stochastic-rs 2.0.0rc0

A high-performance Rust library for simulating stochastic processes with first-class bindings.

stochastic-rs

A high-performance Rust library for simulating stochastic processes, with first-class bindings. Built for quantitative finance, statistical modeling and synthetic data generation.

Features

• 85+ stochastic processes — 31 diffusions (OU, CIR, GBM, CEV, CKLS, Aït-Sahalia, Pearson, Jacobi, regime-switching, …), 15 jump processes (Merton, Kou, CGMY, bilateral gamma, …), 9 stochastic-volatility models (Heston, SABR, Bergomi, rough Bergomi, HKDE, …), 13 short-rate / HJM / BGM models, plus base processes (fBM, fGN, Poisson, Hawkes, Lévy, LFSM, …). Each carries a generic-precision ProcessExt<T> impl and CUDA / SIMD acceleration where applicable.
• Pricing — closed-form (BSM, Bachelier, Black76, Garman-Kohlhagen, Margrabe, Kirk, Geske compound, Stulz best-of-two, Bjerksund-Stensland, digital / gap / supershare, geometric basket, Levy moment-matching, cliquet / forward-start chain) · Fourier (Carr-Madan, Lewis, Gil-Pelaez) for Heston / Bates / Merton-jump / Kou / VG / CGMY / HKDE / double-Heston · Monte Carlo (basket, rainbow, cliquet with cap/floor and memory, autocallable phoenix / athena, spread) · finite difference (explicit / implicit / Crank-Nicolson, American) · Bermudan LSM · Heston SLV (Guyon–Labordère)
• Fixed income — yield-curve bootstrapping (deposit / FRA / future / swap), Nelson-Siegel / Svensson, multi-curve (OIS vs SOFR), discount-curve interpolation (linear / log-linear / cubic / monotone-convex) · vanilla / OIS / basis / cross-currency IRS · fixed-rate / floating-rate / inflation-linked / amortizing bonds · YTM / Macaulay / modified duration / convexity / Z-spread / OAS · cap / floor / collar / European & Bermudan swaptions with Hull-White, Black-Karasinski and G2++ tree engines · Jamshidian analytic European swaption · SABR / Shifted-SABR caplet calibration · CMS with Hagan linear-TSR
• Calibration — Heston (Cui analytic Jacobian + NMLE / PMLE / NMLE-CEKF seeds), SABR per-expiry caplet smile, Lévy (CGMY, VG, NIG, Merton-jump, Kou, bilateral gamma), Stochastic Volatility Jump (SVJ), rough Bergomi, double Heston, BSM (multi-maturity), HKDE, Hull-White swaption-grid via Levenberg-Marquardt
• Risk — VaR (Gaussian / historical / Monte Carlo), CVaR / expected shortfall, drawdown metrics, Sharpe / Sortino / Information-Ratio / Calmar (no hard-coded annualisation), instrument-level Greeks via finite differences, bucket DV01, scenario / shock / curve-shift stress framework
• Credit — Merton structural model (PD, equity / debt, distance-to-default, credit spread, implied recovery), reduced-form survival / hazard curves, CDS pricing (ISDA daily-grid, fair spread, risky PV01), hazard bootstrap from CDS par-spread term structure, JLT migration matrices with pure-Rust Padé-13 matrix exponential
• Inflation — zero-coupon and YoY inflation curves, CPI / RPI / HICP indices with linear-interpolated reference ratio, ZC and YoY inflation swaps with par-rate solver
• Microstructure — Almgren-Chriss optimal execution, Kyle (1985) strategic-trading equilibria, Bouchaud propagator with power-law / exponential / custom kernels, Roll / Corwin-Schultz spread estimators, full price-time priority order book
• Statistics — Hurst estimators, ADF / KPSS / Phillips-Perron / Leybourne-McCabe / ERS stationarity, Jarque-Bera / Shapiro-Francia / Anderson-Darling normality, periodogram / spectrum-search · realized variance / bipower / MinRV / MedRV / flat-top kernel (Bartlett / Parzen / Tukey-Hanning / Cubic / Quadratic-Spectral) with BNHLS bandwidth, semivariance, realized skew / kurtosis, HAR-RV, Jacod pre-averaging, TSRV, multi-scale RV, BNS jump test · Engle-Granger and Johansen cointegration, Granger causality, Gaussian-emission HMM with Baum-Welch, CUSUM and PELT changepoint · particle filter / UKF / random-walk Metropolis-Hastings · MLE engine for 1-D diffusions with 6 transition-density approximations (Euler, Ozaki, Shoji-Ozaki, Elerian, Kessler, Aït-Sahalia) and L-BFGS via argmin, plus dedicated Heston MLE / NMLE-CEKF
• Factors & strategies — PCA, two-pass Fama-MacBeth, Ledoit-Wolf shrinkage, cointegrated pairs trading (hedge ratio, spread, z-score, signal generator), forecast-momentum-volatility regime engine
• Distributions — DistributionSampler<T>-driven SIMD bulk sampling and sample_matrix for normal, log-normal, exponential (uniform / ziggurat), beta, gamma, chi-squared, Student-t, Poisson, alpha-stable, NIG, bilateral gamma, binomial, Cauchy, Pareto, Weibull
• Copulas — Clayton, Frank, Gumbel, Joe, Galambos, AMH, Gaussian, Student-t, Plackett, FGM bivariate; Gaussian, Student-t, vine multivariate; empirical, with correlation utilities
• Advanced Monte Carlo — variance reduction (antithetic, control variates, importance sampling, stratified), quasi-MC (Sobol, Halton), Multi-Level Monte Carlo, Longstaff-Schwartz LSM
• Volatility surface — implied-vol surface from market data, SVI / SSVI, arbitrage-free interpolation / extrapolation, smile and skew analytics
• Calendar & day count — ACT/360, ACT/365, 30/360, ACT/ACT · Following / Modified Following / Preceding · US, UK, TARGET, Tokyo holiday calendars · pluggable CalendarExt · ScheduleBuilder for coupon / payment dates
• FX — ISO 4217 currency definitions, FX quoting / cross-rate / triangulation, FX forward via covered interest parity (continuous and simple compounding)
• Performance — wide SIMD (f64x4 / f32x8) for FGN, fBM, all distributions; sample_par(m) for m independent paths via rayon; CUDA backend for FGN; thread-local FFT scratch buffers
• Generic precision — all numerical code is generic over T: FloatExt, supporting both f32 and f64
• Python bindings — full coverage of stochastic models with numpy integration; all sample paths return numpy arrays

