diff --git a/stochastic-rs-core/README.md b/stochastic-rs-core/README.md new file mode 100644 index 0000000..745a1f5 --- /dev/null +++ b/stochastic-rs-core/README.md @@ -0,0 +1,74 @@ +![build workflow](https://github.com/dancixx/stochastic-rs/actions/workflows/rust.yml/badge.svg) +[![Crates.io](https://img.shields.io/crates/v/stochastic-rs?style=flat-square)](https://crates.io/crates/stochastic-rs) +![Crates.io](https://img.shields.io/crates/l/stochastic-rs?style=flat-square) + +# 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. 🚧 + +Documentation is available at [stochastic-rs](https://docs.rs/stochastic-rs/). + + +# Implementations + +- [Rust](https://github.com/dancixx/stochastic-rs) +- [Typescript](https://github.com/dancixx/stochastic-js) + +# Stochastic processes +- [x] Gaussian noise +- [x] Correlated Gaussian noise +- [x] Brownian motion +- [x] Correlated Brownian motion +- [x] Geometric Brownian motion +- [x] Cox-Ingersoll-Ross process +- [x] Ornstein-Uhlenbeck process +- [x] Jacobi process + +# Jumps and Levy processes (unstable) +- [x] Poisson process +- [x] Compound Poisson process +- [x] Fractional Ornstein-Uhlenbeck process with jumps +- [x] Levy jump diffusion +- [x] Inverse Gaussian +- [x] Normal Inverse Gaussian +- [x] Variance Gamma + + +# Stochastic models +- [x] Heston model +- [x] Merton model +- [x] Bates model +- [x] Vasicek model +- [x] SABR model (unstable) +- [x] Duffie-Kan model (unstable) + + +# Fractional Stochastic processes +- [x] Fractional Gaussian noise +- [x] Correlated Gaussian noise +- [x] Fractional Brownian motion +- [x] Correlated Fractional Brownian motion +- [x] Fractional Geometric Brownian motion +- [x] Fractional Ornstein-Uhlenbeck process +- [x] Fractional Cox-Ingersoll-Ross process +- [x] Fractional Jacobi process + +# Features +- [ ] Rough Heston model +- [ ] Bergomi model +- [ ] Rough Bergomi model +- [ ] Hull-White model +- [ ] Barndorff-Nielsen & Shephard model +- [ ] Alpha-stable 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 + +## Future work +- [x] Add more tests +- [x] Add more examples +- [x] Full documentation