Function cf_functions::heston_log_cf

pub fn heston_log_cf(
    u: &Complex<f64>, 
    t: f64, 
    sigma: f64, 
    v0: f64, 
    speed: f64, 
    eta_v: f64, 
    rho: f64
) -> Complex<f64>

Returns Heston model log CF.

Remarks

The time change is assumed to be a CIR process.

Examples

extern crate num_complex;
use num_complex::Complex;
extern crate cf_functions;
let u = Complex::new(1.0, 1.0);
let sigma = 0.3; //square root of long run average
let t = 0.5; //time horizon
let speed = 0.5; //speed of mear reversion CIR process
let v0 = 0.25; //initial value of CIR process 
let eta_v = 0.3; //volatility of CIR process (vol of vol)
let rho = -0.5; //correlation 
let log_cf = cf_functions::heston_log_cf(
    &u, t, sigma, v0, 
    speed, eta_v, rho
);