Update stochastic processes example (#52 closed).

avhz · Jun 18, 2023 · 308a04e · 308a04e
1 parent 00f7981
commit 308a04e
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Showing 21 changed files with 31 additions and 22 deletions.
diff --git a/examples/option_pricing.rs b/examples/option_pricing.rs
@@ -1,7 +1,7 @@
 use RustQuant::options::*;
 
 fn main() {
-    let VanillaOption = EuropeanOption {
+    let vanilla_option = EuropeanOption {
         initial_price: 100.0,
         strike_price: 110.0,
         risk_free_rate: 0.05,
@@ -10,7 +10,7 @@ fn main() {
         time_to_maturity: 0.5,
     };
 
-    let prices = VanillaOption.price();
+    let prices = vanilla_option.price();
 
     println!("Call price = \t {}", prices.0);
     println!("Put price = \t {}", prices.1);

diff --git a/examples/stochastic_processes.rs b/examples/stochastic_processes.rs
@@ -1,3 +1,11 @@
+// Run this example using:
+//      cargo run --example stochastic_processes
+//
+// This example generates paths for each stochastic process
+// and plots them using the `plotters` crate.
+//
+// See the ./images/ directory for the output.
+
 use RustQuant::{
     stochastics::{
         black_derman_toy::{BlackDermanToy, Sigma},
@@ -16,40 +24,36 @@ fn main() {
     let ev = ExtendedVasicek::new(alpha_t, 2.0, theta_t);
     let gbm = GeometricBrownianMotion::new(0.05, 0.9);
     let hl = HoLee::new(0.2, theta_t);
-    let hw = HullWhite::new(2.0, 0.2, theta_t);
+    let hw = HullWhite::new(0.1, 0.2, theta_t);
     let ou = OrnsteinUhlenbeck::new(0.05, 0.9, 0.1);
 
     // Generate path using Euler-Maruyama scheme.
     // Parameters: x_0, t_0, t_n, n, sims, parallel.
     let abm_out = (&abm).euler_maruyama(10.0, 0.0, 0.5, 100, 1, false);
     let bdt_out = (&bdt).euler_maruyama(10.0, 0.0, 0.5, 100, 1, false);
-    let bm_out = (&bm).euler_maruyama(10.0, 0.0, 0.5, 100, 1, false);
+    let bm_out  = (&bm).euler_maruyama(10.0, 0.0, 0.5, 100, 1, false);
     let cir_out = (&cir).euler_maruyama(10.0, 0.0, 0.5, 100, 1, false);
-    let ev_out = (&ev).euler_maruyama(10.0, 0.0, 0.5, 100, 1, false);
+    let ev_out  = (&ev).euler_maruyama(10.0, 0.0, 0.5, 100, 1, false);
     let gbm_out = (&gbm).euler_maruyama(10.0, 0.0, 0.5, 100, 1, false);
-    let hl_out = (&hl).euler_maruyama(10.0, 0.0, 0.5, 100, 1, false);
-    let hw_out = (&hw).euler_maruyama(10.0, 0.0, 0.5, 100, 1, false);
-    let ou_out = (&ou).euler_maruyama(10.0, 0.0, 0.5, 100, 1, false);
+    let hl_out  = (&hl).euler_maruyama(10.0, 0.0, 0.5, 100, 1, false);
+    let hw_out  = (&hw).euler_maruyama(10.0, 0.0, 0.5, 100, 1, false);
+    let ou_out  = (&ou).euler_maruyama(10.0, 0.0, 0.5, 100, 1, false);
 
