Crate cf_dist_utils
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Contains functions for computing the partial expectation, quantile, and cumulative density function given a characteristic function.
Functions
Returns vector of cumulative density function given a characteristic function.
Returns cumulative density function at given x.
Returns expectation
given a discrete characteristic function.
Returns expected shortfall (partial expectation) and value at risk (quantile)
given a characteristic function.
Returns expected shortfall (partial expectation) and value at risk (quantile)
given a discrete characteristic function.
Returns variance
given a discrete characteristic function.