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dancixx committed Oct 22, 2023
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# Stochastic-rs

A Rust library for stochastic processes.
A Rust library for stochastic processes and models.


# Implementations
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- [x] Fractional Ornstein-Uhlenbeck process
- [x] Fractional Cox-Ingersoll-Ross process
- [x] Fractional Jacobi process
- [ ] Heston model
- [ ] Heston model & Rough Heston model
- [ ] Bergomi model & Rough Bergomi model
- [ ] Merton model
- [ ] Bates 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
- [ ] Variance Gamma model
- [ ] Normal Inverse Gaussian model

# Usage

**Gaussian noise**

```rust
use stochastic_rs::noises::gn;

let n = 1000;
let noise = gaussian(n);
println!("{:?}", noise);
```


**Fractional Gaussian noise**
```rust
use stochastic_rs::noises::fgn;

let n = 1000;
let hurst = 0.7;
let noise = fgn(n, hurst);
println!("{:?}", noise);
```

**Brownian motion**
```rust
use stochastic_rs::processes::bm;

let n = 1000;
let t = 1;
let bm = bm(n, t);
println!("{:?}", bm);
```

**Fractional Brownian motion**
```rust
// using cholesky decomposition
use stochastic_rs::processes::fbm_cholesky;

let n = 1000;
let hurst = 0.7;
let t = 1;
let fbm = fbm_cholesky(n, hurst, t);
println!("{:?}", fbm);
```
Minimal ocumentation is available at [docs.rs](https://docs.rs/stochastic-rs/).

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