feat: rename heston params

stochastic-rs-core/Cargo.toml

@@ -15,6 +15,7 @@ keywords = ["stochastic", "process", "random", "simulation", "monte-carlo"]
 ndarray = { version = "0.16.1", features = [
     "rayon",
     "matrixmultiply-threading",
+    "blas"
 ] }
 num-complex = { version = "0.4.6", features = ["rand"] }
 rand = "0.8.5"

stochastic-rs-core/src/main.rs

@@ -1,50 +1,29 @@
-use stochastic_rs::{process::fbm::Fbm, Sampling};
+use stochastic_rs::{noise::fgn::Fgn, Sampling};
 
 fn main() {
-  // let fbm = Fbm::new(&Fbm {
-  //   hurst: 0.9,
-  //   n: 10000,
-  //   t: None,
-  //   m: Some(100),
-  //   ..Default::default()
-  // });
+  let fbm = Fgn::new(0.9, 10000, None, Some(10000));
 
-  // let mut runs = Vec::new();
-
-  // for _ in 0..20 {
-  //   let start = std::time::Instant::now();
-  //   for _ in 0..1000 {
-  //     let _ = fbm.sample_par();
-  //   }
+  let start = std::time::Instant::now();
+  for _ in 0..10000 {
+    let _ = fbm.sample();
+  }
 
-  //   let duration = start.elapsed();
-  //   println!(
-  //     "Time elapsed in expensive_function() is: {:?}",
-  //     duration.as_secs_f32()
-  //   );
-  //   runs.push(duration.as_secs_f32());
-  // }
+  let duration = start.elapsed();
+  println!(
+    "Time elapsed in expensive_function() is: {:?}",
+    duration.as_secs_f32()
+  );
 
-  // let sum: f32 = runs.iter().sum();
-  // let average = sum / runs.len() as f32;
-  // println!("Average time: {}", average);
-  let fbm = Fbm::new(&Fbm {
-    hurst: 0.9,
-    n: 10000,
-    t: None,
-    m: Some(100),
-    ..Default::default()
-  });
+  let fbm = Fgn::new(0.9, 10000, None, Some(10000));
 
-  for _ in 0..10 {
-    let start = std::time::Instant::now();
-    for _ in 0..1000 {
-      let _ = fbm.sample();
-    }
-    let duration = start.elapsed();
-    println!(
-      "Time elapsed in expensive_function() is: {:?}",
-      duration.as_secs_f32()
-    );
+  let start = std::time::Instant::now();
+  for _ in 0..10000 {
+    let _ = fbm.sample();
   }
+
+  let duration = start.elapsed();
+  println!(
+    "Time elapsed in expensive_function() is: {:?}",
+    duration.as_secs_f32()
+  );
 }

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

@@ -8,7 +8,7 @@ pub struct Heston {
   pub mu: f64,
   pub kappa: f64,
   pub theta: f64,
-  pub eta: f64,
+  pub sigma: f64,
   pub rho: f64,
   pub n: usize,
   pub s0: Option<f64>,
@@ -33,7 +33,7 @@ impl Heston {
       mu: params.mu,
       kappa: params.kappa,
       theta: params.theta,
-      eta: params.eta,
+      sigma: params.sigma,
       rho: params.rho,
       n: params.n,
       s0: params.s0,
@@ -61,8 +61,8 @@ impl Sampling2D<f64> for Heston {
       s[i] = s[i - 1] + self.mu * s[i - 1] * dt + s[i - 1] * v[i - 1].sqrt() * cgn1[i - 1];
 
       let random: f64 = match self.use_sym.unwrap_or(false) {
-        true => self.eta * (v[i - 1]).abs().sqrt() * cgn2[i - 1],
-        false => self.eta * (v[i - 1]).max(0.0).sqrt() * cgn2[i - 1],
+        true => self.sigma * (v[i - 1]).abs().sqrt() * cgn2[i - 1],
+        false => self.sigma * (v[i - 1]).max(0.0).sqrt() * cgn2[i - 1],
       };
       v[i] = v[i - 1] + self.kappa * (self.theta - v[i - 1]) * dt + random;
     }