[−][src]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 );