pystochastic 0.2.0__tar.gz

pystochastic-0.2.0/LICENSE

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+MIT License
+
+Copyright (c) 2026 Bastien Velcin
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.
+

pystochastic-0.2.0/PKG-INFO

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+Metadata-Version: 2.4
+Name: pystochastic
+Version: 0.2.0
+Summary: A Python library for probability, stochastic calculus and modelling, stochastic differential equations, and Monte Carlo simulation
+Author: Bastien Velcin
+License: MIT License
+        
+        Copyright (c) 2026 Bastien Velcin
+        
+        Permission is hereby granted, free of charge, to any person obtaining a copy
+        of this software and associated documentation files (the "Software"), to deal
+        in the Software without restriction, including without limitation the rights
+        to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+        copies of the Software, and to permit persons to whom the Software is
+        furnished to do so, subject to the following conditions:
+        
+        The above copyright notice and this permission notice shall be included in all
+        copies or substantial portions of the Software.
+        
+        THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+        IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+        FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+        AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+        LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+        OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+        SOFTWARE.
+        
+        
+Project-URL: Homepage, https://github.com/BastienVelcin/PyStochastic
+Project-URL: Repository, https://github.com/BastienVelcin/PyStochastic
+Project-URL: Issues, https://github.com/BastienVelcin/PyStochastic/issues
+Classifier: Development Status :: 4 - Beta
+Classifier: Intended Audience :: Science/Research
+Classifier: Intended Audience :: Developers
+Classifier: License :: OSI Approved :: MIT License
+Classifier: Programming Language :: Python :: 3
+Classifier: Programming Language :: Python :: 3 :: Only
+Classifier: Programming Language :: Python :: 3.10
+Classifier: Programming Language :: Python :: 3.11
+Classifier: Programming Language :: Python :: 3.12
+Classifier: Programming Language :: Python :: 3.13
+Classifier: Topic :: Scientific/Engineering
+Classifier: Topic :: Scientific/Engineering :: Mathematics
+Requires-Python: >=3.10
+Description-Content-Type: text/markdown
+License-File: LICENSE
+Requires-Dist: numpy
+Requires-Dist: scipy
+Requires-Dist: plotly
+Requires-Dist: sympy
+Dynamic: license-file
+
+# PyStochastic
+
+PyStochastic is a Python library for probability, stochastic calculus and stochastic modelling, Monte Carlo methods and numerical methods for
+stochastic differential equations.
+
+The project aims to provide a simple and consistent interface for
+simulating, analysing and visualising stochastic models.
+
+---
+
+## ✨ Features
+
+PyStochastic currently provides tools for:
+
+- Probability distributions
+  - Continuous distributions
+  - Discrete distributions
+- Random number generation
+- Stochastic processes
+- Numerical SDE solvers
+  - Euler-Maruyama
+  - Milstein
+- Monte Carlo analysis
+  - Estimation
+  - Moments
+  - Variance and standard error
+  - Confidence intervals
+  - Quantiles
+  - Histograms
+  - Empirical cumulative distribution functions
+  - Confidence curves
+- Vectorised simulations
+- Plotting and visualisation
+
+---
+
+## 📦 Installation
+
+Clone the repository:
+
+```bash
+git clone https://github.com/BastienVelcin/PyStochastic.git
+cd PyStochastic
+```
+
+Then install the package:
+
+```bash
+pip install .
+```
+
+---
+
+## 🚀 Quick start
+
+### Probability distributions
+
+PyStochastic provides a common interface for probability distributions.
+
+For example:
+
+```python
+from pystochastic.dist import Normal
+
+distribution = Normal(mu=0, sigma=1)
+
+samples = distribution.sample(10000)
+
+mean = distribution.mean()
+variance = distribution.variance()
+```
+
+Probability distributions also provide functions such as `pdf` and
+`cdf` when appropriate.
+
+---
+
+### Discrete distributions
+
+Discrete probability distributions use the `DiscreteDistribution`
+interface and provide a `pmf` method.
+
+For example:
+
+```python
+from pystochastic.dist import Bernoulli
+
+distribution = Bernoulli(p=0.3)
+
+samples = distribution.sample(10000)
+
+probability = distribution.pmf(1)
+```
+
+---
+
+## 🎲 Random number generation
+
