Struct GeometricBM 

pub struct GeometricBM {
    pub mu: f64,
    pub sigma: f64,
    pub s0: f64,
    pub dt: f64,
}

Geometric Brownian Motion parameters.

Fields

mu: f64

Drift rate (annualised expected return).

sigma: f64

Volatility (annualised standard deviation).

s0: f64

Initial value S(0).

dt: f64

Time step size.

Implementations

impl GeometricBM

pub fn new(mu: f64, sigma: f64, s0: f64, dt: f64) -> Self

pub fn step(&self, rng: &mut Rng, current: f64) -> f64

Single step: advance from current to next value. S(t+dt) = S(t) * exp((mu - sigma²/2)dt + sigmasqrt(dt)*Z)

pub fn path(&self, rng: &mut Rng, steps: usize) -> Vec<f64>

Generate a full price path of length steps + 1.

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

Expected value at time t: E[S(t)] = S(0) * exp(mu * t).

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

Variance at time t: Var[S(t)] = S(0)² * exp(2mut) * (exp(sigma²*t) - 1).

pub fn paths(&self, rng: &mut Rng, steps: usize, count: usize) -> Vec<Vec<f64>>

Generate multiple independent paths (e.g. for Monte Carlo pricing).