Struct CompoundPoisson 

pub struct CompoundPoisson {
    pub rate: f64,
    pub jump_distribution: Box<dyn Fn(&mut Rng) -> f64>,
}

Compound Poisson process: S(t) = sum_{i=1}^{N(t)} X_i where N(t) is Poisson(rate*t) and X_i are iid from jump_distribution.

Fields

rate: f64

Rate of underlying Poisson process.

jump_distribution: Box<dyn Fn(&mut Rng) -> f64>

Jump size distribution: function that generates a random jump.

Implementations

impl CompoundPoisson

pub fn new(rate: f64, jump_distribution: Box<dyn Fn(&mut Rng) -> f64>) -> Self

pub fn normal_jumps(rate: f64, jump_mean: f64, jump_std: f64) -> Self

Create a compound Poisson with normally distributed jumps.

pub fn exponential_jumps(rate: f64, jump_rate: f64) -> Self

Create a compound Poisson with exponentially distributed jumps.

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

Generate the process path: Vec of (time, cumulative_sum).

pub fn jumps(&self, rng: &mut Rng, duration: f64) -> Vec<(f64, f64)>

Generate just the jump values at each arrival.