
        jump_mean: Decimal,
        jump_volatility: Positive,
    },
    Garch {
        dt: Positive,
        drift: Decimal,
        volatility: Positive,
        alpha: Positive,
        beta: Positive,
    },
    Heston {
        dt: Positive,
        drift: Decimal,
        volatility: Positive,
        kappa: Positive,
        theta: Positive,
        xi: Positive,
        rho: Decimal,
    },
    Custom {
        dt: Positive,
        drift: Decimal,
        volatility: Positive,
        vov: Positive,
        vol_speed: Positive,
        vol_mean: Positive,
    },
    Telegraph {
        dt: Positive,
        drift: Decimal,
        volatility: Positive,
        lambda_up: Positive,
        lambda_down: Positive,
        vol_multiplier_up: Option<Positive>,
        vol_multiplier_down: Option<Positive>,
    },
    Historical {
        timeframe: TimeFrame,
        prices: Vec<Positive>,
        symbol: Option<String>,
    },
}

Enum defining different types of random walks

Variants

Brownian

Standard Brownian motion (normal increments)

Fields

dt: Positive

Time step size (fraction of year: daily=1/365, weekly=1/52, etc.)

drift: Decimal

Drift parameter (expected return or growth rate)

volatility: Positive

Volatility parameter (annualized standard deviation)

GeometricBrownian

Geometric Brownian motion (log-normal increments)

Fields

dt: Positive

Time step size (fraction of year: daily=1/365, weekly=1/52, etc.)

drift: Decimal

Drift parameter (expected return or growth rate)

volatility: Positive

Volatility parameter (annualized standard deviation)

LogReturns

Log-Returns model (simulates directly log-returns instead of prices)

Fields

dt: Positive

Time step size (fraction of year: daily=1/365, weekly=1/52, etc.)

expected_return: Decimal

Expected return (mean of log returns)

volatility: Positive

Volatility parameter (annualized standard deviation of log returns)

autocorrelation: Option<Decimal>

Optional autocorrelation parameter (-1 to 1)

MeanReverting

Mean-reverting process (Ornstein-Uhlenbeck)

Fields

dt: Positive

Time step size (fraction of year: daily=1/365, weekly=1/52, etc.)

volatility: Positive

Volatility parameter (annualized standard deviation)

speed: Positive

Mean reversion speed (rate at which process reverts to mean)

mean: Positive

Long-term mean (equilibrium level)

JumpDiffusion

Jump diffusion process (normal increments with occasional jumps)

Fields

dt: Positive

Time step size (fraction of year: daily=1/365, weekly=1/52, etc.)

drift: Decimal

Drift parameter (expected return of continuous part)

volatility: Positive

Volatility parameter (annualized standard deviation of continuous part)

intensity: Positive

Jump intensity (annual frequency of jumps)

jump_mean: Decimal

Jump size mean (average jump magnitude)

jump_volatility: Positive

Jump size volatility (standard deviation of jump size)

Garch

GARCH process (time-varying volatility)

Fields

dt: Positive

Time step size (fraction of year: daily=1/365, weekly=1/52, etc.)

drift: Decimal

Drift parameter (expected return)

volatility: Positive

Initial volatility parameter (starting volatility level)

alpha: Positive

GARCH alpha parameter (impact of past observations)

beta: Positive

GARCH beta parameter (persistence of volatility)

Heston

Heston model (stochastic volatility)

Fields

dt: Positive

Time step size (fraction of year: daily=1/365, weekly=1/52, etc.)

drift: Decimal

Drift parameter (expected return)

volatility: Positive

Initial volatility parameter (starting volatility level)

kappa: Positive

Mean reversion speed of volatility

theta: Positive

Long-term variance (equilibrium level of variance)

xi: Positive

Volatility of volatility (standard deviation of variance process)

rho: Decimal

Correlation between price and volatility processes

Custom

Custom process defined by a function

Fields

dt: Positive

Time step size (fraction of year: daily=1/365, weekly=1/52, etc.)

drift: Decimal

Drift parameter (expected change)

volatility: Positive

Volatility parameter (may be interpreted differently based on custom implementation)

vov: Positive

Volatility of Volatility parameter (annualized standard deviation)

vol_speed: Positive

Mean reversion speed (rate at which process reverts to mean)

vol_mean: Positive

Long-term mean (equilibrium level)

Telegraph

Telegraph process (two-state regime switching model)

Fields

dt: Positive

Time step size (fraction of year: daily=1/365, weekly=1/52, etc.)

drift: Decimal

Drift parameter (expected return)

volatility: Positive

Base volatility parameter (annualized standard deviation)

lambda_up: Positive

Transition rate from state -1 to +1 (intensity of upward regime changes)

lambda_down: Positive

Transition rate from state +1 to -1 (intensity of downward regime changes)

vol_multiplier_up: Option<Positive>

Optional volatility multiplier for the +1 state (default: 1.0)

vol_multiplier_down: Option<Positive>

Optional volatility multiplier for the -1 state (default: 1.0)

Historical

Represents historical price data for a given timeframe.

This encapsulates the historical price data, including the timeframe over which the data was collected and a vector of positive price values. It is typically used to store and process historical market data for financial analysis and simulation purposes.

Fields

• timeframe: The TimeFrame over which the historical data is relevant.
• prices: A Vec of Positive values representing the historical prices.

Fields

timeframe: TimeFrame

The timeframe of the historical data.

prices: Vec<Positive>

The vector of positive price values.

symbol: Option<String>

A field representing an optional symbol.

This field stores an optional String that can represent a symbol. It can hold a Some(String) value if a symbol is provided, or None if no symbol is specified.

Use Case

This field can be utilized in scenarios where a symbol (e.g., stock ticker, identifier) may or may not be required.

Implementations

impl WalkType

pub fn volatility(&self) -> Option<Positive>

Returns the volatility parameter carried by this walk type.

For the nine synthetic walk types this is the annualized volatility field of the variant (the initial volatility for stochastic-volatility models such as Garch, Heston, Custom and Telegraph).

Returns None for WalkType::Historical, whose volatility is not a parameter but must be estimated from the provided price history.

Trait Implementations

impl Clone for WalkType

fn clone(&self) -> Self

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl ComposeSchema for WalkType

fn compose(generics: Vec<RefOr<Schema>>) -> RefOr<Schema>

impl Debug for WalkType

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for WalkType

fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Display for WalkType

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl PartialEq for WalkType

fn eq(&self, other: &Self) -> bool

Equality operator ==.

fn ne(&self, other: &Rhs) -> bool

Inequality operator !=.

impl Serialize for WalkType

fn serialize<__S>(&self, __serializer: __S) -> Result<__S::Ok, __S::Error>

where __S: Serializer,

Serialize this value into the given Serde serializer.

impl StructuralPartialEq for WalkType

impl ToSchema for WalkType

fn name() -> Cow<'static, str>

Return name of the schema.

fn schemas(schemas: &mut Vec<(String, RefOr<Schema>)>)

Implement reference utoipa::openapi::schema::Schemas for this type.