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stochastic_rs_stochastic/
lib.rs

1//! # stochastic-rs-stochastic
2//!
3//! Stochastic process simulation: 140+ process types implementing `ProcessExt`.
4
5#![allow(non_snake_case)]
6#![allow(clippy::type_complexity)]
7#![allow(clippy::too_many_arguments)]
8// Numerical-loop indices are kept as-is; iterator chains hurt readability
9// in matrix/path index code where i, j, k carry mathematical meaning.
10#![allow(clippy::needless_range_loop)]
11
12#[macro_use]
13mod macros;
14
15pub mod traits;
16
17pub use stochastic_rs_core::simd_rng;
18pub use stochastic_rs_distributions as distributions;
19pub use stochastic_rs_distributions::traits::DistributionExt;
20pub use stochastic_rs_distributions::traits::SimdFloatExt;
21
22pub use crate::traits::Malliavin2DExt;
23pub use crate::traits::MalliavinExt;
24pub use crate::traits::ProcessExt;
25
26pub mod aliases;
27pub mod autoregressive;
28pub mod correlation;
29pub mod diffusion;
30pub mod interest;
31pub mod isonormal;
32pub mod ito;
33pub mod jump;
34pub mod mc;
35pub mod noise;
36pub mod numerics;
37pub mod process;
38pub mod rough;
39pub mod sde;
40pub mod sheet;
41pub mod volatility;
42
43/// Default number of time steps
44pub const N: usize = 1000;
45/// Default initial value
46pub const X0: f64 = 0.5;
47/// Default spot price for financial models
48pub const S0: f64 = 100.0;
49/// Default strike price
50pub const K: f64 = 100.0;