Installation

Rust — umbrella crate (everything)

[dependencies]
stochastic-rs = "2.0.0-rc.0"

use stochastic_rs::prelude::*; // FloatExt, ProcessExt, ModelPricer, OptionType, ...
use stochastic_rs::stochastic::diffusion::gbm::GBM;
use stochastic_rs::quant::pricing::heston::HestonPricer;

Rust — pick the sub-crates you need

The crate is split into a workspace; pull in only what you use to keep build times and dependency surface minimal.

[dependencies]
stochastic-rs-distributions = "2.0.0-rc.0"  # SIMD distribution sampling
stochastic-rs-stochastic    = "2.0.0-rc.0"  # 140+ process types
stochastic-rs-copulas       = "2.0.0-rc.0"  # bivariate / multivariate copulas
stochastic-rs-stats         = "2.0.0-rc.0"  # estimators
stochastic-rs-quant         = "2.0.0-rc.0"  # pricing / calibration / vol surface
stochastic-rs-ai            = "2.0.0-rc.0"  # neural surrogates (candle)
stochastic-rs-viz           = "2.0.0-rc.0"  # plotly grid plotter

Topology:

stochastic-rs-core (simd_rng)
 └→ stochastic-rs-distributions (FloatExt, SimdFloatExt, distribution types)
     ├→ stochastic-rs-stochastic (ProcessExt + 140+ processes)
     ├→ stochastic-rs-copulas (BivariateExt, etc.)
     └→ stochastic-rs-stats (estimators)
         └→ stochastic-rs-quant (PricerExt, ModelPricer, calibration, vol surface)
             ├→ stochastic-rs-ai (HestonNn / OneFactorNn / RoughBergomiNn)
             └→ stochastic-rs-viz (GridPlotter)

Bindings

pip install stochastic-rs

For development builds from source (requires maturin):

pip install maturin
maturin develop --release

OpenBLAS (required for openblas feature)

The openblas feature enables ndarray-linalg for linear algebra operations. It requires a system OpenBLAS installation with LAPACK support.

Linux (Debian/Ubuntu)

sudo apt install libopenblas-dev

Linux (Fedora/RHEL)

sudo dnf install openblas-devel

macOS

brew install openblas
export OPENBLAS_DIR=$(brew --prefix openblas)

Windows

Download prebuilt OpenBLAS from OpenMathLib/OpenBLAS releases (pick the x64.zip), extract it, and install vcpkg:

git clone https://github.com/microsoft/vcpkg C:\vcpkg
C:\vcpkg\bootstrap-vcpkg.bat
$env:VCPKG_ROOT = "C:\vcpkg"

Then copy the prebuilt libopenblas.lib and libopenblas.dll into $VCPKG_ROOT\installed\x64-windows\lib\ and $VCPKG_ROOT\installed\x64-windows\bin\ respectively. The prebuilt release includes LAPACK (the vcpkg openblas port does not).

