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Merged
dancixx merged 5 commits into from
May 16, 2026
Merged

refactor: unify seed #26

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ac37761
feat: polish fmvol & add heston 2d
dancixx May 15, 2026
2b95400
refactor: remove dedicated seeded method
dancixx May 16, 2026
6e352a0
chore: format
dancixx May 16, 2026
97af875
fix: missing seeds
dancixx May 16, 2026
714188f
chore: workspace level versioning
dancixx May 16, 2026
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21 changes: 12 additions & 9 deletions Cargo.toml
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Original file line number Diff line number Diff line change
Expand Up @@ -11,16 +11,19 @@ members = [
"stochastic-rs-py",
]

[workspace.package]
version = "2.1.0"

[workspace.dependencies]
# Internal crates
stochastic-rs-core = { path = "stochastic-rs-core", version = "2.0.0" }
stochastic-rs-distributions = { path = "stochastic-rs-distributions", version = "2.0.0" }
stochastic-rs-stochastic = { path = "stochastic-rs-stochastic", version = "2.0.0" }
stochastic-rs-copulas = { path = "stochastic-rs-copulas", version = "2.0.0" }
stochastic-rs-stats = { path = "stochastic-rs-stats", version = "2.0.0" }
stochastic-rs-quant = { path = "stochastic-rs-quant", version = "2.0.0" }
stochastic-rs-ai = { path = "stochastic-rs-ai", version = "2.0.0" }
stochastic-rs-viz = { path = "stochastic-rs-viz", version = "2.0.0" }
stochastic-rs-core = { path = "stochastic-rs-core", version = "2.1" }
stochastic-rs-distributions = { path = "stochastic-rs-distributions", version = "2.1" }
stochastic-rs-stochastic = { path = "stochastic-rs-stochastic", version = "2.1" }
stochastic-rs-copulas = { path = "stochastic-rs-copulas", version = "2.1" }
stochastic-rs-stats = { path = "stochastic-rs-stats", version = "2.1" }
stochastic-rs-quant = { path = "stochastic-rs-quant", version = "2.1" }
stochastic-rs-ai = { path = "stochastic-rs-ai", version = "2.1" }
stochastic-rs-viz = { path = "stochastic-rs-viz", version = "2.1" }

# Math / numerical core
ndarray = { version = "0.17.2", features = ["rayon", "matrixmultiply-threading"] }
Expand Down Expand Up @@ -107,7 +110,7 @@ criterion = { version = "0.8", features = ["html_reports"] }

[package]
name = "stochastic-rs"
version = "2.0.0"
version.workspace = true
edition = "2024"
license = "MIT"
description = "A Rust library for quant finance and simulating stochastic processes."
Expand Down
5 changes: 3 additions & 2 deletions benches/fgn_accelerate.rs
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Expand Up @@ -5,6 +5,7 @@ use criterion::BenchmarkId;
use criterion::Criterion;
use criterion::criterion_group;
use criterion::criterion_main;
use stochastic_rs::simd_rng::Unseeded;
use stochastic_rs::stochastic::noise::fgn::Fgn;
use stochastic_rs::traits::ProcessExt;

Expand All @@ -15,7 +16,7 @@ fn bench_single(c: &mut Criterion) {
g.sample_size(40);

for &n in &[1024usize, 4096, 16384, 65536] {
let fgn = Fgn::new(0.7f32, n, None);
let fgn = Fgn::new(0.7f32, n, None, Unseeded);
let _ = fgn.sample_accelerate(1);

g.bench_with_input(BenchmarkId::new("cpu", n), &n, |b, _| {
Expand All @@ -42,7 +43,7 @@ fn bench_batch(c: &mut Criterion) {
(16384, 512),
];
for &(n, m) in &cases {
let fgn = Fgn::new(0.7f32, n, None);
let fgn = Fgn::new(0.7f32, n, None, Unseeded);
let _ = fgn.sample_accelerate(m);
let label = format!("n={n},m={m}");

Expand Down
5 changes: 3 additions & 2 deletions benches/fgn_all_backends.rs
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Expand Up @@ -5,6 +5,7 @@ use criterion::BenchmarkId;
use criterion::Criterion;
use criterion::criterion_group;
use criterion::criterion_main;
use stochastic_rs::simd_rng::Unseeded;
use stochastic_rs::stochastic::noise::fgn::Fgn;
use stochastic_rs::traits::ProcessExt;