+PyStochastic provides random number generators for both continuous
+and discrete distributions through the `pyrandom` module.
+
+```python
+from pystochastic.pyrandom import crandom
+
+samples = crandom.normal(
+    mu=0,
+    sigma=1,
+    size=10000,
+)
+```
+
+A global seed can also be configured for reproducible simulations.
+
+```python
+from pystochastic.pyrandom.setseed import seed
+
+seed(42)
+```
+
+---
+
+# 📈 Stochastic processes
+
+PyStochastic provides several classical stochastic processes, including:
+
+- Brownian motion
+- Poisson process
+- Geometric Brownian motion
+- Ornstein-Uhlenbeck process
+- Vasicek model
+- Cox-Ingersoll-Ross model
+
+For example:
+
+```python
+from pystochastic.processes import Brownian
+
+process = Brownian(
+    t_0=0,
+    t_n=1,
+    n_steps=1000,
+    n_simulations=10,
+)
+
+process.simulate()
+```
+
+The simulated paths can then be analysed and visualised.
+
+---
+
+# 🧮 Stochastic differential equations
+
+PyStochastic provides numerical solvers for stochastic differential
+equations.
+
+Currently implemented methods include:
+
+- Euler-Maruyama
+- Milstein
+
+These solvers support vectorised simulations and can be applied to
+multidimensional stochastic systems.
+
+For example:
+
+```python
+from pystochastic.sde import EulerMaruyama
+
+solver = EulerMaruyama(
+    drift=drift,
+    diffusion=diffusion,
+    x_0=x_0,
+    t_0=0,
+    t_n=1,
+    n_steps=1000,
+)
+
+solution = solver.solve()
+```
+
+---
+
+# 🎯 Monte Carlo
+
+The `MonteCarlo` class provides statistical tools for analysing
+collections of simulated samples.
+
+For example:
+
+```python
+from pystochastic.montecarlo import MonteCarlo
+
+mc = MonteCarlo(samples)
+
+estimate = mc.estimate()
+variance = mc.variance()
+standard_error = mc.standard_error()
+```
+
+Confidence intervals can also be computed:
+
+```python
+lower, upper = mc.confidence_interval(
+    confidence=0.95,
+    type="student",
+)
+```
+
+PyStochastic also provides tools for statistical visualisation,
+including histograms, empirical CDFs and confidence curves.
+
+```python
+mc.histogram()
+
+mc.ecdf()
+
+mc.confidence_curve()
+```
+
+---
+
+# 📊 Vectorisation
+
+A major focus of PyStochastic is efficient simulation.
+
+Whenever possible, simulations are vectorised using NumPy rather than
+performing independent Python-level loops.
+
+This is particularly useful when a large number of Monte Carlo
+simulations is required.
+
+---
+
+# 🧪 Testing
+
+PyStochastic uses `pytest` for its test suite.
+
+Run all tests with:
+
+```bash
+pytest
+```
+
+The project currently contains tests covering:
+
+- Probability distributions
+- Discrete distributions
+- Random number generators
+- Stochastic processes
+- SDE solvers
+- Monte Carlo methods
+- Public APIs
+
+The test suite also includes mathematical consistency and statistical
+tests.
+
+---
+
+# ⚡ Benchmarks
+
+Performance benchmarks are included to compare different simulation
+approaches and evaluate the benefit of vectorisation.
+
+For example, vectorised simulations can provide substantial speedups
+compared with sequential matrix-based implementations for large
+numbers of simulations.
+
+---
+
+# 📚 Project structure
+
+```text
+pystochastic/
+├── dist/
+│   ├── dist.py
+│   └── ...
+│
+├── montecarlo/
+│   ├── montecarlo.py
+│   └── ...
+│
+├── processes/
+│   ├── brownian.py
+│   ├── poisson.py
+│   ├── GeometricBrownianMotion.py
+│   ├── OrnsteinUhlenbeck.py
+│   ├── vasicek.py
+│   └── CIR.py
+│
+├── pyrandom/
+│   ├── crandom.py
+│   ├── drandom.py
+│   └── setseed.py
+│
+└── sde/
+    ├── eulermaruyama.py
+    └── milstein.py
+```
+
+---
+
+# 🛠️ Development
+
+Clone the repository and install the project in editable mode:
+
+```bash
+git clone https://github.com/BastienVelcin/PyStochastic.git
+cd PyStochastic
+
+pip install -e .
+```
+
+Install the development dependencies and run the tests:
+
+```bash
+pytest
+```
+
+---
+
+# 🗺️ Roadmap
+
+Possible future developments include:
+
+- Additional probability distributions
+- Additional stochastic processes
+- Additional SDE numerical schemes
+- Improved documentation
+- Additional performance optimisations
+- More statistical analysis tools
+- Expanded benchmarking
+- Improved visualisation capabilities
+
+---
+
+# 🤝 Contributing
+
+Contributions, suggestions and bug reports are welcome.
+
+If you find a bug or have an idea for a new feature, please open an
+issue on GitHub.
+
+Pull requests are also welcome.
+
+---
+
+# 📄 License
+
+PyStochastic is released under the MIT License.
+
+See the `LICENSE` file for more information.