     // Plot the paths.
-    //
-    // CURRENTLY PANICS.
-    // Waiting on updated plotters crate (v0.0.34 -> v0.0.35).
-    // See here: https://github.com/plotters-rs/plotters/issues/453
-    plot_vector((&abm_out.paths[0]).clone(),"./images/arithmetic_brownian_motion.png").unwrap();
+    plot_vector((&abm_out.paths[0]).clone(), "./images/arithmetic_brownian_motion.png").unwrap();
     plot_vector((&bdt_out.paths[0]).clone(), "./images/black_derman_toy.png").unwrap();
-    plot_vector((&bm_out.paths[0]).clone(), "./images/brownian_motion.png").unwrap();
-    plot_vector((&cir_out.paths[0]).clone(),"./images/cox_ingersoll_ross.png").unwrap();
-    plot_vector((&ev_out.paths[0]).clone(), "./images/extended_vasicek.png").unwrap();
-    plot_vector((&gbm_out.paths[0]).clone(),"./images/geometric_brownian_motion.png").unwrap();
-    plot_vector((&hl_out.paths[0]).clone(), "./images/ho_lee.png").unwrap();
-    plot_vector((&hw_out.paths[0]).clone(), "./images/hull_white.png").unwrap();
-    plot_vector((&ou_out.paths[0]).clone(),"./images/ornstein_uhlenbeck.png").unwrap();
+    plot_vector((&bm_out.paths[0]).clone(),  "./images/brownian_motion.png").unwrap();
+    plot_vector((&cir_out.paths[0]).clone(), "./images/cox_ingersoll_ross.png").unwrap();
+    plot_vector((&ev_out.paths[0]).clone(),  "./images/extended_vasicek.png").unwrap();
+    plot_vector((&gbm_out.paths[0]).clone(), "./images/geometric_brownian_motion.png").unwrap();
+    plot_vector((&hl_out.paths[0]).clone(),  "./images/ho_lee.png").unwrap();
+    plot_vector((&hw_out.paths[0]).clone(),  "./images/hull_white.png").unwrap();
+    plot_vector((&ou_out.paths[0]).clone(),  "./images/ornstein_uhlenbeck.png").unwrap();
 }
 
 fn theta_t(_t: f64) -> f64 {
-    1.5
+    0.1
 }
 fn alpha_t(_t: f64) -> f64 {
-    2.0
+    0.05
 }
diff --git a/images/BM1.png b/images/BM1.png
diff --git a/images/BM2.png b/images/BM2.png
diff --git a/images/BM3_parallel.png b/images/BM3_parallel.png
diff --git a/images/CIR1.png b/images/CIR1.png
diff --git a/images/CIR2.png b/images/CIR2.png
diff --git a/images/GBM1.png b/images/GBM1.png
diff --git a/images/GBM2.png b/images/GBM2.png
diff --git a/images/OU1.png b/images/OU1.png
diff --git a/images/OU2.png b/images/OU2.png
diff --git a/images/arithmetic_brownian_motion.png b/images/arithmetic_brownian_motion.png
diff --git a/images/black_derman_toy.png b/images/black_derman_toy.png
diff --git a/images/brownian_motion.png b/images/brownian_motion.png
diff --git a/images/cox_ingersoll_ross.png b/images/cox_ingersoll_ross.png
diff --git a/images/extended_vasicek.png b/images/extended_vasicek.png
diff --git a/images/geometric_brownian_motion.png b/images/geometric_brownian_motion.png
diff --git a/images/ho_lee.png b/images/ho_lee.png
diff --git a/images/hull_white.png b/images/hull_white.png
diff --git a/images/ornstein_uhlenbeck.png b/images/ornstein_uhlenbeck.png
diff --git a/src/autodiff/tape.rs b/src/autodiff/tape.rs
@@ -14,6 +14,8 @@
 // IMPORTS
 // ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
 
+use std::{rc::Rc, sync::Arc};
+
 use super::OperationArity;
 
 use {super::variable::Variable, super::vertex::Vertex, std::cell::RefCell};
@@ -27,13 +29,15 @@ use {super::variable::Variable, super::vertex::Vertex, std::cell::RefCell};
 pub struct Tape {
     /// Vector containing the vertices in the Wengert List.
     pub vertices: RefCell<Vec<Vertex>>,
+    // pub vertices: RefCell<Rc<[Vertex]>>,
 }
 
 impl Default for Tape {
     #[inline]
     fn default() -> Self {
         Tape {
             vertices: RefCell::new(Vec::new()),
+            // vertices: RefCell::new(Rc::new([])),
         }
     }
 }
@@ -45,6 +49,7 @@ impl Tape {
     pub fn new() -> Self {
         Tape {
             vertices: RefCell::new(Vec::new()),
+            // vertices: RefCell::new(Rc::new([])),
         }
     }