Crate cf_dist_utils

Contains functions for computing the partial expectation, quantile, and cumulative density function given a characteristic function.

Structs

RiskMetric
ValueAtRiskError

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_expectation_discrete_cf	Returns expectation given a discrete characteristic function.
get_expected_shortfall_and_value_at_risk	Returns expected shortfall (partial expectation) and value at risk (quantile) given a characteristic function.
get_expected_shortfall_and_value_at_risk_discrete_cf	Returns expected shortfall (partial expectation) and value at risk (quantile) given a discrete characteristic function.
get_variance_discrete_cf	Returns variance given a discrete characteristic function.