diff --git a/README.md b/README.md index db59eec..c51c3c3 100644 --- a/README.md +++ b/README.md @@ -21,6 +21,8 @@ Minimal documentation is available at [stochastic-rs](https://docs.rs/stochastic - [x] Cox-Ingersoll-Ross process - [x] Ornstein-Uhlenbeck process - [x] Jacobi process +- [x] Variance Gamma model + # Stochastic models - [x] Heston model @@ -55,7 +57,6 @@ Minimal documentation is available at [stochastic-rs](https://docs.rs/stochastic - [ ] Vasicek model - [ ] Duffie-Kan model - [ ] Jump-diffusion model -- [ ] Variance Gamma model - [ ] Normal Inverse Gaussian model ## Future work diff --git a/src/jumps/vg.rs b/src/jumps/vg.rs index 49ecf76..76cb041 100644 --- a/src/jumps/vg.rs +++ b/src/jumps/vg.rs @@ -3,7 +3,6 @@ use ndarray::Array1; use rand::Rng; use rand_distr::Gamma; -// TODO: under development pub fn vg(mu: f64, sigma: f64, nu: f64, n: usize, x0: Option, t: Option) -> Vec { let dt = t.unwrap_or(1.0) / n as f64; let rng = rand::thread_rng();