feat: update heston model

stochastic-rs-core/src/volatility/heston.rs

@@ -5,17 +5,29 @@ use crate::{noise::cgns::Cgns, Sampling2D};
 #[derive(Default)]
 
 pub struct Heston {
-  pub mu: f64,
+  /// Initial stock price
+  pub s0: Option<f64>,
+  /// Initial volatility
+  pub v0: Option<f64>,
+  /// Mean reversion rate
   pub kappa: f64,
+  /// Long-run average volatility
   pub theta: f64,
+  /// Volatility of volatility
   pub sigma: f64,
+  /// Correlation between the stock price and its volatility
   pub rho: f64,
+  /// Drift of the stock price
+  pub mu: f64,
+  /// Number of time steps
   pub n: usize,
-  pub s0: Option<f64>,
-  pub v0: Option<f64>,
+  /// Time to maturity
   pub t: Option<f64>,
+  /// Use the symmetric method for the variance to avoid negative values
   pub use_sym: Option<bool>,
+  /// Number of paths for multithreading
   pub m: Option<usize>,
+  /// Noise generator
   pub cgns: Cgns,
 }
 
@@ -30,14 +42,14 @@ impl Heston {
     });
 
     Self {
-      mu: params.mu,
+      s0: params.s0,
+      v0: params.v0,
       kappa: params.kappa,
       theta: params.theta,
       sigma: params.sigma,
       rho: params.rho,
+      mu: params.mu,
       n: params.n,
-      s0: params.s0,
-      v0: params.v0,
       t: params.t,
       use_sym: params.use_sym,
       m: params.m,

stochastic-rs-quant/src/lib.rs

@@ -1,3 +1,5 @@
+use std::mem::ManuallyDrop;
+
 pub mod pricing;
 
 #[cfg(feature = "mimalloc")]
@@ -7,3 +9,34 @@ static GLOBAL: mimalloc::MiMalloc = mimalloc::MiMalloc;
 #[cfg(feature = "jemalloc")]
 #[global_allocator]
 static GLOBAL: tikv_jemallocator::Jemalloc = tikv_jemallocator::Jemalloc;
+
+/// A value or a vector of values.
+pub union ValueOrVec<T>
+where
+  T: Copy,
+{
+  pub x: T,
+  pub v: ManuallyDrop<Vec<T>>,
+}
+
+/// Implement the `Clone` trait for `ValueOrVec<T>`.
+impl Clone for ValueOrVec<f64> {
+  fn clone(&self) -> Self {
+    unsafe {
+      Self {
+        v: ManuallyDrop::new(self.v.clone().to_vec()),
+      }
+    }
+  }
+}
+
+/// Implement the `Clone` trait for `ValueOrVec<T>`.
+impl Clone for ValueOrVec<chrono::NaiveDate> {
+  fn clone(&self) -> Self {
+    unsafe {
+      Self {
+        v: ManuallyDrop::new(self.v.clone().to_vec()),
+      }
+    }
+  }
+}

stochastic-rs-quant/src/pricing/heston.rs

@@ -3,6 +3,8 @@ use std::{f64::consts::FRAC_1_PI, mem::ManuallyDrop};
 use num_complex::Complex64;
 use quadrature::double_exponential;
 
+use crate::ValueOrVec;
+
 #[derive(Default)]
 pub struct Heston {
   /// Initial stock price
@@ -33,34 +35,6 @@ pub struct Heston {
   pub expiry: Option<ValueOrVec<chrono::NaiveDate>>,
 }
 
-pub union ValueOrVec<T>
-where
-  T: Copy,
-{
-  pub x: T,
-  pub v: ManuallyDrop<Vec<T>>,
-}
-
-impl Clone for ValueOrVec<f64> {
-  fn clone(&self) -> Self {
-    unsafe {
-      Self {
-        v: ManuallyDrop::new(self.v.clone().to_vec()),
-      }
-    }
-  }
-}
-
-impl Clone for ValueOrVec<chrono::NaiveDate> {
-  fn clone(&self) -> Self {
-    unsafe {
-      Self {
-        v: ManuallyDrop::new(self.v.clone().to_vec()),
-      }
-    }
-  }
-}
-
 impl Heston {
   /// Create a new Heston model
   #[must_use]