Build with OpenBLAS

cargo build --features openblas

CUDA native (optional)

Requires NVIDIA CUDA Toolkit (12.x+) and a compatible GPU.

cargo build --features cuda-native

Usage

Rust

use stochastic_rs::stochastic::process::fbm::FBM;
use stochastic_rs::stochastic::volatility::heston::Heston;
use stochastic_rs::stochastic::volatility::HestonPow;
use stochastic_rs::traits::ProcessExt;

fn main() {
    // Fractional Brownian Motion
    let fbm = FBM::new(0.7, 1000, None);
    let path = fbm.sample();

    // Parallel batch sampling
    let paths = fbm.sample_par(1000);

    // Heston stochastic volatility
    let heston = Heston::new(
        Some(100.0),   // s0
        Some(0.04),    // v0
        2.0,           // kappa
        0.04,          // theta
        0.3,           // sigma
        -0.7,          // rho
        0.05,          // mu
        1000,          // n
        None,          // t
        HestonPow::Sqrt,
        Some(false),
    );
    let [price, variance] = heston.sample();
}

Bindings

All models return numpy arrays. Use dtype="f32" or dtype="f64" (default) to control precision.

import stochastic_rs as sr

# Basic processes
fbm = sr.PyFBM(0.7, 1000)
path = fbm.sample()           # shape (1000,)
paths = fbm.sample_par(500)   # shape (500, 1000)

# Stochastic volatility
heston = sr.PyHeston(mu=0.05, kappa=2.0, theta=0.04, sigma=0.3, rho=-0.7, n=1000)
price, variance = heston.sample()

# Models with callable parameters
hw = sr.PyHullWhite(theta=lambda t: 0.04 + 0.01*t, alpha=0.1, sigma=0.02, n=1000)
rates = hw.sample()

# Jump processes with custom jump distributions
import numpy as np
merton = sr.PyMerton(
    alpha=0.05, sigma=0.2, lambda_=3.0, theta=0.01,
    distribution=lambda: np.random.normal(0, 0.1),
    n=1000,
)
log_prices = merton.sample()

Benchmarks

FGN CPU vs CUDA native (sample, sample_par, sample_cuda_native)

cuda-native backend: cudarc + cuFFT + fused Philox RNG kernel (no .cu files, no nvcc).

cargo bench --features cuda-native --bench fgn_cuda_native

Environment: NVIDIA GPU, CUDA 12.x, Rust nightly, --release with LTO.

Single path (sample vs sample_cuda_native(1), f32, H=0.7):

n	CPU sample	CUDA sample_cuda_native(1)	Speedup
1,024	8.1 us	46 us	0.18x
4,096	35 us	84 us	0.42x
16,384	147 us	110 us	1.3x
65,536	850 us	227 us	3.7x

Batch (sample_par(m) vs sample_cuda_native(m), f32, H=0.7):

n, m	CPU sample_par(m)	CUDA sample_cuda_native(m)	Speedup
4,096, 32	147 us	117 us	1.3x
4,096, 512	1.78 ms	2.37 ms	0.75x
65,536, 128	12.6 ms	10.5 ms	1.2x
65,536, 1024	102 ms	93 ms	1.1x

CUDA wins for large n (>= 16k) and is competitive at n=65k batches. CPU rayon parallelism dominates for medium n due to zero transfer overhead.

Distribution Sampling (All Built-in Distributions)

Measured with:

cargo bench --bench dist_multicore

Configuration in this run:

• sample_matrix benchmark
• 1-thread vs 14-thread rayon pools
• size is mostly 1024 x 1024; heavy discrete samplers use 512 x 512

Distribution	Shape	1T (ms)	MT (ms)	Speedup
Normal	1024 x 1024	1.78	0.34	5.28x
Exp	1024 x 1024	1.73	0.33	5.25x
Uniform	1024 x 1024	0.65	0.13	5.12x
Cauchy	1024 x 1024	6.23	0.90	6.96x
LogNormal	1024 x 1024	5.07	0.81	6.25x
Gamma	1024 x 1024	5.20	0.72	7.19x
ChiSq	1024 x 1024	5.06	1.22	4.14x
StudentT	1024 x 1024	7.89	1.89	4.18x
Beta	1024 x 1024	11.85	1.68	7.04x
Weibull	1024 x 1024	13.17	1.73	7.59x
Pareto	1024 x 1024	5.48	0.80	6.87x
InvGauss	1024 x 1024	2.52	0.44	5.69x
NIG	1024 x 1024	5.93	0.90	6.62x
AlphaStable	1024 x 1024	42.52	5.36	7.94x
Poisson	1024 x 1024	2.28	0.42	5.40x
Geometric	1024 x 1024	2.75	0.44	6.30x
Binomial	512 x 512	4.43	0.70	6.32x
Hypergeo	512 x 512	20.99	2.76	7.60x

Normal single-thread kernel comparison (fill_slice, same run):

• vs rand_distr + SimdRng: ~1.21x to 1.35x
• vs rand_distr + rand::rng(): ~4.09x to 4.61x

Contributing

Contributions are welcome - bug reports, feature suggestions, or PRs. Open an issue or start a discussion on GitHub.

License

MIT - see LICENSE.