Function cf_functions::merton_log_risk_neutral_cf

pub fn merton_log_risk_neutral_cf(
    u: &Complex<f64>, 
    lambda: f64, 
    mu_l: f64, 
    sig_l: f64, 
    rate: f64, 
    sigma: f64
) -> Complex<f64>

Returns log of Merton jump diffusion characteristic function with Gaussian jumps, adjusted to be risk-neutral

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 diffusion
let rate = 0.04; //risk free rate
let log_cf = cf_functions::merton_log_risk_neutral_cf(
    &u, lambda, mu_l, sigma_l, rate, sigma
);