Function cf_functions::alpha_stable_leverage

pub fn alpha_stable_leverage(
    t: f64, 
    v0: f64, 
    a: f64, 
    sigma: f64, 
    lambda: f64, 
    correlation: f64, 
    alpha: f64, 
    mu: f64, 
    c: f64, 
    num_steps: usize
) -> impl Fn(&Complex<f64>) -> Complex<f64>

Returns log CF of an alpha stable process when transformed by an affine process and the process is correlated with the jump component of the Levy process.

Remarks

The time change is assumed to be a single-dimensional CIR process with a jump component with mean 1.
The correlation between the Levy process and the affine process is due to sharing the same jumps (both the Levy process and the affine process jump at the same time).

Examples

extern crate num_complex;
use num_complex::Complex;
extern crate cf_functions;
let mu=1300.0;
let c=100.0;
let alpha=1.1;
let lambda=100.0;
let correlation=0.9;
let a=0.4;
let sigma=0.4;
let t=1.0;
let v0=1.0;
let num_steps:usize=1024;
let cf=|u:&Complex<f64>|u.exp();
let cf=cf_functions::alpha_stable_leverage(
    t, v0, a, sigma, lambda, 
    correlation, alpha, mu, c, num_steps
);
let u=Complex::new(0.05, -0.5);
let value_of_cf=cf(&u);