[−][src]Function cf_functions::cir_log_mgf
pub fn cir_log_mgf(
psi: &Complex<f64>,
a: f64,
kappa: f64,
sigma: f64,
t: f64,
v0: f64
) -> Complex<f64>
Returns log of moment generating function for Cox Ingersoll Ross process evaluated at complex argument.
Remarks
Useful for time changed levy processes. "psi" can be a characteristic function of a levy process evaluated at a given "u".
Examples
extern crate num_complex; use num_complex::Complex; extern crate cf_functions; let u = Complex::new(1.0, 1.0); let a = 0.3; //speed of mean reversion of CIR process let kappa = 0.2; //kappa/a is the long run mean of CIR process let sigma = 0.3; //volatility of CIR process let t = 0.5; //time period of CIR process let v0 = 0.7; //initial value of CIR process let log_mgf = cf_functions::cir_log_mgf( &u, a, kappa, sigma, t, v0 );