19 unstable releases (3 breaking)

0.4.2 Feb 22, 2024
0.4.1 Feb 21, 2024
0.3.7 Feb 16, 2024
0.3.5 Jan 9, 2024
0.1.1 May 28, 2023

#386 in Algorithms

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Stochastic-rs

A Rust library for stochastic processes and models. The main goal to provide a simple and easy to use high performance library for stochastic processes and models. This library is still in development and breaking changes may occur. 🚧

Minimal documentation is available at stochastic-rs.

Implementations

Stochastic processes

  • Gaussian noise
  • Brownian motion
  • Correlated Brownian motion
  • Geometric Brownian motion
  • Cox-Ingersoll-Ross process
  • Ornstein-Uhlenbeck process
  • Jacobi process

Jumps and Levy processes

  • Poisson process
  • Compound Poisson process
  • Levy jump diffusion
  • Inverse Gaussian
  • Normal Inverse Gaussian
  • Variance Gamma

Stochastic models

  • Heston model
  • Merton model
  • Bates model

Fractional Stochastic processes

  • Fractional Gaussian noise
  • Fractional Brownian motion
  • Correlated Fractional Brownian motion
  • Fractional Geometric Brownian motion
  • Fractional Ornstein-Uhlenbeck process
  • Fractional Cox-Ingersoll-Ross process
  • Fractional Jacobi process

Features

  • Rough Heston model
  • Bergomi model
  • Rough Bergomi model
  • SABR model
  • Hull-White model
  • Barndorff-Nielsen & Shephard model
  • Alpha-stable models
  • Levy models
  • CGMY model
  • CIR model
  • Multi-factor CIR model
  • BGM model
  • Wu-Zhang model
  • Affine model
  • Heath-Jarrow-Morton model & Multi-factor Heath-Jarrow-Morton model
  • Vasicek model
  • Duffie-Kan model
  • Jump-diffusion model

Future work

  • Add more tests
  • Add more examples
  • Full documentation

Dependencies

~15–24MB
~286K SLoC