sde-sim-rs 0.5.1

Powerful and flexible SDE simulation library with Rust-accelerated Monte-Carlo

sde-sim-rs: Flexible stochastic differential equation simulation library written in Rust

sde-sim-rs is a high-performance library for simulating stochastic differential equations (SDEs), which are foundational in fields like quantitative finance, physics, and biology. By leveraging the speed and memory safety of Rust, the project provides a fast and flexible core while offering seamless bindings for use in Python and Rust. This project is ideal for researchers, data scientists, and developers who need to run complex SDE using Monte-Carlo and quasi Monte-Carlo simulations with remarkable efficiency and reliability, while bridge the gap between high-performance compiled languages and the scientific computing ecosystem of Python.

Features

High Performance: The implementation in Rust provides bare-metal performance, which is critical for time-sensitive and computationally intensive simulations. The language's zero-cost abstractions and memory-safe concurrency models allow for the efficient handling of large datasets and provide the potential for parallelizing simulation tasks, offering a significant speed advantage over purely interpreted solutions.

Flexibility: The library's design and modular architecture allows for the creation and integration of custom SDE models to suit specialized research or application needs.

Multiple Simulation Methods: The library includes both Monte Carlo (MC) simulation, using pseudo-random numbers, and Randomized Quasi-Monte Carlo (RQMC) simulation, using Sobol sequences randomized by scrambling (random XOR) to provide an unbiased estimate with better sample coverage.

Multiple Integration Schemes: The library also implements several integration schemes, including Euler-Maruyama and Runge-Kutta first order.

Python Integration: A user-friendly and comprehensive Python interface via maturin allows you to utilize the Rust core without leaving your Python environment. This means data scientists and researchers can leverage the speed of a compiled language for the most demanding parts of their code, with bindings designed for seamless function calls and data exchange between the two languages.

Setup

Python

Install the latest sde-sim-rs version with:

pip install sde-sim-rs

Requires Python version >=3.11,<3.15.

To build the package locally for, you'll first need to compile the Rust package for local development. The project is set up to use maturin and uv. This command builds the Rust library and creates a Python wheel that can be used directly in your environment.

uv build

After the compilation is complete, you can run the example to see how the library works. This command uses uv to execute the Python example script.

uv run examples/example.py

Rust

You can take latest release from crates.io, or if you want to use the latest features / performance improvements point to the main branch of this repo.

sde-sim-rs = { git = "https://github.com/Aschii85/sde-sim-rs", rev = "<optional git tag>" }

An example file for using the crate can be found in examples/example.rs, which can be run using cargo run -r --example example.

Links

• PyPI: Find the Python package here
• Crates.io: Get the Rust crate here

Contributing

We welcome contributions from the community! If you'd like to contribute, please feel free to open an issue to discuss a feature or a bug fix, or submit a pull request with your changes.