Function cf_functions::cir_mgf_cmp [−][src]
pub fn cir_mgf_cmp(
psi: &Complex<f64>,
a: f64,
kappa: &Complex<f64>,
sigma: f64,
t: f64,
v0: f64
) -> Complex<f64>
Returns moment generating function for Cox Ingersoll Ross process evaluated at complex argument and with complex kappa.
Remarks
Useful for time changed levy processes. "psi" can be a characteristic function of a levy process evaluated at a given "u" with induced correlation used by "kappa".
Examples
extern crate num_complex; use num_complex::Complex; extern crate cf_functions; let u = Complex::new(1.0, 1.0); let a = 0.3; //speed of mean reversion of CIR process let kappa = Complex::new(0.2, -0.3); //for leverage neutral measure let sigma = 0.3; //volatility of CIR process let t = 0.5; //time period of CIR process let v0 = 0.7; //initial value of CIR process let mgf = cf_functions::cir_mgf_cmp( &u, a, &kappa, sigma, t, v0 );