diff --git a/stochastic-rs-quant/Cargo.toml b/stochastic-rs-quant/Cargo.toml index 20286c7..6fbbcb0 100644 --- a/stochastic-rs-quant/Cargo.toml +++ b/stochastic-rs-quant/Cargo.toml @@ -6,6 +6,7 @@ edition = "2021" [dependencies] chrono = "0.4.38" derive_builder = "0.20.1" +levenberg-marquardt = "0.14.0" mimalloc = { version = "0.1.43", optional = true } num-complex = "0.4.6" quadrature = "0.1.2" diff --git a/stochastic-rs-quant/src/calibration.rs b/stochastic-rs-quant/src/calibration.rs new file mode 100644 index 0000000..2b9de6b --- /dev/null +++ b/stochastic-rs-quant/src/calibration.rs @@ -0,0 +1 @@ +pub mod heston; diff --git a/stochastic-rs-quant/src/calibration/heston.rs b/stochastic-rs-quant/src/calibration/heston.rs new file mode 100644 index 0000000..8b13789 --- /dev/null +++ b/stochastic-rs-quant/src/calibration/heston.rs @@ -0,0 +1 @@ + diff --git a/stochastic-rs-quant/src/lib.rs b/stochastic-rs-quant/src/lib.rs index 880583d..8a03565 100644 --- a/stochastic-rs-quant/src/lib.rs +++ b/stochastic-rs-quant/src/lib.rs @@ -1,5 +1,6 @@ use std::mem::ManuallyDrop; +pub mod calibration; pub mod pricing; #[cfg(feature = "mimalloc")]