Crate cf_dist_utils

Contains functions for computing the partial expectation, quantile, and cumulative density function given a characteristic function.

Structs

RiskMetric

ValueAtRiskError

Functions

get_cdf

Returns vector of cumulative density function given a characteristic function.

get_cdf_discrete_cf

Returns cumulative density function at given x.

get_expectation_discrete_cf

Returns expectation given a discrete characteristic function.

get_expected_shortfall_and_value_at_risk

Returns expected shortfall (partial expectation) and value at risk (quantile) given a characteristic function.

get_expected_shortfall_and_value_at_risk_discrete_cf

Returns expected shortfall (partial expectation) and value at risk (quantile) given a discrete characteristic function.

get_pdf

Returns vector of cumulative density function given a characteristic function.

get_variance_discrete_cf

Returns variance given a discrete characteristic function.