fix: jump fou

Cargo.toml

@@ -1,6 +1,6 @@
 [package]
 name = "stochastic-rs"
-version = "0.6.2"
+version = "0.6.3"
 edition = "2021"
 license = "MIT"
 description = "A Rust library for stochastic processes"

src/jumps/jump_fou.rs

@@ -1,9 +1,10 @@
 use ndarray::Array1;
 use rand_distr::Distribution;
 
-use crate::prelude::{
-  cpoisson::{compound_poisson, CompoundPoisson},
-  fou::{fou, Fou},
+use crate::{
+  noises::fgn::FgnFft,
+  prelude::cpoisson::{compound_poisson, CompoundPoisson},
+  utils::Generator,
 };
 
 /// Generates a path of the jump fractional Ornstein-Uhlenbeck (FOU) process.
@@ -56,17 +57,9 @@ pub fn jump_fou(params: &JumpFou, jump_distr: impl Distribution<f64> + Copy) ->
     t,
   } = *params;
   let dt = t.unwrap_or(1.0) / n as f64;
-  let fou = fou(&Fou {
-    hurst,
-    mu,
-    sigma,
-    theta,
-    n,
-    x0,
-    t,
-  });
+  let fgn = FgnFft::new(hurst, n - 1, t, None).sample();
   let mut jump_fou = Array1::<f64>::zeros(n);
-  jump_fou[0] = fou[0];
+  jump_fou[0] = x0.unwrap_or(0.0);
 
   for i in 1..n {
     let [.., jumps] = compound_poisson(
@@ -78,7 +71,8 @@ pub fn jump_fou(params: &JumpFou, jump_distr: impl Distribution<f64> + Copy) ->
       jump_distr,
     );
 
-    jump_fou[i] = fou[i - 1] + jumps.sum();
+    jump_fou[i] =
+      jump_fou[i - 1] + theta * (mu - jump_fou[i - 1]) * dt + sigma * fgn[i - 1] + jumps.sum();
   }
 
   jump_fou

src/main.rs

@@ -1,42 +1,35 @@
 use std::time::Instant;
 
 use plotly::{common::Line, Plot, Scatter};
-use rand_distr::Normal;
-use stochastic_rs::jumps::bates::{bates_1996, Bates1996};
+use rand_distr::Gamma;
+use stochastic_rs::jumps::jump_fou::{jump_fou, JumpFou};
 
 fn main() {
   let start = Instant::now();
 
   let mut plot = Plot::new();
 
-  let jump_distr = Normal::new(0.0, 0.07).unwrap();
-  let params = Bates1996 {
-    mu: Some(0.05),
-    b: Some(0.05),
-    r: None,
-    r_f: None,
-    lambda: 0.01,
-    k: 0.,
-    alpha: 0.0225,
-    beta: 4.0,
-    sigma: 0.1,
-    rho: 0.1,
-    n: 100,
-    s0: Some(40.),
-    v0: Some(0.025),
-    t: Some(25.0),
-    use_sym: Some(false),
+  let jump_distr = Gamma::new(2.0, 0.07).unwrap();
+  let params = JumpFou {
+    hurst: 0.7,
+    mu: 1.0,
+    sigma: 4.0,
+    theta: 2.0,
+    lambda: 5.25,
+    n: 1000,
+    x0: Some(0.0),
+    t: Some(10.0),
   };
-  println!("{:?}", params);
-  for _ in 0..10 {
-    let [s, _v] = bates_1996(&params, jump_distr);
+
+  for _ in 0..1 {
+    let s = jump_fou(&params, jump_distr);
 
     let trace = Scatter::new((0..s.len()).collect::<Vec<_>>(), s.to_vec())
       .mode(plotly::common::Mode::Lines)
       .line(
         Line::new()
           .color("orange")
-          .shape(plotly::common::LineShape::Hv),
+          .shape(plotly::common::LineShape::Spline),
       )
       .name("Bates");
     plot.add_trace(trace);