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Crate stochastic_rs_stochastic

Crate stochastic_rs_stochastic

Expand description

§stochastic-rs-stochastic

Stochastic process simulation: 140+ process types implementing ProcessExt.

Re-exports§

pub use crate::traits::Malliavin2DExt;
pub use crate::traits::MalliavinExt;
pub use crate::traits::ProcessExt;
pub use stochastic_rs_distributions as distributions;

Modules§

aliases: Deprecated v1.x type aliases retained for backward compatibility.
autoregressive: Autoregressive
correlation: Stochastic Correlation Processes
diffusion: Diffusion
interest: Interest
isonormal: Isonormal
ito: Ito
jump: Jump
mc: Monte Carlo Methods
noise: Noise
numerics: Numerical utilities
process: Process
rough: Rough (Riemann–Liouville) Volterra processes
sde: Generic SDE Solver
sheet: Sheet
simd_rng: SIMD-accelerated random number generation
traits: Stochastic process traits
volatility: Volatility

Macros§

py_process_1d
py_process_2d
py_process_2x1d

Constants§

K: Default strike price
N: Default number of time steps
S0: Default spot price for financial models
X0: Default initial value

Traits§

DistributionExt: Analytical descriptors of a distribution.
SimdFloatExt