Expand All @@ -15,7 +16,7 @@ fn bench_single(c: &mut Criterion) {
g.sample_size(40);

for &n in &[1024usize, 4096, 16384, 65536] {
let fgn = Fgn::new(0.7f32, n, None);
let fgn = Fgn::new(0.7f32, n, None, Unseeded);

// warmup
let _ = fgn.sample_gpu(1);
Expand Down Expand Up @@ -52,7 +53,7 @@ fn bench_batch(c: &mut Criterion) {
(16384, 512),
];
for &(n, m) in &cases {
let fgn = Fgn::new(0.7f32, n, None);
let fgn = Fgn::new(0.7f32, n, None, Unseeded);
let _ = fgn.sample_gpu(m);
let _ = fgn.sample_metal(m);
let _ = fgn.sample_accelerate(m);
Expand Down
5 changes: 3 additions & 2 deletions benches/fgn_cuda_native.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -5,6 +5,7 @@ use criterion::BenchmarkId;
use criterion::Criterion;
use criterion::criterion_group;
use criterion::criterion_main;
use stochastic_rs::simd_rng::Unseeded;
use stochastic_rs::stochastic::noise::fgn::Fgn;
use stochastic_rs::traits::ProcessExt;

Expand All @@ -17,7 +18,7 @@ fn bench_fgn_single_path_cpu_vs_cuda_native(c: &mut Criterion) {
let hurst = 0.7f32;

for &n in &[1024usize, 4096, 16384, 65536] {
let fgn = Fgn::new(hurst, n, None);
let fgn = Fgn::new(hurst, n, None, Unseeded);

let _ = fgn
.sample_cuda_native(1)
Expand Down Expand Up @@ -65,7 +66,7 @@ fn bench_fgn_batch_cpu_vs_cuda_native(c: &mut Criterion) {

for &(n, m) in &cases {
let label = format!("n={n},m={m}");
let fgn = Fgn::new(hurst, n, None);
let fgn = Fgn::new(hurst, n, None, Unseeded);

let _ = fgn
.sample_cuda_native(m)
Expand Down
19 changes: 10 additions & 9 deletions benches/fgn_fbm.rs
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Expand Up @@ -4,6 +4,7 @@ use criterion::BenchmarkId;
use criterion::Criterion;
use criterion::criterion_group;
use criterion::criterion_main;
use stochastic_rs::simd_rng::Unseeded;
use stochastic_rs::stochastic::noise::fgn::Fgn;
use stochastic_rs::stochastic::process::fbm::Fbm;
use stochastic_rs::traits::ProcessExt;
Expand All @@ -14,7 +15,7 @@ fn bench_fgn_by_size(c: &mut Criterion) {

for &n in &[256, 1024, 4096, 16384, 65536] {
group.bench_with_input(BenchmarkId::new("ndrustfft", n), &n, |b, &n| {
let fgn = Fgn::new(hurst, n, None);
let fgn = Fgn::new(hurst, n, None, Unseeded);
b.iter(|| black_box(fgn.sample()));
});
}
Expand All @@ -30,7 +31,7 @@ fn bench_fgn_by_hurst(c: &mut Criterion) {
let label = format!("H={:.1}", h);

group.bench_with_input(BenchmarkId::new("ndrustfft", &label), &h, |b, &h| {
let fgn = Fgn::new(h, n, None);
let fgn = Fgn::new(h, n, None, Unseeded);
b.iter(|| black_box(fgn.sample()));
});
}
Expand All @@ -45,12 +46,12 @@ fn bench_fgn_f32_vs_f64(c: &mut Criterion) {
let hurst_f32 = 0.7f32;

group.bench_function("f64/ndrustfft", |b| {
let fgn = Fgn::new(hurst_f64, n, None);
let fgn = Fgn::new(hurst_f64, n, None, Unseeded);
b.iter(|| black_box(fgn.sample()));
});

group.bench_function("f32/ndrustfft", |b| {
let fgn = Fgn::new(hurst_f32, n, None);
let fgn = Fgn::new(hurst_f32, n, None, Unseeded);
b.iter(|| black_box(fgn.sample()));
});

