market_model/process/
mod.rs

1pub mod bates;
2pub mod cir;
3pub mod gbm;
4pub mod hawkes;
5pub mod heston;
6pub mod jump_diffusion;
7pub mod ou;
8pub mod rough_ou;
9
10pub use self::bates::BatesProcess;
11pub use self::cir::CoxIngersollRoss;
12pub use self::gbm::GeometricBrownianMotion;
13pub use self::hawkes::HawkesProcess;
14pub use self::heston::HestonProcess;
15pub use self::jump_diffusion::JumpDiffusion;
16pub use self::ou::OrnsteinUhlenbeck;
17pub use self::rough_ou::RoughOUState;
18pub use self::rough_ou::RoughOrnsteinUhlenbeck;
19
20use rand::Rng;
21use rayon::prelude::*;
22
23/// Trait for stateless stochastic process stepping (SDEs).
24///
25/// Unlike [`crate::Simulatable`] which owns its state and is used for
26/// batch-parallel simulation, this trait takes state by reference and is
27/// designed for use in PDE solvers, BSDE methods, and the market engine's
28/// data source layer.
29pub trait StochasticProcess {
30    type State;
31    type Diffusion;
32    type BrownianIncrement;
33
34    fn drift(&self, x: &Self::State, t: f64) -> Self::State;
35    fn diffusion(&self, x: &Self::State, t: f64) -> Self::Diffusion;
36
37    fn jump_intensity(&self, _x: &Self::State, _t: f64) -> f64 {
38        0.0
39    }
40    fn jump_size<R: Rng + ?Sized>(&self, _x: &Self::State, _t: f64, _rng: &mut R) -> Self::State;
41
42    fn expected_value(&self, x0: &Self::State, t: f64) -> Self::State;
43    fn variance(&self, x0: &Self::State, t: f64) -> Self::State;
44
45    fn step<R: Rng + ?Sized>(
46        &self,
47        x: &Self::State,
48        t: f64,
49        dt: f64,
50        dw: &Self::BrownianIncrement,
51        rng: &mut R,
52    ) -> Self::State;
53
54    fn generate_increment<R: Rng + ?Sized>(&self, rng: &mut R, dt: f64) -> Self::BrownianIncrement;
55
56    fn simulate<R: Rng + ?Sized>(
57        &self,
58        x0: Self::State,
59        t0: f64,
60        t_end: f64,
61        dt: f64,
62        rng: &mut R,
63    ) -> Vec<(f64, Self::State)>;
64
65    fn simulate_paths(
66        &self,
67        x0: Self::State,
68        t0: f64,
69        t_end: f64,
70        dt: f64,
71        num_paths: usize,
72    ) -> Vec<Vec<(f64, Self::State)>>
73    where
74        Self: Sync,
75        Self::State: Send + Sync + Clone,
76    {
77        (0..num_paths)
78            .into_par_iter()
79            .map(|_| {
80                let mut rng = rand::rng();
81                self.simulate(x0.clone(), t0, t_end, dt, &mut rng)
82            })
83            .collect()
84    }
85}
market_model/process/mod.rs

market_model/process/
mod.rs
