[−][src]Function cf_functions::cgmy_time_change_cf
pub fn cgmy_time_change_cf(
t: f64,
rate: f64,
c: f64,
g: f64,
m: f64,
y: f64,
sigma: f64,
v0: f64,
speed: f64,
eta_v: f64,
rho: f64
) -> impl Fn(&Complex<f64>) -> Complex<f64>
Returns log of time changed CGMY characteristic function with correlation between the diffusion of the time changed process and the underlying.
Remarks
The time change is assumed to be a CIR process with long run mean of 1.0.
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 sigma = 0.3; //volatility of underlying diffusion let t = 0.5; //time horizon let rate = 0.05; let speed = 0.5; //speed of CIR process let v0 = 0.9; //initial value of CIR process let eta_v = 0.3; //volatility of CIR process let rho = -0.5; //correlation between diffusions let cf = cf_functions::cgmy_time_change_cf( t, rate, c, g, m, y, sigma, v0, speed, eta_v, rho ); let value_of_cf=cf(&Complex::new(0.05, -0.5));