Expand All @@ -64,12 +65,12 @@ fn bench_fgn_sample_par(c: &mut Criterion) {

for &m in &[10, 100, 1000] {
group.bench_with_input(BenchmarkId::new("sample_par", m), &m, |b, &m| {
let fgn = Fgn::new(hurst, n, None);
let fgn = Fgn::new(hurst, n, None, Unseeded);
b.iter(|| black_box(fgn.sample_par(m)));
});

group.bench_with_input(BenchmarkId::new("sample_sequential", m), &m, |b, &m| {
let fgn = Fgn::new(hurst, n, None);
let fgn = Fgn::new(hurst, n, None, Unseeded);
b.iter(|| {
let v: Vec<_> = (0..m).map(|_| fgn.sample()).collect();
black_box(v)
Expand All @@ -86,7 +87,7 @@ fn bench_fbm_by_size(c: &mut Criterion) {

for &n in &[256, 1024, 4096, 16384, 65536] {
group.bench_with_input(BenchmarkId::new("sample", n), &n, |b, &n| {
let fbm = Fbm::new(hurst, n, None);
let fbm = Fbm::new(hurst, n, None, Unseeded);
b.iter(|| black_box(fbm.sample()));
});
}
Expand All @@ -101,12 +102,12 @@ fn bench_fbm_sample_par(c: &mut Criterion) {

for &m in &[10, 100, 1000] {
group.bench_with_input(BenchmarkId::new("sample_par", m), &m, |b, &m| {
let fbm = Fbm::new(hurst, n, None);
let fbm = Fbm::new(hurst, n, None, Unseeded);
b.iter(|| black_box(fbm.sample_par(m)));
});

group.bench_with_input(BenchmarkId::new("sample_sequential", m), &m, |b, &m| {
let fbm = Fbm::new(hurst, n, None);
let fbm = Fbm::new(hurst, n, None, Unseeded);
b.iter(|| {
let v: Vec<_> = (0..m).map(|_| fbm.sample()).collect();
black_box(v)
Expand Down
5 changes: 3 additions & 2 deletions benches/fgn_gpu.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -5,6 +5,7 @@ use criterion::BenchmarkId;
use criterion::Criterion;
use criterion::criterion_group;
use criterion::criterion_main;
use stochastic_rs::simd_rng::Unseeded;
use stochastic_rs::stochastic::noise::fgn::Fgn;
use stochastic_rs::traits::ProcessExt;

Expand All @@ -17,7 +18,7 @@ fn bench_fgn_single_path_cpu_vs_gpu(c: &mut Criterion) {
let hurst = 0.7f32;

for &n in &[1024usize, 4096, 16384, 65536] {
let fgn = Fgn::new(hurst, n, None);
let fgn = Fgn::new(hurst, n, None, Unseeded);

let _ = fgn
.sample_gpu(1)
Expand Down Expand Up @@ -58,7 +59,7 @@ fn bench_fgn_batch_cpu_vs_gpu(c: &mut Criterion) {

for &(n, m) in &cases {
let label = format!("n={n},m={m}");
let fgn = Fgn::new(hurst, n, None);
let fgn = Fgn::new(hurst, n, None, Unseeded);

let _ = fgn.sample_gpu(m).expect("GPU batch warmup should succeed");

Expand Down
5 changes: 3 additions & 2 deletions benches/fgn_metal.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -5,6 +5,7 @@ use criterion::BenchmarkId;
use criterion::Criterion;
use criterion::criterion_group;
use criterion::criterion_main;
use stochastic_rs::simd_rng::Unseeded;
use stochastic_rs::stochastic::noise::fgn::Fgn;
use stochastic_rs::traits::ProcessExt;

Expand All @@ -15,7 +16,7 @@ fn bench_single(c: &mut Criterion) {
g.sample_size(40);

for &n in &[1024usize, 4096, 16384, 65536] {
let fgn = Fgn::new(0.7f32, n, None);
let fgn = Fgn::new(0.7f32, n, None, Unseeded);
let _ = fgn.sample_metal(1);

g.bench_with_input(BenchmarkId::new("cpu", n), &n, |b, _| {
Expand All @@ -42,7 +43,7 @@ fn bench_batch(c: &mut Criterion) {
(16384, 512),
];
for &(n, m) in &cases {
let fgn = Fgn::new(0.7f32, n, None);
let fgn = Fgn::new(0.7f32, n, None, Unseeded);
let _ = fgn.sample_metal(m);
let label = format!("n={n},m={m}");

