Function cf_functions::cir_mgf

pub fn cir_mgf(
    psi: &Complex<f64>, 
    a: f64, 
    kappa: f64, 
    sigma: f64, 
    t: f64, 
    v0: f64
) -> Complex<f64>

Returns moment generating function for Cox Ingersoll Ross process evaluated at complex argument.

Remarks

Useful for time changed levy processes. "psi" can be a characteristic function of a levy process evaluated at a given "u".

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 = 0.2; //kappa/a is the long run mean of CIR process
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(
    &u, a, kappa, sigma, t, v0
);