Struct SdeConfig 

pub struct SdeConfig {
    pub x0: f64,
    pub t_end: f64,
    pub n_steps: usize,
    pub n_paths: usize,
    pub drift: DriftType,
    pub mu: f64,
    pub theta: f64,
    pub sigma: f64,
    pub solver: Solver,
    pub seed: u64,
}

SDE configuration.

Fields

x0: f64

Initial value X(0).

t_end: f64

Terminal time T.

n_steps: usize

Number of time steps.

n_paths: usize

Number of paths.

drift: DriftType

Drift model.

mu: f64

Drift coefficient μ (GBM) or mean-reversion level (OU).

theta: f64

Mean-reversion strength θ (OU only).

sigma: f64

Diffusion coefficient σ.

solver: Solver

Solver scheme.

seed: u64

PRNG seed.

Trait Implementations

impl Clone for SdeConfig

fn clone(&self) -> SdeConfig

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for SdeConfig

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl Default for SdeConfig

fn default() -> Self

Returns the “default value” for a type.

impl<'de> Deserialize<'de> for SdeConfig

fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Serialize for SdeConfig

fn serialize<__S>(&self, __serializer: __S) -> Result<__S::Ok, __S::Error>

where __S: Serializer,

Serialize this value into the given Serde serializer.