Expand Down
29 changes: 21 additions & 8 deletions benches/gn_batching.rs
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Expand Up @@ -6,6 +6,7 @@ use criterion::Criterion;
use criterion::criterion_group;
use criterion::criterion_main;
use ndarray::Array1;
use stochastic_rs::simd_rng::Unseeded;
use stochastic_rs::stochastic::diffusion::fouque::FouqueOU2D;
use stochastic_rs::stochastic::interest::hjm::Hjm;
use stochastic_rs::stochastic::interest::wu_zhang::WuZhangD;
Expand All @@ -21,12 +22,12 @@ fn bench_cgns(c: &mut Criterion) {
let rho = 0.6f64;

group.bench_with_input(BenchmarkId::new("new", n), &n, |b, &n| {
let proc = Cgns::<f64>::new(rho, n, Some(1.0));
let proc = Cgns::<f64, _>::new(rho, n, Some(1.0), Unseeded);
b.iter(|| black_box(proc.sample()));
});

group.bench_with_input(BenchmarkId::new("old_style", n), &n, |b, &n| {
let gn = Gn::<f64>::new(n, Some(1.0));
let gn = Gn::<f64, _>::new(n, Some(1.0), Unseeded);
b.iter(|| {
let gn1 = gn.sample();
let z = gn.sample();
Expand All @@ -49,12 +50,22 @@ fn bench_fouque(c: &mut Criterion) {
let n = 100_000usize;

group.bench_with_input(BenchmarkId::new("new", n), &n, |b, &n| {
let proc = FouqueOU2D::<f64>::new(1.0, 0.5, 0.1, 0.0, n, Some(0.0), Some(0.0), Some(1.0));
let proc = FouqueOU2D::<f64, _>::new(
1.0,
0.5,
0.1,
0.0,
n,
Some(0.0),
Some(0.0),
Some(1.0),
Unseeded,
);
b.iter(|| black_box(proc.sample()));
});

group.bench_with_input(BenchmarkId::new("old_style", n), &n, |b, &n| {
let gn = Gn::<f64>::new(n - 1, Some(1.0));
let gn = Gn::<f64, _>::new(n - 1, Some(1.0), Unseeded);
let dt = gn.dt();
b.iter(|| {
let gn_x = gn.sample();
Expand Down Expand Up @@ -105,7 +116,7 @@ fn bench_hjm(c: &mut Criterion) {
let t_max = 1.0f64;

group.bench_with_input(BenchmarkId::new("new", n), &n, |b, &n| {
let proc = Hjm::<f64>::new(
let proc = Hjm::<f64, _>::new(
a_fn as fn(f64) -> f64,
b_fn as fn(f64) -> f64,
p_fn as fn(f64, f64) -> f64,
Expand All @@ -118,12 +129,13 @@ fn bench_hjm(c: &mut Criterion) {
Some(1.0),
Some(0.02),
Some(t_max),
Unseeded,
);
b.iter(|| black_box(proc.sample()));
});

group.bench_with_input(BenchmarkId::new("old_style", n), &n, |b, &n| {
let gn = Gn::<f64>::new(n - 1, Some(t_max));
let gn = Gn::<f64, _>::new(n - 1, Some(t_max), Unseeded);
let dt = gn.dt();
b.iter(|| {
let mut r = Array1::<f64>::zeros(n);
Expand Down Expand Up @@ -165,7 +177,7 @@ fn bench_wuzhang(c: &mut Criterion) {
let v0 = Array1::from_elem(xn, 0.04f64);

group.bench_with_input(BenchmarkId::new("new", n), &n, |b, &_n| {
let proc = WuZhangD::<f64>::new(
let proc = WuZhangD::<f64, _>::new(
alpha.clone(),
beta.clone(),
nu.clone(),
Expand All @@ -175,12 +187,13 @@ fn bench_wuzhang(c: &mut Criterion) {
xn,
Some(1.0),
n,
Unseeded,
);
b.iter(|| black_box(proc.sample()));
});

group.bench_with_input(BenchmarkId::new("old_style", n), &n, |b, &_n| {
let gn = Gn::<f64>::new(n - 1, Some(1.0));
let gn = Gn::<f64, _>::new(n - 1, Some(1.0), Unseeded);
let dt = gn.dt();
b.iter(|| {
let mut fv = ndarray::Array2::<f64>::zeros((2 * xn, n));
Expand Down
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