[−][src]Function cf_functions::gauss::heston_cf
pub fn heston_cf(
t: f64,
rate: f64,
sigma: f64,
v0: f64,
speed: f64,
eta_v: f64,
rho: f64
) -> impl Fn(&Complex<f64>) -> Complex<f64>
Returns Heston model log CF. Heston is simply a time changed gaussian model.
Remarks
The time change is assumed to be a CIR process
Examples
extern crate num_complex; use num_complex::Complex; extern crate cf_functions; let u = Complex::new(1.0, 1.0); let sigma = 0.3; //square root of long run average let t = 0.5; //time horizon let rate = 0.05; let speed = 0.5; //speed of mean reversion of CIR process let v0 = 0.29; //initial value of CIR process let eta_v = 0.3; //volatility of CIR process (vol of vol) let rho = -0.5; //correlation between diffusions let cf = cf_functions::gauss::heston_cf( t, rate, sigma, v0, speed, eta_v, rho ); let value_of_cf=cf(&Complex::new(0.05, -0.5));