1 unstable release

0.1.7 Sep 13, 2024
0.1.6 Aug 27, 2024

#400 in Math

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MIT license

67KB
1.5K SLoC

A Rust library for probabilistic programming.

  • 期权类模型计算结果都已和此网站校验过 model calibration website: https://www.barchart.com/options/options-calculator

  • option price model include:

    • bsm
    • barone whaley
    • mont carlo
    • binomial tree
    • sabr iv
  • robertics

    • particle filter
    • kalman
    • gussian grid map
    • forword kinametics
  • stochastic process

    • gbm
    • heston
    • jump diffusion
    • square root diffusion
  • point cloud -- ransac normal estimation -- voxel grid

  • others:

    • resample no put back
    • jacobin for mul-var vec

Dependencies

~10–19MB
~263K SLoC