Struct JumpDiffusion 

pub struct JumpDiffusion {
    pub mu: f64,
    pub sigma: f64,
    pub lambda: f64,
    pub mu_jump: f64,
    pub sigma_jump: f64,
    /* private fields */
}

Jump diffusion process adding compound Poisson jumps to GBM.

$$dS_t = mu * S_t * dt + sigma * S_t * dW_t + dJ_t$$ $$dJ_t = (e^Z - 1) dN_t, Z ~ N(mu_jump, sigma_jump^2), N_t ~ Poisson(lambda * t)$$

Fields

mu: f64

sigma: f64

lambda: f64

mu_jump: f64

sigma_jump: f64

Implementations

impl JumpDiffusion

pub fn new( mu: f64, sigma: f64, lambda: f64, mu_jump: f64, sigma_jump: f64, initial_price: f64, ) -> Self

pub fn value(&self) -> f64

Trait Implementations

impl Clone for JumpDiffusion

fn clone(&self) -> JumpDiffusion

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Simulatable for JumpDiffusion

type Output = f64

The type emitted at each step (e.g. f64 for GBM, BookSnapshot for L3).

fn dim(&self) -> usize

Dimensionality of the Brownian driver. Used by the runner to pre-generate the correct number of random normals per step. GBM is 1, Heston is 2, etc.

fn step(&mut self, dt: f64, dw: &[f64], rng: &mut impl Rng) -> f64

Advance the model by one step of size dt.

fn current(&self) -> f64

The current state snapshot. Called once before simulation starts.

impl StochasticProcess for JumpDiffusion

type State = f64

type Diffusion = f64

type BrownianIncrement = f64

fn drift(&self, x: &f64, _t: f64) -> f64

fn diffusion(&self, x: &f64, _t: f64) -> f64

fn jump_intensity(&self, _x: &f64, _t: f64) -> f64

fn jump_size<R: Rng + ?Sized>(&self, _x: &f64, _t: f64, rng: &mut R) -> f64

fn expected_value(&self, x0: &f64, t: f64) -> f64

fn variance(&self, x0: &f64, t: f64) -> f64

fn step<R: Rng + ?Sized>( &self, x: &f64, t: f64, dt: f64, dw: &f64, rng: &mut R, ) -> f64

fn generate_increment<R: Rng + ?Sized>(&self, rng: &mut R, dt: f64) -> f64

fn simulate<R: Rng + ?Sized>( &self, x0: f64, t0: f64, t_end: f64, dt: f64, rng: &mut R, ) -> Vec<(f64, f64)>

fn simulate_paths( &self, x0: Self::State, t0: f64, t_end: f64, dt: f64, num_paths: usize, ) -> Vec<Vec<(f64, Self::State)>>

where Self: Sync, Self::State: Send + Sync + Clone,