[−][src]Function cf_functions::merton_time_change_log_cf
pub fn merton_time_change_log_cf(
u: &Complex<f64>,
t: f64,
lambda: f64,
mu_l: f64,
sig_l: f64,
sigma: f64,
v0: f64,
speed: f64,
eta_v: f64,
rho: f64
) -> Complex<f64>
Returns log of time changed Merton jump diffusion characteristic function with Gaussian jumps with correlation between the diffusion of the time changed process and the underlying.
Remarks
The time change is assumed to be a CIR process with long run mean of 1.0.
Examples
extern crate num_complex; use num_complex::Complex; extern crate cf_functions; let u = Complex::new(1.0, 1.0); let lambda = 0.5; //jump frequency let mu_l = 0.5; //mean of jump let sigma_l = 0.3; //volatility of jump let sigma = 0.3; //volatility of underlying diffusion let t = 0.5; //time horizon let speed = 0.5; //speed of CIR process let v0 = 0.9; //initial value of CIR process let eta_v = 0.3; //volatility of CIR process let rho = -0.5; //correlation between diffusions let log_cf = cf_functions::merton_time_change_log_cf( &u, t, lambda, mu_l, sigma_l, sigma, v0, speed, eta_v, rho );