Function cf_functions::cgmy_log_risk_neutral_cf

pub fn cgmy_log_risk_neutral_cf(
    u: &Complex<f64>, 
    c: f64, 
    g: f64, 
    m: f64, 
    y: f64, 
    rate: f64, 
    sigma: f64
) -> Complex<f64>

Returns log of CGMY-diffusion characteristic function adjusted to be risk neutral

Remarks

See cgmy pg 12 and 13

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 rate = 0.05; //risk free rate
let sigma = 0.3; //volatility of diffusion
let log_cf = cf_functions::cgmy_log_risk_neutral_cf(
    &u, c, g, m, y, rate, sigma
);