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JumpDiffusion

oxiphysics_core::stochastic_processes

Struct JumpDiffusion 

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pub struct JumpDiffusion {
    pub s0: f64,
    pub mu: f64,
    pub sigma: f64,
    pub lambda: f64,
    pub mu_j: f64,
    pub sigma_j: f64,
    /* private fields */
}
Expand description

Merton jump-diffusion model: GBM plus compound Poisson jumps.

SDE: dS = (mu - lambdak_bar)Sdt + sigmaSdW + S(J-1)*dN where J = exp(N(mu_j, sigma_j^2)), k_bar = E[J-1] = exp(mu_j + sigma_j^2/2) - 1.

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§s0: f64

Initial value.

§mu: f64

Drift (excluding jump compensation).

§sigma: f64

Diffusion volatility.

§lambda: f64

Poisson intensity (average jumps per unit time).

§mu_j: f64

Mean of log-jump size (normal distributed).

§sigma_j: f64

Std dev of log-jump size.

Implementations§

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impl JumpDiffusion

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pub fn new( s0: f64, mu: f64, sigma: f64, lambda: f64, mu_j: f64, sigma_j: f64, seed: u64, ) -> Self

Creates a new Merton jump-diffusion model.

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pub fn expected_jump(&self) -> f64

Expected jump multiplier E[J] = exp(mu_j + sigma_j^2/2).

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pub fn jump_compensation(&self) -> f64

Jump compensation term k_bar = E[J] - 1.

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pub fn path(&self, t_end: f64, n_steps: usize) -> Vec<f64>

Simulate a path using Euler-Maruyama with Poisson jump thinning.

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