https://github.com/nzengi/spawn-stochastic
https://github.com/nzengi/spawn-stochastic
abm brownian-bridge feller-square-root-process gbm ornstein-uhlenbeck-process
Last synced: 6 months ago
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- Host: GitHub
- URL: https://github.com/nzengi/spawn-stochastic
- Owner: nzengi
- License: mit
- Created: 2024-09-09T19:30:10.000Z (about 1 year ago)
- Default Branch: master
- Last Pushed: 2024-09-09T19:41:33.000Z (about 1 year ago)
- Last Synced: 2024-09-11T01:17:40.481Z (about 1 year ago)
- Topics: abm, brownian-bridge, feller-square-root-process, gbm, ornstein-uhlenbeck-process
- Language: Rust
- Homepage:
- Size: 4.88 KB
- Stars: 0
- Watchers: 1
- Forks: 0
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
- License: LICENSE
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README
# Stochastic Processes in Rust
This Rust library provides implementations for multiple stochastic processes, including:
- Arithmetic Brownian Motion (ABM)
- Geometric Brownian Motion (GBM)
- Ornstein-Uhlenbeck Process (OU)
- Feller Square Root Process
- Brownian Bridge Process
Each of these processes is commonly used in financial modeling, scientific simulations, and mathematical research.
## Features
This library includes:
- Multiple stochastic process models.
- Secure random number generation using `OsRng`.
- Rust idiomatic safety practices (boundary checks, secure error handling, etc.).
- Modular structure for ease of use and extendability.
## Installation
To include this library in your Rust project, add the following line to your `Cargo.toml` under `[dependencies]`:
```toml
[dependencies]
stochastic_processes = "0.1.0"
```
## Usage
Arithmetic Brownian Motion (ABM)
```rust
use stochastic_processes::abm::ArithmeticBrownianMotion;
fn main() {
let abm = ArithmeticBrownianMotion::new(0.05, 0.4, 50, 200, 1.0, 200.0);
let paths = abm.simulate();
for path in paths {
println!("{:?}", path);
}
}
```
## Geometric Brownian Motion (GBM)
```rust
use stochastic_processes::gbm::GeometricBrownianMotion;
fn main() {
let gbm = GeometricBrownianMotion::new(0.2, 0.4, 50, 200, 1.0, 500.0);
let paths = gbm.simulate();
for path in paths {
println!("{:?}", path);
}
}
```
## Ornstein-Uhlenbeck Process (OU)
```rust
use stochastic_processes::ou::OrnsteinUhlenbeck;
fn main() {
let ou = OrnsteinUhlenbeck::new(10.0, 0.07, 0.1, 50, 200, 1.0, 0.05);
let paths = ou.simulate();
for path in paths {
println!("{:?}", path);
}
}
```
## Feller Square Root Process
```rust
use stochastic_processes::feller::FellerSquareRoot;
fn main() {
let feller = FellerSquareRoot::new(5.0, 0.1, 0.2, 50, 200, 1.0, 0.05);
let paths = feller.simulate();
for path in paths {
println!("{:?}", path);
}
}
```
## Brownian Bridge Process
```rust
use stochastic_processes::bridge::BrownianBridge;
fn main() {
let bridge = BrownianBridge::new(0.0, 1.0, 0.2, 50, 200, 1.0);
let paths = bridge.simulate();
for path in paths {
println!("{:?}", path);
}
}
```