Expand description
High-performance SDE simulation library.
§Quick start
use pathwise_core::{simulate, euler, gbm};
let g = gbm(0.05, 0.2);
let scheme = euler();
let paths = simulate(
&g.drift,
&g.diffusion,
&scheme,
100.0, // x0
0.0, // t0
1.0, // t1
10, // n_paths
252, // n_steps
42, // seed
).expect("simulate failed");
assert_eq!(paths.shape(), &[10, 253]);Re-exports§
pub use state::Diffusion;pub use state::Increment;pub use state::NoiseIncrement;pub use state::State;pub use error::PathwiseError;pub use process::bm;pub use process::cir;pub use process::corr_ou;pub use process::gbm;pub use process::heston;pub use process::ou;pub use process::CorrOuDiffusion;pub use process::Drift;pub use process::HestonDiffusion;pub use process::NdSDE;pub use process::SDE;pub use scheme::euler;pub use scheme::euler;pub use scheme::milstein;pub use scheme::milstein;pub use scheme::milstein_nd;pub use scheme::milstein_nd;pub use scheme::sri;pub use scheme::sri;pub use scheme::MilsteinNd;pub use scheme::Scheme;pub use scheme::Sri;pub use simulate::simulate;pub use simulate::simulate_nd;