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v2.4.0

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@dancixx dancixx released this 06 Jun 12:47
· 15 commits to main since this release
v2.4.0
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dancixx Daniel Boros
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Learn about vigilant mode.
950ddd3
This commit was signed with the committer’s verified signature.
dancixx Daniel Boros
GPG key ID: C078DE7DC160C6C4
Verified
Learn about vigilant mode.

stochastic-rs v2.4.0

Highlights

Compile-time GPU / accelerator backends. The fractional / fGN family (Fgn, Fbm, Fou, Fcir, Fgbm, FJacobi, Cfou, Cfgns, JumpFou,JumpFOUCustom, Sde) now selects its sampling backend at compile time with .on::<B>() — Cpu (default), CudaNative (cudarc + cuFFT), CubeCl (cubecl: CUDA / wgpu), MetalNative, and Accelerate (Apple vDSP). Dispatch is monomorphised with no runtime branch; an unavailable backend is a compile error.

Heston Andersen QE scheme. Heston gains a compile-time variance discretisation selector. Switch from the default Euler scheme to the Andersen (2008) Quadratic-Exponential scheme with .qe() for markedly lower discretisation bias at large kappa, high |rho|, or long maturities.

Also

  • CUDA-native generation improvements and device-to-host bandwidth benchmarks.
  • Metal / cubecl kernel caching and Accelerate backend fixes.
  • Docs: new "Sampling backends" concept page, refreshed Heston / FGN examples, corrected feature-flag matrix.

Full Changelog: v2.3.0...v2.4.0

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