[][src]Function cf_functions::cgmy_time_change_log_cf

pub fn cgmy_time_change_log_cf(
    u: &Complex<f64>,
    t: f64,
    c: f64,
    g: f64,
    m: f64,
    y: f64,
    sigma: f64,
    v0: f64,
    speed: f64,
    eta_v: f64,
    rho: f64
) -> Complex<f64>

Returns log of time changed CGMY characteristic function 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 c = 0.5; 
let g = 4.0;
let m = 3.0;
let y = 0.6;
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::cgmy_time_change_log_cf(
    &u, t, c, g, m, y,
    sigma, v0, speed, eta_v, rho
);