FellerSquareRoot

spawn_stochastic::feller

Struct FellerSquareRoot 

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pub struct FellerSquareRoot {
    pub alpha: f64,
    pub mu: f64,
    pub sigma: f64,
    pub n_paths: usize,
    pub n_steps: usize,
    pub t_end: f64,
    pub s_0: f64,
}
Expand description

Feller Square Root Process simulates asset prices using: dS = α * (μ - S) * dt + σ * sqrt(S) * dW

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§alpha: f64§mu: f64§sigma: f64§n_paths: usize§n_steps: usize§t_end: f64§s_0: f64

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impl FellerSquareRoot

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pub fn new( alpha: f64, mu: f64, sigma: f64, n_paths: usize, n_steps: usize, t_end: f64, s_0: f64, ) -> Self

Creates a new Feller Square Root instance.

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pub fn simulate(&self) -> Vec<Vec<f64>>

Simulates the Feller Square Root process paths using the Euler-Maruyama method with secure random number generation.

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