Crate cf_dist_utils[−][src]
Contains functions for computing the partial expectation, quantile, and cumulative density function given a characteristic function.
Functions
get_cdf |
Returns vector of cumulative density function given a characteristic function. |
get_cdf_discrete_cf |
Returns cumulative density function at given x. |
get_expected_shortfall_and_value_at_risk |
Returns expected shortfall (partial expectation) and value at risk (quantile) given a characteristic function. Defaults to 100 iterations. |
get_expected_shortfall_and_value_at_risk_discrete_cf |
Returns expected shortfall (partial expectation) and value at risk (quantile) given a discrete characteristic function. Has defaults for number of iterations. |
get_expected_shortfall_and_value_at_risk_discrete_cf_n |
Returns expected shortfall (partial expectation) and value at risk (quantile) given a discrete characteristic function. |
get_expected_shortfall_and_value_at_risk_n |
Returns expected shortfall (partial expectation) and value at risk (quantile) given a characteristic function. |