pathwise_core/lib.rs
1//! High-performance SDE simulation library.
2//!
3//! # Quick start
4//!
5//! ```
6//! use pathwise_core::{simulate, euler, gbm};
7//!
8//! let g = gbm(0.05, 0.2);
9//! let scheme = euler();
10//! let paths = simulate(
11//! &g.drift,
12//! &g.diffusion,
13//! &scheme,
14//! 100.0, // x0
15//! 0.0, // t0
16//! 1.0, // t1
17//! 10, // n_paths
18//! 252, // n_steps
19//! 42, // seed
20//! ).expect("simulate failed");
21//! assert_eq!(paths.shape(), &[10, 253]);
22//! ```
23
24// pathwise-core: pure Rust SDE simulation library
25mod rng;
26
27pub mod state;
28pub use state::{Diffusion, Increment, NoiseIncrement, State};
29
30pub mod error;
31pub use error::PathwiseError;
32
33pub mod process;
34pub use process::{bm, cir, corr_ou, gbm, heston, ou, CorrOuDiffusion, Drift, HestonDiffusion, NdSDE, SDE};
35
36pub mod scheme;
37pub use scheme::{euler, milstein, milstein_nd, sri, MilsteinNd, Scheme, Sri};
38
39pub mod simulate;
40pub use simulate::{simulate, simulate_nd};