Crate stochastic_processes
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Stochastic processes simluation toolkit.
This crate provides utilities for simulating various stochastic processes.
Quick Start
To create a process, call the new constructor for the desired process, and supply the
constructor with the required parameters. To simulate a process, simply call simulate
on the process.
In the following example, an Ornstein-Uhlenbeck is created with
$\mu = \theta = \sigma = 1$. The processes is simluated with $x_0 = 0$ for 10 time steps,
each time step 1 unit long. The path is stored inside of a SimulatedPath.
use stochastic_processes::{OrnsteinUhlenbeck, SimluatedPath};
let ou: OrnsteinUhlenbeck = OrnsteinUhlenbeck::new(1.0, 1.0, 1.0);
let sim: SimulatedPath = ou.simulate(10, 1.0, 0.0)
println!("{}", sim.path);Structs
The Cox-Ingersoll-Ross (CIR) process.
The Geometric Brownian motion process.
The Ornstein-Uhlenbeck process.
Simluated Path.