Struct GeometricBrownianMotionProcess 

pub struct GeometricBrownianMotionProcess {
    pub mu: f64,
    pub sigma: f64,
}

Geometric Brownian Motion simulator for asset price modelling.

Models: dS = μ S dt + σ S dW. The exact solution is S_t = S_0 exp((μ - σ²/2)t + σW_t).

Fields

mu: f64

Drift (expected return) μ.

sigma: f64

Volatility σ ≥ 0.

Implementations

impl GeometricBrownianMotionProcess

pub fn new(mu: f64, sigma: f64) -> Self

Create a GBM with given drift and volatility.

pub fn simulate( &self, s0: f64, t_end: f64, n_steps: u32, seed: u64, ) -> Vec<(f64, f64)>

Simulate a path starting at s0 over [0, t_end] with n_steps steps.

Returns (time, S_t) pairs.

pub fn expected_value(&self, s0: f64, t: f64) -> f64

Expected value E[S_t] = S_0 exp(μ t).

pub fn variance(&self, s0: f64, t: f64) -> f64

Variance Var[S_t] = S_0² e^{2μt} (e^{σ²t} - 1).

Trait Implementations

impl Clone for GeometricBrownianMotionProcess

fn clone(&self) -> GeometricBrownianMotionProcess

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for GeometricBrownianMotionProcess

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

Formats the value using the given formatter.